6-K 1 6k2q19ubsbaseIIIpillar3.htm 6k2q19ubsbaselIIIpillar3

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

_________________

 

FORM 6-K

 

REPORT OF FOREIGN PRIVATE ISSUER

 

PURSUANT TO RULE 13a-16 OR 15d-16 UNDER

THE SECURITIES EXCHANGE ACT OF 1934

 

Date: August 27, 2019

 

 

UBS Group AG

Commission File Number: 1-36764

 

UBS AG

Commission File Number: 1-15060

 

 

(Registrants' Name)

 

Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland

(Address of principal executive offices)

 

Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.

 

Form 20-F                         Form 40-F 

 


 

This Form 6-K consists of the Basel III Pillar 3 disclosure for UBS Group AG and significant regulated subsidiaries report as of 30 June 2019, which appears immediately following this page.

 

  

 


 

  

 

 

 

30 June 2019 Pillar 3 report

 

UBS Group and significant regulated subsidiaries and sub-groups

  

 


 

Table of contents

Introduction and basis for preparation

 

UBS Group AG

6

Section 1

Key metrics

8

Section 2

Risk-weighted assets

12

Section 3

Credit risk

24

Section 4

Counterparty credit risk

31

Section 5

Securitizations

36

Section 6

Market risk

40

Section 7

Interest rate risk in the banking book

43

Section 8

Going and gone concern requirements
and eligible capital

50

Section 9

Total loss-absorbing capacity

52

Section 10

Leverage ratio

55

Section 11

Liquidity coverage ratio

57

Section 12

Requirements for global systemically important banks and related indicators

 

 

 

 

 

Significant regulated subsidiaries and sub-groups

60

Section 1

Introduction

60

Section 2

UBS AG standalone

64

Section 3

UBS Switzerland AG standalone

70

Section 4

UBS Europe SE consolidated

71

Section 5

UBS Americas Holding LLC consolidated

 

 

 

       

 

 
Contacts

 


Switchboards

For all general inquiries
www.ubs.com/contact

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London +44- 207-567 8000
New York +1-212-821 3000
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Investor Relations

UBS’s Investor Relations team supports institutional, professional and retail investors from
our offices in Zurich,
New York and Krakow.

UBS Group AG, Investor Relations
P.O. Box, CH-8098 Zurich, Switzerland

www.ubs.com/investors

Zurich +41-44-234 4100
New York +1-212-882 5734

Media Relations

UBS’s Media Relations team supports
global media and journalists
from our offices in Zurich, London, New York and Hong Kong.

www.ubs.com/media

Zurich +41-44-234 8500
mediarelations@ubs.com

London +44-20-7567 4714
ubs-media-relations@ubs.com

New York +1-212-882 5858
mediarelations-ny@ubs.com

Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com

 


Office of the Group Company Secretary

The Group Company Secretary receives inquiries regarding compensation and related issues addressed to members of the Board of Directors.

UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland

sh-company-secretary@ubs.com

+41-44-235 6652

Shareholder Services

UBS’s Shareholder Services team,
a unit of the Group Company Secretary Office, is responsible
for the registration of UBS Group AG registered shares.

UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland

sh-shareholder-services@ubs.com

+41-44-235 6652

US Transfer Agent

For global registered share-related
inquiries in the US.

Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA

Shareholder online inquiries:
https://www-us.computershare.com/
investor/Contact

Shareholder website:
www.computershare.com/investor

Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610

 


Imprint

Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com
Language: English

© UBS 2019. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.

  

 


 

Introduction and basis for preparation

  

 


Introduction and basis for preparation 

Introduction and basis for preparation

 

Scope and location of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.

This report provides Pillar 3 disclosures for UBS Group AG and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”

As UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 30 June 2019 for UBS Group AG consolidated is provided in the “Capital management” section of our second quarter 2019 report and for UBS AG consolidated in the “Capital management” section of the UBS AG second quarter 2019 report, which are available under “Quarterly reporting” at www.ubs.com/investors.  

Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors. 


Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements

This Pillar 3 report has been prepared in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016/1, “Disclosure – banks”) issued on 16 July 2018, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.

Changes to Pillar 3 disclosure requirements

In line with BCBS and FINMA requirements, the following disclosures are published for the first time, effective as of 30 June 2019:

   “TLAC1 – TLAC composition for G-SIBs (at resolution group level)” applicable to UBS Group AG consolidated;

   “TLAC3 – Resolution entity – creditor ranking at legal entity level” applicable to UBS Group AG at a legal entity level;

   “IRRBBA – IRRBB risk management objective and policies – qualitative requirements” applicable to UBS Group AG consolidated;

   “IRRBB1 – Quantitative information on IRRBB” applicable to UBS Group AG consolidated; and

     “IRRBBA1 – Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk” applicable to UBS Group AG consolidated.

 

We currently expect to provide the "TLAC2 – Material subgroup entity – creditor ranking at legal entity level” disclosure in our 31 December 2019 Pillar 3 report. The “CR1 – Credit quality of assets” table in this report has been revised to address additional disclosure requirements with regard to the allocation of the accounting provisions for credit losses between the standardized approach and the internal ratings-based approach, as required by the aforementioned BCBS Technical Amendment issued in August 2018.

2


 

Significant BCBS requirements to be adopted in the second half of 2019 or later

BCBS initial margin offset in the leverage ratio and new disclosure requirements

The BCBS agreed to align the leverage ratio measurement of client-cleared derivatives with the standardized approach to measuring counterparty credit risk exposures (SA-CCR). We expect these provisions will become effective as of 1 January 2022. This treatment permits both cash and non-cash forms of segregated initial margin, as well as cash and non-cash variation margin, received from a client to offset the replacement cost and potential future exposure for client-cleared derivatives only. This will help to mitigate any potential effect on the leverage ratio denominator from the finalization of the Basel III capital framework, which takes effect from 1 January 2022.

The BCBS also introduced a new disclosure standard, effective as of 1 January 2022, which sets out additional requirements for banks to disclose their leverage ratios based on quarter-end and daily average values of securities financing transactions.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 5 and 6 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors.  


In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 March 2019 for disclosures required on a quarterly basis, and as of 31 December 2018 for disclosures required on a semiannual basis. Where specifically required by FINMA and/or BCBS, we disclose comparative information for additional reporting dates. The new TLAC1, TLAC3 and IRRBB disclosures are provided for the first time as of 30 June 2019 in this report without comparative information. The IRRBB disclosure will be provided on an annual basis from 31 December 2019 onward.

Where required, movement commentary is aligned with the corresponding disclosure frequency required by FINMA and always refers to the latest comparative period. Throughout this report, signposts are displayed at the beginning of a section, table or chart – Annual | Semiannual | Quarterly | – indicating whether the disclosure is provided annually, semiannually or quarterly. A triangle symbol – – indicates the end of the signpost.

®   Refer to our 31 March 2019 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors, for more information about previously published quarterly movement commentary

  

3


 

 


 

UBS Group AG

  

 


UBS Group AG

 

Section 1  Key metrics

Key metrics of the second quarter of 2019

Quarterly | The KM1 and KM2 tables below are based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (FSB). The website of the FSB provides this term sheet, at www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet

During the second quarter of 2019, our common equity tier 1 (CET1) capital increased by USD 0.3 billion to USD 34.9 billion, mainly as a result of operating profit before tax and foreign currency translation effects, partly offset by accruals for capital returns to shareholders, compensation-related regulatory capital accruals, share repurchases under our share repurchase program and current tax expense.

®   Refer to “UBS shares” in the “Capital management” section of our second quarter 2019 report for more information about the share repurchase program


The TLAC available as of 30 June 2019 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes is measured at the lower of cost or market value. This amount was negligible as of 30 June 2019 but is included as available TLAC in the KM2 table below and in the TLAC1 table on page 50 of this report.

Risk-weighted assets (RWA) decreased by USD 5.4 billion to USD 262.1 billion, mainly as a result of decreases in credit risk RWA and market risk RWA. Leverage ratio exposure remained stable during the quarter. High-quality liquid assets decreased by USD 9.9 billion, primarily driven by lower average cash balances, reflecting increased funding consumption by the business divisions.

 

Quarterly |

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

 

30.6.19

 

31.3.19

 

31.12.18

 

30.9.183

30.6.183

Available capital (amounts)1

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 34,948 

 

 34,658 

 

 34,119 

 

 34,816 

 34,116 

1a

Fully loaded ECL accounting model

 

 34,904 

 

 34,613 

 

 34,071 

 

 34,816 

 34,116 

2

Tier 1

 

 49,993 

 

 49,436 

 

 46,279 

 

 45,972 

 45,353 

2a

Fully loaded ECL accounting model Tier 1

 

 49,949 

 

 49,391 

 

 46,231 

 

 45,972 

 45,353 

3

Total capital

 

 56,345 

 

 56,148 

 

 52,981 

 

 52,637 

 52,450 

3a

Fully loaded ECL accounting model total capital

 

 56,302 

 

 56,103 

 

 52,933 

 

 52,637 

 52,450 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 262,135 

 

 267,556 

 

 263,747 

 

 257,041 

 254,603 

4a

Minimum capital requirement2

 

 20,971 

 

 21,404 

 

 21,100 

 

 20,563 

 20,368 

4b

Total risk-weighted assets (pre-floor)

 

 262,135 

 

 267,556 

 

 263,747 

 

 257,041 

 254,603 

Risk-based capital ratios as a percentage of RWA1

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 13.33 

 

 12.95 

 

 12.94 

 

 13.55 

 13.40 

5a

Fully loaded ECL accounting model Common equity tier 1 (%)

 

 13.32 

 

 12.94 

 

 12.92 

 

 13.55 

 13.40 

6

Tier 1 ratio (%)

 

 19.07 

 

 18.48 

 

 17.55 

 

 17.89 

 17.81 

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

 

 19.05 

 

 18.46 

 

 17.53 

 

 17.89 

 17.81 

7

Total capital ratio (%)

 

 21.49 

 

 20.99 

 

 20.09 

 

 20.48 

 20.60 

7a

Fully loaded ECL accounting model total capital ratio (%)

 

 21.48 

 

 20.97 

 

 20.07 

 

 20.48 

 20.60 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (2.5% from 2019) (%)

 

 2.50 

 

 2.50 

 

 1.88 

 

 1.88 

 1.88 

9

Countercyclical buffer requirement (%)

 

 0.09 

 

 0.10 

 

 0.08 

 

 0.05 

 0.06 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 0.22 

 

 0.21 

 

 0.21 

 

 0.21 

 0.20 

10

Bank G-SIB and/or D-SIB additional requirements (%)

 

 1.00 

 

 1.00 

 

 0.75 

 

 0.75 

 0.75 

11

Total of bank CET1 specific buffer requirements (%)1

 

 3.59 

 

 3.60 

 

 2.71 

 

 2.68 

 2.68 

12

CET1 available after meeting the bank’s minimum capital requirements (%)1

 

 8.83 

 

 8.45 

 

 8.44 

 

 9.05 

 8.90 

Basel III leverage ratio

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 911,379 

 

 910,993 

 

 904,598 

 

 915,066 

 910,383 

14

Basel III leverage ratio (%)1

 

 5.49 

 

 5.43 

 

 5.12 

 

 5.02 

 4.98 

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

 5.48 

 

 5.42 

 

 5.11 

 

 5.02 

 4.98 

Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

15

Total HQLA

 

 176,173 

 

 186,038 

 

 173,389 

 

 176,594 

 183,202 

16

Total net cash outflow

 

 121,314 

 

 121,521 

 

 127,352 

 

 130,750 

 127,324 

17

LCR ratio (%)

 

 145 

 

 153 

 

 136 

 

 135 

 144 

1 Based on BCBS Basel III phase-in rules.    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 In line with the change of the presentation currency of UBS Group AG’s and UBS AG’s consolidated and standalone financial statements from Swiss francs to US dollars in October 2018, prior periods were translated to US dollars at the respective spot rates prevailing on the relevant reporting dates.

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6


 

Quarterly |

KM2: Key metrics – TLAC requirements (at resolution group level)1

USD million, except where indicated

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

31.3.19

 

31.12.18

 

30.9.182

 

30.6.182

1

Total loss-absorbing capacity (TLAC) available

 

 87,388 

 

 87,477 

 

 83,740 

 

 81,711 

 

 82,211 

1a

Fully loaded ECL accounting model TLAC available

 

 87,344 

 

 87,433 

 

 83,692 

 

 81,711 

 

 82,211 

2

Total RWA at the level of the resolution group

 

 262,135 

 

 267,556 

 

 263,747 

 

 257,041 

 

 254,603 

3

TLAC as a percentage of RWA (%)

 

 33.34 

 

 32.69 

 

 31.75 

 

 31.79 

 

 32.29 

3a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)

 

 33.32 

 

 32.68 

 

 31.73 

 

 31.79 

 

 32.29 

4

Leverage ratio exposure measure at the level of the resolution group

 

 911,379 

 

 910,993 

 

 904,598 

 

 915,066 

 

 910,383 

5

TLAC as a percentage of leverage ratio exposure measure (%)

 

 9.59 

 

 9.60 

 

 9.26 

 

 8.93 

 

 9.03 

5a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model Leverage exposure measure (%)

 

 9.58 

 

 9.60 

 

 9.25 

 

 8.93 

 

 9.03 

6a

Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6b

Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6c

If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%)

 

N/A – Refer to our response to 6b.

1 Resolution group level is defined as the UBS Group AG consolidated level.    2 In line with the change of the presentation currency of UBS Group AG’s and UBS AG’s consolidated and standalone financial statements from Swiss francs to US dollars in October 2018, prior-period disclosures were translated to US dollars at the respective spot rates prevailing on the relevant reporting dates.

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7


UBS Group AG

 

Section 2  Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Depending on the purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).

For information about the measurement of risk exposures and RWA, refer to pages 9–12 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors


RWA development in the second quarter of 2019

Quarterly | The OV1 table below provides an overview of our risk-weighted assets (RWA) and the related minimum capital requirements by risk type. The FINMA template includes rows that are currently not applicable to UBS and therefore have been left empty.

During the second quarter of 2019, RWA decreased by USD 5.4 billion to USD 262.1 billion, mainly as a result of decreases of USD 3.4 billion in credit risk RWA and USD 2.0 billion in market risk RWA.

Counterparty credit risk RWA measured under the standardized approach as disclosed in line 7 of the OV1 table below increased by USD 0.6 billion, mainly driven by increases in derivatives exposures in the Investment Bank.

Equity positions under the simple risk weight approach decreased by USD 0.7 billion, primarily driven by the sale of a limited number of positions in the Investment Bank’s Foreign Exchange, Rates and Credit business.

The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the second quarter of 2019. More information about capital management and RWA, including details of movements in RWA during the second and first quarters of 2019, is provided on pages 53–54 of our second quarter 2019 report and on pages 5253 of our first quarter 2019 report, both available under “Quarterly reporting” at www.ubs.com/investors.

 

8


 

Quarterly |

OV1: Overview of RWA

USD million

 

RWA

 

Minimum capital requirements1

 

 

30.6.19

31.3.19

31.12.18

 

30.6.19

1

Credit risk (excluding counterparty credit risk)

 

 114,991 

 118,419 

 112,991 

 

 9,199 

2

of which: standardized approach (SA)2

 

 28,287 

 28,971 

 25,972 

 

 2,263 

3

of which: foundation internal ratings-based (F-IRB) approach

 

 

 

 

 

 

4

of which: supervisory slotting approach

 

 

 

 

 

 

5

of which: advanced internal ratings-based (A-IRB) approach

 

 86,703 

 89,448 

 87,019 

 

 6,936 

6

Counterparty credit risk3

 

 37,487 

 36,793 

 34,282 

 

 2,999 

7

of which: SA for counterparty credit risk (SA-CCR)4

 

 5,793 

 5,183 

 5,415 

 

 463 

8

of which: internal model method (IMM)

 

 20,133 

 19,371 

 17,624 

 

 1,611 

8a

of which: value-at-risk (VaR)

 

 5,453 

 5,889 

 5,036 

 

 436 

9

of which: other CCR

 

 6,107 

 6,351 

 6,207 

 

 489 

10

Credit valuation adjustment (CVA)

 

 2,553 

 2,631 

 2,816 

 

 204 

11

Equity positions under the simple risk weight approach5

 

 3,302 

 3,960 

 3,658 

 

 264 

12

Equity investments in funds – look-through approach6

 

 

 

 

 

 

13

Equity investments in funds – mandate-based approach6

 

 

 

 

 

 

14

Equity investments in funds – fall-back approach6

 

 

 

 

 

 

15

Settlement risk

 

 415 

 384 

 375 

 

 33 

16

Securitization exposures in banking book

 

 664 

 703 

 709 

 

 53 

17

 of which securitization internal ratings-based approach (SEC-IRBA)

 

 

 

 

 

 

18

of which securitization external ratings-based approach (SEC-ERBA) including internal assessment approach (IAA)

 

 657 

 696 

 701 

 

 53 

19

of which securitization standardized approach (SEC-SA)

 

 7 

 7 

 8 

 

 1 

20

Market Risk

 

 10,977 

 12,985 

 19,992 

 

 878 

21

of which: standardized approach (SA)

 

 452 

 643 

 452 

 

 36 

22

of which: internal model approaches (IMA)

 

 10,526 

 12,343 

 19,541 

 

 842 

23

Capital charge for switch between trading book and banking book

 

 

 

 

 

 

24

Operational risk

 

 80,345 

 80,345 

 77,558 

 

 6,428 

25

Amounts below thresholds for deduction (250% risk weight)7

 

 11,402 

 11,335 

 11,365 

 

 912 

26

Floor adjustment8

 

 0 

 0 

 0 

 

 0 

27

Total

 

 262,135 

 267,556 

 263,747 

 

 20,971 

1 Calculated based on 8% of RWA.    2 Includes non-counterparty-related risk not subject to the threshold deduction treatment (30 June 2019: RWA USD 12,912 million; 31 March 2019: RWA USD 12,779 million; 31 December 2018: RWA USD 9,514 million). Non-counterparty-related risk (30 June 2019: RWA USD 8,853 million; 31 March 2019: RWA USD 8,747 million; 31 December 2018: RWA USD 8,782 million), which is subject to the threshold treatment, is reported in line 25 “Amounts below thresholds for deduction (250% risk weight).”    3 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. A new regulation for the calculation of RWA for exposure to central counterparties will be implemented by 1 January 2020. The split between the subcomponents of counterparty credit risk refers to the calculation of the exposure measure.    4 Calculated in accordance with the current exposure method (CEM), until SA-CCR is implemented by 1 January 2020.    5 Includes investments in funds. Items subject to threshold deduction treatments that do not exceed their respective threshold are risk weighted at 250% (30 June 2019: RWA USD 2,548 million; 31 March 2019: RWA USD 2,588 million; 31 December 2018: RWA USD 2,583 million) and are separately included in line 25 “Amounts below thresholds for deduction (250% risk weight).”    6 A new regulation for the calculation of RWA for investments in funds will be implemented by 1 January 2020.    7 Includes items subject to threshold deduction treatments that do not exceed their respective threshold and risk weighted at 250%. Items subject to threshold deduction treatments are significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences, both of which are measured against their respective threshold.    8 No floor effect, as 80% of our Basel I RWA including the RWA equivalent of the Basel I capital deductions do not exceed our Basel III RWA including the RWA equivalent of the Basel III capital deductions. For the status of the finalization of the Basel III capital framework, refer to the “Regulatory and legal developments” section of our Annual Report 2018, available under “Annual reporting” at www.ubs.com/investors, which outlines how the proposed floor calculation would differ in significant aspects from the current approach.

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9


UBS Group AG

The table below is provided on a voluntary basis to complement other disclosures provided, is aligned with the principles applied in the OV1 table shown above and presents the net exposure at default (EAD) and RWA by risk type and FINMA-defined asset class, which forms the basis for the calculation of RWA. These exposures are further subdivided into standardized approaches and advanced internal ratings-based (A-IRB) or model-based approaches. For credit risk, the classification defines the method used to derive the risk weight factors, through either internal ratings (A-IRB) or external ratings (standardized approach). The split between standardized approaches and A-IRB or model-based approaches for counterparty credit risk refers to the exposure measure, whereas the split in templates CCR3 and CCR4 refers to the risk-weighting approach. Market and operational risk RWA, excluding securitization and re-securitization in the trading book, are derived using model calculations and are therefore included in the model-based approach columns.

The table below provides references to sections in this report containing more information about the specific topics.

 

 

Regulatory exposures and risk-weighted assets

30.6.19

 

 

A-IRB / model-based approaches

 

Standardized approaches2

 

Total

USD million

 

Net EAD

RWA

Section or table reference

 

Net EAD

RWA

Section or table reference

 

Net EAD

RWA

Credit risk (excluding counterparty credit risk)

 

 529,925 

 86,703 

 3 

 

 49,922 

 28,287 

 3 

 

 579,847 

 114,991 

Central governments and central banks

 

 140,098 

 3,064 

CR6, CR7

 

 11,017 

 885 

CR4, CR5

 

 151,115 

 3,949 

Banks and securities dealers

 

 15,953 

 4,762 

CR6, CR7

 

 5,132 

 1,172 

CR4, CR5

 

 21,086 

 5,934 

Public-sector entities, multilateral development banks

 

 6,822 

 817 

CR6, CR7

 

 949 

 278 

CR4, CR5

 

 7,771 

 1,095 

Corporates: specialized lending

 

 23,511 

 11,798 

CR6, CR7

 

 

 

CR4, CR5

 

 23,511 

 11,798 

Corporates: other lending

 

 52,992 

 29,669 

CR6, CR7

 

 6,080 

 4,864 

CR4, CR5

 

 59,073 

 34,533 

Central counterparties

 

 

 

 

 

 376 

 14 

 

 

 376 

 14 

Retail

 

 290,548 

 36,593 

CR6, CR7

 

 12,367 

 8,162 

CR4, CR5

 

 302,914 

 44,755 

Residential mortgages

 

 145,852 

 27,678 

 

 

 6,662 

 2,860 

 

 

 152,514 

 30,538 

Qualifying revolving retail exposures (QRRE) 

 

 1,836 

 647 

 

 

 

 

 

 

 1,836 

 647 

Other retail1

 

 142,860 

 8,269 

 

 

 5,705 

 5,302 

 

 

 148,565 

 13,571 

Non-counterparty-related risk

 

 

 

 

 

 14,001 

 12,912 

CR4, CR5

 

 14,001 

 12,912 

Property, equipment and software

 

 

 

 

 

 12,645 

 12,645 

 

 

 12,645 

 12,645 

Other

 

 

 

 

 

 1,356 

 267 

 

 

 1,356 

 267 

Counterparty credit risk2

 

 84,322 

 25,587 

 4 

 

 82,687 

 11,900 

 4 

 

 167,009 

 37,487 

Central governments and central banks

 

 7,144 

 747 

CCR3, CCR4

 

 3,460 

 106 

CCR3, CCR4

 

 10,604 

 853 

Banks and securities dealers

 

 17,067 

 5,077 

CCR3, CCR4

 

 3,014 

 835 

CCR3, CCR4

 

 20,081 

 5,911 

Public-sector entities, multilateral development banks

 

 1,839 

 345 

CCR3, CCR4

 

 504 

 23 

CCR3, CCR4

 

 2,344 

 368 

Corporates incl. specialized lending

 

 42,391 

 19,023 

CCR3, CCR4

 

 20,343 

 8,761 

CCR3, CCR4

 

 62,734 

 27,784 

Central counterparties

 

 15,881 

 396 

 

 

 49,149 

 1,621 

 

 

 65,031 

 2,017 

Retail

 

 

 

 

 

 6,216 

 554 

CCR3, CCR4

 

 6,216 

 554 

Credit valuation adjustment (CVA)

 

 

 1,106 

4, CCR2

 

 

 1,447 

4, CCR2

 

 

 2,553 

Equity positions in the banking book (CR)

 

 788 

 3,302 

3, CR10

 

 

 

 

 

 788 

 3,302 

Settlement risk

 

 30 

 74 

 

 

 167 

 340 

 

 

 197 

 415 

Securitization exposure in the banking book

 

 

 

 

 

 203 

 664 

 5 

 

 203 

 664 

Market risk

 

 

 10,526 

 6 

 

 720 

 452 

5, 6

 

 720 

 10,977 

Value-at-risk (VaR)

 

 

 1,439 

MR2

 

 

 

 

 

 

 1,439 

Stressed value-at risk (SVaR)

 

 

 3,448 

MR2

 

 

 

 

 

 

 3,448 

Add-on for risks-not-in-VaR (RniV)

 

 

 4,114 

MR2

 

 

 

 

 

 

 4,114 

Incremental risk charge (IRC)

 

 

 1,524 

MR2

 

 

 

 

 

 

 1,524 

Comprehensive risk measure (CRM)3

 

 

 

 

 

 

 

 

 

 

 0 

Securitization / re-securitization in the trading book

 

 

 

 

 

 720 

 452 

MR1

 

 720 

 452 

Operational risk

 

 

 80,345 

 

 

 

 

 

 

 

 80,345 

Amounts below thresholds for deduction (250% risk weight)

 

 1,019 

 2,548 

 

 

 3,541 

 8,853 

 

 

 4,560 

 11,402 

Deferred tax assets

 

 

 

 

 

 3,541 

 8,853 

 

 

 3,541 

 8,853 

Significant investments in non-consolidated financial institutions

 

 1,019 

 2,548 

 

 

 

 

 

 

 1,019 

 2,548 

Total

 

 616,084 

 210,191 

 

 

 137,240 

 51,944 

 

 

 753,324 

 262,135 

 

10


 

Regulatory exposures and risk-weighted assets (continued)

31.12.18

 

 

A-IRB / model-based approaches

 

Standardized approaches2

 

Total

USD million

 

Net EAD

RWA

Section or table reference

 

Net EAD

RWA

Section or table reference

 

Net EAD

RWA

Credit risk (excluding counterparty credit risk)

 

 533,587 

 87,019 

 3 

 

 56,467 

 25,972 

 3 

 

 590,054 

 112,990 

Central governments and central banks

 

 139,632 

 2,537 

CR6, CR7

 

 17,854 

 748 

CR4, CR5

 

 157,485 

 3,285 

Banks and securities dealers

 

 15,454 

 5,272 

CR6, CR7

 

 7,456 

 1,842 

CR4, CR5

 

 22,910 

 7,114 

Public-sector entities, multilateral development banks

 

 8,093 

 769 

CR6, CR7

 

 1,232 

 349 

CR4, CR5

 

 9,324 

 1,118 

Corporates: specialized lending

 

 22,858 

 12,156 

CR6, CR7

 

 

 

CR4, CR5

 

 22,858 

 12,156 

Corporates: other lending

 

 60,639 

 30,588 

CR6, CR7

 

 6,467 

 5,010 

CR4, CR5

 

 67,106 

 35,599 

Central counterparties

 

 

 

 

 

 284 

 27 

 

 

 284 

 27 

Retail

 

 286,912 

 35,697 

CR6, CR7

 

 12,650 

 8,481 

CR4, CR5

 

 299,562 

 44,178 

Residential mortgages

 

 142,413 

 26,696 

 

 

 6,685 

 2,884 

 

 

 149,098 

 29,580 

Qualifying revolving retail exposures (QRRE) 

 

 1,772 

 624 

 

 

 

 

 

 

 1,772 

 624 

Other retail1

 

 142,726 

 8,377 

 

 

 5,966 

 5,597 

 

 

 148,692 

 13,974 

Non-counterparty-related risk

 

 

 

 

 

 10,524 

 9,514 

CR4, CR5

 

 10,524 

 9,514 

Property, equipment and software

 

 

 

 

 

 9,305 

 9,305 

 

 

 9,305 

 9,305 

Other

 

 

 

 

 

 1,219 

 209 

 

 

 1,219 

 209 

Counterparty credit risk2

 

 83,202 

 22,660 

 4 

 

 85,179 

 11,622 

 4 

 

 168,381 

 34,282 

Central governments and central banks

 

 6,068 

 693 

CCR3, CCR4

 

 2,997 

 353 

CCR3, CCR4

 

 9,065 

 1,046 

Banks and securities dealers

 

 16,843 

 5,118 

CCR3, CCR4

 

 3,166 

 955 

CCR3, CCR4

 

 20,009 

 6,073 

Public-sector entities, multilateral development banks

 

 1,988 

 249 

CCR3, CCR4

 

 670 

 39 

CCR3, CCR4

 

 2,658 

 288 

Corporates incl. specialized lending

 

 41,673 

 16,253 

CCR3, CCR4

 

 16,850 

 7,849 

CCR3, CCR4

 

 58,522 

 24,102 

Central counterparties

 

 16,630 

 346 

 

 

 51,139 

 1,795 

 

 

 67,769 

 2,142 

Retail

 

 

 

 

 

 10,358 

 631 

CCR3, CCR4

 

 10,358 

 631 

Credit valuation adjustment (CVA)

 

 

 1,479 

4, CCR2

 

 

 1,338 

4, CCR2

 

 

 2,816 

Equity positions in the banking book (CR)

 

 879 

 3,658 

3, CR10

 

 

 

 

 

 879 

 3,658 

Settlement risk

 

 58 

 89 

 

 

 222 

 285 

 

 

 280 

 375 

Securitization exposure in the banking book

 

 

 

 

 

 213 

 709 

 5 

 

 213 

 709 

Market risk

 

 

 19,541 

 6 

 

 500 

 452 

5, 6

 

 500 

 19,992 

Value-at-risk (VaR)

 

 

 2,454 

MR2

 

 

 

 

 

 

 2,454 

Stressed value-at risk (SVaR)

 

 

 5,866 

MR2

 

 

 

 

 

 

 5,866 

Add-on for risks-not-in-VaR (RniV)

 

 

 8,915 

MR2

 

 

 

 

 

 

 8,915 

Incremental risk charge (IRC)

 

 

 2,299 

MR2

 

 

 

 

 

 

 2,299 

Comprehensive risk measure (CRM)

 

 

 7 

 

 

 

 

 

 

 

 7 

Securitization / re-securitization in the trading book

 

 

 

 

 

 500 

 452 

MR1

 

 500 

 452 

Operational risk

 

 

 77,558 

 

 

 

 

 

 

 

 77,558 

Amounts below thresholds for deduction (250% risk weight)

 

 975 

 2,583 

 

 

 3,513 

 8,782 

 

 

 4,487 

 11,365 

Deferred tax assets

 

 

 

 

 

 3,513 

 8,782 

 

 

 3,513 

 8,782 

Significant investments in non-consolidated financial institutions

 

 975 

 2,583 

 

 

 

 

 

 

 975 

 2,583 

Total

 

 618,701 

 214,587 

 

 

 146,094 

 49,159 

 

 

 764,795 

 263,747 

1 Consists primarily of Lombard lending, which represents loans made against the pledge of eligible marketable securities or cash, as well as exposures to small businesses, private clients and other retail customers without mortgage financing.    2 The split between A-IRB / model-based approaches and standardized approaches for counterparty credit risk refers to the exposure measure, whereas the split in CCR3 and CCR4 refers to the risk weight approach. As of 30 June 2019, USD 95,241 million of EAD (31 December 2018: USD 93,933 million) was subject to the A-IRB approach, and USD 6,737 million of EAD (31 December 2018: USD 6,679 million) was subject to the standardized approach.    3 As of 30 June 2019, the CRM-based capital requirement is not applicable to us, as we no longer held eligible correlation trading positions.

11


UBS Group AG

 

Section 3  Credit risk

Introduction

This section provides information about the exposures subject to the Basel III credit risk framework, as presented in the “Regulatory exposures and risk-weighted assets” table on pages 10–11  of this report. Information about counterparty credit risk is reflected in the “Counterparty credit risk” section on pages 2430 of this report. Securitization positions are reported in the “Securitizations” section on pages 31–35  of this report.

The tables in this section provide details regarding the exposures used to determine the firm’s credit risk-related regulatory capital requirements. The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by
regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section may therefore differ from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the measure of credit risk exposure for regulatory capital also differs from how it is defined under International Financial Reporting Standards (IFRS).

For information about credit risk exposure categories, credit risk management and credit risk mitigation, refer to pages 23–24, 27, 30 and 31–33 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors

 

12


 

Credit quality of assets

Semiannual | The CR1 table below provides a breakdown of loans, debt securities and off-balance sheet exposures into defaulted and non-defaulted exposures. It was revised to additionally include the split of ECL accounting provisions based on the standardized approach and internal ratings-based approach. The CR2 table illustrates changes in stock of defaulted loans, debt securities and off-balance sheet exposures for the first half year of 2019.


For information about the definitions of default and credit-impaired, refer to page 152 of our Annual Report 2018, which is available under “Annual reporting” at www.ubs.com/investors. 

More information about the credit risk mitigation techniques related to the defaulted loans and debt securities is provided in the CR3 table on the following page.

 

 

Semiannual |

CR1: Credit quality of assets

 

 

 

 

 

 

 

 

Gross carrying values of:

 

Allowances / impairments

 

Of which: ECL accounting provisions for credit losses on SA exposures

 

Of which: ECL accounting provisions for credit losses on IRB exposures

(Stage 1, 2, 3)

 

Net values

USD million

 

Defaulted exposures1

Non-defaulted exposures

 

 

Allocated in regulatory category of Specific

(Stage 3 credit-impaired)

Allocated in regulatory category of General

(Stage 1 & 2)

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

 

1

Loans2

 

 2,703 

 446,046 

 

 (902)3

 

 (148) 

 (56) 

 

 (698) 

 

 447,847 

2

Debt securities

 

 

 67,788 

 

 

 

 

 

 

 

 

 67,788 

3

Off-balance sheet exposures

 

 285 

 332,449 

 

 (122) 

 

 (1) 

 (3) 

 

 (118) 

 

 332,612 

4

Total

 

 2,988 

 846,283 

 

 (1,024)3

 

 (149) 

 (60) 

 

 (815) 

 

 848,247 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

1

Loans2

 

 2,886 

 460,119 

 

 (931)3

 

 (124) 

 (58) 

 

 (750) 

 

 462,073 

2

Debt securities

 

 

 69,902 

 

 

 

 

 

 

 

 

 69,902 

3

Off-balance sheet exposures

 

 383 

 304,595 

 

 (116) 

 

 (1) 

 (1) 

 

 (114) 

 

 304,863 

4

Total

 

 3,269 

 834,616 

 

 (1,047)3

 

 (125) 

 (59) 

 

 (864) 

 

 836,838 

1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to Note 10 “Expected credit loss measurement“ of our second quarter 2019 report under “Quarterly reporting” at www.ubs.com/investors for more information about IFRS 9.    2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” on page 23 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors for more information about the classification of Loans and Debt securities.    3 Excludes ECL on exposures subject to counterparty credit risk (30 June 2019: USD 5 million; 31 December 2018: USD 4 million).

p

Semiannual |

CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures

 

USD million

For the half year ended 30.6.19

For the half year ended 31.12.18

1

Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year

 3,269 

 3,215 

2

Loans and debt securities that have defaulted since the last reporting period

 336 

 381 

3

Returned to non-defaulted status

 (205) 

 (56) 

4

Amounts written off

 (72) 

 (172) 

5

Other changes

 (341) 

 (99) 

6

Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year

 2,988 

 3,269 

 

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13


UBS Group AG

Credit risk mitigation

Semiannual | The table below provides a breakdown of loans and debt securities into unsecured and partially or fully secured exposures, with additional information about security type.

Total carrying amount of loans decreased by USD 14 billion to USD 448 billion in the first half of 2019. This was primarily driven by a decrease in cash and balances at central banks that are unsecured, mainly resulting from client-driven activity that affected funding consumption by the business divisions. In addition, certain collar financing transactions in the Investment Bank were excluded from the carrying amount of loans due to their non-credit bearing nature. The total carrying value of debt securities decreased by USD 2 billion to USD 68 billion, mainly in government bills and bonds in the Investment Bank.

 

Semiannual |

CR3: Credit risk mitigation techniques – overview

 

 

 

 

 

 

Secured portion of exposures partially or fully secured:

USD million

 

Exposures fully unsecured: carrying amount

Exposures partially or fully secured: carrying amount

Total: carrying amount

 

Exposures secured by collateral

Exposures secured by financial guarantees

Exposures secured by credit derivatives

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

1

Loans2

 

 134,317 

 313,530 

 447,847 

 

 302,665 

 1,174 

 36 

2

Debt securities

 

 67,788 

 

 67,788 

 

 

 

 

3

Total

 

 202,104 

 313,530 

 515,635 

 

 302,665 

 1,174 

 36 

4

of which: defaulted

 

 342 

 1,709 

 2,051 

 

 1,137 

 316 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

1

Loans2

 

 145,458 

 316,615 

 462,073 

 

 304,900 

 1,204 

 38 

2

Debt securities

 

 69,902 

 

 69,902 

 

 

 

 

3

Total

 

 215,360 

 316,615 

 531,975 

 

 304,900 

 1,204 

 38 

4

of which: defaulted

 

 412 

 1,815 

 2,227 

 

 1,215 

 320 

 

1 Exposures in this table represent carrying values in accordance with the regulatory scope of consolidation.    2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” on page 23 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors for more information about the classification of Loans and Debt securities.

p

 

 

14


 

Standardized approach – credit risk mitigation

Semiannual | The table below illustrates the effect of credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach.

 

Semiannual |

CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects

 

 

 

Exposures

before CCF and CRM1

 

Exposures

post CCF and CRM

 

RWA and RWA density

USD million, except where indicated

 

On-balance sheet amount

Off-balance sheet amount

Total

 

On-balance sheet amount

Off-balance sheet amount

Total

 

RWA

RWA density in %

 

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

Asset classes2

 

 

 

 

 

 

 

 

 

 

 

1

Central governments and central banks

 

 11,015 

 

 11,015 

 

 11,011 

 

 11,011 

 

 882 

 8.0 

2

Banks and securities dealers

 

 4,415 

 1,203 

 5,618 

 

 4,412 

 720 

 5,132 

 

 1,169 

 22.8 

3

Public-sector entities and multilateral development banks

 

 907 

 323 

 1,231 

 

 890 

 64 

 954 

 

 281 

 29.5 

4

Corporates

 

 5,975 

 4,177 

 10,151 

 

 5,892 

 565 

 6,457 

 

 4,880 

 75.6 

5

Retail

 

 12,428 

 4,364 

 16,792 

 

 12,235 

 131 

 12,367 

 

 8,162 

 66.0 

6

Equity

 

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 14,001 

 

 14,001 

 

 14,001 

 

 14,001 

 

 12,912 

 92.2 

8

Total

 

 48,741 

 10,067 

 58,808 

 

 48,442 

 1,481 

 49,922 

 

 28,287 

 56.7 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

Asset classes2

 

 

 

 

 

 

 

 

 

 

 

1

Central governments and central banks

 

 17,859 

 

 17,859 

 

 17,851 

 

 17,851 

 

 746 

 4.2 

2

Banks and securities dealers

 

 6,749 

 1,179 

 7,928 

 

 6,733 

 722 

 7,456 

 

 1,842 

 24.7 

3

Public-sector entities and multilateral development banks

 

 1,180 

 277 

 1,457 

 

 1,179 

 55 

 1,235 

 

 351 

 28.4 

4

Corporates

 

 6,146 

 4,523 

 10,669 

 

 6,087 

 722 

 6,810 

 

 5,058 

 74.3 

5

Retail

 

 12,786 

 4,230 

 17,016 

 

 12,437 

 155 

 12,592 

 

 8,461 

 67.2 

6

Equity

 

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 10,524 

 

 10,524 

 

 10,524 

 

 10,524 

 

 9,513 

 90.4 

8

Total

 

 55,244 

 10,208 

 65,452 

 

 54,812 

 1,655 

 56,467 

 

 25,972 

 46.0 

1 Exposures in this table represent carrying values in accordance with the regulatory scope of consolidation.    2 The CRM effect is reflected on the original asset class.

p

 

 

15


UBS Group AG

IRB approach – credit derivatives used as credit risk mitigation

Semiannual | The probability of default (PD) substitution is only applied in the RWA calculation when the PD of the hedge provider is lower than the PD of the obligor. In addition, default correlation between the obligor and hedge provider is taken into account through the double default approach. Credit derivatives with tranched cover or first-loss protection are recognized through the securitization framework. Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section on page 30 of this report for notional and fair value information about credit derivatives used as credit risk mitigation.

 

Semiannual |

CR7: IRB – effect on RWA of credit derivatives used as CRM techniques1

 

 

30.6.19

 

31.12.18

USD million

 

Pre-credit derivatives RWA

Actual RWA

 

Pre-credit derivatives RWA

Actual RWA

1

Central governments and central banks – FIRB

 

 

 

 

 

 

2

Central governments and central banks – AIRB

 

 3,034 

 3,033 

 

 2,502 

 2,500 

3

Banks and securities dealers – FIRB

 

 

 

 

 

 

4

Banks and securities dealers – AIRB

 

 4,755 

 4,755 

 

 5,240 

 5,240 

5

Public-sector entities, multilateral development banks – FIRB

 

 

 

 

 

 

6

Public-sector entities, multilateral development banks – AIRB

 

 823 

 823 

 

 798 

 798 

7

Corporates: Specialized lending – FIRB

 

 

 

 

 

 

8

Corporates: Specialized lending – AIRB

 

 11,835 

 11,835 

 

 12,172 

 12,172 

9

Corporates: Other lending – FIRB

 

 

 

 

 

 

10

Corporates: Other lending – AIRB

 

 30,039 

 29,794 

 

 31,083 

 30,612 

11

Retail: mortgage loans

 

 27,666 

 27,666 

 

 26,696 

 26,696 

12

Retail exposures: qualifying revolving retail (QRRE)

 

 647 

 647 

 

 624 

 624 

13

Retail: other

 

 8,151 

 8,151 

 

 8,377 

 8,377 

14

Equity positions (PD/LGD approach)

 

 

 

 

 

 

15

Total

 

 86,950 

 86,703 

 

 87,493 

 87,019 

1 The CRM effect is reflected on the original asset class.

p

 

 

16


 

Credit risk under the standardized approach

Semiannual | The standardized approach is generally applied where it is not possible to use the A-IRB approach. The table below illustrates the exposures by asset classes and the risk weights applied.

 

Semiannual |

CR5: Standardized approach – exposures by asset classes and risk weights

USD million

 

 

 

 

 

 

 

 

 

 

 

Risk weight

 

0%

10%

20%

35%

50%

75%

100%

150%

Others

Total credit exposures amount (post CCF and CRM)

 

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

1

Central governments and central banks

 

 9,924 

 

 226 

 

 53 

 

 813 

 

 

 11,017 

2

Banks and securities dealers

 

 

 

 4,655 

 

 471 

 

 6 

 

 

 5,132 

3

Public-sector entities and multilateral development banks

 

 161 

 

 528 

 

 174 

 

 85 

 

 

 949 

4

Corporates

 

 

 

 1,826 

 

 147 

 185 

 4,297 

 2 

 

 6,457 

5

Retail

 

 

 

 

 5,805 

 36 

 1,763 

 4,707 

 55 

 

 12,367 

6

Equity

 

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 1,089 

 

 

 

 

 

 12,912 

 

 

 14,001 

8

Total

 

 11,174 

 

 7,235 

 5,805 

 881 

 1,948 

 22,821 

 58 

 

 49,922 

9

of which: mortgage loans

 

 

 

 

 5,805 

 

 115 

 742 

 

 

 6,662 

10

of which: past due1

 

 

 

 

 

 

 

 86 

 

 

 86 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

1

Central governments and central banks

 

 17,061 

 

 42 

 

 24 

 

 727 

 

 

 17,854 

2

Banks and securities dealers

 

 

 

 6,259 

 

 1,192 

 

 4 

 0 

 

 7,456 

3

Public-sector entities and multilateral development banks

 

 101 

 

 771 

 

 330 

 

 30 

 0 

 

 1,232 

4

Corporates

 

 

 

 1,961 

 

 138 

 266 

 4,385 

 2 

 

 6,751 

5

Retail

 

 

 

 

 5,809 

 

 1,811 

 4,910 

 120 

 

 12,650 

6

Equity

 

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 1,010 

 

 

 

 

 

 9,513 

 

 

 10,524 

8

Total

 

 18,172 

 

 9,033 

 5,809 

 1,684 

 2,077 

 19,570 

 122 

 

 56,467 

9

of which: mortgage loans

 

 

 

 

 5,809 

 

 97 

 778 

 

 

 6,685 

10

of which: past due1

 

 

 

 

 

 

 

 112 

 

 

 112 

1 Includes mortgage loans.

p

 

Credit risk under internal ratings-based approaches

Semiannual | The tables in this sub-section provide information about credit risk exposures under the A-IRB approach, including the main parameters used in A-IRB models for the calculation of capital requirements, presented by portfolio and PD range.

Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the PD, loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The proportion of EAD covered by either the standardized or the
A-IRB approach is provided in the “Regulatory exposures and risk-weighted assets” table on pages 10–11 of this report.

The CR6 table on the following pages provides a breakdown of the key parameters used for the calculation of capital requirements under the A-IRB approach, shown by PD range across FINMA-defined asset classes.

As of 30 June 2019, exposures before the application of the credit conversion factors (CCFs) increased by USD 6 billion to
USD 780 billion. Off-balance sheet exposures increased on a net basis by USD 10 billion, almost entirely in Global Wealth Management, due to a business-driven increase in unutilized credit lines in the asset class "Retail: other retail". On-balance sheet exposures decreased on a net basis by USD 4 billion, mainly relating to the Investment Bank in the asset class "Corporates: other lending", predominantly driven by the exclusion of certain collar financing transactions in the amount of USD 8 billion due to their non-credit bearing nature. This decrease was partly offset by increases in the asset class "Residential mortgages' in Global Wealth Management and Personal & Corporate Banking.

Information about credit risk risk-weighted assets (RWA) for the first quarter of 2019, including details of movements in RWA, is provided on pages 9–10 of our 31 March 2019 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors  and for the second quarter of 2019 on page 23 of this report.

 

  

17


UBS Group AG

Semiannual |  

CR6: IRB – Credit risk exposures by portfolio and PD range

 

 

 

 

 

 

 

 

USD million, except where indicated

 

Original on-balance sheet gross exposure

Off-balance sheet exposures pre-CCF

Total exposures pre-CCF

Average CCF in %

EAD post-CCF and post-CRM

Average PD in %

Number of obligors (in thousands)

Average LGD in %

Average maturity in years

RWA

RWA density in %

EL

Provisions1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Central governments and central banks as of 30.6.19

 

 

0.00 to <0.15

 

 139,976 

 187 

 140,163 

 50.6 

 140,066 

 0.0 

 0.1 

 41.1 

 1.0 

 3,030 

 2.2 

 4 

 

0.15 to <0.25

 

 0 

 0 

 0 

 0.0 

 0 

 0.2 

<0.1

 64.1 

 1.0 

 0 

 40.6 

 0 

 

0.25 to <0.50

 

 1 

 0 

 1 

 0.0 

 1 

 0.3 

<0.1

 54.5 

 1.0 

 1 

 53.7 

 0 

 

0.50 to <0.75

 

 5 

 0 

 5