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 

 0.0 

 5 

 0.7 

<0.1

 52.9 

 1.1 

 4 

 77.5 

 0 

 

0.75 to <2.50

 

 1 

 0 

 1 

 55.0 

 1 

 1.1 

<0.1

 37.3 

 2.7 

 1 

 101.6 

 0 

 

2.50 to <10.00

 

 0 

 4 

 4 

 56.3 

 2 

 3.6 

<0.1

 56.4 

 2.4 

 4 

 166.2 

 0 

 

10.00 to <100.00

 

 0 

 0 

 0 

 9.8 

 0 

 13.9 

<0.1

 44.9 

 1.0 

 0 

 211.4 

 0 

 

100.00 (default)

 

 13 

 37 

 51 

 55.0 

 23 

 100.0 

<0.1

 

 

 25 

 106.0 

 10 

 

Subtotal

 

 139,996 

 228 

 140,224 

 51.4 

 140,098 

 0.0 

 0.1 

 41.1 

 1.0 

 3,064 

 2.2 

 14 

 12 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Central governments and central banks as of 31.12.18

 

 

0.00 to <0.15

 

 139,551 

 19 

 139,570 

 46.7 

 139,558 

 0.0 

 0.1 

 29.1 

 1.0 

 2,474 

 1.8 

 3 

 

0.15 to <0.25

 

 0 

 0 

 0 

 0.0 

 0 

 0.2 

<0.1

 55.2 

 1.0 

 0 

 34.7 

 0 

 

0.25 to <0.50

 

 3 

 0 

 3 

 9.8 

 3 

 0.3 

<0.1

 54.9 

 1.0 

 1 

 54.2 

 0 

 

0.50 to <0.75

 

 9 

 0 

 9 

 0.0 

 9 

 0.7 

<0.1

 97.9 

 1.1 

 13 

 143.1 

 0 

 

0.75 to <2.50

 

 2 

 0 

 2 

 55.0 

 1 

 1.0 

<0.1

 38.3 

 2.6 

 1 

 101.5 

 0 

 

2.50 to <10.00

 

 4 

 12 

 15 

 52.1 

 10 

 3.6 

<0.1

 54.3 

 2.7 

 16 

 162.2 

 0 

 

10.00 to <100.00

 

 28 

 0 

 28 

 9.8 

 28 

 13.9 

<0.1

 5.0 

 1.0 

 8 

 27.1 

 0 

 

100.00 (default)

 

 13 

 37 

 50 

 55.0 

 23 

 100.0 

<0.1

 

 

 25 

 106.0 

 10 

 

Subtotal

 

 139,609 

 68 

 139,676 

 52.2 

 139,632 

 0.0 

 0.2 

 29.1 

 1.0 

 2,537 

 1.8 

 14 

 11 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banks and securities dealers as of 30.6.19

 

 

0.00 to <0.15

 

 12,528 

 1,769 

 14,296 

 53.9 

 13,516 

 0.0 

 0.5 

 41.7 

 1.1 

 2,355 

 17.4 

 6 

 

0.15 to <0.25

 

 836 

 545 

 1,381 

 39.1 

 670 

 0.2 

 0.3 

 54.9 

 1.3 

 345 

 51.5 

 1 

 

0.25 to <0.50

 

 559 

 452 

 1,011 

 49.4 

 663 

 0.4 

 0.2 

 62.1 

 1.0 

 541 

 81.6 

 2 

 

0.50 to <0.75

 

 316 

 206 

 522 

 40.7 

 354 

 0.6 

 0.1 

 51.3 

 1.1 

 307 

 86.7 

 1 

 

0.75 to <2.50

 

 539 

 268 

 807 

 27.7 

 484 

 1.4 

 0.2 

 61.5 

 0.9 

 724 

 149.5 

 4 

 

2.50 to <10.00

 

 244 

 269 

 513 

 43.4 

 264 

 5.1 

 0.2 

 51.4 

 1.0 

 488 

 184.7 

 6 

 

10.00 to <100.00

 

 0 

 4 

 4 

 29.5 

 1 

 17.0 

<0.1

 12.2 

 1.2 

 1 

 67.9 

 0 

 

100.00 (default)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Subtotal

 

 15,022 

 3,513 

 18,535 

 47.4 

 15,953 

 0.2 

 1.5 

 44.1 

 1.1 

 4,762 

 29.8 

 20 

 8 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banks and securities dealers as of 31.12.18

 

 

0.00 to <0.15

 

 11,855 

 1,805 

 13,659 

 54.1 

 12,639 

 0.1 

 0.5 

 43.0 

 1.1 

 2,433 

 19.2 

 4 

 

0.15 to <0.25

 

 1,011 

 458 

 1,469 

 45.8 

 793 

 0.2 

 0.3 

 49.3 

 1.3 

 364 

 45.9 

 1 

 

0.25 to <0.50

 

 454 

 391 

 845 

 51.9 

 570 

 0.4 

 0.2 

 61.8 

 1.1 

 455 

 79.8 

 1 

 

0.50 to <0.75

 

 167 

 263 

 430 

 42.4 

 221 

 0.6 

 0.1 

 62.9 

 1.1 

 243 

 110.0 

 1 

 

0.75 to <2.50

 

 974 

 304 

 1,278 

 45.9 

 866 

 1.7 

 0.2 

 48.3 

 1.4 

 1,098 

 126.8 

 7 

 

2.50 to <10.00

 

 320 

 388 

 708 

 44.6 

 363 

 4.7 

 0.2 

 52.5 

 1.0 

 674 

 185.5 

 9 

 

10.00 to <100.00

 

 0 

 12 

 12 

 28.0 

 3 

 15.9 

<0.1

 32.5 

 1.0 

 5 

 165.1 

 0 

 

100.00 (default)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Subtotal

 

 14,780 

 3,621 

 18,401 

 50.0 

 15,454 

 0.3 

 1.5 

 44.8 

 1.1 

 5,272 

 34.1 

 22 

 7 

 

18


 

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

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public-sector entities, multilateral development banks as of 30.6.19

 

 

0.00 to <0.15

 

 5,615 

 918 

 6,533 

 19.1 

 5,808 

 0.0 

 0.4 

 35.6 

 1.2 

 514 

 8.9 

 1 

 

0.15 to <0.25

 

 308 

 165 

 473 

 12.5 

 328 

 0.2 

 0.2 

 31.1 

 2.6 

 87 

 26.4 

 0 

 

0.25 to <0.50

 

 559 

 336 

 896 

 22.0 

 633 

 0.3 

 0.2 

 26.6 

 2.6 

 192 

 30.4 

 1 

 

0.50 to <0.75

 

 36 

 3 

 39 

 14.0 

 37 

 0.6 

<0.1

 28.8 

 3.1 

 18 

 48.5 

 0 

 

0.75 to <2.50

 

 1 

 3 

 3 

 96.9 

 3 

 1.0 

<0.1

 11.3 

 1.1 

 1 

 18.7 

 0 

 

2.50 to <10.00

 

 26 

 14 

 40 

 54.9 

 9 

 2.9 

<0.1

 5.5 

 5.0 

 1 

 16.1 

 0 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 4 

 0 

 4 

 0.0 

 4 

 100.0 

<0.1

 

 

 4 

 106.0 

 0 

 

Subtotal

 

 6,549 

 1,439 

 7,988 

 19.5 

 6,822 

 0.1 

 0.8 

 34.4 

 1.4 

 817 

 12.0 

 1 

 1 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public-sector entities, multilateral development banks as of 31.12.18

 

 

0.00 to <0.15

 

 6,816 

 909 

 7,725 

 19.2 

 6,990 

 0.0 

 0.4 

 37.2 

 1.1 

 433 

 6.2 

 1 

 

0.15 to <0.25

 

 350 

 221 

 571 

 12.0 

 377 

 0.2 

 0.2 

 29.9 

 2.6 

 99 

 26.4 

 0 

 

0.25 to <0.50

 

 581 

 332 

 913 

 24.3 

 662 

 0.3 

 0.2 

 27.4 

 2.7 

 210 

 31.7 

 1 

 

0.50 to <0.75

 

 44 

 1 

 44 

 27.6 

 44 

 0.6 

<0.1

 31.7 

 3.0 

 23 

 51.9 

 0 

 

0.75 to <2.50

 

 1 

 3 

 5 

 90.4 

 4 

 1.1 

<0.1

 17.8 

 1.1 

 1 

 28.1 

 0 

 

2.50 to <10.00

 

 5 

 20 

 25 

 53.3 

 16 

 2.8 

<0.1

 5.5 

 4.9 

 3 

 17.0 

 0 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Subtotal

 

 7,797 

 1,487 

 9,284 

 19.9 

 8,093 

 0.1 

 0.8 

 36.0 

 1.3 

 769 

 9.5 

 2 

 1 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporates: specialized lending as of 30.6.19

 

 

0.00 to <0.15

 

 2,122 

 540 

 2,662 

 68.2 

 2,490 

 0.1 

 0.5 

 12.9 

 2.1 

 168 

 6.8 

 0 

 

0.15 to <0.25

 

 1,027 

 180 

 1,207 

 79.9 

 1,171 

 0.2 

 0.3 

 17.7 

 2.0 

 197 

 16.8 

 0 

 

0.25 to <0.50

 

 3,709 

 2,145 

 5,854 

 32.3 

 4,365 

 0.4 

 0.6 

 27.8 

 1.9 

 1,435 

 32.9 

 4 

 

0.50 to <0.75

 

 4,605 

 3,061 

 7,667 

 28.8 

 5,427 

 0.6 

 0.6 

 30.8 

 1.6 

 2,568 

 47.3 

 11 

 

0.75 to <2.50

 

 7,814 

 2,534 

 10,348 

 36.9 

 8,749 

 1.4 

 1.5 

 32.6 

 1.6 

 5,972 

 68.3 

 39 

 

2.50 to <10.00

 

 1,089 

 246 

 1,336 

 56.0 

 1,226 

 3.4 

 0.3 

 39.5 

 1.5 

 1,371 

 111.8 

 16 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 177 

 13 

 190 

 18.9 

 82 

 100.0 

 0.1 

 

 

 87 

 106.0 

 97 

 

Subtotal

 

 20,544 

 8,720 

 29,264 

 36.3 

 23,511 

 1.3 

 3.8 

 28.9 

 1.7 

 11,798 

 50.2 

 169 

 113 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporates: specialized lending as of 31.12.18

 

 

0.00 to <0.15

 

 1,853 

 327 

 2,180 

 71.4 

 2,087 

 0.1 

 0.4 

 13.5 

 1.9 

 137 

 6.6 

 0 

 

0.15 to <0.25

 

 994 

 161 

 1,155 

 77.4 

 1,118 

 0.2 

 0.3 

 18.3 

 1.9 

 190 

 17.0 

 0 

 

0.25 to <0.50

 

 3,712 

 2,006 

 5,718 

 40.3 

 4,496 

 0.4 

 0.6 

 30.9 

 1.8 

 1,627 

 36.2 

 5 

 

0.50 to <0.75

 

 4,446 

 2,875 

 7,321 

 34.0 

 5,360 

 0.6 

 0.6 

 32.1 

 1.6 

 2,643 

 49.3 

 11 

 

0.75 to <2.50

 

 7,379 

 2,467 

 9,846 

 36.0 

 8,266 

 1.3 

 1.5 

 33.7 

 1.6 

 5,819 

 70.4 

 38 

 

2.50 to <10.00

 

 1,195 

 289 

 1,483 

 64.4 

 1,381 

 3.3 

 0.4 

 40.5 

 1.7 

 1,581 

 114.5 

 18 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 232 

 46 

 278 

 53.5 

 150 

 100.0 

 0.1 

 

 

 159 

 106.0 

 107 

 

Subtotal

 

 19,810 

 8,171 

 27,981 

 39.7 

 22,858 

 1.6 

 3.8 

 30.6 

 1.7 

 12,156 

 53.2 

 180 

 121 

 

19


UBS Group AG

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

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporates: other lending as of 30.6.19

 

 

0.00 to <0.15

 

 15,564 

 20,154 

 35,718 

 37.6 

 18,265 

 0.0 

 3.9 

 37.9 

 1.7 

 3,777 

 20.7 

 25 

 

0.15 to <0.25

 

 4,176 

 5,345 

 9,521 

 39.3 

 5,573 

 0.2 

 1.7 

 34.0 

 2.4 

 2,173 

 39.0 

 3 

 

0.25 to <0.50

 

 3,207 

 4,024 

 7,231 

 39.8 

 4,776 

 0.4 

 2.5 

 34.4 

 2.3 

 2,626 

 55.0 

 6 

 

0.50 to <0.75

 

 3,733 

 2,418 

 6,151 

 40.4 

 4,814 

 0.6 

 2.6 

 33.6 

 1.9 

 2,959 

 61.5 

 10 

 

0.75 to <2.50

 

 8,838 

 5,029 

 13,867 

 44.4 

 11,167 

 1.4 

 11.2 

 29.3 

 2.1 

 7,502 

 67.2 

 44 

 

2.50 to <10.00

 

 4,015 

 7,707 

 11,722 

 40.0 

 7,107 

 4.0 

 4.8 

 31.3 

 2.3 

 9,301 

 130.9 

 87 

 

10.00 to <100.00

 

 259 

 326 

 584 

 55.5 

 439 

 15.5 

 0.1 

 14.7 

 1.8 

 434 

 98.8 

 8 

 

100.00 (default)

 

 1,074 

 186 

 1,260 

 42.5 

 851 

 100.0 

 0.7 

 

 

 898 

 106.0 

 376 

 

Subtotal

 

 40,865 

 45,188 

 86,054 

 39.5 

 52,992 

 2.7 

 27.4 

 33.9 

 2.0 

 29,669 

 56.0 

 560 

 521 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporates: other lending as of 31.12.18

 

 

0.00 to <0.15

 

 18,566 

 21,196 

 39,763 

 37.4 

 20,917 

 0.0 

 3.9 

 36.7 

 1.8 

 5,157 

 24.7 

 8 

 

0.15 to <0.25

 

 4,347 

 6,500 

 10,847 

 37.4 

 6,099 

 0.2 

 1.6 

 33.4 

 2.4 

 2,417 

 39.6 

 4 

 

0.25 to <0.50

 

 3,604 

 4,593 

 8,197 

 40.3 

 5,328 

 0.4 

 2.5 

 30.2 

 2.2 

 2,612 

 49.0 

 6 

 

0.50 to <0.75

 

 3,111 

 2,516 

 5,627 

 43.6 

 4,204 

 0.6 

 2.6 

 37.8 

 1.8 

 2,906 

 69.1 

 10 

 

0.75 to <2.50

 

 7,481 

 6,155 

 13,637 

 41.2 

 10,142 

 1.4 

 11.4 

 26.4 

 2.3 

 5,980 

 59.0 

 38 

 

2.50 to <10.00

 

 9,116 

 7,861 

 16,977 

 39.3 

 12,321 

 3.4 

 4.8 

 18.1 

 2.2 

 9,783 

 79.4 

 85 

 

10.00 to <100.00

 

 297 

 285 

 582 

 52.8 

 449 

 15.3 

 0.1 

 16.7 

 2.0 

 484 

 107.8 

 9 

 

100.00 (default)

 

 1,385 

 409 

 1,794 

 41.5 

 1,178 

 100.0 

 0.7 

 

 

 1,249 

 106.0 

 385 

 

Subtotal

 

 47,908 

 49,516 

 97,424 

 38.9 

 60,639 

 3.1 

 27.5 

 30.1 

 2.1 

 30,588 

 50.4 

 546 

 533 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: residential mortgages as of 30.6.19

 

 

0.00 to <0.15

 

 63,360 

 1,448 

 64,808 

 58.1 

 64,200 

 0.1 

 129.9 

 19.0 

 

 2,602 

 4.1 

 11 

 

0.15 to <0.25

 

 13,740 

 307 

 14,047 

 71.8 

 13,961 

 0.2 

 21.0 

 22.9 

 

 1,260 

 9.0 

 6 

 

0.25 to <0.50

 

 21,020 

 549 

 21,569 

 76.4 

 21,439 

 0.4 

 28.2 

 23.8 

 

 3,150 

 14.7 

 18 

 

0.50 to <0.75

 

 13,774 

 396 

 14,170 

 82.2 

 14,100 

 0.6 

 15.7 

 24.3 

 

 3,236 

 22.9 

 22 

 

0.75 to <2.50

 

 21,465 

 1,350 

 22,815 

 74.3 

 22,468 

 1.3 

 28.1 

 27.6 

 

 9,574 

 42.6 

 84 

 

2.50 to <10.00

 

 7,816 

 312 

 8,128 

 80.2 

 8,066 

 4.4 

 9.8 

 24.4 

 

 5,947 

 73.7 

 85 

 

10.00 to <100.00

 

 882 

 22 

 904 

 84.2 

 901 

 15.6 

 1.2 

 24.4 

 

 1,148 

 127.4 

 34 

 

100.00 (default)

 

 739 

 7 

 746 

 38.9 

 717 

 100.0 

 1.1 

 

 

 760 

 106.0 

 24 

 

Subtotal

 

 142,796 

 4,392 

 147,188 

 70.1 

 145,852 

 1.2 

 235.0 

 22.3 

 

 27,678 

 19.0 

 283 

 123 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: residential mortgages as of 31.12.18

 

 

0.00 to <0.15

 

 62,193 

 1,272 

 63,465 

 56.8 

 62,916 

 0.1 

 129.5 

 19.4 

 

 2,460 

 3.9 

 10 

 

0.15 to <0.25

 

 13,409 

 229 

 13,638 

 69.0 

 13,567 

 0.2 

 20.7 

 23.3 

 

 1,186 

 8.7 

 6 

 

0.25 to <0.50

 

 20,155 

 479 

 20,634 

 81.1 

 20,544 

 0.4 

 27.8 

 24.2 

 

 2,955 

 14.4 

 18 

 

0.50 to <0.75

 

 13,276 

 425 

 13,701 

 87.8 

 13,649 

 0.6 

 15.4 

 24.5 

 

 3,063 

 22.4 

 21 

 

0.75 to <2.50

 

 21,252 

 1,318 

 22,570 

 77.9 

 22,278 

 1.3 

 27.1 

 28.3 

 

 9,433 

 42.3 

 85 

 

2.50 to <10.00

 

 7,608 

 260 

 7,868 

 83.5 

 7,825 

 4.3 

 10.2 

 25.1 

 

 5,715 

 73.0 

 85 

 

10.00 to <100.00

 

 912 

 25 

 937 

 84.2 

 933 

 15.3 

 1.2 

 24.4 

 

 1,140 

 122.2 

 35 

 

100.00 (default)

 

 723 

 5 

 729 

 68.8 

 702 

 100.0 

 1.1 

 

 

 744 

 106.0 

 25 

 

Subtotal

 

 139,529 

 4,013 

 143,542 

 72.5 

 142,413 

 1.2 

 232.8 

 22.7 

 

 26,696 

 18.7 

 286 

 151 

 

20


 

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

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: qualifying revolving retail exposures (QRRE) as of 30.6.192

 

 

0.00 to <0.15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.15 to <0.25

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.25 to <0.50

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.50 to <0.75

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.75 to <2.50

 

 108 

 364 

 472 

 

 150 

 1.7 

 36.5 

 47.0 

 

 42 

 28.0 

 1 

 

2.50 to <10.00

 

 1,205 

 5,534 

 6,740 

 

 1,669 

 2.7 

 913.1 

 42.0 

 

 587 

 35.2 

 18 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 28 

 0 

 28 

 

 17 

 100.0 

 23.0 

 

 

 18 

 106.0 

 12 

 

Subtotal

 

 1,342 

 5,898 

 7,240 

 

 1,836 

 3.5 

 972.6 

 42.0 

 

 647 

 35.2 

 31 

 26 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: qualifying revolving retail exposures (QRRE) as of 31.12.182

 

 

0.00 to <0.15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.15 to <0.25

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.25 to <0.50

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.50 to <0.75

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.75 to <2.50

 

 103 

 348 

 450 

 

 142 

 1.7 

 34.6 

 47.0 

 

 40 

 28.0 

 1 

 

2.50 to <10.00

 

 1,166 

 5,213 

 6,378 

 

 1,614 

 2.7 

 860.5 

 42.0 

 

 568 

 35.2 

 18 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.00 (default)

 

 26 

 0 

 26 

 

 16 

 100.0 

 21.4 

 

 

 17 

 106.0 

 11 

 

Subtotal

 

 1,294 

 5,560 

 6,855 

 

 1,772 

 3.5 

 916.5 

 42.0 

 

 624 

 35.2 

 29 

 24 

 

21


UBS Group AG

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

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: other retail as of 30.6.19

 

 

0.00 to <0.15

 

 105,756 

 214,575 

 320,331 

 12.7 

 132,852 

 0.0 

 194.1 

 30.6 

 

 5,467 

 4.1 

 17 

 

0.15 to <0.25

 

 2,106 

 3,678 

 5,784 

 16.4 

 2,709 

 0.2 

 5.8 

 29.1 

 

 302 

 11.2 

 1 

 

0.25 to <0.50

 

 1,373 

 2,070 

 3,443 

 16.3 

 1,709 

 0.4 

 2.6 

 29.7 

 

 314 

 18.4 

 2 

 

0.50 to <0.75

 

 1,294 

 2,312 

 3,606 

 11.6 

 1,563 

 0.6 

 1.8 

 29.6 

 

 545 

 34.9 

 3 

 

0.75 to <2.50

 

 2,128 

 7,275 

 9,403 

 14.2 

 3,160 

 1.1 

 44.9 

 31.0 

 

 1,131 

 35.8 

 11 

 

2.50 to <10.00

 

 551 

 645 

 1,196 

 20.9 

 685 

 4.0 

 1.8 

 33.9 

 

 401 

 58.6 

 9 

 

10.00 to <100.00

 

 158 

 46 

 204 

 19.6 

 167 

 15.5 

 0.5 

 26.6 

 

 93 

 55.8 

 7 

 

100.00 (default)

 

 19 

 1 

 19 

 38.0 

 14 

 100.0 

<0.1

 

 

 15 

 106.0 

 5 

 

Subtotal

 

 113,385 

 230,601 

 343,986 

 12.8 

 142,860 

 0.1 

 251.4 

 30.6 

 

 8,269 

 5.8 

 54 

 11 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Retail: other retail as of 31.12.18

 

 

0.00 to <0.15

 

 104,165 

 202,715 

 306,881 

 13.4 

 131,207 

 0.0 

 195.3 

 30.7 

 

 5,404 

 4.1 

 17 

 

0.15 to <0.25

 

 2,718 

 4,373 

 7,091 

 14.7 

 3,361 

 0.2 

 6.2 

 26.3 

 

 340 

 10.1 

 2 

 

0.25 to <0.50

 

 2,256 

 2,434 

 4,690 

 12.8 

 2,567 

 0.4 

 2.6 

 32.1 

 

 508 

 19.8 

 3 

 

0.50 to <0.75

 

 1,283 

 1,519 

 2,803 

 12.6 

 1,474 

 0.6 

 1.8 

 28.7 

 

 527 

 35.8 

 3 

 

0.75 to <2.50

 

 2,193 

 6,013 

 8,207 

 14.4 

 3,140 

 1.1 

 48.1 

 29.4 

 

 1,080 

 34.4 

 10 

 

2.50 to <10.00

 

 680 

 850 

 1,530 

 12.1 

 782 

 4.2 

 1.5 

 31.9 

 

 390 

 49.8 

 10 

 

10.00 to <100.00

 

 156 

 89 

 245 

 18.9 

 173 

 16.4 

 0.7 

 28.1 

 

 104 

 60.2 

 8 

 

100.00 (default)

 

 27 

 8 

 34 

 2.1 

 22 

 100.0 

<0.1

 

 

 23 

 106.0 

 5 

 

Subtotal

 

 113,478 

 218,002 

 331,480 

 13.4 

 142,726 

 0.1 

 256.2 

 30.6 

 

 8,377 

 5.9 

 57 

 16 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total 30.6.19

 

 480,500 

 299,979 

 780,479 

 18.6 

 529,925 

 0.7 

 1,492.5 

 31.8 

 1.33

 86,703 

 16.4 

 1,133 

 815 

Total 31.12.18

 

 484,205 

 290,438 

 774,644 

 19.6 

 533,587 

 0.8 

 1,439.3 

 28.6 

 1.43

 87,019 

 16.3 

 1,135 

 864 

1 In line with the Pillar 3 guidance, provisions are only provided for the subtotals by asset class.    2 For the calculation of column “EAD post-CCF and post-CRM,” a balance factor approach is used instead of a CCF approach. The EAD is calculated by multiplying the on-balance sheet exposure with a fixed factor of 1.4.   3 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment.

p

  

22


 

Credit risk RWA development in the second quarter of 2019

Quarterly | The CR8 table below provides a breakdown of the credit risk RWA movements in the second quarter of 2019 across movement categories defined by the Basel Committee on Banking Supervision (BCBS). These categories are described on page 45 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors

Credit risk RWA under the advanced internal ratings-based
(A-IRB) approach decreased by USD 2.7 billion to USD 86.7 billion as of 30 June 2019.

The RWA decrease from asset size movements of USD 1.5 billion was mainly driven by decreases in loan exposures, margin loans and unutilized credit facilities in the Investment Bank’s Corporate Client Solutions business.


The RWA decrease of USD 1 billion from asset quality was primarily driven by improved probability of default (PD) and loss given default (LGD) distribution across Swiss residential mortgages and income-producing real estate exposures in Personal & Corporate Banking and Global Wealth Management.

Methodology and policy changes reduced RWA by USD 2.1 billion, predominantly driven by the exclusion of certain collar financing transactions in the Investment Bank from credit risk RWA due to their non-credit bearing nature.

The aforementioned decreases were partly offset by a USD 0.5 billion increase in RWA from model updates, driven by the continued phasing-in of RWA increases related to probability of default (PD) and loss given default (LGD) changes from the implementation of revised models for Swiss residential mortgages, affecting Personal & Corporate Banking and Global Wealth Management. p

 

 

Quarterly |

CR8: RWA flow statements of credit risk exposures under IRB

USD million

For the quarter ended 30.6.19

For the quarter ended 31.3.19

1

RWA as of the beginning of the quarter

 89,448 

 87,019 

2

Asset size

 (1,454) 

 3,212 

3

Asset quality

 (989) 

 (70) 

4

Model updates

 520 

 430 

5

Methodology and policy

 (2,119) 

 (102) 

6

Acquisitions and disposals

 (53) 

 0 

7

Foreign exchange movements

 976 

 (667) 

8

Other

 375 

 (374) 

9

RWA as of the end of the quarter

 86,703 

 89,448 

p

Equity exposures

Semiannual | The table below provides information about our equity exposures under the simple risk weight method.

 

Semiannual |

CR10: IRB (equities under the simple risk-weight method)1

USD million, except where indicated

 

On-balance sheet amount

Off-balance sheet amount

Risk weight in %2

Exposure amount3

RWA2

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

Exchange-traded equity exposures

 

 50 

 

 300 

 37 

 119 

Other equity exposures

 

 999 

 

 400 

 751 

 3,182 

Total

 

 1,049 

 

 

 788 

 3,302 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

Exchange-traded equity exposures

 

 66 

 

 300 

 65 

 208 

Other equity exposures

 

 1,122 

 

 400 

 814 

 3,450 

Total

 

 1,188 

 

 

 879 

 3,658 

1 This table excludes significant investments in the common shares of non-consolidated financial institutions (banks, insurance and other financial entities) that are subject to the threshold treatment and risk weighted at 250%.    2 RWA are calculated post-application of the A-IRB multiplier of 6%, therefore the respective risk weight is higher than 300% and 400%.    3 The exposure amount for equities in the banking book is based on the net position.

p

 

  

23


UBS Group AG

 

Section 4  Counterparty credit risk

Counterparty credit risk (CCR) arises from over-the-counter and exchange-traded derivatives, securities financing transactions (SFTs) and long settlement transactions. Within traded products we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EEPE) and stressed expected positive exposure methods as defined in the Basel III framework. For the rest of the portfolio we apply the current exposure method (CEM) based on the replacement value of derivatives in combination with a regulatory prescribed add-on. For the majority of SFTs we determine the regulatory credit exposure using the close-out period approach.


Counterparty credit risk RWA

Quarterly | This sub-section consists of disclosures regarding the quarterly credit risk risk-weighted assets (RWA) development.

Counterparty credit risk RWA development in the second quarter of 2019

Quarterly | The CCR7 table below provides a breakdown of the CCR RWA movements in the second quarter of 2019 across the movement categories defined by the Basel Committee on Banking Supervision (BCBS). These categories are described on page 45 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors

CCR RWA under the internal model method (IMM) increased by USD 0.8 billion during the second quarter of 2019, primarily due to mark-to-market effects on derivatives held and higher embedded spreads on new trades compared with those rolling off in our Foreign Exchange, Rates and Credit business in the Investment Bank.

CCR RWA under the VaR decreased by USD 0.4 billion to USD 5.5 billion, primarily reflecting lower sourcing requirements for non-cash collateral within Group Treasury.

 

 

 

Quarterly |

CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)

 

 

For the quarter ended 30.6.19

 

For the quarter ended 31.3.19

 

 

Derivatives

 

SFTs

 

Total

 

Derivatives

SFTs

Total

USD million

 

Subject to IMM

 

Subject to VaR

 

 

 

Subject to IMM

Subject to VaR

 

1

RWA as of the beginning of the quarter

 

 19,371 

 

 5,889 

 

 25,260 

 

 17,624 

 5,036 

 22,660 

2

Asset size

 

 727 

 

 (603) 

 

 124 

 

 1,147 

 900 

 2,047 

3

Credit quality of counterparties

 

 9 

 

 (85) 

 

 (76) 

 

 15 

 (189) 

 (174) 

4

Model updates

 

 0 

 

 0 

 

 0 

 

 0 

 0 

 0 

5

Methodology and policy

 

 0 

 

 244 

 

 244 

 

 621 

 150 

 771 

5a

of which: regulatory add-ons

 

 0 

 

 0 

 

 0 

 

 450 

 150 

 600 

6

Acquisitions and disposals

 

 0 

 

 0 

 

 0 

 

 0 

 0 

 0 

7

Foreign exchange movements

 

 26 

 

 9 

 

 35 

 

 (36) 

 (8) 

 (44) 

8

Other

 

 0 

 

 0 

 

 0 

 

 0 

 0 

 0 

9

RWA as of the end of the quarter

 

 20,133 

 

 5,453 

 

 25,587 

 

 19,371 

 5,889 

 25,260 

p

 

 

24


 

Counterparty credit risk exposure

Semiannual | This sub-section provides information about our CCR exposures, credit valuation adjustment (CVA) capital charge and credit derivatives exposures. This sub-section excludes CCR exposures to central counterparties; CVA is separately covered in the CCR2 table.

Exposure at default (EAD) post credit risk mitigation (CRM) related to CCR increased by USD 1.4 billion to USD 102.0 billion and RWA increased by USD 3.3 billion to USD 35.5 billion as of 30 June 2019. EAD post CRM on derivative exposures decreased
by USD 3.4 billion, primarily reflecting lower levels of client activity in Global Wealth Management, partly offset by higher levels of client activity in the Investment Bank. As the decrease in derivative exposures in Global Wealth Management was driven by obligors with favorable credit ratings, the effect on RWA was limited. RWA for derivatives increased by USD 3.1 billion in the first half of 2019 as a result of an increase in expected positive exposure (EEPE) from the Investment Bank and a regulatory add-on of USD 0.6 billion for certain portfolios in Corporate Center awaiting the development of a formalized rating tool.

 

Semiannual |

CCR1: Analysis of counterparty credit risk (CCR) exposure by approach

 USD million, except where indicated

 

Replacement cost

Potential future exposure

EEPE

Alpha used for computing regulatory EAD

EAD post-CRM

RWA

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

1

SA-CCR (for derivatives)1

 

 5,7672

 6,723 

 

 1.01

 12,490 

 4,297 

2

Internal model method (for derivatives)

 

 

 

 26,468 

 1.6 

 42,349 

 19,874 

3

Simple approach for credit risk mitigation (for SFTs)

 

 

 

 

 

 

 

4

Comprehensive approach for credit risk mitigation (for SFTs)

 

 

 

 

 

 21,048 

 5,982 

5

VaR (for SFTs)

 

 

 

 

 

 26,091 

 5,317 

6

Total

 

 

 

 

 

 101,978 

 35,470 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

1

SA-CCR (for derivatives)1

 

 8,6702

 8,168 

 

 1.01

 16,838 

 3,664 

2

Internal model method (for derivatives)

 

 

 

 25,889 

 1.6 

 41,423 

 17,375 

3

Simple approach for credit risk mitigation (for SFTs)

 

 

 

 

 

 

 

4

Comprehensive approach for credit risk mitigation (for SFTs)

 

 

 

 

 

 17,202 

 6,163 

5

VaR (for SFTs)

 

 

 

 

 

 25,149 

 4,939 

6

Total

 

 

 

 

 

 100,612 

 32,140 

1 Standardized approach for CCR. Calculated in accordance with the current exposure method (CEM) until the implementation of SA-CCR with expected effective date 1 January 2020, when an alpha factor of 1.4 will be used for calculating regulatory EAD.    2 Replacement costs include collateral mitigation for on- and off-balance sheet exposures related to CCR for derivative transactions.   

p

 

Semiannual | In addition to the default risk capital requirements for CCR based on the advanced internal ratings-based or standardized approach, we are required to add a capital charge to derivatives to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality, referred to as CVA. The advanced CVA VaR approach has been used to calculate the CVA capital charge where we apply the IMM. Where this is not the case, the standardized CVA approach has been applied. More information about our portfolios subject to the CVA capital charge as of 30 June 2019 is provided in the table below.

 

 

Semiannual |

CCR2: Credit valuation adjustment (CVA) capital charge

 

 

 

30.6.19

 

31.12.18

USD million

 

EAD post-CRM1

RWA

 

EAD post-CRM1

RWA

 

Total portfolios subject to the advanced CVA capital charge

 

 22,052 

 1,106 

 

 26,680 

 1,479 

1

(i) VaR component (including the 3× multiplier)

 

 

 205 

 

 

 271 

2

(ii) Stressed VaR component (including the 3× multiplier)

 

 

 900 

 

 

 1,208 

3

All portfolios subject to the standardized CVA capital charge

 

 4,842 

 1,447 

 

 4,946 

 1,338 

4

Total subject to the CVA capital charge

 

 26,894 

 2,553 

 

 31,626 

 2,816 

1 Includes EAD of the underlying portfolio subject to the respective CVA charge.

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25


UBS Group AG

Semiannual | The table below provides information about our CCR under the standardized approach. Total CCR exposures in the 75% risk weight bucket decreased by USD 0.8 billion to USD 4.2 billion, primarily driven by exposure decreases in the Investment Bank’s Corporate Client Solutions business.

 

Semiannual |

CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights

USD million

 

 

 

 

 

 

 

 

 

 

Risk weight

 

0%

10%

20%

50%

75%

100%

150%

Others

Total credit exposure

 

 

 

 

 

 

 

 

 

 

 

 

 

Regulatory portfolio as of 30.6.19

 

 

1

Central governments and central banks

 

 169 

 

 

 

 

 3 

 

 

 172 

2

Banks and securities dealers

 

 

 

 112 

 117 

 

 3 

 

 

 232 

3

Public-sector entities and multilateral development banks

 

 

 

 99 

 228 

 

 71 

 

 

 398 

4

Corporates

 

 

 

 22 

 105 

 4,213 

 1,472 

 2 

 

 5,813 

5

Retail

 

 

 

 

 

 5 

 117 

 

 

 123 

6

Equity

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 

 

 

 

 

 

 

 

 

8

Total

 

 169 

 

 232 

 450 

 4,218 

 1,666 

 2 

 

 6,737 

 

 

 

 

 

 

 

 

 

 

 

 

 

Regulatory portfolio as of 31.12.18

 

 

1

Central governments and central banks

 

 202 

 

 

 

 

 0 

 

 

 202 

2

Banks and securities dealers

 

 

 

 31 

 176 

 0 

 4 

 0 

 

 210 

3

Public-sector entities and multilateral development banks

 

 

 

 0 

 

 

 

 

 

 1 

4

Corporates

 

 

 

 

 99 

 4,974 

 1,045 

 0 

 

 6,119 

5

Retail

 

 

 

 

 

 18 

 128 

 

 

 147 

6

Equity

 

 

 

 

 

 

 

 

 

 

7

Other assets

 

 

 

 

 

 

 

 

 

 

8

Total

 

 202 

 

 32 

 275 

 4,993 

 1,177 

 0 

 

 6,679 

p

 

26


 

Semiannual | Information about RWA, including details of movements in counterparty credit risk 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 on page 24 of this report.

The CCR4 table below and on the following pages provides a breakdown of the key parameters used for the calculation of capital requirements under the advanced internal ratings-based (A-IRB) approach, by PD range across FINMA-defined asset classes. As of 30 June 2019, EAD post CRM increased slightly by USD 1 billion to USD 95 billion, while RWA increased by USD 3 billion, resulting in an increase in RWA density. The increase in RWA was mainly due to a business-driven exposure increase of USD 4 billion in the “Corporates: including specialized lending” asset class, primarily from the Investment Bank. The business-driven movements of EAD post CRM in the “Central governments and central banks” and “Retail: other retail” asset classes were related to obligors with favorable credit ratings, resulting in a limited effect on RWA.

 

Semiannual |

CCR4: IRB – CCR exposures by portfolio and PD scale

USD million, except where indicated

 

EAD post-CRM

Average PD in %

Number of obligors (in thousands)

Average LGD in %

Average maturity in years

RWA

RWA density in %

 

 

 

 

 

 

 

 

 

Central governments and central banks as of 30.6.19

 

 

0.00 to <0.15

 

 9,795 

 0.0 

 0.1 

 33.4 

 0.3 

 489 

 5.0 

0.15 to <0.25

 

 200 

 0.2 

<0.1

 44.8 

 1.0 

 64 

 32.3 

0.25 to <0.50

 

 213 

 0.3 

<0.1

 55.0 

 1.0 

 116 

 54.5 

0.50 to <0.75

 

 195 

 0.7 

<0.1

 54.2 

 1.0 

 151 

 77.4 

0.75 to <2.50

 

 23 

 0.9 

<0.1

 53.3 

 0.5 

 20 

 85.2 

2.50 to <10.00

 

 5 

 2.6 

<0.1

 80.0 

 1.0 

 11 

 198.1 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 10,432 

 0.1 

 0.2 

 34.5 

 0.3 

 851 

 8.2 

 

 

 

 

 

 

 

 

 

Central governments and central banks as of 31.12.18

 

 

0.00 to <0.15

 

 8,415 

 0.0 

 0.1 

 44.0 

 0.3 

 740 

 8.8 

0.15 to <0.25

 

 197 

 0.2 

<0.1

 65.3 

 0.9 

 93 

 47.0 

0.25 to <0.50

 

 128 

 0.3 

<0.1

 84.3 

 1.0 

 106 

 83.4 

0.50 to <0.75

 

 100 

 0.7 

<0.1

 45.0 

 1.0 

 85 

 85.1 

0.75 to <2.50

 

 23 

 1.0 

<0.1

 53.8 

 0.8 

 21 

 90.2 

2.50 to <10.00

 

 0 

 2.6 

<0.1

 88.8 

 1.0 

 0 

 229.2 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 8,864 

 0.1 

 0.2 

 45.1 

 0.5 

 1,046 

 11.8 

 

 

 

 

 

 

 

 

 

Banks and securities dealers as of 30.6.19

 

 

0.00 to <0.15

 

 13,548 

 0.1 

 0.4 

 49.3 

 0.8 

 2,706 

 20.0 

0.15 to <0.25

 

 3,892 

 0.2 

 0.2 

 48.9 

 0.9 

 1,422 

 36.5 

0.25 to <0.50

 

 1,490 

 0.4 

 0.2 

 43.4 

 0.7 

 651 

 43.7 

0.50 to <0.75

 

 559 

 0.7 

 0.1 

 60.3 

 1.1 

 545 

 97.5 

0.75 to <2.50

 

 303 

 1.3 

 0.2 

 63.4 

 0.7 

 370 

 122.2 

2.50 to <10.00

 

 57 

 3.7 

 0.1 

 74.0 

 1.0 

 132 

 233.9 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 19,849 

 0.2 

 1.1 

 49.4 

 0.8 

 5,827 

 29.4 

 

 

 

 

 

 

 

 

 

Banks and securities dealers as of 31.12.18

 

 

0.00 to <0.15

 

 13,103 

 0.1 

 0.4 

 50.5 

 0.8 

 2,672 

 20.4 

0.15 to <0.25

 

 3,927 

 0.2 

 0.2 

 48.3 

 0.8 

 1,415 

 36.0 

0.25 to <0.50

 

 1,458 

 0.4 

 0.2 

 49.9 

 0.8 

 764 

 52.4 

0.50 to <0.75

 

 636 

 0.7 

 0.1 

 58.8 

 0.8 

 551 

 86.7 

0.75 to <2.50

 

 352 

 1.2 

 0.2 

 63.7 

 0.8 

 432 

 122.8 

2.50 to <10.00

 

 320 

 7.5 

 0.1 

 12.0 

 0.2 

 132 

 41.2 

10.00 to <100.00

 

 0 

 13.0 

<0.1

 66.0 

 1.0 

 10 

 0.0 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 19,799 

 0.3 

 1.1 

 49.9 

 0.8 

 5,976 

 30.2 

 

27


UBS Group AG

CCR4: IRB – CCR exposures by portfolio and PD scale (continued)

USD million, except where indicated

 

EAD post-CRM

Average PD in %

Number of obligors (in thousands)

Average LGD in %

Average maturity in years

RWA

RWA density in %

 

 

 

 

 

 

 

 

 

Public-sector entities, multilateral development banks as of 30.6.19

 

 

0.00 to <0.15

 

 1,886 

 0.0 

 0.1 

 37.0 

 1.1 

 122 

 6.5 

0.15 to <0.25

 

 31 

 0.2 

<0.1

 58.4 

 1.1 

 10 

 33.4 

0.25 to <0.50

 

 7 

 0.3 

<0.1

 73.8 

 1.0 

 6 

 90.9 

0.50 to <0.75

 

 

 

 

 

 

 

 

0.75 to <2.50

 

 1 

 1.0 

<0.1

 75.5 

 1.0 

 1 

 168.4 

2.50 to <10.00

 

 

 

 

 

 

 

 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 22 

 100.0 

<0.1

 

 

 23 

 106.0 

Subtotal

 

 1,946 

 1.2 

 0.1 

 37.2 

 1.1 

 163 

 8.4 

 

 

 

 

 

 

 

 

 

Public-sector entities, multilateral development banks as of 31.12.18

 

 

0.00 to <0.15

 

 2,519 

 0.0 

 0.1 

 43.7 

 1.1 

 223 

 8.8 

0.15 to <0.25

 

 86 

 0.2 

<0.1

 53.2 

 1.1 

 28 

 32.3 

0.25 to <0.50

 

 39 

 0.4 

<0.1

 61.3 

 1.0 

 24 

 62.6 

0.50 to <0.75

 

 0 

 0.0 

<0.1

 0.0 

 0.0 

 0 

 0.0 

0.75 to <2.50

 

 0 

 1.0 

<0.1

 35.0 

 1.0 

 0 

 60.4 

2.50 to <10.00

 

 0 

 2.7 

<0.1

 35.0 

 1.0 

 0 

 87.4 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 12 

 100.0 

<0.1

 

 

 13 

 106.0 

Subtotal

 

 2,657 

 0.5 

 0.1 

 44.1 

 1.1 

 288 

 10.8 

 

 

 

 

 

 

 

 

 

Corporates: including specialized lending as of 30.6.191

 

 

0.00 to <0.15

 

 36,389 

 0.0 

 12.7 

 35.2 

 0.6 

 5,205 

 14.3 

0.15 to <0.25

 

 7,062 

 0.2 

 1.7 

 53.2 

 0.7 

 4,116 

 58.3 

0.25 to <0.50

 

 2,222 

 0.4 

 0.9 

 82.1 

 0.9 

 3,312 

 149.1 

0.50 to <0.75

 

 3,661 

 0.6 

 1.0 

 57.1 

 0.6 

 4,879 

 133.3 

0.75 to <2.50

 

 5,367 

 1.2 

 1.7 

 28.0 

 0.5 

 4,388 

 81.8 

2.50 to <10.00

 

 2,219 

 3.2 

 0.4 

 12.2 

 0.2 

 1,190 

 53.6 

10.00 to <100.00

 

 

 

 

 

 

 

 

100.00 (default)

 

 1 

 100.0 

<0.1

 

 

 1 

 106.0 

Subtotal

 

 56,921 

 0.3 

 18.5 

 39.1 

 0.6 

 23,092 

 40.6 

 

 

 

 

 

 

 

 

 

Corporates: including specialized lending as of 31.12.181

 

 

0.00 to <0.15

 

 35,475 

 0.0 

 12.0 

 35.0 

 0.6 

 4,717 

 13.3 

0.15 to <0.25

 

 6,761 

 0.2 

 1.6 

 51.0 

 0.6 

 3,688 

 54.6 

0.25 to <0.50

 

 2,194 

 0.4 

 0.9 

 78.3 

 1.0 

 2,815 

 128.3 

0.50 to <0.75

 

 2,351 

 0.6 

 1.0 

 68.2 

 0.6 

 3,668 

 156.0 

0.75 to <2.50

 

 4,311 

 1.2 

 1.6 

 28.2 

 0.7 

 3,569 

 82.8 

2.50 to <10.00

 

 1,311 

 3.2 

 0.3 

 13.8 

 0.4 

 819 

 62.4 

10.00 to <100.00

 

 0 

 13.0 

<0.1

 5.0 

 1.0 

 0 

 36.7 

100.00 (default)

 

 1 

 100.0 

<0.1

 

 

 1 

 106.0 

Subtotal

 

 52,403 

 0.3 

 17.3 

 39.3 

 0.6 

 19,276 

 36.8 

 

28


 

CCR4: IRB – CCR exposures by portfolio and PD scale (continued)

USD million, except where indicated

 

EAD post-CRM

Average PD in %

Number of obligors (in thousands)

Average LGD in %

Average maturity in years

RWA

RWA density in %

 

 

 

 

 

 

 

 

 

Retail: other retail as of 30.6.19

 

 

0.00 to <0.15

 

 5,299 

 0.0 

 16.9 

 28.9 

 

 205 

 3.9 

0.15 to <0.25

 

 83 

 0.2 

 0.3 

 27.3 

 

 9 

 10.5 

0.25 to <0.50

 

 38 

 0.4 

 0.2 

 29.8 

 

 7 

 18.4 

0.50 to <0.75

 

 57 

 0.6 

 0.1 

 42.4 

 

 21 

 36.7 

0.75 to <2.50

 

 603 

 1.0 

 11.6 

 29.6 

 

 186 

 30.8 

2.50 to <10.00

 

 12 

 2.9 

 0.4 

 28.7 

 

 5 

 42.3 

10.00 to <100.00

 

 2 

 21.8 

<0.1

 37.0 

 

 2 

 90.4 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 6,093 

 0.2 

 29.5 

 29.1 

 

 433 

 7.1 

 

 

 

 

 

 

 

 

 

Retail: other retail as of 31.12.18

 

 

0.00 to <0.15

 

 9,749 

 0.0 

 15.1 

 28.0 

 

 362 

 3.7 

0.15 to <0.25

 

 19 

 0.2 

 0.3 

 28.2 

 

 2 

 10.8 

0.25 to <0.50

 

 126 

 0.4 

 0.1 

 29.5 

 

 23 

 18.2 

0.50 to <0.75

 

 30 

 0.6 

 0.1 

 28.0 

 

 7 

 24.2 

0.75 to <2.50

 

 271 

 1.1 

 9.0 

 29.6 

 

 87 

 32.1 

2.50 to <10.00

 

 11 

 2.9 

 0.1 

 27.9 

 

 5 

 42.0 

10.00 to <100.00

 

 4 

 21.3 

<0.1

 30.1 

 

 3 

 70.4 

100.00 (default)

 

 

 

 

 

 

 

 

Subtotal

 

 10,211 

 0.1 

 24.6 

 28.1 

 

 489 

 4.8 

 

 

 

 

 

 

 

 

 

Total 30.6.19

 

 95,241 

 0.3 

 49.4 

 40.1 

 0.72

 30,366 

 31.9 

Total 31.12.18

 

 93,933 

 0.2 

 43.4 

 41.0 

 0.72

 27,075 

 28.8 

1 Includes exposures to managed funds.    2 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment.

p

 

29


UBS Group AG

Semiannual | The fair value of collateral received for securities financing transactions increased by USD 15.0 billion to USD 635.7 billion, resulting from client activities in the Investment Bank and Corporate Center.

 

Semiannual |

CCR5: Composition of collateral for CCR exposure1

 

 

Collateral used in derivative transactions

 

Collateral used in SFTs

 

 

Fair value of collateral received

 

Fair value of posted collateral

 

Fair value of collateral received

 

Fair value of posted collateral

USD million

 

Segregated2

Unsegregated

Total

 

Segregated3

Unsegregated

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

 

Cash – domestic currency

 

 2,492 

 17,321 

 19,813 

 

 1,584 

 6,508 

 8,093 

 

 30,459 

 

 78,118 

Cash – other currencies

 

 

 20,106 

 20,106 

 

 1,658 

 13,742 

 15,400 

 

 10,467 

 

 41,381 

Sovereign debt

 

 6,569 

 6,780 

 13,349 

 

 8,301 

 6,009 

 14,310 

 

 229,076 

 

 169,360 

Other debt securities

 

 

 3,177 

 3,177 

 

 1,441 

 1,026 

 2,467 

 

 99,247 

 

 40,954 

Equity securities

 

 3,776 

 28 

 3,804 

 

 999 

 566 

 1,565 

 

 266,468 

 

 149,513 

Total

 

 12,837 

 47,412 

 60,249 

 

 13,983 

 27,852 

 41,835 

 

 635,717 

 

 479,327 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

Cash – domestic currency

 

 2,042 

 16,958 

 19,000 

 

 1,221 

 6,980 

 8,200 

 

 33,134 

 

 72,932 

Cash – other currencies

 

 

 19,784 

 19,285 

 

 1,591 

 13,808 

 15,399 

 

 12,987 

 

 49,636 

Sovereign debt

 

 5,552 

 8,656 

 14,208 

 

 7,995 

 5,444 

 13,439 

 

 252,257 

 

 176,260 

Other debt securities

 

 

 2,277 

 2,277 

 

 812 

 135 

 946 

 

 79,359 

 

 32,851 

Equity securities

 

 4,778 

 23 

 4,801 

 

 1,570 

 1,465 

 3,035 

 

 243,027 

 

 145,939 

Total

 

 12,372 

 47,698 

 59,571 

 

 13,190 

 27,831 

 41,020 

 

 620,764 

 

 477,617 

1 This table includes collateral received and posted with and without the right of rehypothecation, but excludes securities placed with central banks related to undrawn credit lines and for payment, clearing and settlement purposes for which there were no associated liabilities or contingent liabilities.    2 Includes collateral received in derivative transactions, primarily initial margins, that is placed with a third-party custodian and to which UBS has access only in the case of counterparty default.    3 Includes collateral posted to central counterparties, where we apply a 0% risk weight for trades that we have entered into on behalf of a client and where the client has signed a legally enforceable agreement stipulating that the default risk of that central counterparty is carried by the client.

p

 

Semiannual | Notionals of credit derivatives decreased by USD 5.4 billion for protection bought and by USD 5.8 billion for protection sold, primarily due to trade roll-offs and compression activities in the Investment Bank’s Foreign Exchange, Rates and Credit business and Equities business. The decrease was partly offset by an increase in credit options in the Investment Bank’s Corporate Client Solutions business due to hedging of new loan commitments.

 

Semiannual |

CCR6: Credit derivatives exposures

 

 

30.6.19

 

31.12.18

USD million

 

Protection bought

Protection

sold

 

Protection bought

Protection

sold

Notionals1

 

 

 

 

 

 

Single-name credit default swaps

 

 37,191 

 42,151 

 

 43,265 

 44,875 

Index credit default swaps

 

 36,410 

 29,482 

 

 37,006 

 32,309 

Total return swaps

 

 4,236 

 1,697 

 

 4,726 

 1,976 

Credit options

 

 5,861 

 57 

 

 4,065 

 57 

Other credit derivatives

 

 

 

 

 

 

Total notionals

 

 83,698 

 73,388 

 

 89,063 

 79,218 

Fair values

 

 

 

 

 

 

Positive fair value (asset)

 

 947 

 1,314 

 

 1,117 

 815 

Negative fair value (liability)

 

 2,059 

 1,260 

 

 1,612 

 1,232 

1 Includes notional amounts for client-cleared transactions.

p

 

  

30


 

 

Section 5  Securitizations

Introduction

This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the Basel III securitization framework.

In a traditional securitization, a pool of loans (or other debt obligations) is typically transferred to structured entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of loans. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained, but associated credit risk is transferred to structured entities typically through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.

As of 30 June 2019, we did not use internal ratings for purposes of calculating RWA for securitization positions in the banking book. More information about regulatory capital treatment of securitization exposures is provided on page 73 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors


Securitization exposures in the banking and trading book

Semiannual | The tables SEC1 and SEC2 outline the carrying values on the balance sheet in the banking and trading books as of 30 June 2019 and 31 December 2018. The securitization activity is further broken down by our role (originator, sponsor or investor) and by securitization type (traditional or synthetic). Amounts disclosed in the “Traditional” column of these tables reflect the total outstanding notes at par value issued by the securitization vehicle at issuance. For synthetic securitization transactions, the amounts disclosed generally reflect the balance sheet carrying values of the securitized exposures at issuance.

The tables SEC3 and SEC4 provide the regulatory capital requirements associated with the securitization exposure differentiated by our role in the securitization process.

Development in RWA related to securitization exposures in the first half of 2019

In the first half of 2019, securitization exposures in the banking book and the related RWA were stable, however securitization exposures in the trading book increased from USD 280 million to USD 390 million, mainly arising from secondary trading in commercial mortgage-backed securities in the Investment Bank.

 

 

31


UBS Group AG

Semiannual |

SEC1: Securitization exposures in the banking book

 

 

Bank acts as originator

 

Bank acts as sponsor

 

Bank acts as originator & sponsor

 

Bank acts as investor

 

Total

USD million

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Retail (total)

 

 84 

 

 84 

 

 

 

 

 

 

 

 

 

 1 

 

 1 

 

 85 

2

of which: residential mortgage

 

 84 

 

 84 

 

 

 

 

 

 

 

 

 

 1 

 

 1 

 

 85 

3

of which: credit card receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4

of which: student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5

of which: consumer loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6

of which: other retail exposures   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

Wholesale (total)

 

 

 

 

 

 0 

 

 0 

 

 

 

 

 

 118 

 

 118 

 

 118 

8

of which: loans to corporates or SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

of which: commercial mortgage

 

 

 

 

 

 0 

 

 0 

 

 

 

 

 

 

 

 

 

 0 

10

of which: lease and receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: trade receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: other wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 118 

 

 118 

 

 118 

13

Re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

Total securitization /

re-securitization

(including retail and wholesale)

 

 84 

 

 84 

 

 0 

 

 0 

 

 

 

 

 

 119 

 

 119 

 

 203 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Retail (total)

 

 87 

 

 87 

 

 

 

 

 

 

 

 

 

 1 

 

 1 

 

 88 

2

of which: residential mortgage

 

 87 

 

 87 

 

 

 

 

 

 

 

 

 

 1 

 

 1 

 

 88 

3

of which: credit card receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4

of which: student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5

of which: consumer loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6

of which: other retail exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

Wholesale (total)

 

 

 

 

 

 0 

 

 0 

 

 

 

 

 

 125 

 

 125 

 

 126 

8

of which: loans to corporates or SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

of which: commercial mortgage

 

 

 

 

 

 0 

 

 0 

 

 

 

 

 

 

 

 

 

 0 

10

of which: lease and receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: trade receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: other wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 126 

 

 126 

 

 126 

13

Re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

Total securitization /

re-securitization

(including retail and wholesale)

 

 87 

 

 87 

 

 0 

 

 0 

 

 

 

 

 

 126 

 

 126 

 

 213 

p

 

32


 

Semiannual |

SEC2: Securitization exposures in the trading book

 

 

Bank acts as originator

 

Bank acts as sponsor

 

Bank acts as originator & sponsor

 

Bank acts as investor

 

Total

USD million

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

Traditional

Synthetic

Subtotal

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30.6.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Retail (total)

 

 2 

 

 2 

 

 6 

 

 6 

 

 

 

 

 

 14 

 

 14 

 

 23 

2

of which: residential mortgage

 

 2 

 

 2 

 

 6 

 

 6 

 

 

 

 

 

 14 

 

 14 

 

 23 

3

of which: credit card receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4

of which: student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5

of which: consumer loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6

of which: other retail exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

Wholesale (total)

 

 21 

 

 21 

 

 1 

 

 1 

 

 299 

 

 299 

 

 29 

 

 29 

 

 351 

8

of which: loans to corporates or SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

of which: commercial mortgage

 

 21 

 

 21 

 

 1 

 

 1 

 

 299 

 

 299 

 

 28 

 

 28 

 

 350 

10

of which: lease and receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: trade receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: other wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 1 

 

 1 

 

 1 

13

Re-securitization

 

 

 6 

 6 

 

 

 

 

 

 

 

 

 

 10 

 

 10 

 

 16 

14

Total securitization /

re-securitization

(including retail and wholesale)

 

 24 

 6 

 30 

 

 7 

 

 7 

 

 299 

 

 299 

 

 53 

 

 53 

 

 390 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Retail (total)

 

 3 

 

 3 

 

 7 

 

 7 

 

 

 

 

 

 13 

 

 13 

 

 22 

2

of which: residential mortgage

 

 3 

 

 3 

 

 7 

 

 7 

 

 

 

 

 

 13 

 

 13 

 

 22 

3

of which: credit card receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4

of which: student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5

of which: consumer loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6

of which: other retail exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

Wholesale (total)

 

 1 

 4 

 5 

 

 1 

 

 1 

 

 222 

 

 222 

 

 16 

 

 16 

 

 244 

8

of which: loans to corporates or SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

of which: commercial mortgage

 

 1 

 

 1 

 

 1 

 

 1 

 

 222 

 

 222 

 

 14 

 

 14 

 

 238 

10

of which: lease and receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: trade receivables

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: other wholesale

 

 

 4 

 4 

 

 

 

 

 

 

 

 

 

 3 

 

 3 

 

 6 

13

Re-securitization

 

 

 3 

 3 

 

 

 

 

 

 1 

 

 1 

 

 10 

 

 10 

 

 13 

14

Total securitization /

re-securitization

(including retail and wholesale)

 

 4 

 6 

 10 

 

 8 

 

 8 

 

 223 

 

 223 

 

 39 

 

 39 

 

 280 

 

p

  

33


UBS Group AG

Semiannual |

SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor

USD million

 

Total exposure values

 

Exposure values (by RW bands)

 

Exposure values (by regulatory approach)

 

Total RWA

 

RWA (by regulatory approach)

 

Total capital charge after cap

 

Capital charge after cap

30.6.19

 

 

 

≤20% RW

>20% to 50% RW

>50% to 100% RW

>100% to <1250% RW

1250% RW

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

 

 

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

 

 

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Total exposures

 

 84 

 

 

 

 

 64 

 21 

 

 

 84 

 0 

 

 

 580 

 

 

 580 

 0 

 

 

 46 

 

 

 46 

 0 

 

2

Traditional securitization

 

 84 

 

 

 

 

 64 

 21 

 

 

 84 

 0 

 

 

 580 

 

 

 580 

 0 

 

 

 46 

 

 

 46 

 0 

 

3

of which: securitization

 

 84 

 

 

 

 

 64 

 21 

 

 

 84 

 0 

 

 

 580 

 

 

 580 

 0 

 

 

 46 

 

 

 46 

 0 

 

4

of which: retail underlying

 

 84 

 

 

 

 

 64 

 21 

 

 

 84 

 

 

 

 580 

 

 

 580 

 0 

 

 

 46 

 

 

 46 

 0 

 

5

of which: wholesale

 

 0 

 

 

 

 

 0 

 0 

 

 

 

 0 

 

 

 0 

 

 

 

 0 

 

 

 0 

 

 

 

 0 

 

6

of which: re-securitization

 

 0 

 

 

 

 

 

 0 

 

 

 

 

 

 

 0 

 

 

 

 

 

 

 0 

 

 

 

 

 

7

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

Synthetic securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10

of which: securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: retail underlying

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

13

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Total exposures

 

 87 

 

 

 

 0 

 67 

 20 

 

 

 87 

 

 

 

 589 

 

 

 589 

 

 

 

 47 

 

 

 47 

 

 

2

Traditional securitization

 

 87 

 

 

 

 0 

 67 

 20 

 

 

 87 

 

 

 

 589 

 

 

 589 

 

 

 

 47 

 

 

 47 

 

 

3

of which: securitization

 

 87 

 

 

 

 0 

 67 

 20 

 

 

 87 

 

 

 

 589 

 

 

 589 

 

 

 

 47 

 

 

 47 

 

 

4

of which: retail underlying

 

 87 

 

 

 

 

 67 

 20 

 

 

 87 

 

 

 

 589 

 

 

 589 

 

 

 

 47 

 

 

 47 

 

 

5

of which: wholesale

 

 0 

 

 

 

 0 

 

 

 

 

 0 

 

 

 

 0 

 

 

 0 

 

 

 

 0 

 

 

 0 

 

 

6

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

Synthetic securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10

of which: securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: retail underlying

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

13

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

p

 

34


 

Semiannual |

SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor

USD million

 

Total exposure values

 

Exposure values (by RW bands)

 

Exposure values (by regulatory approach)

 

Total RWA

 

RWA (by regulatory approach)

 

Total capital charge after cap

 

Capital charge after cap

30.6.19

 

 

 

≤20% RW

>20% to 50% RW

>50% to 100% RW

>100% to <1250% RW

1250% RW

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

 

 

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

 

 

 

SEC-IRBA

SEC-ERBA

SEC-SA

1250%

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Total exposures

 

 119 

 

 

 

 118 

 

 1 

 

 

 118 

 

 1 

 

 84 

 

 

 77 

 

 7 

 

 7 

 

 

 6 

 

 1 

2

Traditional securitization

 

 119 

 

 

 

 118 

 

 1 

 

 

 118 

 

 1 

 

 84 

 

 

 77 

 

 7 

 

 7 

 

 

 6 

 

 1 

3

of which: securitization

 

 119 

 

 

 

 118 

 

 1 

 

 

 118 

 

 1 

 

 84 

 

 

 77 

 

 7 

 

 7 

 

 

 6 

 

 1 

4

of which: retail underlying

 

 1 

 

 

 

 

 

 1 

 

 

 

 

 1 

 

 7 

 

 

 

 

 7 

 

 1 

 

 

 0 

 

 1 

5

of which: wholesale

 

 118 

 

 

 

 118 

 

 

 

 

 118 

 

 

 

 77 

 

 

 77 

 

 

 

 6 

 

 

 6 

 

 

6

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

Synthetic securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10

of which: securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: retail underlying

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

13

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset classes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Total exposures

 

 126 

 

 

 

 49 

 77 

 1 

 

 

 126 

 

 1 

 

 121 

 

 

 112 

 

 8 

 

 10 

 

 

 9 

 

 1 

2

Traditional securitization

 

 126 

 

 

 

 49 

 77 

 1 

 

 

 126 

 

 1 

 

 121 

 

 

 112 

 

 8 

 

 10 

 

 

 9 

 

 1 

3

of which: securitization

 

 126 

 

 

 

 49 

 77 

 1 

 

 

 126 

 

 1 

 

 121 

 

 

 112 

 

 8 

 

 10 

 

 

 9 

 

 1 

4

of which: retail underlying

 

 1 

 

 

 

 

 

 1 

 

 

 

 

 1 

 

 8 

 

 

 

 

 8 

 

 1 

 

 

 

 

 1 

5

of which: wholesale

 

 126 

 

 

 

 49 

 77 

 

 

 

 126 

 

 

 

 112 

 

 

 112 

 

 

 

 9 

 

 

 9 

 

 

6

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9

Synthetic securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10

of which: securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11

of which: retail underlying

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12

of which: wholesale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

13

of which: re-securitization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14

of which: senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15

of which: non-senior

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

p

  

35


UBS Group AG

 

Section 6  Market risk

Overview

The amount of capital required to underpin market risk in the regulatory trading book is calculated using a variety of methods approved by FINMA. The components of market risk risk-weighted assets (RWA) are value-at-risk (VaR), stressed VaR (SVaR), an add-on for risks that are potentially not fully modeled in VaR, the incremental risk charge (IRC), the comprehensive risk measure (CRM) for the correlation portfolio and the securitization framework for securitization positions in the trading book. Refer to pages 72–73, 85 and 87–89 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors, for more information about each of these components.


Market risk risk-weighted assets

Market risk RWA development in the second quarter of 2019

Quarterly | The MR2 table below provides a breakdown of the market risk RWA movement in the second quarter of 2019 across the main components, according to the movement categories defined by the Basel Committee on Banking Supervision. VaR and SVaR components include the RWA charge for risks-not-in-VaR. These categories are described on page 81 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors

Market risk RWA decreased by USD 1.8 billion in the second quarter of 2019, primarily driven by a reduction from regulatory add-ons reflecting updates from the monthly risks-not-in-VaR assessment.

As of 30 June 2019, the CRM-based capital requirement was not applicable to us, as we no longer held eligible correlation trading positions.

The VaR multiplier remained unchanged, at 3.0, compared with the first quarter of 2019.

 

Quarterly |

MR2: RWA flow statements of market risk exposures under an internal models approach1

USD million

VaR

Stressed VaR

IRC

CRM

Other

Total RWA

1

RWA as of 31.12.18

 5,085 

 12,149 

 2,299 

 7 

 

 19,541 

1a

Regulatory adjustment

 (2,167) 

 (8,470) 

 (1,059) 

 (7) 

 

 (11,702) 

1b

RWA at previous quarter-end (end of day)

 2,918 

 3,680 

 1,240 

 0 

 

 7,838 

2

Movement in risk levels

 (1,771) 

 (831) 

 (26) 

 0 

 

 (2,628) 

3

Model updates / changes

 (12) 

 41 

 0 

 0 

 

 29 

4

Methodology and policy

 0 

 0 

 0 

 0 

 

 0 

5

Acquisitions and disposals

 0 

 0 

 0 

 0 

 

 0 

6

Foreign exchange movements

 0 

 0 

 0 

 0 

 

 0 

7

Other

 (205) 

 (495) 

 0 

 0 

 

 (700) 

8a

RWA at the end of the reporting period (end of day)

 929 

 2,395 

 1,214 

 0 

 

 4,539 

8b

Regulatory adjustment

 2,298 

 5,506 

 0 

 0 

 

 7,804 

8c

RWA as of 31.3.19

 3,227 

 7,901 

 1,214 

 0 

 

 12,343 

1

RWA as of 31.3.19

 3,227 

 7,901 

 1,214 

 

 

 12,343 

1a

Regulatory adjustment

 (2,298) 

 (5,506) 

 0 

 

 

 (7,804) 

1b

RWA at previous quarter-end (end of day)

 929 

 2,395 

 1,214 

 

 

 4,539 

2

Movement in risk levels

 (163) 

 (442) 

 168 

 

 

 (438) 

3

Model updates / changes

 (27) 

 (32) 

 (70) 

 

 

 (128) 

4

Methodology and policy

 0 

 0 

 0 

 

 

 0 

5

Acquisitions and disposals

 0 

 0 

 0 

 

 

 0 

6

Foreign exchange movements

 0 

 0 

 0 

 

 

 0 

7

Other

 (53) 

 (71) 

 0 

 

 

 (124) 

8a

RWA at the end of the reporting period (end of day)

 687 

 1,850 

 1,312 

 

 

 3,849 

8b

Regulatory adjustment

 1,874 

 4,591 

 212 

 

 

 6,677 

8c

RWA as of 30.6.19

 2,561 

 6,441 

 1,524 

 

 

 10,526 

1 Components that describe movements in RWA are presented in italic.

p

 

 

36


 

Securitization positions in the trading book

Semiannual | Our exposure to securitization positions in the trading book includes exposures arising from secondary trading in commercial mortgage-backed securities in the Investment Bank, and limited positions in Corporate Center – Non-core and Legacy Portfolio that we continue to wind down. Refer to the “Securitizations” section on pages 31–35 of this report for more information.

The table below provides information about market risk RWA from securitization exposures in the trading book.

 

Semiannual |

MR1: Market risk under standardized approach

 

 

RWA

USD million

30.6.19

31.12.18

 

Outright products

 

 

1

Interest rate risk (general and specific)

 

 

2

Equity risk (general and specific)

 

 

3

Foreign exchange risk

 

 

4

Commodity risk

 

 

 

Options

 

 

5

Simplified approach

 

 

6

Delta-plus method

 

 

7

Scenario approach

 

 

8

Securitization

 452 

 452 

9

Total

 452 

 452 

 

p

 

 

37


UBS Group AG

Regulatory calculation of market risk

Semiannual | The table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the IRC and the comprehensive risk capital charge. As of 30 June 2019 we no longer held eligible correlation trading positions.

During the first half of 2019, average 10-day 99% regulatory VaR and SVaR decreased, driven by the Equities business, reflecting a reduction in market volatility as well as a decrease in client activity along with an overall reduction in credit exposure in the Investment Bank’s Foreign Exchange, Rates and Credit business, compared with the higher levels observed in the second half of 2018.

 

Semiannual |

MR3: IMA values for trading portfolios

 

USD million

For the six-month period ended 30.6.19

For the six-month period ended 31.12.18

For the six-month period ended 30.6.18

 

VaR (10-day 99%)

 

 

 

1

Maximum value

 88 

 107 

 181 

2

Average value

 31 

 38 

 52 

3

Minimum value

 17 

 6 

 2 

4

Period end

 24 

 79 

 65 

 

Stressed VaR (10-day 99%)

 

 

 

5

Maximum value

 143 

 202 

 334 

6

Average value

 74 

 93 

 107 

7

Minimum value

 45 

 35 

 23 

8

Period end

 61 

 98 

 122 

 

Incremental risk charge (99.9%)

 

 

 

9

Maximum value

 141 

 247 

 342 

10

Average value

 107 

 193 

 222 

11

Minimum value

 87 

 99 

 153 

12

Period end

 105 

 99 

 192 

 

Comprehensive risk capital charge (99.9%)

 

 

 

13

Maximum value

 

 5 

 5 

14

Average value

 

 1 

 4 

15

Minimum value

 

 0 

 3 

16

Period end

 

 0 

 5 

17

Floor (standardized measurement method)

 

 0 

 1 

 

p

 

38


 

 

MR4: Comparison of VaR estimates with gains/losses

Semiannual | The “Group: development of backtesting revenues and actual trading revenues against backtesting VaR (1-day, 99% confidence)” chart below shows the six-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for the first half of 2019. The chart shows both, the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is a result of the long gamma risk profile that has been run historically in the Investment Bank.

The actual trading revenues include, in addition to backtesting revenues, intraday revenues.


There were no Group VaR negative backtesting exceptions in the first half of 2019, and the total number of negative backtesting exceptions within the most recent 250-business-day window decreased from 2 to 1. The FINMA VaR multiplier for market risk RWA remained unchanged at 3.0 as of 30 June 2019.

More information about the backtesting exceptions that occurred during 2018 is provided on pages 157–158 of our Annual Report 2018, which is available under “Annual reporting” at www.ubs.com/investors, and on page 86 of our 31 December 2018 Pillar 3 report, which is available under “Pillar 3 disclosures” at www.ubs.com/investors.

 

 

Semiannual |

p

 

 

  

39


UBS Group AG

Section 7  Interest rate risk in the banking book

Annual | Interest rate risk in the banking book (IRRBB) arises from balance sheet positions such as Loans and advances to banks, Loans and advances to customers, Financial assets at fair value not held for trading, Financial assets measured at amortized cost, Customer deposits, Debt issued measured at amortized cost and derivatives, including those used for cash flow hedge accounting purposes. These positions may affect Other comprehensive income (OCI) or the income statement, depending on their accounting treatment.

IRRBB is measured using a number of metrics, the most relevant of which are the following:

   Interest rate sensitivity to a +1 basis point parallel shift in yield curves. This metric is also the key risk factor for statistical and stress-based measures, such as value-at-risk and stress scenarios (including economic value of equity (EVE)) and is measured and reported with a daily frequency.

   Net interest income (NII) sensitivity assesses the change in NII over a set time horizon compared with the baseline NII, which is calculated assuming that interest rates in all currencies develop according to their market-implied forward rates and under the assumption of constant business volumes and no specific management actions. NII sensitivity is measured and reported on a monthly basis.

 

The disclosures below take into account the revised FINMA Circular 2019/2, which sets out minimum standards for the measurement, management, monitoring and control of interest rate risks in the banking book.

Our largest banking book interest rate exposures arise from client deposits and lending products in Global Wealth Management and Personal & Corporate Banking. The inherent interest rate risks are generally transferred from Global Wealth Management and Personal & Corporate Banking to Group Treasury, to manage them centrally within Corporate Center. This allows for the netting of interest rate risks across different sources, while leaving the originating businesses with commercial margin and volume management. The residual interest rate risk is mainly hedged with interest rate swaps, to the vast majority of which we apply hedge accounting. Short-term exposures and high-quality liquid assets classified as Financial assets at fair value not held for trading are hedged with derivatives accounted for on a mark-to-market basis. Long-term fixed-rate debt issued is hedged with interest rate swaps designated in fair value hedge accounting relationships.

We actively manage IRRBB, with the objective of reducing the volatility of NII, while keeping the EVE sensitivity within set internal risk limits.


EVE and NII sensitivity are monitored against limits and triggers, both at consolidated and at significant legal entity levels. We also assess the sensitivity of EVE and NII under stressed market conditions by applying a suite of parallel and non-parallel interest rate scenarios, as well as specific economic scenarios.

The Interest Rate Risk in the Banking Book Strategy Committee, a subcommittee of the Group Asset and Liability Management Committee (ALCO), and, where relevant, ALCOs at a legal entity level perform independent oversight over the management of IRRBB. IRRBB is also subject to Group Internal Audit and model governance. Refer to “Group Internal Audit” in the “Corporate governance” section and to “Risk measurement” in the “Risk management and control” section of our Annual Report 2018 for more information.

The cash flows from client deposits and lending products used in the calculation of EVE sensitivity exclude commercial margins and other spread components, are aggregated for each business day and are discounted using risk-free rates. Our external issuances are discounted using UBS’s fund transfer curve, and capital instruments are modelled to the first call date. NII sensitivity is calculated over a one-year time horizon assuming constant balance sheet structure and volumes and considers the flooring impact of embedded interest rate options.

The average repricing maturity of non-maturing deposits and loans is determined via a replication portfolio strategy that protects product margin. The optimal replicating portfolio is determined at a granular currency- and product-specific level by simulating and applying a real-world market rate model to historically calibrated client rate and volume models.

We use an econometric prepayment model to forecast prepayment rates on US mortgage whole loans in UBS Bank USA, as well as agency mortgage-backed securities (MBS) held in various liquidity portfolios of UBS Americas Holding LLC consolidated. These prepayment rates are used to forecast both mortgage whole loan and MBS balances under various macroeconomic scenarios. The prepayment model is used for a variety of purposes, including risk management and regulatory stress testing. Mortgages in Switzerland generally do not carry similar optionality, due to prepayment penalties.

The interest rate risk sensitivity figures presented in the IRRBB1 table below represent the effect of six interest rate scenarios defined by FINMA on the theoretical present value of the banking book as well as the impact of the two parallel shock scenarios on the net interest income of the banking book. EVE sensitivity excludes equity, goodwill, real estate and additional tier 1 (AT1) capital instruments.

 

40


 

As of 30 June 2019, the most adverse of the six FINMA interest rate scenarios with regard to EVE was the “Parallel up” scenario (+200 basis points for US dollars and +150 basis points for Swiss francs), resulting in a change of the economic value of equity of negative USD 4.5 billion, representing a pro-forma effect equal to 9.0% of tier 1 capital, which is well below the threshold of 15% of tier 1 capital of the regulatory outlier test in the IRRBB regulation. The immediate effect of the “Parallel up” scenario on tier 1 capital as of 30 June 2019 would be a reduction of 0.5%, or USD 0.2 billion, relating to the part of our banking book that is measured at fair value through profit or loss with recognition in eligible capital and a positive effect from pension funds.


The more adverse of the two parallel interest rate scenarios with regard to NII over the next 12 months was the “Parallel up” scenario, resulting in a potential change of negative USD 0.4 billion. This excludes the contribution from cash held at central banks as per FINMA Pillar 3 disclosure requirements. With the inclusion of the cash held at central banks, the NII would increase by USD 0.9 billion under the “Parallel up” scenario.  

®   Refer to our second quarter 2019 report for more information about IRRBB

 

 

 

 

USD Scenarios1

Description

Parallel up

rates for all tenors move by +200 bps

Parallel down

rates for all tenors move by –200 bps

Steepener

front-end moves by –195 bps, long-end by +134 bps

Flattener

front-end moves by +240 bps, long-end by –89 bps

Short-term up

front-end moves by +300 bps, long-end by +1 bp

Short-term down

front-end moves by –300 bps, long-end by –1 bp

 

1 The six scenarios for other currencies have a similar shape, but different magnitude: the parallel shocks are 150 basis points for CHF, 200 basis points for EUR, and 250 basis points for GBP. The term “front-end” stands for overnight tenor and “long-end” for a 20-year tenor of the yield curve. Refer to FINMA Circular 2019/2 for more information.

 

41


UBS Group AG

Annual |

IRRBB1: Quantitative information on IRRBB

As of 30.6.19

 

 

 

 

USD million

 

Delta EVE – Change of economic value of equity

 

Delta NII – Change of Net interest income2

Parallel up

 

 (4,504) 

 

 (355) 

Parallel down

 

 3,807 

 

 204 

Steepener

 

 (749) 

 

 

Flattener

 

 (298) 

 

 

Short rate up

 

 (1,908) 

 

 

Short rate down

 

 2,048 

 

 

Maximum1

 

 (4,504) 

 

 (355) 

 

 

 

 

 

Period

 

 

 

30.6.19

Tier 1 capital

 

 49,993 

1 “Maximum” indicates the most adverse interest rate scenario as shown in the table.    2 Disclosure of the NII sensitivity is only required for the two parallel shock scenarios. The NII estimates are based on hypothetical scenarios of immediate changes in interest rates and assume no change to balance sheet size and structure, constant foreign exchange rates and no specific management action. Furthermore, the change in NII does not include the contribution from cash held at central banks.

p

 

 

Annual |

IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk

As of 30.6.19

 

 

Volume1

 

Average interest rate repricing period (in years)

 

Maximum interest rate repricing period (in years)  for exposures with modelled interest rate repricing dates

USD million, except where indicated

 

Total

of which: CHF

of which: EUR

of which: USD

 

Total

of which: CHF

 

Total

of which: CHF

Determined

repricing period

Loans and advances to banks

 

 12,193 

 4,459 

 3,628 

 4,086

 

 0.69 

 0.91 

 

 

 

Loans and advances to customers

 

 144,803 

 35,569 

 12,117 

 73,908 

 

 0.64 

 1.38 

 

 

 

Money market mortgages

 

 39,551 

 39,551 

 

 

 

 0.15 

 0.15 

 

 

 

Fixed-rate mortgages

 

 83,709 

 83,709 

 0 

 0 

 

 4.13 

 4.13 

 

 

 

Financial investments

 

 50,450 

 1,231 

 4,974 

 31,685 

 

 1.80 

 3.72 

 

 

 

Other receivables

 

 172,358 

 

 26,125 

 95,684 

 

 0.13 

 0.10 

 

 

 

Receivables from interest rate derivatives

 

 687,361 

 104,235 

 145,253 

 353,448 

 

 1.29 

 0.98 

 

 

 

Amounts due to banks

 

 (12,816) 

 (3,360) 

 (11) 

 (9,269) 

 

 1.37 

 1.46 

 

 

 

Customer deposits

 

 (52,696) 

 (195) 

 (1,284) 

 (39,129) 

 

 0.40 

 0.49 

 

 

 

Medium-term notes

 

 (75) 

 (73) 

 (1) 

 

 

 2.73 

 2.72 

 

 

 

Bonds and covered bonds

 

 (97,060) 

 (9,984) 

 (32,653) 

 (46,605) 

 

 1.81 

 5.05 

 

 

 

Other liabilities

 

 (117,535) 

 0 

 (22,200) 

 (64,966) 

 

 0.11 

 0.01 

 

 

 

Liabilities from interest rate derivatives

 

 (687,321) 

 (127,566) 

 (93,615) 

 (341,800) 

 

 0.68 

 0.86 

 

 

 

Undetermined

repricing period

Loans and advances to banks

 

 

 

 

 

 

 

 

 

 

 

Loans and advances to customers

 

 15,739 

 2,030 

 3,114 

 9,186 

 

 1.17 

 0.91 

 

 

 

Variable-rate mortgages

 

 17,921 

 

 

 14,482 

 

 3.92 

   

 

 

 

Other receivables on sight

 

 2,173 

 2,173 

 

 

 

 1.31 

 1.31 

 

 

 

Liabilities on sight in personal and current accounts

 

 (261,637) 

 (83,101) 

 (55,465) 

 (101,572) 

 

 1.30 

 1.32 

 

 

 

Other liabilities on sight

 

 

 

 

 

 

 

 

 

 

 

Liabilities from client deposits, callable but not transferable

 

 (112,048) 

 (112,048) 

 

 

 

 2.16 

 2.16 

 

 

 

Total

 

 409,519 

 199,352 

 58,579 

 125,241 

 

 1.20 

 1.74 

 

 10 

 10 

1 The volume figures cover only banking book positions excluding subordinated liabilities and are risk-based measures which differ from the accounting values on the IFRS balance sheet.

p

  

42


 

 

Section 8  Going and gone concern requirements and eligible capital

The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by FINMA. More information about capital management is provided on pages 47–56 of our second quarter 2019 report, which is available under “Quarterly reporting” at www.ubs.com/investors

 

Quarterly |

Swiss SRB going and gone concern requirements and information

 

 

Swiss SRB, including transitional arrangements

 

Swiss SRB as of 1.1.20

As of 30.6.19

 

RWA

LRD

 

RWA

LRD

USD million, except where indicated

 

in %

 

in %

 

 

in %

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 13.89 

 36,401 

 4.50 

 41,012 

 

 14.611

 38,289 

 5.001

 45,569 

Common equity tier 1 capital

 

 9.99 

 26,178 

 3.20 

 29,164 

 

 10.31 

 27,017 

 3.50 

 31,898 

of which: minimum capital

 

 4.90 

 12,845 

 1.70 

 15,493 

 

 4.50 

 11,796 

 1.50 

 13,671 

of which: buffer capital

 

 4.78 

 12,530 

 1.50 

 13,671 

 

 5.50 

 14,417 

 2.00 

 18,228 

of which: countercyclical buffer

 

 0.31 

 803 

 

 

 

 0.31 

 803 

 

 

Maximum additional tier 1 capital

 

 3.90 

 10,223 

 1.30 

 11,848 

 

 4.30 

 11,272 

 1.50 

 13,671 

of which: additional tier 1 capital

 

 3.10 

 8,126 

 1.30 

 11,848 

 

 3.50 

 9,175 

 1.50 

 13,671 

of which: additional tier 1 buffer capital

 

 0.80 

 2,097 

 

 

 

 0.80 

 2,097 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 21.22 

 55,618 

 6.10 

 55,618 

 

 19.07 

 49,993 

 5.49 

 49,993 

Common equity tier 1 capital

 

 13.33 

 34,948 

 3.83 

 34,948 

 

 13.33 

 34,948 

 3.83 

 34,948 

Total loss-absorbing additional tier 1 capital

 

 7.89 

 20,670 

 2.27 

 20,670 

 

 5.74 

 15,045 

 1.65 

 15,045 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4.81 

 12,609 

 1.38 

 12,609 

 

 4.81 

 12,609 

 1.38 

 12,609 

of which: low-trigger loss-absorbing additional tier 1 capital2

 

 0.93 

 2,436 

 0.27 

 2,436 

 

 0.93 

 2,436 

 0.27 

 2,436 

of which: low-trigger loss-absorbing tier 2 capital3

 

 2.15 

 5,625 

 0.62 

 5,625 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Required gone concern capital

 

 

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 9.74 

 25,542 

 3.36 

 30,622 

 

 10.69 

 28,014 

 3.82 

 34,804 

of which: base requirement

 

 10.52 

 27,577 

 3.63 

 33,038 

 

 12.86 

 33,711 

 4.50 

 41,012 

of which: additional requirement for market share and LRD

 

 1.08 

 2,831 

 0.38 

 3,418 

 

 1.44 

 3,775 

 0.50 

 4,557 

of which: applicable reduction on requirements

 

 (1.86) 

 (4,865) 

 (0.64) 

 (5,833) 

 

 (3.61) 

 (9,471) 

 (1.18) 

 (10,765) 

of which: rebate granted (equivalent to 40% of maximum rebate)

 

 (1.86) 

 (4,865) 

 (0.64) 

 (5,833) 

 

 (2.29) 

 (5,998) 

 (0.80) 

 (7,291) 

of which: reduction for usage of low-trigger tier 2 capital instruments

 

 

 

 

 

 

 (1.33) 

 (3,474) 

 (0.38) 

 (3,474) 

 

 

 

 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 12.11 

 31,744 

 3.48 

 31,744 

 

 14.26 

 37,370 

 4.10 

 37,370 

Total tier 2 capital

 

 0.77 

 2,024 

 0.22 

 2,024 

 

 2.92 

 7,649 

 0.84 

 7,649 

of which: low-trigger loss-absorbing tier 2 capital

 

 0.50 

 1,322 

 0.15 

 1,322 

 

 2.65 

 6,947 

 0.76 

 6,947 

of which: non-Basel III-compliant tier 2 capital

 

 0.27 

 702 

 0.08 

 702 

 

 0.27 

 702 

 0.08 

 702 

TLAC-eligible senior unsecured debt

 

 11.34 

 29,721 

 3.26 

 29,721 

 

 11.34 

 29,721 

 3.26 

 29,721 

 

 

 

 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 23.63 

 61,944 

 7.86 

 71,634 

 

 25.29 

 66,303 

 8.82 

 80,373 

Eligible total loss-absorbing capacity

 

 33.33 

 87,363 

 9.59 

 87,363 

 

 33.33 

 87,363 

 9.59 

 87,363 

 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

 262,135 

 

 

 

 262,135 

 

 

Leverage ratio denominator

 

 

 

 911,379 

 

 

 

 911,379 

1 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD.    2 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until their first call date, even if the first call date is after 31 December 2019. As of their first call date, these instruments are eligible to meet the gone concern requirements.    3 Includes outstanding low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and to meet gone concern requirements thereafter. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity, with the amortized portion qualifying as gone concern loss-absorbing capacity. Instruments available to meet gone concern requirements are eligible until one year before maturity, with a haircut of 50% applied in the last year of eligibility.   

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43


UBS Group AG

Explanation of the differences between the IFRS and regulatory scopes of consolidation

Quarterly | The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under International Financial Reporting Standards (IFRS) and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and are active in banking and finance. However, subsidiaries consolidated under IFRS the business of which is outside the banking and finance sector are excluded from the regulatory scope of consolidation.

The key differences between the IFRS and regulatory capital scopes of consolidation as of 30 June 2019 related to investments in insurance, real estate and commercial companies as well as investment vehicles that are consolidated under IFRS, but not for regulatory capital purposes, where they are subject to risk-weighting.

The table below provides a list of the most significant entities that were included in the IFRS scope of consolidation, but not in the regulatory capital scope of consolidation. These entities account for most of the difference between the “Balance sheet
in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the CC2 table and such difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of
30 June 2019, entities consolidated under either the IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.

In the banking book, certain equity investments are not consolidated under either the IFRS or the regulatory scope of consolidation. As of 30 June 2019, these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, and stock and financial futures exchanges) and included our participation in the SIX Group. These investments were risk-weighted based on applicable threshold rules.

More information about the legal structure of the UBS Group and about the IFRS scope of consolidation is provided on pages 12–13 and 328–329, respectively, of our Annual Report 2018, which is available under “Annual reporting” at www.ubs.com/investors.

 

Quarterly |

Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation

 

 

30.6.19

 

 

USD million

 

Total assets1

Total equity1

 

 

Purpose

UBS Asset Management Life Ltd

 

 25,132 

 41 

 

 

Life Insurance

A&Q Alpha Select Hedge Fund Limited

 

 297 

 2972

 

 

Investment vehicle for multiple investors

A&Q Alternative Solution Limited

 

 244 

 2402

 

 

Investment vehicle for multiple investors

A&Q Alternative Solution Master Limited

 

 238 

 2382

 

 

Investment vehicle for multiple investors

UBS Life Insurance Company USA

 

 157 

 43 

 

 

Life insurance

1 Total assets and total equity on a standalone basis.    2 Represents the net asset value of issued fund units. These fund units are subject to liability treatment in the consolidated financial statements in accordance with IFRS.

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44


 

Semiannual | The table below and on the next page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the CC1 table.

 

Semiannual |

CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation

As of 30.6.19

Balance sheet in

accordance with

IFRS scope

of consolidation

Effect of deconsolidated entities for regulatory consolidation

Effect of additional consolidated entities for regulatory consolidation

Balance sheet in accordance with regulatory scope of consolidation

Ref1

USD million

 

 

 

 

 

Assets

 

 

 

 

 

Cash and balances at central banks

 101,457 

 0 

 

 101,457 

 

Loans and advances to banks

 12,916 

 (235) 

 

 12,680 

 

Receivables from securities financing transactions

 92,919 

 

 

 92,919 

 

Cash collateral receivables on derivative instruments

 23,774 

 

 

 23,774 

 

Loans and advances to customers

 322,655 

 56 

 

 322,711 

 

Other financial assets measured at amortized cost

 22,158 

 (345) 

 

 21,813 

 

Total financial assets measured at amortized cost

 575,878 

 (524) 

 0 

 575,354 

 

Financial assets at fair value held for trading

 120,173 

 (438) 

 

 119,736 

 

of which: assets pledged as collateral that may be sold or repledged by counterparties

 36,010 

 

 

 36,010 

 

Derivative financial instruments

 121,686 

 10 

 

 121,696 

 

Brokerage receivables

 16,915 

 

 

 16,915 

 

Financial assets at fair value not held for trading

 89,569 

 (24,710) 

 

 64,860 

 

Total financial assets measured at fair value through profit or loss

 348,343 

 (25,137) 

 0 

 323,206 

 

Financial assets measured at fair value through other comprehensive income

 7,422 

 0 

 0 

 7,422 

 

Consolidated participations

 0 

 95 

 

 95 

 

Investments in associates

 1,049 

 

 

 1,049 

 

of which: goodwill

 177 

 

 

 177 

 4 

Property, equipment and software

 12,694 

 (48) 

 

 12,645 

 

Goodwill and intangible assets

 6,624 

 0 

 

 6,624 

 

of which: goodwill

 6,392 

 0 

 

 6,393 

 4 

of which: intangible assets

 232 

 

 

 232 

 5 

Deferred tax assets

 9,571 

 0 

 

 9,571 

 

of which: deferred tax assets recognized for tax loss carry-forwards

 5,988 

 0 

 

 5,988 

 6 

of which: deferred tax assets on temporary differences                

 3,583 

 0 

 

 3,583 

 10 

Other non-financial assets

 7,146 

 (10) 

 

 7,137 

 

of which: net defined benefit pension and other post-employment assets

 3 

 

 

 3 

 8 

Total assets

 968,728 

 (25,625) 

 0 

 943,103 

 

 

 

 

 

 

 

 

45


UBS Group AG

 

CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued) 

As of 30.6.19

Balance sheet in

accordance with

IFRS scope

of consolidation

Effect of deconsolidated entities for regulatory consolidation

Effect of additional consolidated entities for regulatory consolidation

Balance sheet in accordance with regulatory scope of consolidation

Ref1

USD million

 

 

 

 

 

Liabilities

 

 

 

 

 

Amounts due to banks

 9,494 

 

 

 9,494 

 

Payables from securities financing transactions

 6,798 

 

 

 6,798 

 

Cash collateral payables on derivative instruments

 31,448 

 0 

 

 31,448 

 

Customer deposits

 433,017 

 (38) 

 

 432,979 

 

Debt issued measured at amortized cost

 120,805 

 (5) 

 

 120,799 

 

of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital

 10,595 

 

 

 10,595 

 9 

of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital

 2,436 

 

 

 2,436 

 9 

of which: amount eligible for low-trigger loss-absorbing tier 2 capital

 6,947 

 

 

 6,947 

 11 

of which: amount eligible for capital instruments subject to phase-out from tier 2 capital

 702 

 

 

 702 

 12 

Other financial liabilities measured at amortized cost

 10,520 

 (488) 

 

 10,032 

 

Total financial liabilities measured at amortized cost

 612,082 

 (532) 

 0 

 611,550 

 

Financial liabilities at fair value held for trading

 32,261 

 0 

 

 32,261 

 

Derivative financial instruments

 121,087 

 4 

 

 121,091 

 

Brokerage payables designated at fair value

 36,929 

 

 

 36,929 

 

Debt issued designated at fair value

 67,984 

 2 

 

 67,987 

 

Other financial liabilities designated at fair value

 34,407 

 (25,087) 

 

 9,321 

 

Total financial liabilities measured at fair value through profit or loss

 292,668 

 (25,081) 

 0 

 267,587 

 

Provisions

 3,011 

 0 

 

 3,010 

 

Other non-financial liabilities

 7,617 

 (2) 

 

 7,615 

 

of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))2

 1,504 

 

 

 1,504 

 9 

of which: deferred tax liabilities related to goodwill

 265 

 

 

 265 

 4 

of which: deferred tax liabilities related to other intangible assets

 0 

 

 

 0 

 5 

Total liabilities

 915,378 

 (25,615) 

 0 

 889,763 

 

Equity

 

 

 

 

 

Share capital

 338 

 

 

 338 

 1 

Share premium

 17,802 

 

 

 17,802 

 1 

Treasury shares

 (2,843) 

 

 

 (2,843) 

 3 

Retained earnings

 32,548 

 (18) 

 

 32,530 

 2 

Other comprehensive income recognized directly in equity, net of tax

 5,335 

 8 

 

 5,343 

 3 

of which: unrealized gains / (losses) from cash flow hedges

 1,346 

 

 

 1,346 

 7 

Equity attributable to shareholders

 53,180 

 (10) 

 0 

 53,170 

 

Equity attributable to non-controlling interests

 170 

 

 

 170 

 

Total equity

 53,350 

 (10) 

 0 

 53,340 

 

Total liabilities and equity

 968,728 

 (25,625) 

 0 

 943,103 

 

1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC1: Composition of regulatory capital” table.    2 IFRS carrying value is USD 1,671 million. Refer to the “Compensation” section of our Annual Report 2018 for more information about the DCCP.

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46


 

Composition of capital

Semiannual | The CC1 table below and on the following pages provides the composition of capital as defined by the BCBS and FINMA. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the CC2 table.


Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt” under “Bondholder information” at www.ubs.com/investors  for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions.

 

Semiannual |

CC1: Composition of regulatory capital

As of 30.6.19

Amounts

References1

USD million except where indicated

 

 

 

Common Equity Tier 1 capital: instruments and reserves

 

 

1

Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus

 18,140 

 1 

2

Retained earnings

 32,530 

 2 

3

Accumulated other comprehensive income (and other reserves)

 2,501 

 3 

4

Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies)

 

 

5

Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)

 

 

6

Common Equity Tier 1 capital before regulatory adjustments

 53,170 

 

 

Common Equity Tier 1 capital: regulatory adjustments

 

 

7

Prudent valuation adjustments

 (104) 

 

8

Goodwill (net of related tax liability)

 (6,305) 

 4 

9

Other intangibles other than mortgage servicing rights (net of related tax liability)

 (232) 

 5 

10

Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)2

 (6,208) 

 6 

11

Cash flow hedge reserve

 (1,346) 

 7 

12

Shortfall of provisions to expected losses

 (412) 

 

13

Securitization gain on sale

 

 

14

Gains and losses due to changes in own credit risk on fair valued liabilities

 (109) 

 

15

Defined benefit pension fund net assets

 (3) 

 8 

16

Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet)3

 (1,760) 

 9 

17

Reciprocal cross-holdings in common equity

 

 

17a

Qualified holdings where a significant influence is exercised with other owners (CET1 instruments)

 

 

17b

Immaterial investments (CET1 items)

 

 

18

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold)

 

 

19

Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold)

 

 

20

Mortgage servicing rights (amount above 10% threshold)

 

 

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)

 (266) 

 10 

22

Amount exceeding the 15% threshold

 

 

23

of which: significant investments in the common stock of financials

 

 

24

of which: mortgage servicing rights

 

 

25

of which: deferred tax assets arising from temporary differences

 

 

26

Expected losses on equity investment under the PD / LGD approach

 

 

26a

Further adjustments to financial statements in accordance with a recognized international accounting standard

 (56) 

 

26b

Other adjustments

 (1,421) 

 

27

Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions

 

 

28

Total regulatory adjustments to Common Equity Tier 1

 (18,222) 

 

29

Common Equity Tier 1 capital (CET1)

 34,948 

 

 

47


UBS Group AG

CC1: Composition of regulatory capital (Continued)

As of 30.6.19

Amounts

References1

USD million except where indicated

 

 

 

Additional Tier 1 capital: instruments

 

 

30

Directly issued qualifying additional Tier 1 instruments plus related stock surplus

 15,052 

 

31

of which: classified as equity under applicable accounting standards

 

 

32

of which: classified as liabilities under applicable accounting standards

 15,052 

 

33

Directly issued capital instruments subject to phase-out from additional Tier 1

 

 

34

Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)

 

 

35

of which: instruments issued by subsidiaries subject to phase-out

 

 

36

Additional Tier 1 capital before regulatory adjustments

 15,052 

 

 

Additional Tier 1 capital: regulatory adjustments

 

 

37

Investments in own additional Tier 1 instruments

 (7) 

 

38

Reciprocal cross-holdings in additional Tier 1 instruments

 

 

38a

Qualified holdings where a significant influence is exercised with other owners (AT1 instruments)

 

 

38b

Immaterial investments (AT1 instruments)

 

 

39

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)

 

 

40

Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation

 

 

41

Other adjustments

 

 

42

Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions

 

 

42a

Regulatory adjustments applied to CET1 capital due to insufficient additional Tier 1 to cover deductions

 

 

43

Total regulatory adjustments to additional Tier 1 capital

 

 

44

Additional Tier 1 capital (AT1)

 15,045 

 9 

45

Tier 1 capital (T1 = CET1 + AT1)

 49,993 

 

 

Tier 2 capital: instruments and provisions

 

 

46

Directly issued qualifying Tier 2 instruments plus related stock surplus

 5,6514

 11 

47

Directly issued capital instruments subject to phase-out from Tier 2

 720 

 12 

48

Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)

 

 

49

of which: instruments issued by subsidiaries subject to phase-out

 

 

50

Provisions

 

 

51

Tier 2 capital before regulatory adjustments

 6,370 

 

 

Tier 2 capital: regulatory adjustments

 

 

52

Investments in own Tier 2 instruments5

 (18) 

 12 

53

Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities

 

 

53a

Qualified holdings where a significant influence is exercised with other owners (T2 instruments and other TLAC instruments)

 

 

53b

Immaterial investments (T2 instruments and other TLAC instruments)

 

 

54

Investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)

 

 

55

Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

 

 

56

Other adjustments

 

 

56a

Excess of the adjustments, which are allocated to the AT1 capital

 

 

57

Total regulatory adjustments to Tier 2 capital

 (18) 

 

58

Tier 2 capital (T2)

 6,353 

 

59

Total regulatory capital (TC = T1 + T2)

 56,345 

 

60

Total risk-weighted assets

 262,135 

 

 

48


 

CC1: Composition of regulatory capital (Continued)

As of 30.6.19

Amounts

References1

USD million except where indicated

 

 

 

Capital ratios and buffers

 

 

61

Common Equity Tier 1 (as a percentage of risk-weighted assets)

 13.33 

 

62

Tier 1 (as a percentage of risk-weighted assets)

 19.07 

 

63

Total capital (as a percentage of risk-weighted assets)

 21.49 

 

64

Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)6

 3.59 

 

65

of which: capital conservation buffer requirement

 2.50 

 

66

of which: bank-specific countercyclical buffer requirement

 0.09 

 

67

of which: higher loss absorbency requirement 

 1.00 

 

68

Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements

 8.83 

 

 

Amounts below the thresholds for deduction (before risk weighting)

 

 

72

Non-significant investments in the capital and other TLAC liabilities of other financial entities

 1,482 

 

73

Significant investments in the common stock of financial entities

 911 

 

74

Mortgage servicing rights (net of related tax liability)

 

 

75

Deferred tax assets arising from temporary differences (net of related tax liability)

 3,787 

 

 

Applicable caps on the inclusion of provisions in Tier 2

 

 

76

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap)

 

 

77

Cap on inclusion of provisions in Tier 2 under standardized approach

 

 

78

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)

 

 

79

Cap for inclusion of provisions in Tier 2 under internal ratings-based approach

 

 

 

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022) according to ERV Art. 141

 

 

80

Current cap on CET1 instruments subject to phase-out arrangements

 

 

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

 

 

82

Current cap on AT1 instruments subject to phase-out arrangements

 

 

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

 

 

84

Current cap on T2 instruments subject to phase-out arrangements

 1,715 

 

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

 

 

1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table.    2 IFRS netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital.    3 Includes USD 510 million in DCCP-related charge for regulatory capital purposes.    4 Consists of instruments with a IFRS carrying value of USD 6.9 million less amortization of instruments where remaining maturity is more than one year, and 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income, which are measured at the lower of cost or market value for regulatory capital purposes.    5 Consists of own instruments for phase-out tier 2 capital of USD 17.8 million.    6 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital management“ section of our Annual Report 2018 for more information about the Swiss SRB requirements.

p

 

Semiannual | The table below provides details of the underlying exposures and RWA used in the computation of the countercyclical buffer of UBS Group AG. Further information about the methodology of geographical allocation used is provided on page 166 of our Annual Report 2018, in the “Country risk exposure allocation” section. Effective from 1 January 2019, the countercyclical capital buffer rate for Hong Kong increased to 2.5%, whereas the 2% rate for Sweden was no longer subject to phase-in arrangements as compared with 2018.

 

Semiannual |

CCyB1: Geographical distribution of credit exposures used in the countercyclical capital buffer

USD million, except where indicated

 

 

 

 

 

 

Geographical breakdown

Countercyclical capital buffer rate, %

Exposure values and / or risk-weighted assets used in the computation of the countercyclical capital buffer

Bank-specific countercyclical capital buffer rate, %

Countercyclical amount

Exposure values1

 

Risk-weighted assets

Hong Kong

 2.500 

 6,029 

 

 2,020 

 

 

Sweden

 2.000 

 1,273 

 

 390 

 

 

United Kingdom

 1.000 

 38,716 

 

 8,427 

 

 

Sum

 

 46,018 

 

 10,837 

 

 

Total

 

 518,333 

 

 157,781 

 0.09 

 237 

1 Includes private sector exposures in the countries that are Basel Committee on Banking Supervision member jurisdictions under categories “Credit risk,” “counterparty credit risk,” “equity positions in the banking book,” “settlement risk,” “securitization exposures in the banking book” and “amounts below thresholds for deduction” as shown in the “Regulatory exposures and risk-weighted assets” table in section 2 of this report.   

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49


UBS Group AG

Section 9  Total loss-absorbing capacity

Resolution Group – composition of total loss absorbing capacity (TLAC)

Semiannual |

The TLAC1 table below is based on Basel Committee on Banking Supervision (BCBS) phase-in rules, and only applicable for UBS Group AG as the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g. a bail-in) are expected to be applied.

 

Semiannual |

TLAC1: TLAC Composition for G-SIBs (at resolution group level)

As of 30.6.19

 

 

USD million, except where indicated

 

 

 

Regulatory capital elements of TLAC and adjustments

 

 

1

Common Equity Tier 1 capital (CET1)

 

 34,948 

2

Additional Tier 1 capital (AT1) before TLAC adjustments 

 

 15,045 

3

AT1 ineligible as TLAC as issued out of subsidiaries to third parties

 

 

4

Other adjustments 

 

 

5

Total AT1 instruments eligible under the TLAC framework 

 

 15,045 

6

Tier 2 capital (T2) before TLAC adjustments 

 

 6,353 

7

Amortized portion of T2 instruments where remaining maturity > 1 year 

 

 1,322 

8

T2 capital ineligible as TLAC as issued out of subsidiaries to third parties

 

 

9

Other adjustments 

 

 

10

Total T2 instruments eligible under the TLAC framework 

 

 7,675 

11

TLAC arising from regulatory capital 

 

 57,668 

 

Non-regulatory capital elements of TLAC 

 

 

12

External TLAC instruments issued directly by the bank and subordinated to excluded liabilities

 

 

13

External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements

 

 

14

of which: amount eligible as TLAC after application of the caps

 

n/a

15

External TLAC instruments issued by funding vehicles prior to 1 January 2022

 

 29,721 

16

Eligible ex ante commitments to recapitalize a G-SIB in resolution

 

 

17

TLAC arising from non-regulatory capital instruments before adjustments

 

 29,721 

 

Non-regulatory capital elements of TLAC: adjustments

 

 

18

TLAC before deductions

 

 87,388 

19

Deductions of exposures between multiple-point-of-entry (MPE) resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs)

 

n/a

20

Deduction of investments in own other TLAC liabilities

 

 

21

Other adjustments to TLAC 

 

 

22

TLAC after deductions

 

 87,388 

 

Risk-weighted assets and leverage exposure measure for TLAC purposes

 

 

23

Total risk-weighted assets adjusted as permitted under the TLAC regime

 

 262,135 

24

Leverage exposure measure

 

 911,379 

 

TLAC ratios and buffers

 

 

25

TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)

 

 33.34 

26

TLAC (as a percentage of leverage exposure)

 

 9.59 

27

CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements

 

 8.83 

28

Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)

 

 3.59 

29

of which: capital conservation buffer requirement

 

 2.50 

30

of which: bank specific countercyclical buffer requirement

 

 0.09 

31

of which: higher loss absorbency requirement 

 

 1.00 

 

p

 

 

50


 

Resolution Entity – creditor ranking at legal entity level

Semiannual | The TLAC3 table below provides an overview of the creditor ranking structure of the resolution entity UBS Group AG on a standalone basis.

As of 30 June 2019, UBS had issued loss-absorbing additional tier 1 (AT1) capital instruments and bail-in debt through UBS Group Funding (Switzerland) AG, a direct subsidiary of UBS Group AG, for a nominal amount of USD 44,645 million. These liabilities are not reflected in the TLAC3 table below. Upon occurrence of a restructuring event, UBS Group AG would automatically be substituted as the issuer of these instruments. It is expected that during the fourth quarter of 2019 UBS Group AG will assume the outstanding capital and debt instruments that were previously issued by UBS Group Funding (Switzerland) AG. New loss absorbing AT1 capital instruments and total loss absorbing-capacity (TLAC)-eligible senior unsecured debt are issued out of UBS Group AG.


UBS Group AG grants Deferred Contingent Capital Plan (DCCP) awards to UBS Group employees. Awards granted since February 2015 qualify as Basel III AT1 capital on a UBS Group consolidated basis and amounted to USD 2,014 million as of 30 June 2019. The related liabilities of UBS Group AG on a standalone basis of USD 1,493 million are not included in the table below, as these do not give rise to a current claim until the awards are legally vested.

As of 30 June 2019, the TLAC available on a UBS Group consolidated basis amounted to USD 87,388 million.

®   Refer to “Bondholder information” at www.ubs.com/investors  for more information

®   Refer to the “TLAC1: composition for G-SIBs (at resolution group level)” table in section 8 of this report for more information about TLAC for UBS Group AG consolidated

 

Financial information for UBS Group AG standalone for the six months ended 30 June 2019 is provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors.

 

 

Semiannual |

TLAC3: creditor ranking at legal entity level for the resolution entity UBS Group AG

 

As of 30.6.19

 

Creditor ranking

 

Total

USD million

 

1

2

3

 

 

1

Description of creditor ranking

 

Common shares

(most junior)2

Additional Tier 1

Bail-in debt and pari-passu liabilities

(most senior)3

 

 

2

Total capital and liabilities net of credit risk mitigation1

 

 39,892 

 

 1,030 

 

 40,921 

3

Subset of row 2 that are excluded liabilities 

 

 

 

 

 

 

4

Total capital and liabilities less excluded liabilities (row 2 minus row 3)

 

 39,892 

 

 1,030 

 

 40,921 

5

Subset of row 4 that are potentially eligible as TLAC 

 

 39,892 

 

 

 

 39,892 

6

Subset of row 5 with 1 year ≤ residual maturity < 2 years

 

 

 

 

 

 

7

Subset of row 5 with 2 years ≤ residual maturity < 5 years

 

 

 

 

 

 

8

Subset of row 5 with 5 years ≤ residual maturity < 10 years

 

 

 

 

 

 

9

Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities

 

 

 

 

 

 

10

Subset of row 5 that is perpetual securities

 

 39,892 

 

 

 

 39,892 

1 No credit risk mitigation is applied to capital and liabilities for UBS Group AG standalone.    2 Common shares including the associated reserves are equal to equity attributable to shareholders as disclosed in the UBS Group AG standalone financial information for the six months ended 30 June 2019, which was prepared in accordance with the principles of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations).    3 Represents interest-bearing liabilities which comprise loans from UBS AG and UBS Switzerland AG as well tax liabilities which are not excluded liabilities under Swiss law that rank pari-passu to bail-in debt.

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51


UBS Group AG

 

Section 10  Leverage ratio

BCBS Basel III leverage ratio

Quarterly | The Basel Committee on Banking Supervision (BCBS) leverage ratio is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD). The LRD consists of IFRS on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement value and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).

The table on this page shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table on the following page. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS
calculation. In addition, carrying values for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.

As of 30 June 2019, our BCBS Basel III leverage ratio was 5.5% and the BCBS Basel III LRD was USD 911 billion.

Difference between the Swiss SRB and BCBS leverage ratio

Quarterly | The LRD is the same under Swiss SRB and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules, only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules we are required to meet going as well as gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.

 

Quarterly |

Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions

USD million

30.6.19

31.3.19

On-balance sheet exposures

 

 

IFRS total assets

 968,727 

 956,580 

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation

 (25,625) 

 (25,074) 

Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes

 0 

 0 

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 0 

 0 

Less carrying value of derivative financial instruments in IFRS total assets1

 (145,470) 

 (136,335) 

Less carrying value of securities financing transactions in IFRS total assets2

 (120,008) 

 (124,070) 

Adjustments to accounting values

 0 

 0 

On-balance sheet items excluding derivatives and securities financing transactions, but including collateral

 677,624 

 671,101 

Asset amounts deducted in determining BCBS Basel III tier 1 capital

 (13,461) 

 (13,588) 

Total on-balance sheet exposures (excluding derivatives and securities financing transactions)

 664,164 

 657,514 

1 Consists of derivative financial instruments and cash collateral receivables on derivative instruments in accordance with the regulatory scope of consolidation.    2 Consists of receivables from securities financing transactions, margin loans, prime brokerage receivables and financial assets at fair value not held for trading related to securities financing transactions in accordance with the regulatory scope of consolidation.

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Quarterly |

LR2: BCBS Basel III leverage ratio common disclosure

 

 

USD million, except where indicated

30.6.19

31.3.19

 

 

 

 

 

On-balance sheet exposures

 

 

1

On-balance sheet items excluding derivatives and SFTs, but including collateral

 677,624 

 671,101 

2

(Asset amounts deducted in determining Basel III tier 1 capital)

 (13,461) 

 (13,588) 

3

Total on-balance sheet exposures (excluding derivatives and SFTs)

 664,164 

 657,514 

 

 

 

 

 

Derivative exposures

 

 

4

Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)

 39,849 

 40,032 

5

Add-on amounts for PFE associated with all derivatives transactions

 84,806 

 86,524 

6

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework

 0 

 0 

7

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

 (14,218) 

 (13,012) 

8

(Exempted CCP leg of client-cleared trade exposures)

 (19,289) 

 (20,126) 

9

Adjusted effective notional amount of all written credit derivatives1

 71,554 

 74,842 

10

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)2

 (69,663) 

 (73,213) 

11

Total derivative exposures

 93,039 

 95,046 

 

 

 

 

 

Securities financing transaction exposures

 

 

12

Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions

 221,683 

 213,202 

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

 (101,676) 

 (89,132) 

14

CCR exposure for SFT assets

 8,672 

 8,075 

15

Agent transaction exposures

 0 

 0 

16

Total securities financing transaction exposures

 128,680 

 132,145 

 

 

 

 

 

Other off-balance sheet exposures

 

 

17

Off-balance sheet exposure at gross notional amount

 73,852 

 78,673 

18

(Adjustments for conversion to credit equivalent amounts)

 (48,354) 

 (52,385) 

19

Total off-balance sheet items

 25,497 

 26,287 

 

Total exposures (leverage ratio denominator)

 911,379 

 910,993 

 

 

 

 

 

Capital and total exposures (leverage ratio denominator)

 

 

20

Tier 1 capital

 49,993 

 49,436 

21

Total exposures (leverage ratio denominator)

 911,379 

 910,993 

 

 

 

 

 

Leverage ratio

 

 

22

Basel III leverage ratio (%)

 5.5 

 5.4 

1 Includes protection sold, including agency transactions.    2 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met.

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UBS Group AG

Quarterly | LRD remained stable at USD 911 billion in the second quarter of 2019, as the increase from currency effects was substantially offset by the decrease in asset size and other movements.    

 

 

Quarterly |

LR1: BCBS Basel III leverage ratio summary comparison

 

 

USD million

30.6.19

31.3.19

1

Total consolidated assets as per published financial statements

 968,727 

 956,580 

2

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1

 (39,085) 

 (38,661) 

3

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 0 

 0 

4

Adjustments for derivative financial instruments

 (52,432) 

 (41,289) 

5

Adjustment for securities financing transactions (i.e., repos and similar secured lending)

 8,672 

 8,075 

6

Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)

 25,497 

 26,287 

7

Other adjustments

 0 

 0 

8

Leverage ratio exposure (leverage ratio denominator)

 911,379 

 910,993 

1 This item includes assets that are deducted from tier 1 capital.

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Quarterly |

BCBS Basel III leverage ratio

 

 

 

 

USD million, except where indicated

30.6.19

31.3.19

31.12.18

30.9.18

Total tier 1 capital

 49,993 

 49,436 

 46,279 

 45,972 

BCBS total exposures (leverage ratio denominator)

 911,379 

 910,993 

 904,598 

 915,066 

BCBS Basel III leverage ratio (%)

 5.5 

 5.4 

 5.1 

 5.0 

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Section 11  Liquidity coverage ratio

LIQ1: Liquidity risk management

Quarterly | We monitor the Liquidity coverage ratio (LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.  

 

Quarterly |

LIQ1: Liquidity risk management

Pillar 3 disclosure requirement

 

Quarterly Rerport

 

Disclosure

 

Second quarter 2019 report

 

 

 

 

 

 

 

 

Concentration of funding sources

 

Treasury management

 

Funding by product and currency

 

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High-quality liquid assets

Quarterly | HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing on
a developed and recognized exchange, existence of an active and sizeable market, and low volatility. Based on these characteristics, HQLA are categorized as Level 1 (primarily central bank reserves and government bonds) or Level 2 (primarily US and European agency bonds as well as non-financial corporate covered bonds). Level 2 assets are subject to regulatory haircuts and caps.

 

Quarterly |

High-quality liquid assets

 

 

 

 

 

 

Average 2Q191

 

Average 1Q191

USD billion

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

Cash balances3

 

 108 

 0 

 108 

 

 115 

 0 

 115 

Securities (on- and off-balance sheet)

 

 53 

 15 

 68 

 

 58 

 13 

 71 

Total high-quality liquid assets4

 

 161 

 15 

 176 

 

 173 

 13 

 186 

1 Calculated based on an average of 65 data points in the second quarter of 2019 and 63 data points in the first quarter of 2019.    2 Calculated after the application of haircuts.    3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.    4 Calculated in accordance with FINMA requirements.

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UBS Group AG

Liquidity coverage ratio

Quarterly | In the second quarter of 2019, the UBS Group AG liquidity coverage ratio (LCR) decreased by 8 percentage points to 145%, remaining above the 110% Group LCR minimum communicated by the Swiss Financial Market Supervisory Authority (FINMA). The LCR decrease was mainly driven by a reduction in eligible HQLA relating to lower average cash balances, reflecting increased funding consumption by the business divisions.

 

Quarterly |

LIQ1: Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

Average 2Q191

 

Average 1Q191

USD billion, except where indicated

 

Unweighted value

Weighted value2

 

Unweighted value

Weighted value2

 

High-quality liquid assets

 

 

 

 

 

 

1

High-quality liquid assets

 

 179 

 176 

 

 188 

 186 

 

 

 

 

 

 

 

 

Cash outflows

 

 

 

 

 

 

2

Retail deposits and deposits from small business customers

 

 239 

 27 

 

 238 

 27 

3

of which: stable deposits

 

 31 

 1 

 

 34 

 1 

4

of which: less stable deposits

 

 207 

 26 

 

 204 

 26 

5

Unsecured wholesale funding

 

 186 

 106 

 

 183 

 103 

6

of which: operational deposits (all counterparties)

 

 41 

 10 

 

 42 

 10 

7

of which: non-operational deposits (all counterparties)

 

 132 

 82 

 

 130 

 82 

8

of which: unsecured debt

 

 13 

 13 

 

 11 

 11 

9

Secured wholesale funding

 

 

 74 

 

 

 73 

10

Additional requirements:

 

 75 

 22 

 

 72 

 24 

11

of which: outflows related to derivatives and other transactions

 

 41 

 15 

 

 38 

 16 

12

of which: outflows related to loss of funding on debt products3

 

 0 

 0 

 

 0 

 0 

13

of which: committed credit and liquidity facilities

 

 34 

 7 

 

 33 

 7 

14

Other contractual funding obligations

 

 14 

 12 

 

 14 

 13 

15

Other contingent funding obligations

 

 241 

 6 

 

 251 

 6 

16

Total cash outflows

 

 

 247 

 

 

 246 

 

 

 

 

 

 

 

 

Cash inflows

 

 

 

 

 

 

17

Secured lending

 

 297 

 85 

 

 296 

 84 

18

Inflows from fully performing exposures

 

 65 

 29 

 

 66 

 29 

19

Other cash inflows

 

 11 

 11 

 

 11 

 11 

20

Total cash inflows

 

 373 

 126 

 

 374 

 124 

 

 

 

 

 

 

 

 

 

Average 2Q191

 

 

Average 1Q191

USD billion, except where indicated

 

 

Total adjusted value4

 

 

Total adjusted value4

 

 

 

 

 

 

 

 

Liquidity coverage ratio

 

 

 

 

 

 

21

High-quality liquid assets

 

 

 176 

 

 

 186 

22

Net cash outflows

 

 

 121 

 

 

 122 

23

Liquidity coverage ratio (%)

 

 

 145 

 

 

 153 

1 Calculated based on an average of 65 data points in the second quarter of 2019 and 63 data points in the first quarter of 2019.    2 Calculated after the application of haircuts and inflow and outflow rates.    3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities.    4 Calculated after the application of haircuts and inflow and outflow rates as well as, where applicable, caps on Level 2 assets and cash inflows.

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Section 12  Requirements for global systemically important banks and related indicators

The Financial Stability Board (the FSB) has determined that UBS is a global systemically important bank (G-SIB), using an indicator-based methodology adopted by the Basel Committee on Banking Supervision (the BCBS). Banks that qualify as G-SIBs are required to disclose the 12 indicators for assessing the systemic importance of G-SIBs as defined by the BCBS. These indicators are used for the G-SIB score calculation and cover five categories: size, cross-jurisdictional activity, interconnectedness, substitutability / financial institution infrastructure and complexity.

Based on the published indicators, G-SIBs are subject to additional CET1 capital buffer requirements in a range from 1.0% to 3.5%. In November 2018, the FSB determined that the requirement for UBS is 1.0%. As our Swiss SRB Basel III capital requirements exceed the BCBS requirements including the G-SIB buffer, we are not affected by these additional G-SIB requirements.

In July 2018, the BCBS published a revised assessment methodology and higher loss absorbency requirements. These will take effect in 2021 and the higher loss absorbency surcharge would be applied from 1 January 2023 onward. We do not expect these changes to result in an increase of our additional CET1 capital buffer requirement.

Annual | Our G-SIB indicators as of 31 December 2018 were published in July 2019 under “Pillar 3 disclosures” at www.ubs.com/investors.

  

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Significant regulated subsidiaries and sub-groups

  

 


Significant regulated subsidiaries and sub-groups

 

Section 1  Introduction

The sections below include capital and other regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.


Capital information in this section is based on Pillar 1 requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

Section 2  UBS AG standalone

Key metrics of the second quarter of 2019

Quarterly | The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. During the second quarter of 2019, common equity tier 1 (CET1) capital increased by USD 2.2 billion to USD 51.3 billion, mainly as a result of operating profit. Risk-weighted assets (RWA) decreased by USD 6.4 billion to USD 294.3 billion, driven by decreases in
credit and counterparty credit risk RWA and market risk RWA. Leverage ratio exposure remained stable during the quarter. High-quality liquid assets decreased by USD 4.5 billion as a result of lower average cash balances, reflecting increased funding consumption by the business divisions. Net cash outflows increased by USD 5.2 billion, reflecting higher outflows from intercompany transactions, partly offset by higher third-party cash inflows.
 

 

Quarterly |

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

30.6.19

31.3.19

 

31.12.18

 

30.9.184

 

30.6.184

Available capital (amounts)1

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 51,261 

 49,024 

 

 49,411 

 

 49,810 

 

 49,583 

1a

Fully loaded ECL accounting model

 

 51,258 

 49,021 

 

 49,411 

 

 49,810 

 

 49,583 

2

Tier 1

 

 64,315 

 61,839 

 

 59,595 

 

 59,341 

 

 59,161 

2a

Fully loaded ECL accounting model tier 1

 

 64,312 

 61,836 

 

 59,595 

 

 59,341 

 

 59,161 

3

Total capital

 

 70,612 

 68,542 

 

 66,295 

 

 66,005 

 

 66,258 

3a

Fully loaded ECL accounting model total capital

 

 70,609 

 68,539 

 

 66,295 

 

 66,005 

 

 66,258 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 294,348 

 300,734 

 

 292,888 

 

 288,045 

 

 286,457 

4a

Minimum capital requirement2

 

 23,548 

 24,059 

 

 23,431 

 

 23,044 

 

 22,917 

4b

Total risk-weighted assets (pre-floor)

 

 294,348 

 300,734 

 

 292,888 

 

 288,045 

 

 286,457 

Risk-based capital ratios as a percentage of RWA1

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 17.41 

 16.30 

 

 16.87 

 

 17.29 

 

 17.31 

5a

Fully loaded ECL accounting model CET1 (%)

 

 17.41 

 16.30 

 

 16.87 

 

 17.29 

 

 17.31 

6

Tier 1 ratio (%)

 

 21.85 

 20.56 

 

 20.35 

 

 20.60 

 

 20.65 

6a

Fully loaded ECL accounting model tier 1 ratio (%)

 

 21.85 

 20.56 

 

 20.35 

 

 20.60 

 

 20.65 

7

Total capital ratio (%)

 

 23.99 

 22.79 

 

 22.63 

 

 22.91 

 

 23.13 

7a

Fully loaded ECL accounting model total capital ratio (%)

 

 23.99 

 22.79 

 

 22.63 

 

 22.91 

 

 23.13 

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 (%)

 

 0.08 

 0.09 

 

 0.07 

 

 0.05 

 

 0.08 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 0.00 

 0.00 

 

 0.00 

 

 0.00 

 

 0.00 

10

Bank G-SIB and / or D-SIB additional requirements (%)3

 

 

 

 

 

 

 

 

 

11

Total of bank CET1 specific buffer requirements (%)1

 

 2.58 

 2.59 

 

 1.95 

 

 1.92 

 

 1.96 

12

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

 

 12.91 

 11.80 

 

 12.37 

 

 12.79 

 

 12.81 

Basel III leverage ratio

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 618,704 

 617,329 

 

 601,013 

 

 619,741 

 

 620,074 

14

Basel III leverage ratio (%)1

 

 10.40 

 10.02 

 

 9.92 

 

 9.58 

 

 9.54 

14a

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

 

 10.39 

 10.02 

 

 9.92 

 

 9.58 

 

 9.54 

Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

15

Total HQLA

 

 82,201 

 86,690 

 

 76,456 

 

 81,214 

 

 83,473 

16

Total net cash outflow

 

 56,626 

 51,434 

 

 55,032 

 

 59,450 

 

 60,786 

17

LCR ratio (%)

 

 145 

 169 

 

 139 

 

 137 

 

 137 

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 Swiss SRB going concern requirements and information for UBS AG standalone is provided in the following pages in this section.    4 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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Swiss SRB going concern requirements and information

Quarterly | Under Swiss systemically relevant bank (SRB) regulations, Art. 125 “Reliefs for financial groups and individual institutions” of the Capital Adequacy Ordinance stipulates that the Swiss Financial Market Supervisory Authority (FINMA) may grant, under certain conditions, capital relief to individual institutions to ensure that an individual institution’s compliance with the capital requirements does not lead to a de facto overcapitalization of the group of which it is a part.


FINMA granted relief concerning the regulatory capital requirements of UBS AG on a standalone basis by means of decrees issued on 20 December 2013 and 20 October 2017, the latter effective as of 1 July 2017 and partly replacing the former.

More information is provided in Section 2 UBS AG standalone”  of our 31 December 2018 Pillar 3 report, which is available under Pillar 3 disclosures”  at www.ubs.com/investors.

 

Quarterly |

Swiss SRB going and gone concern requirements and information

 

 

Swiss SRB, including transitional arrangements

 

Swiss SRB as of 1.1.20

As of 30.6.19

 

RWA

LRD

 

RWA

LRD

USD million, except where indicated

 

in %1

 

in %1

 

 

in %

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 14.382

 42,315 

 5.002

 30,935 

 

 14.382

 54,657 

 5.002

 30,935 

Common equity tier 1 capital

 

 10.08 

 29,658 

 3.50 

 21,655 

 

 10.08 

 38,309 

 3.50 

 21,655 

of which: minimum capital

 

 4.50 

 13,246 

 1.50 

 9,281 

 

 4.50 

 17,109 

 1.50 

 9,281 

of which: buffer capital

 

 5.50 

 16,189 

 2.00 

 12,374 

 

 5.50 

 20,911 

 2.00 

 12,374 

of which: countercyclical buffer

 

 0.08 

 223 

 

 

 

 0.08 

 289 

 

 

Maximum additional tier 1 capital

 

 4.30 

 12,657 

 1.50 

 9,281 

 

 4.30 

 16,349 

 1.50 

 9,281 

of which: additional tier 1 capital

 

 3.50 

 10,302 

 1.50 

 9,281 

 

 3.50 

 13,307 

 1.50 

 9,281 

of which: additional tier 1 buffer capital

 

 0.80 

 2,355 

 

 

 

 0.80 

 3,042 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 22.93 

 67,485 

 10.91 

 67,485 

 

 16.28 

 61,880 

 10.00 

 61,880 

Common equity tier 1 capital

 

 17.41 

 51,261 

 8.29 

 51,261 

 

 13.48 

 51,261 

 8.29 

 51,261 

Total loss-absorbing additional tier 1 capital3

 

 5.51 

 16,225 

 2.62 

 16,225 

 

 2.79 

 10,619 

 1.72 

 10,619 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 3.61 

 10,619 

 1.72 

 10,619 

 

 2.79 

 10,619 

 1.72 

 10,619 

of which: low-trigger loss-absorbing tier 2 capital

 

 1.90 

 5,606 

 0.91 

 5,606 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

 294,348 

 

 

 

 380,200 

 

 

Leverage ratio denominator

 

 

 

 618,704 

 

 

 

 618,704 

1 By FINMA decree, requirements exceed those based on the transitional arrangements of the Swiss Capital Adequacy Ordinance, i.e., a total going concern capital ratio requirement of 13.58% plus the effect of countercyclical buffer (CCB) requirements of 0.08%, of which 9.68% plus the effect of CCB requirements of 0.08% must be satisfied with CET1 capital, and a total going concern leverage ratio requirement of 4.5%, of which 3.2% must be satisfied with CET1 capital.    2 Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio denominator (LRD).    3 Includes outstanding low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity.

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61


Significant regulated subsidiaries and sub-groups

Quarterly |

Swiss SRB going and gone concern information

 

 

 

Swiss SRB, including transitional arrangements

 

Swiss SRB as of 1.1.20

USD million, except where indicated

 

30.6.19

 

31.3.19

31.12.18

 

30.6.19

 

31.3.19

31.12.18

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 67,485 

 

 65,472 

 63,225 

 

 61,880 

 

 59,460 

 57,217 

Total tier 1 capital

 

 61,880 

 

 59,460 

 57,217 

 

 61,880 

 

 59,460 

 57,217 

Common equity tier 1 capital

 

 51,261 

 

 49,024 

 49,411 

 

 51,261 

 

 49,024 

 49,411 

Total loss-absorbing additional tier 1 capital

 

 10,619 

 

 10,435 

 7,805 

 

 10,619 

 

 10,435 

 7,805 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 10,619 

 

 10,435 

 7,805 

 

 10,619 

 

 10,435 

 7,805 

Total tier 2 capital

 

 5,606 

 

 6,012 

 6,008 

 

 

 

 

 

of which: low-trigger loss-absorbing tier 2 capital1

 

 5,606 

 

 6,012 

 6,008 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets

 

 294,348 

 

 300,734 

 292,888 

 

 380,200 

 

 382,634 

 383,578 

of which: direct and indirect investments in Swiss-domiciled subsidiaries2

 

 33,034 

 

 32,558 

 31,711 

 

 40,285 

 

 39,705 

 39,639 

of which: direct and indirect investments in foreign-domiciled subsidiaries2

 

 96,068 

 

 91,366 

 82,762 

 

 174,668 

 

 166,119 

 165,525 

Leverage ratio denominator

 

 618,704 

 

 617,329 

 601,013 

 

 618,704 

 

 617,329 

 601,013 

 

 

 

 

 

 

 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

 

 

 

 

 

 

 

Going concern capital ratio

 

 22.9 

 

 21.8 

 21.6 

 

 16.3 

 

 15.5 

 14.9 

of which: common equity tier 1 capital ratio

 

 17.4 

 

 16.3 

 16.9 

 

 13.5 

 

 12.8 

 12.9 

 

 

 

 

 

 

 

 

 

 

 

Leverage ratios (%)

 

 

 

 

 

 

 

 

 

 

Going concern leverage ratio

 

 10.9 

 

 10.6 

 10.5 

 

 10.0 

 

 9.6 

 9.5 

of which: common equity tier 1 leverage ratio

 

 8.3 

 

 7.9 

 8.2 

 

 8.3 

 

 7.9 

 8.2 

1 Outstanding low-trigger loss-absorbing tier 2 capital instruments qualify as going concern capital until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and are subject to amortization starting five years prior to their maturity.    2 Carrying value for direct and indirect investments including holding of regulatory capital instruments in Swiss-domiciled subsidiaries (30 June 2019: USD 16,114 million; 31 March 2019: USD 15,882 million), and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (30 June 2019: USD 43,667 million; 31 March 2019: USD 41,530 million), is risk weighted at 205% and 220%, respectively, for the current year. Risk weights will gradually increase by 5% per year for Swiss-domiciled investments and 20% per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.

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62


 

Leverage ratio information

Quarterly |

Swiss SRB leverage ratio denominator

USD billion

 

30.6.19

 

31.3.19

31.12.18

 

 

 

 

 

 

Leverage ratio denominator

 

 

 

 

 

Swiss GAAP total assets

 

 501.0 

 

 498.4 

 480.0 

Difference between Swiss GAAP and IFRS total assets

 

 121.6 

 

 110.8 

 118.6 

Less: derivative exposures and SFTs1

 

 (238.9) 

 

 (225.4) 

 (236.7) 

On-balance sheet exposures (excluding derivative exposures and SFTs)

 

 383.7 

 

 383.8 

 361.9 

Derivative exposures

 

 100.5 

 

 98.8 

 99.3 

Securities financing transactions

 

 111.8 

 

 111.1 

 114.2 

Off-balance sheet items

 

 23.4 

 

 24.2 

 26.1 

Items deducted from Swiss SRB tier 1 capital

 

 (0.6) 

 

 (0.5) 

 (0.5) 

Total exposures (leverage ratio denominator)

 

 618.7 

 

 617.3 

 601.0 

1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.

 

p

 

Quarterly |

BCBS Basel III leverage ratio

USD million, except where indicated

 

30.6.19

31.3.19

31.12.18

30.9.18

Total tier 1 capital

 

 64,315 

 61,839 

 59,595 

 59,341 

Total exposures (leverage ratio denominator)

 

 618,704 

 617,329 

 601,013 

 619,741 

BCBS Basel III leverage ratio (%)

 

 10.4 

 10.0 

 9.9 

 9.6 

 

p

Liquidity coverage ratio

UBS AG is required to maintain a minimum liquidity coverage ratio of 105% as communicated by FINMA.

 

Quarterly |

Liquidity coverage ratio

 

 

 

 

 

Weighted value1

USD billion, except where indicated

 

Average 2Q192

Average 1Q192

High-quality liquid assets

 

 82 

 87 

Total net cash outflows

 

 57 

 51 

of which: cash outflows

 

 175 

 171 

of which: cash inflows

 

 118 

 119 

Liquidity coverage ratio (%)

 

 145 

 169 

1 Calculated after the application of haircuts and inflow and outflow rates.    2 Calculated based on an average of 65 data points in the second quarter of 2019 and 63 data points in the first quarter of 2019.

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63


Significant regulated subsidiaries and sub-groups

Section 3  UBS Switzerland AG standalone

Key metrics of the second quarter of 2019

Quarterly | The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. During the second quarter of 2019, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 10.7 billion, mainly as a result of operating profit. Risk-weighted assets (RWA) and leverage ratio exposure remained stable during the quarter. High-quality liquid assets decreased by CHF 4.2 billion as a result of lower average cash balances, reflecting increased funding consumption by the business divisions. Net cash outflows decreased by CHF 3.2 billion, reflecting higher inflows from intercompany transactions.

 

Quarterly |

KM1: Key metrics

 

 

 

 

 

 

CHF million, except where indicated

 

 

 

30.6.19

31.3.19

31.12.18

30.9.18

30.6.18

Available capital (amounts)1

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 10,654 

 10,463 

 10,225 

 10,165 

 10,072 

1a

Fully loaded ECL accounting model

 

 10,649 

 10,457 

 10,225 

 10,165 

 10,072 

2

Tier 1

 

 14,894 

 14,712 

 14,468 

 13,165 

 13,072 

2a

Fully loaded ECL accounting model tier 1

 

 14,889 

 14,706 

 14,468 

 13,165 

 13,072 

3

Total capital

 

 14,894 

 14,712 

 14,468 

 13,165 

 13,072 

3a

Fully loaded ECL accounting model total capital

 

 14,889 

 14,706 

 14,468 

 13,165 

 13,072 

Risk-weighted assets (amounts)

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 96,640 

 96,067 

 95,646 

 95,541 

 94,887 

4a

Minimum capital requirement2

 

 7,731 

 7,685 

 7,652 

 7,643 

 7,591 

4b

Total risk-weighted assets (pre-floor)

 

 91,013 

 90,068 

 91,457 

 88,299 

 88,357 

Risk-based capital ratios as a percentage of RWA1

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 11.02 

 10.89 

 10.69 

 10.64 

 10.61 

5a

Fully loaded ECL accounting model CET1 (%)

 

 11.02 

 10.89 

 10.69 

 10.64 

 10.61 

6

Tier 1 ratio (%)

 

 15.41 

 15.31 

 15.13 

 13.78 

 13.78 

6a

Fully loaded ECL accounting model tier 1 ratio (%)

 

 15.41 

 15.31 

 15.13 

 13.78 

 13.78 

7

Total capital ratio (%)

 

 15.41 

 15.31 

 15.13 

 13.78 

 13.78 

7a

Fully loaded ECL accounting model total capital ratio (%)

 

 15.41 

 15.31 

 15.13 

 13.78 

 13.78 

Additional CET1 buffer requirements as a percentage of RWA3

 

 

 

 

 

 

8

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

 

 2.50 

 2.50 

 1.88 

 1.88 

 1.88 

9

Countercyclical buffer requirement (%)

 

 0.01 

 0.01 

 0.01 

 0.00 

 0.00 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 0.57 

 0.58 

 0.56 

 0.56 

 0.54 

10

Bank G-SIB and / or D-SIB additional requirements (%)4

 

 

 

 

 

 

11

Total of bank CET1 specific buffer requirements (%)1

 

 2.51 

 2.51 

 1.88 

 1.88 

 1.88 

12

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

 

 6.52 

 6.39 

 6.19 

 6.14 

 6.11 

Basel III leverage ratio

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 311,212 

 310,545 

 306,487 

 303,257 

 304,046 

14

Basel III leverage ratio (%)1

 

 4.79 

 4.74 

 4.72 

 4.34 

 4.30 

14a

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

 

 4.78 

 4.74 

 4.72 

 4.34 

 4.30 

Liquidity coverage ratio

 

 

 

 

 

 

15

Total HQLA

 

 67,160 

 71,392 

 67,427 

 66,174 

 68,620 

16

Total net cash outflow

 

 48,761 

 51,945 

 52,846 

 53,130 

 53,731 

17

LCR ratio (%)

 

 138 

 137 

 128 

 125 

 128 

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 As Annex 8 of Swiss Capital Adequacy Ordinance (CAO) does not apply to the systemically relevant banks, UBS can abstain from disclosing the information required in lines 12a–12e. In the event of a waiver, UBS nevertheless provides information about the Swiss sector-specific countercyclical buffer in row 9a pursuant to Art. 44 CAO.    4 Swiss SRB going concern requirements and information for UBS Switzerland AG are provided on the next page.

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64


 

Swiss SRB going and gone concern requirements and information

Quarterly | UBS Switzerland AG is considered a systemically relevant bank (SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 30 June 2019, the transitional going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 14.16% and 4.5%, respectively. The gone concern requirements under transitional arrangements were 9.74% for the RWA-based requirement and 3.36% for the LRD-based requirement. p

 

Quarterly |

Swiss SRB going and gone concern requirements and information

 

 

Swiss SRB, including transitional arrangements

 

Swiss SRB as of 1.1.20

As of 30.6.19

 

RWA

LRD

 

RWA

LRD

CHF million, except where indicated

 

in %1

 

in %

 

 

in %

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 14.16 

 13,684 

 4.50 

 14,005 

 

 14.882

 14,380 

 5.002

 15,561 

Common equity tier 1 capital

 

 10.26 

 9,915 

 3.20 

 9,959 

 

 10.58 

 10,224 

 3.50 

 10,892 

of which: minimum capital

 

 4.90 

 4,735 

 1.70 

 5,291 

 

 4.50 

 4,349 

 1.50 

 4,668 

of which: buffer capital

 

 4.78 

 4,619 

 1.50 

 4,668 

 

 5.50 

 5,315 

 2.00 

 6,224 

of which: countercyclical buffer

 

 0.58 

 560 

 

 

 

 0.58 

 560 

 

 

Maximum additional tier 1 capital

 

 3.90 

 3,769 

 1.30 

 4,046 

 

 4.30 

 4,156 

 1.50 

 4,668 

of which: additional tier 1 capital

 

 3.10 

 2,996 

 1.30 

 4,046 

 

 3.50 

 3,382 

 1.50 

 4,668 

of which: additional tier 1 buffer capital

 

 0.80 

 773 

 

 

 

 0.80 

 773 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 15.41 

 14,894 

 4.79 

 14,894 

 

 15.41 

 14,894 

 4.79 

 14,894 

Common equity tier 1 capital

 

 11.02 

 10,654 

 3.42 

 10,654 

 

 11.02 

 10,654 

 3.42 

 10,654 

Total loss-absorbing additional tier 1 capital

 

 4.39 

 4,240 

 1.36 

 4,240 

 

 4.39 

 4,240 

 1.36 

 4,240 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4.39 

 4,240 

 1.36 

 4,240 

 

 4.39 

 4,240 

 1.36 

 4,240 

 

 

 

 

 

 

 

 

 

 

 

Required gone concern capital

 

 

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 9.74 

 9,417 

 3.36 

 10,457 

 

 12.01 

 11,608 

 4.20 

 13,071 

of which: base requirement

 

 10.52 

 10,167 

 3.63 

 11,281 

 

 12.86 

 12,428 

 4.50 

 14,005 

of which: additional requirement for market share and LRD

 

 1.08 

 1,044 

 0.38 

 1,167 

 

 1.44 

 1,392 

 0.50 

 1,556 

of which: applicable reduction on requirements

 

 (1.86) 

 (1,794) 

 (0.64) 

 (1,992) 

 

 (2.29) 

 (2,211) 

 (0.80) 

 (2,490) 

of which: rebate granted (equivalent to 40% of maximum rebate)

 

 (1.86) 

 (1,794) 

 (0.64) 

 (1,992) 

 

 (2.29) 

 (2,211) 

 (0.80) 

 (2,490) 

 

 

 

 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 11.30 

 10,924 

 3.51 

 10,924 

 

 11.30 

 10,924 

 3.51 

 10,924 

TLAC-eligible debt

 

 11.30 

 10,924 

 3.51 

 10,924 

 

 11.30 

 10,924 

 3.51 

 10,924 

 

 

 

 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 23.90 

 23,100 

 7.86 

 24,461 

 

 26.89 

 25,988 

 9.20 

 28,631 

Eligible total loss-absorbing capacity

 

 26.72 

 25,818 

 8.30 

 25,818 

 

 26.72 

 25,818 

 8.30 

 25,818 

 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

 96,640 

 

 

 

 96,640 

 

 

Leverage ratio denominator

 

 

 

 311,212 

 

 

 

 311,212 

1 The total loss-absorbing capacity ratio requirement of 23.90% is the current requirement based on the transitional rules of the Swiss Capital Adequacy Ordinance including the aforementioned rebate on the gone concern requirements. In addition, FINMA has defined a total capital ratio requirement, which is the sum of 14.4% and the effect of countercyclical buffer (CCB) requirements of 0.58%, of which 10% plus the effect of CCB requirements must be satisfied with CET1 capital. These FINMA requirements will be effective until they are exceeded by the Swiss SRB requirements based on the transitional rules.    2 Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio denominator (LRD).  

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65


Significant regulated subsidiaries and sub-groups

Swiss SRB loss-absorbing capacity

Quarterly |

Swiss SRB going and gone concern information1

CHF million, except where indicated

 

30.6.19

 

31.3.19

31.12.18

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

Total going concern capital

 

 14,894 

 

 14,712 

 14,468 

Total tier 1 capital

 

 14,894 

 

 14,712 

 14,468 

Common equity tier 1 capital

 

 10,654 

 

 10,463 

 10,225 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4,240 

 

 4,248 

 4,243 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 10,924 

 

 10,945 

 10,932 

TLAC-eligible debt

 

 10,924 

 

 10,945 

 10,932 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

Total loss-absorbing capacity

 

 25,818 

 

 25,657 

 25,400 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

 

 

Risk-weighted assets

 

 96,640 

 

 96,067 

 95,646 

Leverage ratio denominator

 

 311,212 

 

 310,545 

 306,487 

 

 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

 

 

Going concern capital ratio

 

 15.4 

 

 15.3 

 15.1 

of which: common equity tier 1 capital ratio

 

 11.0 

 

 10.9 

 10.7 

Gone concern loss-absorbing capacity ratio

 

 11.3 

 

 11.4 

 11.4 

Total loss-absorbing capacity ratio

 

 26.7 

 

 26.7 

 26.6 

 

 

 

 

 

 

Leverage ratios (%)

 

 

 

 

 

Going concern leverage ratio

 

 4.8 

 

 4.7 

 4.7 

of which: common equity tier 1 leverage ratio

 

 3.4 

 

 3.4 

 3.3 

Gone concern leverage ratio

 

 3.5 

 

 3.5 

 3.6 

Total loss-absorbing capacity leverage ratio

 

 8.3 

 

 8.3 

 8.3 

1 The numbers disclosed in the table are identical for Swiss SRB (including transitional arrangement) requirements and Swiss SRB requirements applicable as of 1 January 2020.

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66


 

Leverage ratio information

Quarterly |

Swiss SRB leverage ratio denominator

 

 

 

 

CHF billion

 

30.6.19

31.3.19

31.12.18

 

 

 

 

 

Leverage ratio denominator

 

 

 

 

Swiss GAAP total assets

 

 295.7 

 295.8 

 293.0 

Difference between Swiss GAAP and IFRS total assets

 

 3.6 

 2.8 

 1.8 

Less: derivative exposures and SFTs1

 

 (39.2) 

 (36.6) 

 (32.5) 

On-balance sheet exposures (excluding derivative exposures and SFTs)

 

 260.1 

 262.1 

 262.3 

Derivative exposures

 

 5.0 

 4.1 

 3.7 

Securities financing transactions

 

 34.3 

 32.4 

 28.5 

Off-balance sheet items

 

 12.0 

 12.2 

 12.4 

Items deducted from Swiss SRB tier 1 capital

 

 (0.2) 

 (0.2) 

 (0.5) 

Total exposures (leverage ratio denominator)

 

 311.2 

 310.5 

 306.5 

1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.

p

 

Quarterly |

BCBS Basel III leverage ratio

CHF million, except where indicated

 

30.6.19

31.3.19

31.12.18

30.9.18

Total tier 1 capital

 

 14,894 

 14,712 

 14,468 

 13,165 

Total exposures (leverage ratio denominator)

 

 311,212 

 310,545 

 306,487 

 303,257 

BCBS Basel III leverage ratio (%)

 

 4.8 

 4.7 

 4.7 

 4.3 

 

p

Liquidity coverage ratio

Quarterly | UBS Switzerland AG, as a Swiss SRB, is required to maintain a minimum liquidity coverage ratio of 100%.

 

Quarterly |

Liquidity coverage ratio

 

 

Weighted value1

CHF billion, except where indicated

 

Average 2Q192

Average 1Q192

High-quality liquid assets

 

 67 

 71 

Total net cash outflows

 

 49 

 52 

of which: cash outflows

 

 85 

 86 

of which: cash inflows

 

 36 

 34 

Liquidity coverage ratio (%)

 

 138 

 137 

1 Calculated after the application of haircuts and inflow and outflow rates.    2 Calculated based on an average of 65 data points in the second quarter of 2019 and 63 data points in the first quarter of 2019.

p

 

67


Significant regulated subsidiaries and sub-groups

Capital instruments

Quarterly |

Capital instruments of UBS Switzerland AG – key features

 

 

 

 

Presented according to issuance date.

 

 

 

 

 

 

 

Share capital

 

Additional tier 1 capital

1

Issuer

 

UBS Switzerland AG, Switzerland

 

UBS Switzerland AG, Switzerland

1a

Instrument number

 

 1 

 

 2 

 

 3 

 

 4 

 

5

 

6

2

Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement)

 

n/a

 

n/a

3

Governing law(s) of the instrument

 

Swiss

 

Swiss

3a

Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law)

 

n/a

 

n/a

 

Regulatory treatment

 

 

 

 

 

 

 

 

4

Transitional Basel III rules1

 

CET1 – Going concern capital

 

Additional tier 1 capital

5

Post-transitional Basel III rules2

 

CET1 – Going concern capital

 

Additional tier 1 capital

6

Eligible at solo / group / group and solo

 

UBS Switzerland AG consolidated and standalone

 

UBS Switzerland AG consolidated and standalone

7

Instrument type (types to be specified by each jurisdiction)

 

Ordinary shares

 

Loan4

 

Loan4

 

Loan4

 

Loan

 

Loan

8

Amount recognized in regulatory capital (currency in millions, as of most recent reporting date)1

 

CHF 10.0

 

CHF 1,500

 

CHF 500

 

CHF 1,000

 

CHF 825

 

USD 425

9

Par value of instrument

 

CHF 10.0

 

CHF 1,500

 

CHF 500

 

CHF 1,000

 

CHF 825

 

USD 425

10

Accounting classification3

 

Equity attributable to UBS Switzerland AG shareholders

 

Due to banks held at amortized cost

11

Original date of issuance

 

 

1 April 2015

 

11 March 2016

 

18 December 2017

 

12 December 2018

 

12 December 2018

12

Perpetual or dated

 

 

Perpetual

13

Original maturity date

 

 

14

Issuer call subject to prior supervisory approval

 

 

Yes

15

Optional call date, contingent call dates and redemption amount

 

 

First optional repayment date:

1 April 2020

 

First optional repayment date:

11 March 2021

 

First optional repayment date:

18 December 2022

 

First optional repayment date:

12 December 2023

 

 

First optional repayment date:

12 December 2023

 

 

 

Repayable at any time after the first optional repayment date.

Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest thereon

16

 Subsequent call dates, if applicable

 

 

Early repayment possible due to a tax or regulatory event. Repayment due to tax event subject to FINMA approval.

Repayment amount: principal amount, together with accrued and unpaid interest

p

 

 

68


 

Quarterly |

Capital instruments of UBS Switzerland AG – key features (continued)

 

Coupons

 

 

 

 

 

 

 

 

 

 

 

 

17

Fixed or floating dividend / coupon

 

 

Floating

18

Coupon rate and any related index

 

 

6-month CHF Libor + 

370 bps per annum

semiannually

 

3-month CHF Libor + 

459 bps per annum

quarterly

 

3-month CHF Libor + 

250 bps per annum

quarterly

 

3-month CHF Libor + 489 bps per annum

quarterly

 

3-month USD Libor + 547 bps per annum

quarterly

19

Existence of a dividend stopper

 

 

No

20

Fully discretionary, partially discretionary or mandatory

 

Fully discretionary

 

Fully discretionary

21

Existence of step-up or other incentive to redeem

 

 

No

22

Non-cumulative or cumulative

 

Non-cumulative

 

Non-cumulative

23

Convertible or non-convertible

 

 

Non-convertible

24

If convertible, conversion trigger(s)

 

 

25

If convertible, fully or partially

 

 

26

If convertible, conversion rate

 

 

27

If convertible, mandatory or optional conversion

 

 

28

If convertible, specify instrument type convertible into

 

 

29

If convertible, specify issuer of instrument it converts into

 

 

30

Write-down feature

 

 

Yes

31

If write-down, write-down trigger(s)

 

 

Trigger: CET1 ratio is less than 7%

 

 

FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support that FINMA determines necessary to ensure UBS Switzerland AG‘s viability.

Subject to applicable conditions

32

If write-down, fully or partially

 

 

Fully 

33

If write-down, permanent or temporary

 

 

Permanent

34

If temporary write-down, description of write-up mechanism

 

 

34a

Type of subordination

 

Statutory

 

Contractual

35

Position in subordination hierarchy in liquidation (specify instrument type immediately

senior to instrument in the insolvency creditor hierarchy of the legal entity concerned).

 

Unless otherwise stated in the Articles of Association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (Art. 745, Swiss Code of Obligations)

 

Subject to any obligations that are mandatorily preferred by law, all obligations of UBS Switzerland AG that are unsubordinated or that are subordinated and do not rank junior, such as all classes of share capital, or at par, such as tier 1 instruments

36

Non-compliant transitioned features

 

 

37

If yes, specify non-compliant features

 

 

1 Based on Swiss SRB (including transitional arrangement) requirements.    2 Based on Swiss SRB requirements applicable as of 1 January 2020.    3 As applied in UBS Switzerland AG‘s financial statements under Swiss GAAP.    4 Loans granted by UBS AG, Switzerland.

p

 

  

69


Significant regulated subsidiaries and sub-groups

Section 4  UBS Europe SE consolidated

Quarterly | The table below discloses information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements.

During the second quarter of 2019, common equity tier 1 (CET1) capital remained stable. Risk-weighted assets (RWA) decreased by EUR 0.7 billion, mainly as a result of a decrease in credit risk RWA. Leverage ratio exposure increased by EUR 1.2 billion, reflecting an increase in securities financing transactions and higher trading assets, partly offset by a decrease in derivative add-ons. Net cash outflows increased by EUR 1.3 billion, largely due to Treasury activities.

Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.  

 

Quarterly |

KM1: Key metrics1,2,3

 

EUR million, except where indicated

 

 

 

 

30.6.19

31.3.19

Available capital (amounts)

 

 

 

1

Common equity tier 1 (CET1)

 

 3,543 

 3,568 

2

Tier 1

 

 3,833 

 3,858 

3

Total capital

 

 3,833 

 3,858 

Risk-weighted assets (amounts)

 

 

 

4

Total risk-weighted assets (RWA)

 

 13,725 

 14,432 

4a

Minimum capital requirement4

 

 1,098 

 1,155 

Risk-based capital ratios as a percentage of RWA

 

 

 

5

Common equity tier 1 ratio (%)

 

 25.8 

 24.7 

6

Tier 1 ratio (%)

 

 27.9 

 26.7 

7

Total capital ratio (%)

 

 27.9 

 26.7 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

8

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

 

 2.5 

 2.5 

9

Countercyclical buffer requirement (%)

 

 0.2 

 0.2 

10

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

 

 

 

11

Total of bank CET1 specific buffer requirements (%)

 

 2.7 

 2.7 

12

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

 

 18.6 

 17.5 

Basel III leverage ratio

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 52,291 

 51,060 

14

Basel III leverage ratio (%)5

 

 7.3 

 7.6 

Liquidity coverage ratio6

 

 

 

15

Total HQLA

 

 14,367 

 14,770 

16

Total net cash outflow

 

 8,200 

 6,895 

17

LCR ratio (%)

 

 177 

 214 

1 Based on applicable EU Basel III rules.    2 As a result of the cross-border merger of UBS Limited into UBS Europe SE effective 1 March 2019, UBS Europe SE has become a significant regulated subsidiary of UBS Group AG. The size, scope and business model of the merged entity is now materially different. Comparatives for December 2018 have not been provided in the table because data produced on the same basis is not available. For more information about the cross-border merger of UBS Limited into UBS Europe SE, refer to the “Recent developments” section in our first quarter 2019 report.    3 There is no local disclosure requirement for the net stable funding ratio as at 30 June 2019.    4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    5 On the basis of tier 1 capital.    6 Figures as of 30 June 2019 are based on a four-month average rather than a twelve-month average, as data produced on the same basis is only available for the period since the cross-border merger. For 31 March 2019, month-end reporting date values are disclosed.

 

p

  

70


 

Section 5  UBS Americas Holding LLC consolidated

The table below discloses information about the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Americas Holding LLC consolidated based on the Pillar 1 requirements (i.e., US Basel III standardized rules).

Quarterly | During the second quarter of 2019, common equity tier 1 (CET1) increased by USD 0.9 billion to USD 12.9 billion, as a result of increases in the share premium related to a fixed asset transfer, operating profit and other comprehensive income. Risk-weighted assets (RWA) decreased by USD 1.4 billion to USD 53.9 billion, mainly driven by a decrease in credit risk RWA. Leverage ratio exposure remained stable during the quarter.

Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

 

Quarterly |

KM1: Key metrics1,2

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

30.6.19

 

31.3.19

 

31.12.183

 

30.9.184

 

30.6.184

Available capital (amounts)

 

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 12,900 

 

 12,028 

 

 11,746 

 

 11,068 

 

 10,693 

2

Tier 1

 

 15,055 

 

 14,170 

 

 13,887 

 

 13,209 

 

 12,834 

3

Total capital

 

 15,772 

 

 14,882 

 

 14,601 

 

 13,925 

 

 13,555 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 53,892 

 

 55,313 

 

 54,063 

 

 54,488 

 

 52,991 

4a

Minimum capital requirement5

 

 4,311 

 

 4,425 

 

 4,325 

 

 4,359 

 

 4,239 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 23.9 

 

 21.7 

 

 21.7 

 

 20.3 

 

 20.2 

6

Tier 1 ratio (%)

 

 27.9 

 

 25.6 

 

 25.7 

 

 24.2 

 

 24.2 

7

Total capital ratio (%)

 

 29.3 

 

 26.9 

 

 27.0 

 

 25.6 

 

 25.6 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

 

8

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

 

 2.5 

 

 2.5 

 

 1.9 

 

 1.9 

 

 1.9 

9

Countercyclical buffer requirement (%)6

 

 

 

 

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)7

 

 

 

 

 

 

 

 

 

 

11

Total of bank CET1 specific buffer requirements (%)

 

 2.5 

 

 2.5 

 

 1.9 

 

 1.9 

 

 1.9 

12

CET1 available after meeting the bank’s minimum capital requirements (%)8

 

 16.9 

 

 14.7 

 

 15.3 

 

 13.9 

 

 13.8 

Basel III leverage ratio

 

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 123,008 

 

 124,981 

 

 122,829 

 

 124,982 

 

 129,375 

14

Basel III leverage ratio (%)9

 

 12.2 

 

 11.3 

 

 11.3 

 

 10.6 

 

 9.9 

1 For UBS Americas Holding LLC based on applicable US Basel III rules.    2 There is no local disclosure requirement for liquidity coverage ratio or net stable funding ratio for UBS Americas Holding LLC as of 30 June 2019.    3 Figures as of or for the quarter ended 31 December 2018 have been adjusted for consistency with the full-year audited financial statements and / or local regulatory reporting, which were finalized after the publication of our Annual Report 2018 and our 31 December 2018 Pillar 3 report on 15 March 2019.    4 Figures as of 30 September 2018 and 30 June 2018 have been adjusted for consistency with the local regulatory reporting of the entity.    5 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    6 Not applicable as the countercyclical buffer requirement applies only to banking organizations subject to the advanced approaches capital rules.    7 Not applicable as requirements have not been proposed.    8 Capital surplus measures excess to minimum regulatory requirements. As such, it overstates actual excess capital capacity as it is not measured against additional capital that local regulators expect is positioned within UBS Americas Holding LLC in order to resource stressed risk loss exposures arising from the activities that UBS conducts in UBS Americas Holding LLC.    9 On the basis of tier 1 capital.

p

 

 

  

 

 

71


 

 
Appendix

Abbreviations frequently used in our financial reports

 

A

ABS                 asset-backed security

AEI                  automatic exchange of information

AGM               annual general meeting of shareholders

A-IRB              advanced internal
ratings-based

AI                    artificial intelligence

AIV                  alternative investment vehicle

ALCO              Asset and Liability Management Committee

AMA               advanced measurement approach

AML                anti-money laundering

AoA                Articles of Association of UBS Group AG

ASF                  available stable funding

ASFA               advanced supervisory formula approach

AT1                 additional tier 1

AuM               assets under management

 

B

BCBS               Basel Committee on
Banking Supervision

BD                   business division

BEAT               base erosion and anti-abuse tax

BIS                   Bank for International Settlements

BoD                 Board of Directors

BSC                 Business Solutions Center

BVG                Swiss occupational
pension plan

 

C

CAO                Capital Adequacy Ordinance

CC                   Corporate Center

CCAR              Comprehensive Capital Analysis and Review

CCB                countercyclical buffer

CCF                 credit conversion factor

CCP                 central counterparty

CCR                counterparty credit risk

CCRC              Corporate Culture and Responsibility Committee

CDO                collateralized debt
obligation


CDR                constant default rate

CDS                 credit default swap

CEA                 Commodity Exchange Act

CECL               current expected credit loss

CEM                current exposure method

CEO                Chief Executive Officer

CET1               common equity tier 1

CFO                 Chief Financial Officer

CFTC               US Commodity Futures Trading Commission

CHF                 Swiss franc

CIC                  Corporate Institutional Clients

CIO                 Chief Investment Office

CLN                 credit-linked note

CLO                 collateralized loan obligation

CLS                  continuous linked settlement

CMBS             commercial mortgage-backed security

C&ORC           Compliance & Operational Risk Control

CRD IV            EU Capital Requirements Directive of 2013

CSO                Client Strategy Office

CVA                credit valuation adjustment

 

D

DBO                defined benefit obligation

DCCP              Deferred Contingent Capital Plan

DJSI                 Dow Jones Sustainability Indices

DOJ                 US Department of Justice

DOL                 US Department of Labor

D-SIB               domestic systemically important bank

DTA                 deferred tax asset

DVA                debit valuation adjustment

 


E

EAD                 exposure at default

EBA                 European Banking Authority

EC                   European Commission

ECB                 European Central Bank

ECL                  expected credit loss(es)

EIR                   effective interest rate

EL                    expected loss

EMEA              Europe, Middle East and Africa

EOP                 Equity Ownership Plan

EPE                  expected positive exposure

EPS                  earnings per share

ERISA              Employee Retirement Income Security Act of 1974

ESG                 environmental, social and governance

ESMA              European Securities and Markets Authority

ESR                  environmental and social risk

ETD                 exchange-traded derivative

ETF                  exchange-traded fund

EU                   European Union

EUR                 euro

EURIBOR        Euro Interbank Offered Rate

 

F

FCA                 UK Financial Conduct
Authority

FCT                  foreign currency translation

FINMA            Swiss Financial Market Supervisory Authority

FINRA              US Financial Industry Regulatory Authority

FMIA               Swiss Financial Market Infrastructure Act

 

 

 

 

 
72

 

 
 

Abbreviations frequently used in our financial reports (continued)

 

FRA                 forward rate agreement

FSB                  Financial Stability Board

FTA                  Swiss Federal Tax Administration

FTD                  first to default

FTP                  funds transfer pricing

FVA                 funding valuation adjustment

FVOCI             fair value through other comprehensive income

FVTPL              fair value through profit or loss

FX                    foreign exchange

 

G

GAAP              generally accepted
accounting principles

GBP                 pound sterling

GEB                 Group Executive Board

GFA                 Group Franchise Awards

GHG               greenhouse gas

GIA                 Group Internal Audit

GIIPS               Greece, Italy, Ireland,
Portugal and Spain

GMD               Group Managing Director

GRI                  Global Reporting Initiative

Group ALM    Group Asset and Liability Management

G-SIB              global systemically important bank

H

HQLA              high-quality liquid assets

HR                   human resources

 

I

IAA                  internal assessment approach

IAS                  International Accounting Standards

IASB                International Accounting Standards Board

IBOR               interbank offered rate

IFRIC               International Financial Reporting Interpretations Committee


IFRS                 International Financial Reporting Standards

IHC                  intermediate holding companies

IMA                 internal models approach

IMM                internal model method

IPS                   Investment Platforms and Solutions

IRB                  internal ratings-based

IRC                  incremental risk charge

ISDA                International Swaps and Derivatives Association

 

K

KRT                 Key Risk Taker

 

L

LAC                 loss-absorbing capacity

LAS                  liquidity-adjusted stress

LCR                 liquidity coverage ratio

LGD                 loss given default

LIBOR              London Interbank Offered Rate

LLC                  limited liability company

LRD                 leverage ratio denominator

LTV                  loan-to-value

 

M

MiFID II           Markets in Financial Instruments Directive II

MiFIR              Markets in Financial Instruments Regulation

MRT                Material Risk Taker

MTN                medium-term note  

 

N

NAV                net asset value

NII                   net interest income

NRV                 negative replacement value

NSFR               net stable funding ratio

NYSE               New York Stock Exchange

 


O

OCA                own credit adjustment

OCI                 other comprehensive income

OECD              Organisation for Economic Co-operation and Development 

OIS                  overnight index swap

OTC                over-the-counter

 

P

PD                   probability of default  

PFE                  potential future exposure

PIT                   point in time

P&L                  profit or loss

POCI               purchased or originated credit-impaired

PRA                 UK Prudential Regulation Authority

PRV                 positive replacement value

 

Q

QRRE              qualifying revolving retail exposures

 

R

RBA                 role-based allowances

RBC                 risk-based capital

RLN                 reference-linked note

RMBS              residential mortgage-backed securities

RniV                risks not in VaR

RoAE               return on attributed equity

RoCET1          return on CET1

RoE                 return on equity

RoTE               return on tangible equity

RV                   replacement value

RW                  risk weight

RWA               risk-weighted assets

 

 

 

 

 

</BCLPAGE>73


 

 
Appendix

Abbreviations frequently used in our financial reports (continued)

 

S

SA                   standardized approach

SA-CCR          standardized approach for counterparty credit risk

SAR                 stock appreciation right

SBC                 Swiss Bank Corporation

SCCL               single-counterparty credit limit

SDGs               Sustainable Development Goals

SE                    structured entity

SEC                 US Securities and Exchange Commission

SEEOP             Senior Executive Equity Ownership Plan

SFTs                 securities financing transactions


SI                     sustainable investing

SICR                significant increase in credit risk

SIX                   SIX Swiss Exchange

SMA                standardized measurement approach

SME                small and medium-sized enterprises

SMF                 Senior Management Function

SNB                 Swiss National Bank

SPPI                 solely payments of principal and interest

SRB                 systemically relevant bank

SRM                specific risk measure

SVaR               stressed value-at-risk

 


T

TBTF                too big to fail

TCJA               US Tax Cuts and Jobs Act

TLAC               total loss-absorbing capacity

TRS                  total return swap

TTC                 through the cycle

 

U

UoM               units of measure

USD                 US dollar

US IHC            US intermediate holding company

 

V

VaR                 value-at-risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.

 

 

 

 
74

 

 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cautionary Statement | This report and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s second quarter 2019 report and its Annual Report 2018, available at www.ubs.com/investors, for additional information.

Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages, percent changes, and adjusted results are calculated on the basis of unrounded figures. Information on absolute changes between reporting periods, which is provided in text and that can be derived from figures displayed in the tables, is calculated on a rounded basis.

Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.

 

 
  

</BCLPAGE>75


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Group AG

P.O. Box

CH-8098 Zurich

 

ubs.com

 

 

  

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.

 

 

UBS Group AG

 

 

 

By: _/s/ David Kelly_____________

Name:  David Kelly

Title:    Managing Director

 

 

By: _/s/ Ella Campi                   _____

Name:  Ella Campi

Title:    Executive Director

 

 

UBS AG

 

 

 

By: _/s/ David Kelly_____________

Name:  David Kelly

Title:    Managing Director

 

 

By: _/s/ Ella Campi                   _____

Name:  Ella Campi

Title:    Executive Director

 

 

 

Date:  August 27, 2019