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: March 15, 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 x Form 40-F o
This Form 6-K consists of the 31 December 2018 Pillar 3 report of UBS Group AG and significant regulated subsidiaries and sub-groups, which appears immediately following this page.
31 December 2018 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
Table of contents | |||
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UBS Group AG consolidated | |||
14 | Section 1 | ||
15 | Section 2 | ||
19 | Section 3 | Linkage between financial statements and regulatory exposures | |
23 | Section 4 | ||
55 | Section 5 | ||
67 | Section 6 | Comparison of A-IRB approach and standardized approach for credit risk | |
72 | Section 7 | ||
80 | Section 8 | ||
90 | Section 9 | ||
91 | Section 10 | ||
93 | Section 11 | ||
101 | Section 12 | ||
104 | Section 13 | ||
107 | Section 14 | ||
107 | Section 15 | Requirements for global systemically important banks and related indicators | |
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UBS AG consolidated | |||
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110 | Section 1 | ||
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Significant regulated subsidiaries and sub-groups | |||
112 | Section 1 | ||
112 | Section 2 | ||
117 | Section 3 | ||
123 | Section 4 | ||
124 | Section 5 | ||
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Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com
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Scope and location of Basel III Pillar 3 disclosures
The 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 UBS AG on a consolidated basis, as well as prudential key figures and regulatory information for our significant regulated subsidiaries and sub-groups. Information provided in our Annual Report 2018 or other publications may also serve to address Pillar 3 disclosure requirements. Where this is the case, a reference has been provided in this report to the UBS publication where the information can be located. These Pillar 3 disclosures are supplemented by specific additional requirements of the Swiss Financial Market Supervisory Authority (FINMA) and voluntary disclosures on our part.
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 31 December 2018 for UBS Group AG consolidated is provided in the “Capital management” section of our Annual Report 2018.
Capital and other regulatory information as of 31 December 2018 for UBS AG consolidated is provided in the UBS Group AG and UBS AG Annual Report 2018, and additionally, in the “KM1: Key metrics“ table for UBS AG consolidated on page 110 in this report. We are also required to disclose certain regulatory information for UBS AG standalone, UBS Switzerland AG standalone and UBS Limited standalone, as well as UBS Americas Holding LLC consolidated. This information is provided in the “Significant regulated subsidiaries and sub-groups” sections of this report.
Local regulators may also require 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.
Refer to the overview on our external reporting approach under “Annual Reporting“ at www.ubs.com/investors. Our quarterly reports are available under “Quarterly Reporting“.
Significant regulatory and disclosure requirements and changes effective in 2018
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 / 01 “Disclosure – banks”) issued on 16 July 2018, the underlying Basel Committee on Banking Supervision (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, and the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017.
The legal entities UBS AG and UBS Switzerland AG are subject to standalone capital adequacy, liquidity and funding, and disclosure requirements defined by FINMA. This information is provided in the “Significant regulated subsidiaries and sub-groups” section of this report.
Changes to Pillar 1 requirements
Revised Basel III securitization framework
Effective 1 January 2018, we became subject to the revised Basel III securitization framework for securitization exposures in the banking book, which had an immaterial effect on our risk-weighted assets (RWA). Related changes to Pillar 3 disclosure requirements are described on the next page.
Revised methodology for structured margin lending transactions
We revised the methodology applied for structured margin lending transactions, as agreed with FINMA. This revision resulted in an increase of USD 3.3 billion in counterparty credit risk RWA in the third quarter of 2018.
Changes to presentation currency affecting Pillar 1 and Pillar 3 disclosures
In October 2018, the presentation currency of UBS Group AG’s and UBS AG’s consolidated and standalone financial statements changed from Swiss francs to US dollars. In line with these accounting changes, the presentation currency of UBS Group AG’s consolidated and UBS AG’s consolidated and standalone Pillar 3 disclosures in this report have changed from Swiss francs to US dollars. Prior periods were translated to US dollars at the respective spot rates prevailing for the relevant periods unless specified otherwise. We have restated the composition of cash collaterals in domestic currency and other currencies in “CCR5: Composition of collateral for CCR exposure” table as if the US dollar was our domestic currency for all periods.
We continue to report Pillar 1 and other regulatory submissions to FINMA and to the Swiss National Bank in Swiss francs.
® Refer to the “Significant accounting and financial reporting changes” section in our Annual Report 2018 for more information
2
Changes to accounting affecting Pillar 1 and/or Pillar 3 disclosure requirements
Effective 1 January 2018, we adopted IFRS 9, Financial Instruments. The implementation of IFRS 9 resulted in a reduction of Basel III common equity tier 1 (CET1) capital as of 1 January 2018 by approximately USD 0.3 billion and an increase of RWA by approximately USD 0.7 billion.
The related FINMA guidance for the regulatory treatment of accounting provisions was issued on 16 July 2018, with an effective date of 1 January 2019. Effective from 31 December 2018, UBS opted to phase in the effects from IFRS 9 ECL on CET1 capital, if any, over a five-year transitional period.
In addition, the implementation of IFRS 9 resulted in the following structural and calculation changes to our semi-annual and annual Pillar 3 disclosures, which are also outlined in footnotes or narrative text for the relevant tables:
(a) Allowances and impairments included in “CR1: Credit quality of assets,” “CRB: Breakdown of impaired exposures by industry,” “CRB: Impaired financial instruments by geographical region,” “CRB: Breakdown of restructured exposures between impaired and non-impaired,” and provisions included in “CR6: IRB – Credit risk exposures by portfolio and PD range” as of 30 June 2018 and 31 December 2018 reflect ECL allowances and provisions related to stages 1–3. Comparative numbers as of 31 December 2017 are based on the incurred loss model of IAS 39, Financial Instruments: Recognition and Measurement, and are largely comparable to the IFRS 9 stage 3 allowances and provisions.
(b) The definitions of the FINMA-defined Pillar 3 credit risk exposure categories “Loans” and “Debt securities” have been updated to reflect the new IFRS balance sheet structure under IFRS 9.
(c) RWA included in “CR10: IRB (equities under the simple risk weight method)” increased primarily due to the transition effect of IFRS 9, as a result of the reclassification of equity instruments from the IAS 39 category financial assets available for sale to the IFRS 9 category fair value through profit or loss, as unrealized gains on such instruments (previously deducted from Basel III CET1 capital) were added back to the exposure at default for the purpose of the RWA calculation.
(d) The templates “LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories,” “CRB: Breakdown of exposures by industry,” “CRB: Breakdown of exposures by geographical area” and “CRB: Breakdown of exposures by residual maturity” have been aligned with the IFRS 9-related changes to our balance sheet presentation.
Changes to Pillar 3 disclosure requirements
– In the first quarter of 2018, the “OV1: Overview of RWA” table was enhanced to adopt the revised template introduced with the second phase of revised Pillar 3 disclosure requirements to reflect changes as a result of the aforementioned revised securitization framework.
– The tables “SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor” and “SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor” have been modified to reflect changes in line with the revised securitization framework.
– In March 2017, the BCBS issued the “Pillar 3 disclosure requirements – consolidated and enhanced framework,” which represents the second phase of the BCBS review of the Pillar 3 disclosure framework and builds on the revisions to the Pillar 3 disclosure requirements published in January 2015. On 16 July 2018, FINMA issued a revised Circular 2016 / 01 “Disclosure – banks” including the aforementioned second phase revisions, which requires banks to gradually implement the requirements from 31 December 2018 onward.
– We either disclosed or amended the following tables and / or narratives for the first time in or alongside this report:
– KM1: Key metrics
– PV1: Prudential valuation adjustments
– CC1: Composition of regulatory capital, replacing the “Composition of capital” table
– CCyB1: Geographical distribution of credit exposures used in the countercyclical buffer
– LIQA: Liquidity risk management
– CCA: Main features of regulatory capital and other TLAC instruments.
Significant BCBS and FINMA requirements to be adopted in 2019 or later
Final guidance
Revised capital adequacy ordinance (CAO) and banking ordinance (BO)
The revised CAO and BO became effective from 1 January 2019, and included guidance on the treatment of bail-in bonds from other international SRBs held by UBS, amendments to gone concern requirements and the treatment of material group entities, subject to the regulatory scope of consolidation, all of which are not expected to have a material effect on UBS.
3
Revised FINMA circulars on credit risk and leverage ratio
On 16 July 2018, FINMA issued revised circulars mainly on:
– leverage ratio (FINMA Circular 2015 / 03 “Leverage ratio – banks”) to allow early adoption before 1 January 2020 of modified standardized approach for counterparty credit risk (SA-CCR) rules in line with the BCBS Basel III finalization of the capital framework issued in December 2017;
– credit risk (FINMA Circular 2017 / 07 “Credit risk – banks”) to incorporate frequently asked questions on the standardized approach for SA-CCR that will be effective from 1 July 2019 for banks applying SA-CCR, with early adoption permitted. In addition, other amendments related to the eligibility of short-term debt instruments as financial collateral and the recognition of unrestricted life insurance policies as guarantees, which have become effective from 1 January 2019, were also included in the same circular.
Basel III finalization and adjustments to market risk framework
In December 2017, the BCBS finalized the Basel III capital framework, which will take effect from 1 January 2022, with a five-year phase-in period for the aggregate output floor. The most significant changes include:
– placing floors on certain model inputs under the IRB approach to calculate credit risk RWA;
– requiring the use of standardized approaches for calculation of credit valuation adjustment and for operational risk RWA;
– placing an aggregate output floor on the Group RWA equal to 72.5% of the RWA calculated using a revised standardized approach; and
– revising the leverage ratio denominator (LRD) calculation and introducing a leverage ratio surcharge for global systematically important banks.
In January 2019, BCBS also issued final revisions of the market risk framework (Fundamental Review of the Trading Book (FRTB)). The revisions include adjustments to the risk sensitivity of the standardized approach, the calibration of certain elements of the framework and adjustments of the internal models approach. This revised standard comes into effect on 1 January 2022 along with the overall revised Basel III capital framework.
Regulatory interpretation is ongoing and the implementation of the Basel III capital framework and the market risk framework into national law has not yet been announced.
Pillar 3 disclosure requirements
In March 2017, the BCBS issued the “Pillar 3 disclosure requirements – consolidated and enhanced framework.”
In July 2018, FINMA issued the revised circular 2016 / 01 “Disclosure – banks”, which requires banks to gradually implement the requirements from 31 December 2018 onward. Refer to the previous page for requirements implemented as of 31 December 2018.
The following disclosure will be adopted or revised in first half of 2019, according to the applicable effective dates:
– KM2: Key metrics – TLAC requirements (at resolution group level) as of 31 March 2019
– CR1: Credit quality of assets as of 30 June 2019
– TLAC1: TLAC composition for global systemically relevant banks (G-SIBs) at resolution group level as of 30 June 2019
– TLAC2: Material subgroup entity – creditor ranking at legal entity level as of 30 June 2019
– TLAC3: Resolution entity – creditor ranking at legal entity level as of 30 June 2019
– IRRBBA: Interest rate risk in the banking book (IRRBB) – risk management objective and policies – qualitative requirements as of 30 June 2019
– IRRBBA1: IRRBB – risk management objective and policies – quantitative requirements as of 30 June 2019
– IRRBB1: Quantitative information on IRRBB as of 30 June 2019
In December 2018, the BCBS published its updated Pillar 3 disclosure requirements, completing revisions to the disclosure framework started earlier. This revision reflects the final Basel III standards issued in December 2017, and sets out new disclosure requirements on asset encumbrance and, if required by national supervisors at the jurisdictional level, on capital distribution constraints. The implementation deadline for the disclosure requirements related to Basel III is 1 January 2022. The effective date for the disclosure requirements for asset encumbrance, capital distribution constraints and the prudential treatment of problem assets is the end of 2020.
Significant BCBS and FINMA consultation papers
Leverage ratio treatment of client cleared derivatives
In October 2018, the BCBS issued a consultation paper to seek public feedback by mid-January 2019 on whether or not the leverage ratio’s treatment of client cleared derivatives under the Basel III finalization of the capital framework issued in December 2017 should be amended to allow cash and non-cash initial margin received from a client to offset the potential future exposure, or to align existing treatment with the standardized approach for measuring counterparty credit risk exposures. In line with the current exposure measure applied in the current leverage ratio calculation, the leverage ratio’s treatment under the Basel III finalization of the capital framework issued in December 2017 only allows variation margin in the form of cash to offset replacement cost.
Revisions to leverage ratio disclosure requirements
In response to particular concerns regarding "window-dressing", BCBS issued a consultation paper in December 2018 on mandating the additional disclosure of leverage ratio exposure amounts of securities financing transactions, of derivative replacement costs and of central bank reserves, all to be calculated using daily averages over the reporting quarter. Comments on this consultation paper are due by mid-March 2019.
4
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the table below. We generally provide quantitative comparative information as of 31 December 2017 for all disclosures, except reconciliations. Depending on the FINMA-specified disclosure frequency, we provide additional quantitative prior-period information:
– For quarterly disclosures on movements related to RWA for credit risk, counterparty credit risk and market risk, we provide additional comparative information for the third, second and first quarters of 2018.
– For the overview of RWA, we provide additional comparative information as of 30 September 2018, 30 June 2018 and 31 March 2018.
– For all other quarterly disclosures, we provide additional comparative information as of 30 September 2018 only.
– For semiannual disclosures, we provide additional comparative information as of 30 June 2018.
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 quarterly, semiannually or annually. A triangle symbol – p p p – indicates the end of the signpost.
® Refer to our first, second and third quarter Pillar 3 reports under “Pillar 3 disclosures” at www.ubs.com/investors for more information on previously published quarterly movement commentary
® Refer to our second quarter Pillar 3 report under “Pillar 3 disclosures” at www.ubs.com/investors for more information on previously published semiannual movement commentary
FINMA reference | Disclosure title | FINMA reference | Disclosure title |
Annual disclosure requirements | |||
OVA | Bank risk management approach | CR9 | IRB – backtesting of probability of default (PD) per portfolio |
LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | CCRA | Qualitative disclosure related to counterparty credit risk management |
LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation) | SECA | Qualitative disclosure requirements related to securitization exposures |
LIA | Explanations of differences between accounting and regulatory exposure amounts (under the regulatory scope of consolidation) | MRA | Qualitative disclosure requirements related to market risk |
PV1 | Prudent valuation adjustments (PVA) | MRB | Qualitative disclosures for banks using the internal models approach (IMA) |
CRA | General information about credit risk | IRRBBA, IRRBBA11, | Interest rate risk in the banking book (IRRBB) risk management objective and policies – qualitative and quantitative information1 |
CRB | Additional disclosures related to the credit quality of assets | IRRBB11 | Quantitative information on IRRBB1 |
CRC | Qualitative disclosure requirements related to credit risk mitigation | ORA | Operational risk |
CRD | Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk | LIQA | Liquidity risk management |
CRE | Qualitative disclosures related to internal ratings-based (IRB) models | N/A | Remuneration |
G-SIB1 | Disclosure of G-SIB indicators |
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5
FINMA reference | Disclosure title | FINMA reference | Disclosure title |
Semiannual disclosure requirements | |||
CR1 | Credit quality of assets | CCyB1 | Geographical distribution of credit exposures used in the countercyclical buffer |
CR2 | Changes in stock of defaulted loans and debt securities | CCR4 | IRB – CCR exposures by portfolio and PD scale |
CR3 | Credit risk mitigation techniques – overview | CCR5 | Composition of collateral for CCR exposure |
CR4 | Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects | CCR6 | Credit derivatives exposures |
CR5 | Standardized approach – exposures by asset classes and risk weights | CCR81 | Exposures to central counterparties |
CR6 | IRB – credit risk exposures by portfolio and PD range | SEC1 | Securitization exposures in the banking book |
CR7 | IRB – effect on risk-weighted assets (RWA) of credit derivatives used as CRM techniques | SEC2 | Securitization exposures in the trading book |
CR10 | IRB (equities under the simple risk weight method) | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor |
CCR1 | Analysis of counterparty credit risk (CCR) exposure by approach | SEC4 | Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor |
CCR2 | Credit valuation adjustment (CVA) capital charge | MR1 | Market risk under standardized approach |
CCR3 | Standardized approach – CCR exposures by regulatory portfolio and risk weights | MR3 | IMA values for trading portfolios |
CC1 | Composition of regulatory capital | MR4 | Comparison of value-at-risk (VaR) estimates with gains / losses |
CC2 | Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (Reconciliation of regulatory capital to balance sheet) | CCA | Main features of regulatory capital instruments and other TLAC-eligible instruments |
TLAC11 | TLAC composition for G-SIBs (at resolution group level) | TLAC21 | Material sub-group entity – creditor ranking at legal entity level1 |
TLAC31 | Resolution entity – creditor ranking at legal entity level | MRC1 | The structure of desks for banks using the IMA |
MR21 | Market risk IMA per risk type |
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Quarterly disclosure requirements | |||
KM1 | Key metrics (at consolidated group level) | LR1 | Summary comparison of accounting assets vs leverage ratio exposure measure
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KM21 | Key metrics – TLAC requirements at resolution group level | LR2 | Leverage ratio common disclosure |
OV1 | Overview of RWA | N/A | Leverage ratio |
CR8 | RWA flow statements of credit risk exposures under IRB | LIQ1 | Liquidity coverage ratio |
CCR7 | RWA flow statements of CCR exposures under the internal model method (IMM) and VaR | N/A | Eligible capital |
MR2 | RWA flow statements of market risk exposures under an IMA | MR31 | RWA flow statements of market risk exposures under IMA |
1 Disclosure is not required as of 31 December 2018. |
6
Format of Pillar 3 disclosures
As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be modified to a certain degree to present the most relevant information. Pillar 3 requirements are presented under the relevant FINMA table / template reference (e.g., OVA, OV1, LI1, etc.). Pillar 3 disclosures may also include row labeling (1, 2, 3, etc.) as prescribed by FINMA. Naming conventions used in our Pillar 3 disclosures are based on the FINMA guidance and may not reflect UBS naming conventions.
The FINMA-defined asset classes used within this Pillar 3 report are as follows:
– Central governments and central banks, consisting of exposures relating to governments at the level of the nation state and their central banks. The European Union is also treated as a central government.
– Banks and securities dealers, consisting of exposures to legal entities holding a banking license and securities firms subject to adequate supervisory and regulatory arrangements, including risk-based capital requirements. Securities firms can only be assigned to this asset class if they are subject to a supervision equivalent to that of banks.
– Public sector entities, multilateral development banks, consisting of exposures to institutions established on the basis of public law in different forms, such as administrative entities or public companies as well as regional governments, the BCBS, the International Monetary Fund, the European Central Bank and eligible multilateral development banks recognized by FINMA.
– Corporates: specialized lending, consisting of exposures relating to income-producing real estate and high-volatility commercial real estate, commodities finance, project finance and object finance.
– Corporates: other lending, consisting of all exposures to corporates that are not specialized lending. This asset class includes private commercial entities such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds).
– Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if the owner occupies or rents out the mortgaged property.
– Retail: qualifying revolving retail exposures, consisting of unsecured and revolving credits to individuals that exhibit appropriate loss characteristics relating to credit card relationships at UBS.
– Retail: other, consisting primarily of Lombard lending that 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.
– Equity: consisting of instruments that have no stated or predetermined maturity and represents a residual interest in the net assets of an entity.
– Other assets: consisting of the remainder of exposures to which UBS is exposed, mainly non-counterparty-related assets.
Governance over Pillar 3 disclosures
The Board of Directors (BoD) and senior management are responsible for establishing and maintaining an effective internal control structure over the disclosure of financial information, including Pillar 3 disclosures. In line with BCBS and FINMA requirements, we have a BoD-approved Pillar 3 disclosure governance policy in place, which includes information on the key internal controls and procedures designed to govern the preparation, review and sign-off of Pillar 3 disclosures. This Pillar 3 report has been verified and approved in line with this policy.
7
Risk management framework
Our Group-wide risk management framework is applied across all risk types. The table below presents an overview of risk management disclosures that are provided separately in our Annual Report 2018.
Annual |
OVA – Bank risk management approach | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Business model and risk profile |
| Our strategy, business model and environment |
| – | Risk factors |
| 50–61 |
|
|
| – | Current market climate and industry trends |
| 29–31 | |
|
| Risk, treasury and capital management |
| – | Overview of risks arising from our business activities |
| 119–120 |
|
|
|
| – | Risk categories |
| 121 |
|
|
|
| – | Top and emerging risks |
| 122 |
|
|
|
| – | Risk appetite framework |
| 125–128 |
|
|
|
| – | Risk measurement |
| 130–132 |
|
|
|
| – | Credit risk – Key developments, Main sources of credit risk, Overview of measurement, monitoring and management techniques |
| 133 |
|
|
|
| – | Market risk – Key developments, Main sources of market risk, Overview of measurement, monitoring and management techniques |
| 154 |
|
|
|
| – | Interest rate risk in the banking book |
| 159–163 |
|
|
|
| – | Other market risk exposures |
| 163–164 |
|
|
|
| – | Country risk framework |
| 165 |
|
|
|
| – | Operational risk framework |
| 171 |
|
|
|
| – | Risk management and control principles |
| 126 |
Risk governance |
| Risk, treasury and capital management |
| – | Risk categories |
| 121 |
|
|
|
| – | Risk governance |
| 123–124 |
|
|
|
| – | Treasury management – Strategy, objectives and governance |
| 173 |
|
|
|
| – | Capital management – Capital management objectives, planning and activities |
| 194–195 |
Communication and enforcement of risk culture within the bank |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
|
| – | Risk appetite framework |
| 125–128 | |
|
|
| – | Internal risk reporting |
| 129 | |
|
|
| – | Operational risk framework |
| 171 | |
Scope and main features of risk measurement systems |
| Risk, treasury and capital management |
| – | Risk measurement |
| 130–132 |
|
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 133 | |
|
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 154 |
|
|
|
| – | Country risk exposure measure |
| 165 |
|
|
|
| – | Advanced measurement approach model |
| 172 |
Risk information reporting |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
|
|
| – | Internal risk reporting |
| 129 |
|
|
|
| – | Risk management and control principles |
| 126 |
Stress testing |
| Risk, treasury and capital management |
| – | Risk appetite framework |
| 125–128 |
|
| – | Stress testing |
| 130–131 | ||
|
| – | Credit risk models – Stress loss |
| 149–150 | ||
|
| – | Market risk stress loss |
| 155 | ||
|
| – | Interest rate risk in the banking book |
| 159–163 | ||
|
| – | Other market risk exposures |
| 163–164 | ||
|
| – | Assets and liquidity management – Stress testing |
| 181 | ||
Strategies and processes applied to manage, hedge and mitigate risks |
| Risk, treasury and capital management |
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 133 |
|
|
| – | Credit risk mitigation |
| 143–145 | |
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 154 | |
|
|
| – | Value-at-risk |
| 155–158 | |
|
|
| – | Interest rate risk in the banking book |
| 159–163 | |
|
|
| – | Other market risk exposures |
| 163–164 | |
|
|
| – | Country risk exposure |
| 165–169 | |
|
|
| – | Operational risk framework |
| 171 | |
|
|
| – | Liabilities and funding management |
| 182–186 | |
|
|
| – | Currency management |
| 192 | |
|
|
| – | Risk management and control principles |
| 126 | |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 395–399 |
p
8
Our approach to measuring risk exposure and risk-weighted assets
Depending on the intended 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 requirement 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 RWA are calculated according to the 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 FINMA.
The table below provides a summary of the approaches we use for the main risk categories to determine the regulatory risk exposure and RWA. Our RWA are calculated according to the BCBS Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council.
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
I. Credit risk | |||
Credit risk | Credit risk is the risk of a loss resulting from the failure of a counterparty to meet its contractual obligations toward UBS arising from transactions such as loans, debt securities held in our banking book and undrawn credit facilities.
Refer to section 4 Credit risk | Exposure at default (EAD) is the amount we expect a counterparty to owe us at the time of a possible default. For banking products, the EAD generally equals the IFRS carrying value as of the reporting date. The EAD is expected to remain constant over the 12-month period. For loan commitments, a credit conversion factor is applied to model expected future drawdowns over the 12-month period. | We apply two approaches to measure credit risk RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal probability of default and loss given default estimates. – Standardized approach (SA), generally based on external ratings for a subset of our credit portfolio where internal measures are not available. |
Non-counterparty- related risk | Non-counterparty-related risk (NCPA) denotes the risk of a loss arising from changes in value or from liquidation of assets not linked to any counterparty, for example, premises, equipment and software, and deferred tax assets on temporary differences.
Refer to section 2 Regulatory exposures and risk-weighted assets. | The IFRS carrying value is the basis for measuring NCPA exposure. | We measure non-counterparty-related risk RWA by applying prescribed regulatory risk weights to the NCPA exposure. |
Equity positions in the banking book | Risk from equity positions in the banking book refers to the investment risk arising from equity positions and other relevant investments or instruments held in our banking book.
Refer to section 4 Credit risk | The IFRS carrying value is the basis for measuring risk exposure for equity securities held in our banking book, but reflecting a net position. | We measure the RWA from equity positions in the banking book by applying prescribed regulatory risk weights to our listed and unlisted equity exposures. |
9
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
II. Counterparty credit risk | |||
Counterparty credit risk | Counterparty credit risk is the risk that a counterparty for over-the-counter (OTC) derivatives, exchange-traded derivatives (ETD) or securities financing transactions (SFTs) will default before the final settlement of a transaction and cause a loss to the bank if the transaction has a positive economic value at the time of default.
Refer to section 5 Counterparty credit risk. | We primarily use internal models to measure counterparty credit risk exposures to third parties. All internal models are approved by FINMA. – For OTC derivatives and ETD we apply the effective expected positive exposure (EEPE) and stressed expected positive exposure (stressed EPE) as defined in the Basel III framework. – For SFTs we apply the close-out period approach.
In certain instances where risk models are not available: – Exposure on OTC derivatives and ETD is calculated considering the net positive replacement values and potential future exposure. – Exposure for SFTs is based on the IFRS carrying value, net of collateral mitigation. | We apply two approaches to measure counterparty credit risk RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal counterparty ratings and loss given default estimates. – Standardized approach (SA), generally based on external ratings for a subset of our credit portfolio, where internal measures are not available.
We apply an additional credit valuation adjustment (CVA) capital charge to hold capital against the risk of mark-to-market losses associated with the deterioration of counterparty credit quality. |
Settlement risk | Settlement risk is the risk of loss resulting from transactions that involve exchange of value (e.g., security versus cash) where we must deliver without first being able to determine with certainty that we will receive the countervalue.
Refer to section 2 Regulatory exposures and risk-weighted assets. | The IFRS carrying value is the basis for measuring settlement risk exposure. | We measure settlement risk RWA through the application of prescribed regulatory risk weights to the settlement risk exposure. |
III. Securitization exposures in the banking book | |||
Securitization exposures in the banking book | Exposures arising from traditional and synthetic securitizations held in our banking book.
Refer to section 7 Securitizations. | The IFRS carrying value after eligible regulatory credit risk mitigation and credit conversion factor is the basis for measuring securitization exposure. | We apply the following approaches to measure securitization exposure RWA: – Internal ratings-based approach (SEC-IRBA), considering the advanced IRB risk weights, if the securitized pool largely consists of IRB positions and internal ratings are available. – External ratings-based approach (SEC-ERBA), in case the IRB approach cannot be applied, risk weights are applied based on external ratings, provided that we are able to demonstrate our expertise in critically reviewing and challenging the external ratings. – Standardized approach (SEC-SA) or 1,250% risk weight factor, in case none of the aforementioned approaches can be applied, we would apply the standardized approach where the delinquency status of a significant portion of the underlying exposure can be determined or a risk weight of 1,250%.
For re-securitization exposures we apply either the standardized approach or a risk weight factor of 1,250%. |
10
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
IV. Market risk | |||
Value-at-risk (VaR) | VaR is a statistical measure of market risk, representing the market risk losses that could potentially be realized over a set time horizon (holding period) at an established level of confidence. For regulatory VaR, the holding period is 10 days and the confidence level is 99%.
Refer to section 8 Market risk. |
| The VaR component of market risk RWA is calculated by taking the maximum of the period-end VaR and the product of the average VaR for the 60 trading days immediately preceding the period end and a VaR multiplier. The quantity is then multiplied by a risk weight factor of 1,250% to determine RWA. The VaR multiplier is dependent on the number of VaR backtesting exceptions within the most recent 250-business-day window. |
Stressed VaR (SVaR) | SVaR is a 10-day 99% VaR measure that is estimated with model parameters that are calibrated to historical data covering a one-year period of significant financial stress relevant to the firm’s current portfolio.
Refer to section 8 Market risk. |
| The derivation of SVaR RWA is similar to the one explained above for VaR. Unlike VaR, SVaR is computed weekly, and as a result the average SVaR is computed over the most recent 12 observations. |
Add-on for risks-not-in-VaR (RniV) | Potential risks that are not fully captured by our VaR model are referred to as RniV. We have a framework to identify and quantify these potential risks and underpin them with capital.
Refer to section 8 Market risk. |
| Our RniV framework is used to derive the RniV-based component of the market risk RWA, which is approved by FINMA. Starting in the second quarter of 2018, RniV and RWA resulting from RniV are recalibrated on a monthly basis.
As the RWA from RniV are add-ons, they do not reflect any diversification benefits across risks capitalized through VaR and SVaR. |
Incremental risk charge (IRC) | The IRC represents an estimate of the default and rating migration risk of all trading book positions with issuer risk, except for equity products and securitization exposures, measured over a one-year time horizon at a 99.9% confidence level.
Refer to section 8 Market risk. |
| The IRC is calculated weekly, and the results are used to derive the IRC-based component of the market risk RWA. The derivation is similar to that for VaR- and SVaR-based RWA, but without a VaR multiplier. |
Comprehensive risk measure (CRM) | The CRM is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level.
Refer to section 8 Market risk. |
| The CRM is calculated weekly, and the results are used to derive the CRM-based component of the market risk RWA. The calculation is subject to a floor equal to 8% of the equivalent capital charge under the specific risk measure (SRM) for the correlation trading portfolio. |
11
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
Securitization / re-securitization in the trading book | Risk arising from traditional and synthetic securitizations held in our trading book.
Refer to section 7 Securitizations and | The exposure is equal to the fair value of the net long or short securitization position. | We measure trading book securitization RWA using two approaches: – Ratings-based approach, applying risk weights based on external ratings. – Supervisory formula approach, considering the |
V. Operational risk | |||
Operational risk | Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, including cyber risk. Operational risk includes, among others, legal risk, conduct risk and compliance risk.
Refer to section 9 Operational risk. |
| We use the advanced measurement approach to measure operational risk RWA in accordance with FINMA requirements. |
12
UBS Group AG consolidated
Key metrics of the fourth quarter of 2018
Quarterly | The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. During the fourth quarter of 2018, common equity tier 1 (CET1) capital decreased by USD 0.7 billion to USD 34.1 billion, mainly reflecting the accruals of capital returns to shareholders. Risk-weighted assets (RWA) increased by USD 6.7 billion to USD 263.7 billion, mainly due to increases of USD 8.3 billion in market risk RWA and USD 2.7 billion in credit risk RWA, partly offset by decreases of USD 3.4 billion in operational risk RWA and USD 1.1 billion in counterparty credit risk RWA. Leverage ratio exposure remained largely stable as in previous quarters.
Effective from 31 December 2018, UBS opted to phase in the effects from IFRS 9 expected credit loss (ECL) on CET1 capital, if any, over a five-year transitional period. This conclusion did not have a material effect on our CET1 capital as of 31 December 2018.p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
| |
USD million, except where indicated |
| |||||||||
|
|
| 31.12.18 |
| 30.9.18 |
| 30.6.18 |
| 31.3.18 | 31.12.17 |
Available capital (amounts)1 |
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 34,1192 |
| 34,816 |
| 34,116 |
| 34,774 | 36,412 |
1a | Fully loaded ECL accounting model |
| 34,071 |
| 34,816 |
| 34,116 |
| 34,774 |
|
2 | Tier 1 |
| 46,279 |
| 45,972 |
| 45,353 |
| 46,180 | 44,562 |
2a | Fully loaded ECL accounting model Tier 1 |
| 46,231 |
| 45,972 |
| 45,353 |
| 46,180 |
|
3 | Total capital |
| 52,981 |
| 52,637 |
| 52,450 |
| 54,972 | 53,535 |
3a | Fully loaded ECL accounting model total capital |
| 52,933 |
| 52,637 |
| 52,450 |
| 54,972 |
|
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 263,747 |
| 257,041 |
| 254,603 |
| 266,169 | 244,5591 |
4a | Total risk-weighted assets (pre-floor) |
| 263,747 |
| 257,041 |
| 254,603 |
| 266,169 | 244,559 |
Risk-based capital ratios as a percentage of RWA1 |
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 12.94 |
| 13.55 |
| 13.40 |
| 13.06 | 14.89 |
5a | Fully loaded ECL accounting model Common Equity Tier 1 (%) |
| 12.92 |
| 13.55 |
| 13.40 |
| 13.06 |
|
6 | Tier 1 ratio (%) |
| 17.55 |
| 17.89 |
| 17.81 |
| 17.35 | 18.22 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) |
| 17.53 |
| 17.89 |
| 17.81 |
| 17.35 |
|
7 | Total capital ratio (%) |
| 20.09 |
| 20.48 |
| 20.60 |
| 20.65 | 21.89 |
7a | Fully loaded ECL accounting model total capital ratio (%) |
| 20.07 |
| 20.48 |
| 20.60 |
| 20.65 |
|
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.88 |
| 1.88 |
| 1.88 |
| 1.88 | 1.25 |
9 | Countercyclical buffer requirement (%) |
| 0.08 |
| 0.05 |
| 0.06 |
| 0.03 | 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.21 |
| 0.21 |
| 0.20 |
| 0.19 | 0.20 |
10 | Bank G-SIB and/or D-SIB additional requirements (%) |
| 0.75 |
| 0.75 |
| 0.75 |
| 0.75 | 0.50 |
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.71 |
| 2.68 |
| 2.68 |
| 2.65 | 1.77 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)1 |
| 8.44 |
| 9.05 |
| 8.90 |
| 8.56 | 10.39 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 904,598 |
| 915,066 |
| 910,383 |
| 925,651 | 910,5911 |
14 | Basel III leverage ratio (%)1 |
| 5.12 |
| 5.02 |
| 4.98 |
| 4.99 | 4.89 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.11 |
| 5.02 |
| 4.98 |
| 4.99 |
|
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 173,389 |
| 176,594 |
| 183,202 |
| 192,864 | 185,373 |
16 | Total net cash outflow |
| 127,352 |
| 130,750 |
| 127,324 |
| 141,910 | 129,566 |
17 | LCR ratio (%) |
| 136 |
| 135 |
| 144 |
| 136 | 143 |
1 Based on BCBS Basel III phase-in rules. 2 As of 31 December 2018, IFRS 9 expected credit loss (ECL) effects are considered on a phased-in basis in accordance with the FINMA guidance. |
p
14
RWA development in the fourth quarter of 2018
Quarterly | The table below provides an overview of risk-weighted assets (RWA) and the related minimum capital requirement by risk type. During the fourth quarter of 2018, RWA increased by USD 6.7 billion to USD 263.7 billion, mainly due to increases of USD 8.3 billion in market risk RWA and USD 2.7 billion in credit risk RWA, partly offset by decreases of USD 3.4 billion in operational risk RWA and USD 1.1 billion in counterparty credit risk RWA. Information on movements in RWA over the fourth quarter of 2018 is provided on pages 54–55 of our fourth quarter 2018 report and in the respective sections of this report. More information on capital management and RWA, including detail on movements in RWA over 2018, is provided on pages 194–208 of our Annual Report 2018. p
Quarterly |
OV1: Overview of RWA | |||||||||
|
| RWA |
| Minimum capital requirements2 | |||||
USD million |
| 31.12.18 | 30.9.18 | 30.6.18 | 31.3.18 | 31.12.171 |
| 31.12.18 | |
1 | Credit risk (excluding counterparty credit risk) |
| 112,991 | 110,269 | 109,265 | 106,115 | 100,204 |
| 9,039 |
2 | of which: standardized approach (SA)3 |
| 25,972 | 24,592 | 24,309 | 25,128 | 24,607 |
| 2,078 |
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 |
| 87,019 | 85,677 | 84,956 | 80,988 | 75,597 |
| 6,962 |
6 | Counterparty credit risk4 |
| 34,282 | 35,394 | 33,114 | 33,837 | 31,062 |
| 2,743 |
7 | of which: SA for counterparty credit risk (SA-CCR)5 |
| 5,415 | 5,690 | 6,312 | 6,381 | 5,719 |
| 433 |
8 | of which: internal model method (IMM) |
| 17,624 | 18,366 | 18,548 | 19,464 | 17,720 |
| 1,410 |
8a | of which: value-at-risk (VaR) |
| 5,036 | 4,863 | 4,458 | 4,498 | 4,102 |
| 403 |
9 | of which: other CCR |
| 6,207 | 6,475 | 3,796 | 3,494 | 3,520 |
| 497 |
10 | Credit valuation adjustment (CVA) |
| 2,816 | 2,797 | 3,496 | 3,419 | 3,164 |
| 225 |
11 | Equity positions under the simple risk weight approach6 |
| 3,658 | 3,601 | 3,676 | 3,554 | 2,429 |
| 293 |
12 | Equity investments in funds – look-through approach7 |
|
|
|
|
|
|
|
|
13 | Equity investments in funds – mandate-based approach7 |
|
|
|
|
|
|
|
|
14 | Equity investments in funds – fall-back approach7 |
|
|
|
|
|
|
|
|
15 | Settlement risk |
| 375 | 322 | 532 | 492 | 379 |
| 30 |
16 | Securitization exposures in banking book |
| 709 | 1,240 | 1,275 | 1,196 | 1,7398 |
| 57 |
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) |
| 701 | 1,240 | 1,274 | 1,114 |
|
| 56 |
19 | of which securitization standardized approach (SEC-SA) |
| 8 | 0 | 1 | 83 |
|
| 1 |
20 | Market Risk |
| 19,992 | 11,645 | 12,500 | 23,492 | 12,598 |
| 1,599 |
21 | of which: standardized approach (SA) |
| 452 | 333 | 364 | 421 | 410 |
| 36 |
22 | of which: internal model approaches (IMM) |
| 19,541 | 11,313 | 12,136 | 23,072 | 12,188 |
| 1,563 |
23 | Capital charge for switch between trading book and banking book |
|
|
|
|
|
|
|
|
24 | Operational risk |
| 77,558 | 80,931 | 80,124 | 83,308 | 81,476 |
| 6,205 |
25 | Amounts below thresholds for deduction (250% risk weight)9 |
| 11,365 | 10,842 | 10,621 | 10,755 | 11,508 |
| 909 |
26 | Floor adjustment10 |
| 0 | 0 | 0 | 0 | 0 |
| 0 |
27 | Total |
| 263,747 | 257,041 | 254,603 | 266,169 | 244,559 |
| 21,100 |
1 Based on phase-in rules 2 Calculated based on 8% of RWA. 3 Includes non-counterparty-related risk not subject to the threshold deduction treatment (31 December 2018: RWA USD 9,514 million; 30 September 2018: RWA USD 9,382 million; 30 June 2018: RWA USD 9,346 million; 31 March 2018: RWA USD 9,456 million; 31 December 2017: RWA USD 9,180 million). Non-counterparty-related risk (31 December 2018: RWA USD 8,782 million; 30 September 2018: RWA USD 8,800 million; 30 June 2018: RWA USD 8,601 million; 31 March 2018: RWA USD 8,784 million; 31 December 2017: RWA USD 9,551 million), which is subject to the threshold treatment, is reported in line 25 “Amounts below thresholds for deduction (250% risk weight).” 4 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. 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. 5 Calculated in accordance with the current exposure method (CEM), until SA-CCR is implemented by 1 January 2020. 6 Includes investments in funds. Items subject to threshold deduction treatments that do not exceed their respective threshold are risk weighted at 250% (31 December 2018: RWA USD 2,583 million; 30 September 2018: RWA USD 2,041 million; 30 June 2018: RWA USD 2,020 million; 31 March 2018: RWA USD 1,971 million; 31 December 2017: RWA USD 1,957 million) and are separately included in line 25 “Amounts below thresholds for deduction (250% risk weight).” 7 New regulation for the calculation of RWA for investments in funds will be implemented by 1 January 2020. 8 Calculated on the basis of the former securitization rules applicable until 31 December 2017. 9 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. 10 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. |
p
15
UBS Group AG consolidated
The table below is aligned with the principles applied in “OV1: Overview of RWA,” 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 then grouped into the advanced internal ratings-based (A-IRB) / model-based approaches and standardized approach. For credit risk, this defines the method used to derive the risk weight factors, through either internal ratings (A-IRB) or external ratings (standardized approach). The split between A-IRB / model-based approaches and standardized approach 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 are derived using model calculations and are therefore included in the model-based approach columns.
The table provides references to sections in this report containing more information on the specific topics.
Regulatory exposures and risk-weighted assets | |||||||||||
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 | 4 |
| 56,467 | 25,972 | 4 |
| 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 | CR4, CR5 |
| 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 | 5 |
| 85,179 | 11,622 | 5 |
| 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 | 5, CCR2 |
|
| 1,338 | 5, CCR2 |
|
| 2,816 |
Equity positions in the banking book (CR) |
| 879 | 3,658 | 4, CR10 |
|
|
|
|
| 879 | 3,658 |
Settlement risk |
| 58 | 89 |
|
| 222 | 285 |
|
| 280 | 375 |
Securitization exposure in the banking book |
|
|
|
|
| 213 | 709 | 7 |
| 213 | 709 |
Market risk |
|
| 19,541 | 8 |
| 500 | 452 | 7, 8 |
| 500 | 19,992 |
Value-at-risk (VaR) |
|
| 2,454 | MR3 |
|
|
|
|
|
| 2,454 |
Stressed value-at risk (SVaR) |
|
| 5,866 | MR3 |
|
|
|
|
|
| 5,866 |
Add-on for risks-not-in-VaR (RniV) |
|
| 8,915 | MR3 |
|
|
|
|
|
| 8,915 |
Incremental risk charge (IRC) |
|
| 2,299 | MR3 |
|
|
|
|
|
| 2,299 |
Comprehensive risk measure (CRM) |
|
| 7 | MR3 |
|
|
|
|
|
| 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 |
16
Regulatory exposures and risk-weighted assets (continued) | |||||||||||
30.6.18 |
| 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) |
| 546,097 | 84,956 | 4 |
| 51,349 | 24,309 | 4 |
| 597,446 | 109,265 |
Central governments and central banks |
| 144,415 | 2,747 | CR6, CR7 |
| 14,293 | 498 | CR4, CR5 |
| 158,708 | 3,245 |
Banks and securities dealers |
| 16,376 | 4,660 | CR6, CR7 |
| 6,726 | 1,599 | CR4, CR5 |
| 23,102 | 6,259 |
Public-sector entities, multilateral development banks |
| 11,657 | 874 | CR6, CR7 |
| 1,602 | 446 | CR4, CR5 |
| 13,259 | 1,320 |
Corporates: specialized lending |
| 22,534 | 11,168 | CR6, CR7 |
|
|
| CR4, CR5 |
| 22,534 | 11,168 |
Corporates: other lending |
| 60,132 | 31,118 | CR6, CR7 |
| 5,376 | 4,178 | CR4, CR5 |
| 65,508 | 35,297 |
Central counterparties |
|
|
|
|
| 511 | 27 | CR4, CR5 |
| 511 | 27 |
Retail |
| 290,983 | 34,389 | CR6, CR7 |
| 12,619 | 8,215 | CR4, CR5 |
| 303,601 | 42,604 |
Residential mortgages |
| 139,175 | 24,937 |
|
| 6,642 | 2,626 |
|
| 145,816 | 27,564 |
Qualifying revolving retail exposures (QRRE) |
| 1,655 | 582 |
|
|
|
|
|
| 1,655 | 582 |
Other retail1 |
| 150,153 | 8,870 |
|
| 5,977 | 5,589 |
|
| 156,130 | 14,459 |
Non-counterparty-related risk |
|
|
|
|
| 10,222 | 9,345 | CR4, CR5 |
| 10,222 | 9,345 |
Property, equipment and software |
|
|
|
|
| 9,108 | 9,108 |
|
| 9,108 | 9,108 |
Other |
|
|
|
|
| 1,114 | 238 |
|
| 1,114 | 238 |
Counterparty credit risk2 |
| 92,858 | 23,006 | 5 |
| 90,659 | 10,108 | 5 |
| 183,516 | 33,114 |
Central governments and central banks |
| 7,196 | 879 | CCR3, CCR4 |
| 2,305 | 233 | CCR3, CCR4 |
| 9,501 | 1,112 |
Banks and securities dealers |
| 18,761 | 5,266 | CCR3, CCR4 |
| 6,518 | 1,465 | CCR3, CCR4 |
| 25,280 | 6,731 |
Public-sector entities, multilateral development banks |
| 2,590 | 295 | CCR3, CCR4 |
| 832 | 34 | CCR3, CCR4 |
| 3,422 | 329 |
Corporates incl. specialized lending |
| 46,298 | 16,225 | CCR3, CCR4 |
| 18,092 | 5,878 | CCR3, CCR4 |
| 64,390 | 22,104 |
Central counterparties |
| 18,012 | 341 |
|
| 53,665 | 1,467 |
|
| 71,677 | 1,807 |
Retail |
|
|
|
|
| 9,246 | 1,031 | CCR3, CCR4 |
| 9,246 | 1,031 |
Credit valuation adjustment (CVA) |
|
| 1,799 | 5, CCR2 |
|
| 1,697 | 5, CCR2 |
|
| 3,496 |
Equity positions in the banking book (CR) |
| 882 | 3,676 | 4, CR10 |
|
|
|
|
| 882 | 3,676 |
Settlement risk |
| 47 | 216 |
|
| 220 | 316 |
|
| 267 | 532 |
Securitization exposure in the banking book |
|
|
|
|
| 234 | 1,275 | 7 |
| 234 | 1,275 |
Market risk |
|
| 12,136 | 8 |
| 390 | 364 | 7, 8 |
| 390 | 12,500 |
Value-at-risk (VaR) |
|
| 1,652 | MR3 |
|
|
|
|
|
| 1,652 |
Stressed value-at risk (SVaR) |
|
| 3,450 | MR3 |
|
|
|
|
|
| 3,450 |
Add-on for risks-not-in-VaR (RniV) |
|
| 4,578 | MR3 |
|
|
|
|
|
| 4,578 |
Incremental risk charge (IRC) |
|
| 2,399 | MR3 |
|
|
|
|
|
| 2,399 |
Comprehensive risk measure (CRM) |
|
| 57 | MR3 |
|
|
|
|
|
| 57 |
Securitization / re-securitization in the trading book |
|
|
|
|
| 390 | 364 | MR1 |
| 390 | 364 |
Operational risk |
|
| 80,124 |
|
|
|
|
|
|
| 80,124 |
Amounts below thresholds for deduction (250% risk weight) |
| 762 | 2,020 |
|
| 3,441 | 8,601 |
|
| 4,203 | 10,621 |
Deferred tax assets |
|
|
|
|
| 3,441 | 8,601 |
|
| 3,441 | 8,601 |
Significant investments in non-consolidated financial institutions |
| 762 | 2,020 |
|
|
|
|
|
| 762 | 2,020 |
Total |
| 640,646 | 207,934 |
|
| 146,292 | 46,669 |
|
| 786,938 | 254,603 |
17
UBS Group AG consolidated
Regulatory exposures and risk-weighted assets (continued) | |||||||||||
31.12.173 |
| 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) |
| 520,414 | 75,597 | 4 |
| 50,808 | 24,607 | 4 |
| 571,222 | 100,204 |
Central governments and central banks |
| 132,116 | 2,910 | CR6, CR7 |
| 13,107 | 512 | CR4, CR5 |
| 145,223 | 3,422 |
Banks and securities dealers |
| 12,474 | 2,956 | CR6, CR7 |
| 6,378 | 1,498 | CR4, CR5 |
| 18,852 | 4,454 |
Public-sector entities, multilateral development banks |
| 11,695 | 841 | CR6, CR7 |
| 2,068 | 653 | CR4, CR5 |
| 13,763 | 1,494 |
Corporates: specialized lending |
| 23,296 | 10,207 | CR6, CR7 |
|
|
| CR4, CR5 |
| 23,296 | 10,207 |
Corporates: other lending |
| 56,979 | 25,786 | CR6, CR7 |
| 5,875 | 4,523 | CR4, CR5 |
| 62,854 | 30,309 |
Central counterparties |
|
|
|
|
| 458 | 25 | CR4, CR5 |
| 458 | 25 |
Retail |
| 283,854 | 32,897 | CR6, CR7 |
| 12,687 | 8,216 | CR4, CR5 |
| 296,541 | 41,113 |
Residential mortgages |
| 138,709 | 23,692 |
|
| 6,887 | 2,776 |
|
| 145,596 | 26,468 |
Qualifying revolving retail exposures (QRRE) |
| 1,659 | 578 |
|
|
|
|
|
| 1,659 | 578 |
Other retail1 |
| 143,486 | 8,626 |
|
| 5,799 | 5,440 |
|
| 149,285 | 14,067 |
Non-counterparty-related risk4 |
|
|
|
|
| 10,236 | 9,180 | CR4, CR5 |
| 10,236 | 9,180 |
Property, equipment and software |
|
|
|
|
| 8,999 | 8,999 |
|
| 8,999 | 8,999 |
Other |
|
|
|
|
| 1,237 | 181 |
|
| 1,237 | 181 |
Counterparty credit risk2 |
| 106,713 | 21,823 | 5 |
| 90,880 | 9,240 | 5 |
| 197,593 | 31,063 |
Central governments and central banks |
| 6,147 | 692 | CCR3, CCR4 |
| 2,109 | 279 | CCR3, CCR4 |
| 8,256 | 970 |
Banks and securities dealers |
| 17,652 | 4,993 | CCR3, CCR4 |
| 6,880 | 1,454 | CCR3, CCR4 |
| 24,531 | 6,447 |
Public-sector entities, multilateral development banks |
| 2,996 | 407 | CCR3, CCR4 |
| 810 | 28 | CCR3, CCR4 |
| 3,806 | 435 |
Corporates incl. specialized lending |
| 42,867 | 15,134 | CCR3, CCR4 |
| 17,285 | 5,121 | CCR3, CCR4 |
| 60,151 | 20,255 |
Central counterparties |
| 37,052 | 597 |
|
| 55,956 | 1,830 |
|
| 93,008 | 2,427 |
Retail |
|
|
|
|
| 7,841 | 528 | CCR3, CCR4 |
| 7,841 | 528 |
Credit valuation adjustment (CVA) |
|
| 2,017 | 5, CCR2 |
|
| 1,146 | 5, CCR2 |
|
| 3,164 |
Equity positions in the banking book (CR) |
| 587 | 2,429 | 4, CR10 |
|
|
|
|
| 587 | 2,429 |
Settlement risk |
| 71 | 79 |
|
| 366 | 300 |
|
| 436 | 379 |
Securitization exposure in the banking book |
| 2,352 | 1,739 |
|
|
|
| 7 |
| 2,352 | 1,739 |
Market risk |
|
| 12,188 | 8 |
| 291 | 410 | 7, 8 |
| 291 | 12,598 |
Value-at-risk (VaR) |
|
| 1,656 | MR3 |
|
|
|
|
|
| 1,656 |
Stressed value-at risk (SVaR) |
|
| 3,620 | MR3 |
|
|
|
|
|
| 3,620 |
Add-on for risks-not-in-VaR (RniV) |
|
| 3,284 | MR3 |
|
|
|
|
|
| 3,284 |
Incremental risk charge (IRC) |
|
| 3,547 | MR3 |
|
|
|
|
|
| 3,547 |
Comprehensive risk measure (CRM) |
|
| 81 | MR3 |
|
|
|
|
|
| 81 |
Securitization / re-securitization in the trading book |
|
|
|
|
| 291 | 410 | MR1 |
| 291 | 410 |
Operational risk |
|
| 81,476 |
|
|
|
|
|
|
| 81,476 |
Amounts below thresholds for deduction (250% risk weight) |
| 739 | 1,958 |
|
| 3,820 | 9,550 |
|
| 4,559 | 11,508 |
Deferred tax assets |
|
|
|
|
| 3,820 | 9,550 |
|
| 3,820 | 9,550 |
Significant investments in non-consolidated financial institutions |
| 739 | 1,958 |
|
|
|
|
|
| 739 | 1,958 |
Total |
| 630,875 | 199,305 |
|
| 146,165 | 45,254 |
|
| 777,040 | 244,559 |
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 business, 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 weighting approach. As of 31 December 2018, USD 93,933 million of EAD (30 June 2018: USD 109,422 million; 31 December 2017: USD 103,037 million) was subject to the advanced risk weighting approach, and USD 6,679 million of EAD (30 June 2018: USD 2,417 million; 31 December 2017: USD 1,549 million) was subject to the standardized risk weighting approach. 3 Based on phase-in rules. 4 Excludes EAD for deferred tax assets on net operating losses of USD 1,190 million, which is not subject to credit risk RWA calculation. |
18
Section 3 Linkage between financial statements and regulatory exposures
This section provides information about the differences between our regulatory exposures and carrying values presented in our financial statements prepared in accordance with the International Financial Reporting Standards (IFRS). Assets and liabilities presented in our IFRS financial statements may be subject to more than one risk framework as explained further on the next page.
Annual |
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | ||||||||||
31.12.18 |
| Carrying values as reported in published financial statements |
| Carrying values under scope of regulatory consolidation |
| Carrying values of items: | ||||
USD million |
|
|
|
|
| Subject to credit risk framework1 | Subject to counterparty credit risk framework2 | Subject to securitization framework3 | Subject to market risk framework | Not subject to capital requirements or subject to deduction from capital |
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
Cash and balances at central banks |
| 108,370 |
| 108,370 |
| 108,370 |
|
|
|
|
Loans and advances to banks |
| 16,868 |
| 16,655 |
| 15,612 | 1,0434 |
|
|
|
Receivables from securities financing transactions |
| 95,349 |
| 95,349 |
|
| 95,349 |
| 122 |
|
Cash collateral receivables on derivative instruments |
| 23,602 |
| 23,602 |
|
| 23,602 |
| 7,271 |
|
Loans and advances to customers |
| 320,352 |
| 320,405 |
| 314,762 | 5,6434 |
|
|
|
Other financial assets measured at amortized cost |
| 22,563 |
| 22,342 |
| 22,040 | 302 |
|
|
|
Total financial assets measured at amortized cost |
| 587,104 |
| 586,723 |
| 460,785 | 125,938 |
| 7,393 |
|
Financial assets at fair value held for trading |
| 104,370 |
| 103,897 |
| 9,0065 | 32,1216 | 126 | 94,764 |
|
Derivative financial instruments |
| 126,210 |
| 126,219 |
|
| 126,309 |
| 115,430 |
|
Brokerage receivables |
| 16,840 |
| 16,840 |
| 4,407 | 12,434 |
|
|
|
Financial assets at fair value not held for trading |
| 82,690 |
| 61,241 |
| 50,637 | 10,3407 | 87 | 11,945 | 8 |
Total financial assets measured at fair value through profit or loss |
| 330,110 |
| 308,197 |
| 64,050 | 181,204 | 213 | 222,140 | 8 |
Financial assets measured at fair value through other comprehensive income |
| 6,667 |
| 6,667 |
| 6,666 | 1886 |
|
|
|
Consolidated participations |
|
|
| 77 |
| 77 |
|
|
|
|
Investments in associates |
| 1,099 |
| 1,099 |
| 977 |
|
|
| 1228 |
Property, equipment and software |
| 9,348 |
| 9,297 |
| 9,297 |
|
|
|
|
Goodwill and intangible assets |
| 6,647 |
| 6,647 |
|
|
|
|
| 6,647 |
Deferred tax assets |
| 10,105 |
| 10,105 |
| 3,412 |
|
|
| 6,693 |
Other non-financial assets |
| 7,410 |
| 7,400 |
| 3,101 |
|
| 4,298 |
|
Total assets |
| 958,489 |
| 936,212 |
| 548,366 | 307,330 | 213 | 233,830 | 13,470 |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Amounts due to banks |
| 10,962 |
| 10,962 |
|
|
|
|
| 10,962 |
Payables from securities financing transactions |
| 10,296 |
| 10,296 |
|
|
|
| 39 | 10,296 |
Cash collateral payables on derivative instruments |
| 28,906 |
| 28,906 |
|
| 28,906 |
| 6,340 |
|
Customer deposits |
| 419,838 |
| 419,787 |
|
|
|
|
| 419,787 |
Debt issued measured at amortized cost |
| 132,271 |
| 132,264 |
|
|
|
|
| 132,264 |
Other financial liabilities measured at amortized cost |
| 6,885 |
| 6,381 |
|
|
|
|
| 6,381 |
Total financial liabilities measured at amortized cost |
| 609,159 |
| 608,597 |
|
| 28,906 |
| 6,379 | 579,690 |
Financial liabilities at fair value held for trading |
| 28,943 |
| 28,943 |
|
|
|
| 28,943 |
|
Derivative financial instruments |
| 125,723 |
| 125,727 |
|
| 125,757 |
| 118,858 |
|
Brokerage payables designated at fair value |
| 38,420 |
| 38,420 |
|
|
|
|
| 38,420 |
Debt issued designated at fair value |
| 57,031 |
| 57,031 |
|
|
|
| 57,0319 |
|
Other financial liabilities designated at fair value |
| 33,594 |
| 11,915 |
|
|
|
| 5,452 | 11,915 |
Total financial liabilities measured at fair value through profit or loss |
| 283,711 |
| 262,037 |
|
| 125,757 |
| 210,284 | 50,335 |
Provisions |
| 3,494 |
| 3,494 |
|
|
|
|
| 3,494 |
Other non-financial liabilities |
| 9,022 |
| 9,007 |
|
|
|
|
| 9,007 |
Total liabilities |
| 905,386 |
| 883,135 |
| 0 | 154,663 | 0 | 216,663 | 642,526 |
1 Includes non-counterparty-related risk and equity positions in the banking book subject to the simple risk weight method of USD 23,161 million, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 3 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 531,975 million. However, credit risk tables CR4 and CR5 include non-counterparty-related risk and credit risk table CR10 includes equity positions in the banking book, both not subject to the threshold deduction approach. 2 Includes settlement risk, which is not included in section 5 of this report. 3 This column only consists of securitization positions in the banking book. Trading book securitizations are included in column “Subject to market risk framework.” 4 Consists of settlement risk and margin loans, which are both subject to counterparty credit risk. 5 Includes trading portfolio assets in the banking book and traded loans. 6 Includes assets pledged as collateral, since collateral posted is subject to counterparty credit risk. 7 Includes structured reverse repurchase and securities borrowing agreements, as well as other exposures subject to the counterparty credit risk framework. 8 Consists of goodwill on investments in associates of USD 176 million net of a deferred tax liability (DTL) on goodwill of USD 54 million. 9 'Debt issued designated at fair value' is presented under the 'market risk framework' as of 31 December 2018. In prior year's Pillar 3 disclosures, these financial instruments were presented as 'Not subject to capital requirements or subject to deductions from capital'. The revised presentation did not have an effect on capital and capital ratios. |
p
19
UBS Group AG consolidated
Annual | The table on the previous page provides a breakdown of the IFRS balance sheet into the risk types used to calculate our regulatory capital requirements. Receivables and payables from securities financing transactions, cash collateral receivables and payables on derivative instruments, financial assets at fair value held for trading, derivative financial instruments, and financial assets at fair value not held for trading are subject to regulatory capital charges in both the market risk and the counterparty credit risk categories. In addition, financial assets measured at fair value through profit or loss and financial assets measured at fair value through other comprehensive income include securities that were pledged as collateral. These securities are also considered in the counterparty credit risk framework, as collateral posted is subject to counterparty credit risk. p
Explanation of the difference between the IFRS and regulatory scope 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 active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation.
The key difference between the IFRS and regulatory capital scope of consolidation as of 31 December 2018 relates 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: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” 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 31 December 2018, 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 consolidated neither under IFRS nor under the regulatory scope. As of 31 December 2018, these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, 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 on the legal structure of the UBS Group and on the IFRS scope of consolidation is provided on pages 12–13 and 328–329, respectively, of our Annual Report 2018, available under “Annual reporting” at www.ubs.com/investors. p
Quarterly |
Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation | ||||||
31.12.18 |
|
|
|
| ||
USD million |
| Total assets1 | Total equity1 |
|
| Purpose |
UBS Asset Management Life Ltd |
| 21,722 | 41 |
|
| Life insurance |
A&Q Alpha Select Hedge Fund Limited |
| 305 | 3042 |
|
| Investment vehicle for multiple investors |
A&Q Alternative Solution Limited |
| 268 | 2632 |
|
| Investment vehicle for multiple investors |
A&Q Alternative Solution Master Limited |
| 262 | 2622 |
|
| Investment vehicle for multiple investors |
UBS Life Insurance Company USA |
| 163 | 43 |
|
| Life insurance |
A&Q Global Alpha Strategies XL Limited |
| 106 | 522 |
|
| Investment vehicle for multiple investors |
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. |
p
20
Annual |
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation) | ||||||||
31.12.18 |
| Total |
| Items subject to: | ||||
USD million |
|
|
| Credit risk framework | Counterparty credit risk framework | Securitization framework | Market risk framework | |
1 | Asset carrying value amount under scope of regulatory consolidation (as per template LI1) |
| 936,212 |
| 548,3661 | 307,330 | 213 | 233,830 |
2 | Liabilities carrying value amount under scope of regulatory consolidation2 |
| (125,652) |
|
| (125,652) |
|
|
3 | Total net amount under regulatory scope of consolidation |
| 810,560 |
| 548,366 | 181,678 | 213 | 233,830 |
4 | Off-balance sheet amounts (post CCF; e.g., guarantees, commitments) |
| 68,297 |
| 58,565 | 9,731 |
|
|
5 | Differences due to prudential filters |
| (13,470) |
|
|
|
|
|
6 | PFE, differences in netting and collateral mitigation on derivatives |
| 78,636 |
|
| 78,636 |
|
|
7 | SFTs including collateral mitigation |
| (101,385) |
|
| (101,385) |
|
|
8 | Other differences including collateral mitigation in the banking book |
| (77,842) |
| (11,511) |
|
| (233,330) |
9 | Exposure amounts considered for regulatory purposes |
| 764,795 |
| 595,421 | 168,661 | 213 | 500 |
1 Includes non-counterparty-related risk and equity positions in the banking book subject to the simple risk weight method of USD 23,161 million, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 3 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 531,975 million. However, credit risk tables CR4 and CR5 include non-counterparty-related risk and credit risk table CR10 includes equity positions in the banking book, both not subject to the threshold deduction approach. 2 Includes the amounts of financial instruments and cash collateral considered as netting per relevant netting agreement so as not to exceed the net amount of financial assets presented on the balance sheet; i.e., over-collateralization, where it exists, is not reflected in the table. 3 Includes exposure amounts considered for regulatory purposes for non-cash collateral provided on derivative transactions. 4 Exposure at default is only calculated for securitization exposures in the trading book, resulting in a difference between carrying values and exposure amounts considered for regulatory purposes. The effect on the total exposure is higher, since certain exposures are subject to regulatory capital charges in both the market risk and the counterparty credit risk categories. |
p
Regulatory exposures
Annual | The table above illustrates the key differences between regulatory exposure amounts and accounting carrying values under the regulatory scope of consolidation. In addition to the accounting carrying values, the regulatory exposure amount includes:
– off-balance sheet amounts (line 4)
– potential future exposure (PFE) for derivatives, offset by netting where an enforceable master netting agreement is in place, and by eligible financial collateral deductions (line 6)
– effects from the model calculation of effective expected positive exposure (EEPE) applied to derivatives (line 6)
– any netting and collateral mitigation on securities financing transactions (SFTs) through the application of the close-out period approach or the comprehensive measurement approach (line 7)
– effect of collateral mitigation in the banking book (line 8)
The regulatory exposure amount excludes prudential filters (line 5), comprising items subject to deduction from capital, which are not risk weighted. In addition, exposures that are only subject to market risk do not create any regulatory exposure, as their risk is reflected as part of our market risk RWA calculation (line 8).p
21
UBS Group AG consolidated
Fair value measurement
The table below references more information on fair value measurement, which is provided in our Annual Report 2018.
Annual |
Pillar 3 disclosure requirement | Annual Report 2018 section | Disclosure |
| Annual Report 2018 page number | |||
|
|
|
|
|
|
|
|
Valuation methodologies applied, including mark-to-market and mark-to-model methodologies in use |
| Consolidated financial statements |
| – | Note 24a Valuation principles |
| 429–430 |
|
|
| – | Note 24c Fair value hierarchy |
| 431–437 | |
|
|
| – | Note 24f Level 3 instruments: valuation techniques and inputs |
| 441–443 | |
Description of the independent price verification process |
| Consolidated financial statements |
| – | Note 24b Valuation governance |
| 430 |
Procedures for valuation adjustments or reserves for valuing trading positions by type of instrument |
| Consolidated financial statements |
| – | Note 24d Valuation adjustments |
| 437–439 |
p
22
This section provides information on the exposures subject to the Basel III credit risk framework, as presented in the “Regulatory exposures and risk-weighted assets” table on pages 16–18 of this report. Information on counterparty credit risk is reflected in the “Counterparty credit risk” section on pages 55–66 of this report. Securitization positions are reported in the “Securitizations” section on pages 72–79 of this report.
The tables in this section provide details on the exposures used to determine the firm’s credit risk-related regulatory capital requirement. 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 regulatory capital prescribed measure of credit risk exposure also differs from that defined under International Financial Reporting Standards (IFRS).
Credit risk exposure categories
Annual | The definitions of the FINMA-defined Pillar 3 credit risk exposure categories “Loans” and “Debt securities” as referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section have been updated to reflect the new IFRS balance sheet structure under IFRS 9.
The Pillar 3 category “Loans” comprises financial instruments held with the intent to collect the contractual payments and includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– balances at central banks
– loans and advances to banks
– loans and advances to customers
– other financial assets measured at amortized cost, excluding money market instruments, checks and bills and other debt instruments
– traded loans in the banking book that are included within Financial assets at fair value held for trading
– brokerage receivables
– loans including structured loans that are included within Financial assets at fair value not held for trading
– other non-financial assets
The Pillar 3 category “Debt securities” includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– money market instruments, checks and bills and other debt instruments that are included within Other financial assets measured at amortized cost
– financial assets at fair value held for trading, excluding traded loans
– financial assets at fair value not held for trading, excluding loans
– financial assets measured at fair value through other comprehensive income
p
This section is organized in seven sub-sections.
Credit risk management
Annual | Includes a reference to disclosures on our risk management objectives and risk management process, our organizational structure and our risk governance. p
Credit risk exposure and credit quality of assets
Annual | Semiannual | Provides information on our credit risk exposures and credit quality of assets. pp
Credit risk mitigation
Annual | Semiannual | Refers to disclosures on policies and processes for collateral evaluation and management, the use of netting and credit risk mitigation instruments. We also disclose information on our credit risk mitigation (CRM) techniques used to reduce credit risk for loans and debt securities. All secured exposures are presented in a table, irrespective of whether the standardized approach or the A-IRB approach is used for the risk-weighted assets (RWA) calculation.pp
Credit risk under the standardized approach
Annual | Semiannual | Provides information on the use of external credit assessment institutions (ECAI) to determine risk weightings applied to rated counterparties, as well as quantitative information on credit risk exposures and the effect of CRM under the standardized approach. pp
Credit risk under internal risk-based approaches
Annual | Semiannual | Refers to disclosures on our internal risk-based models used to calculate RWA, including information on internal model development and control, as well as characteristics of our models. Includes tables that provide information on 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 probability of default (PD) range. pp
Credit risk risk-weighted assets under the A-IRB approach
Quarterly | Comprises disclosures on the quarterly credit risk RWA development under the A-IRB approach. p
Backtesting
Annual | Refers to disclosures on backtesting. p
23
UBS Group AG consolidated
Credit risk management
The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2018.
Annual |
CRA – Credit risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Translation of the business model into the components of the bank’s credit risk profile |
| Risk, treasury and capital management |
| – | Key risks, risk measures and performance by business division and Corporate Center unit |
| 120 |
|
|
| – | Risk categories, Risk definitions |
| 121 | |
|
|
| – | Credit risk profile of the Group |
| 134 | |
|
|
| – | Main sources of credit risk |
| 133 | |
| Consolidated financial statements |
| – | Note 23 d) Maximum exposure to credit risk |
| 421–422 | |
Criteria and approach used for defining credit risk management policy and for setting credit risk limits |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
| – | Risk appetite framework |
| 125–128 | ||
|
| – | Risk measurement |
| 130–132 | ||
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 133 | ||
Structure and organization of the credit risk management and control function |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
Interaction between the credit risk management, risk control, compliance and internal audit functions |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
| – | Risk appetite framework |
| 125–128 | ||
Scope and content of the reporting on credit risk exposure to the executive management and to the board of directors |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
|
| – | Internal risk reporting |
| 129 | |
|
|
| – | Credit risk profile of the Group |
| 134 | |
|
|
| – | Risk appetite framework |
| 125–128 |
p
24
Credit risk exposure and credit quality of assets
Amounts shown in the tables below are IFRS carrying values according to the regulatory scope of consolidation that are subject to the credit risk framework. Comparative prior-period information has not been disclosed due to the adoption of IFRS 9, effective prospectively from 1 January 2018.
Annual |
CRB: Breakdown of exposures by industry | ||||||||||||||
31.12.18 | ||||||||||||||
USD million | Banks | Construc- tion | Electricity, gas, water supply | Financial services | Hotels and restaurants | Manufac- turing2 | Mining | Private households | Public authorities | Real estate and rentals | Retail and wholesale3 | Services | Other4 | Total carrying value of assets |
Balances at central banks | 107,622 |
|
|
|
|
|
|
|
|
|
|
|
| 107,622 |
Loans and advances to banks1 | 15,612 |
|
|
|
|
|
|
|
|
|
|
|
| 15,612 |
Loans and advances to customers1 |
| 2,005 | 777 | 58,944 | 1,806 | 3,963 | 571 | 196,407 | 2,366 | 14,982 | 7,103 | 20,449 | 5,390 | 314,762 |
Other financial assets measured at amortized cost | 2,350 | 127 | 1 | 2,560 | 7 | 280 | 10 | 4,503 | 8,698 | 305 | 124 | 2,292 | 441 | 21,698 |
Total financial assets measured at amortized cost | 125,584 | 2,132 | 779 | 61,505 | 1,812 | 4,244 | 581 | 200,910 | 11,063 | 15,287 | 7,227 | 22,741 | 5,831 | 459,695 |
Financial assets at fair value held for trading | 93 | 20 | 76 | 224 | 2 | 121 | 25 |
| 7,777 | 226 | 23 | 96 | 52 | 8,735 |
Brokerage receivables | 7 | 42 | 19 | 322 | 4 |
| 4 | 3,360 |
|
| 36 | 573 | 40 | 4,407 |
Financial assets at fair value not held for trading | 13,505 | 0 | 1 | 11,752 |
|
| 16 | 1,284 | 22,468 | 291 | 0 | 106 | 30 | 49,452 |
Total financial assets measured at fair value through profit or loss | 13,606 | 62 | 96 | 12,297 | 6 | 121 | 45 | 4,644 | 30,246 | 517 | 58 | 775 | 121 | 62,594 |
Financial assets measured at fair value through other comprehensive income | 209 |
|
| 3,931 |
|
|
| 50 | 2,473 |
|
| 4 |
| 6,666 |
Other non-financial assets | 300 |
|
| 53 |
|
|
| 419 | 1,248 | 1 |
| 971 | 28 | 3,021 |
Total | 139,699 | 2,194 | 875 | 77,786 | 1,818 | 4,365 | 626 | 206,022 | 45,030 | 15,805 | 7,285 | 24,491 | 5,980 | 531,975 |
1 Loan exposure is reported in line with the IFRS definition. 2 Includes the chemicals industry. 3 Includes the food and beverages industry. 4 Consists of Transport, storage, communications and other. |
p
Annual | The table below provides a breakdown of our credit risk exposures by geographical area. The geographical distribution is based on the legal domicile of the counterparty or issuer. p
Annual |
CRB: Breakdown of exposures by geographical area | |||||||
31.12.18 | |||||||
USD million | Asia Pacific | Latin America | Middle East and Africa | North America | Switzerland | Rest of Europe | Total carrying value of assets |
Balances at central banks | 6,528 |
|
| 15,655 | 70,008 | 15,430 | 107,622 |
Loans and advances to banks1 | 4,485 | 155 | 461 | 5,870 | 261 | 4,380 | 15,612 |
Loans and advances to customers1 | 23,068 | 5,525 | 4,526 | 81,028 | 164,390 | 36,225 | 314,762 |
Other financial assets measured at amortized cost | 404 | 33 | 19 | 16,988 | 1,995 | 2,259 | 21,698 |
Total financial assets measured at amortized cost | 34,486 | 5,714 | 5,006 | 119,541 | 236,655 | 58,294 | 459,695 |
Financial assets at fair value held for trading | 1,754 | 631 | 8 | 3,384 | 30 | 2,928 | 8,735 |
Brokerage receivables | 6 | 55 | 14 | 4,278 | 11 | 43 | 4,407 |
Financial assets at fair value not held for trading | 16,196 |
|
| 16,741 | 2,431 | 14,084 | 49,452 |
Total financial assets measured at fair value through profit or loss | 17,956 | 686 | 21 | 24,403 | 2,472 | 17,055 | 62,594 |
Financial assets measured at fair value through other comprehensive income | 439 | 76 |
| 6,151 |
|
| 6,666 |
Other non-financial assets | 134 | 29 | 4 | 481 | 295 | 2,078 | 3,021 |
Total | 53,015 | 6,504 | 5,032 | 150,575 | 239,422 | 77,427 | 531,975 |
1 Loan exposure is reported in line with IFRS definition. |
p
25
UBS Group AG consolidated
Annual | The table below provides a breakdown of our credit risk exposure by residual maturity. Residual maturity is presented based on contract end date and does not include potential early redemption features. p
Annual |
CRB: Breakdown of exposures by residual maturity | ||||
31.12.18 | ||||
USD million | Due in 1 year or less | Due between 1 year and 5 years | Due over 5 years | Total carrying value of assets |
Balances at central banks | 107,622 |
|
| 107,622 |
Loans and advances to banks1 | 15,559 | 34 | 19 | 15,612 |
Loans and advances to customers1 | 178,182 | 89,294 | 47,286 | 314,762 |
Other financial assets measured at amortized cost | 6,811 | 6,545 | 8,342 | 21,698 |
Total financial assets measured at amortized cost | 308,174 | 95,874 | 55,647 | 459,695 |
Financial assets at fair value held for trading | 488 | 1,453 | 6,793 | 8,735 |
Brokerage receivables | 4,407 |
|
| 4,407 |
Financial assets at fair value not held for trading | 28,597 | 18,668 | 2,188 | 49,452 |
Total financial assets measured at fair value through profit or loss | 33,492 | 20,121 | 8,981 | 62,594 |
Financial assets measured at fair value through other comprehensive income | 1,077 | 1,409 | 4,180 | 6,666 |
Other non-financial assets | 1,709 | 1,312 |
| 3,021 |
Total | 344,452 | 118,716 | 68,808 | 531,975 |
1 Loan exposure is reported in line with the IFRS definition. |
p
26
Policies for past-due, non-performing and credit-impaired claims
Annual | We have adopted IFRS 9, Financial Instruments, effective as of 1 January 2018. IFRS 9 introduces a forward-looking expected credit loss (ECL) approach, which is intended to result in an earlier recognition of credit losses compared with the incurred-loss impairment approach for financial instruments under IAS 39, Financial Instruments: Recognition and Measurement, and the loss-provisioning approach for financial guarantees and loan commitments under IAS 37, Provisions, Contingent Liabilities and Contingent Assets.
In line with the regulatory definition, we report a claim as non-performing when (i) it is more than 90 days past due; (ii) it is subject to restructuring proceedings, where preferential conditions concerning interest rates, subordination, tenor etc. have been granted in order to avoid default of the counterparty (forbearance); or (iii) the counterparty is subject to bankruptcy / enforced liquidation proceedings in any form, even if there is sufficient collateral to cover the due payment.
UBS applies a single definition of default for classifying assets and determining the PD of its obligors for risk modeling purposes. The definition of default is based on quantitative and qualitative criteria. A counterparty is classified as defaulted at the latest when material payments of interest, principal or fees are overdue for more than 90 days, or more than 180 days for certain exposures in relation to loans to private and commercial clients in Personal & Corporate Banking, and to private clients of Global Wealth Management Region Switzerland. UBS does not consider the general 90-day presumption for default recognition appropriate for these latter portfolios based on an analysis of the cure rates, which demonstrated that strict application of the 90-day criterion would not accurately reflect the inherent credit risk. Counterparties are also classified as defaulted when bankruptcy, insolvency proceedings or enforced liquidation have commenced; obligations have been restructured on preferential terms (forbearance); or there is other evidence that payment obligations will not be fully met without recourse to collateral. The latter may be the case even if, to date, all contractual payments have been made when due. If a counterparty is defaulted, generally all claims against the counterparty are treated as defaulted.
An instrument is classified as credit-impaired if the counterparty is defaulted, and / or the instrument is identified as purchased or originated credit-impaired (POCI). An instrument is POCI if it has been purchased with a material discount to its carrying amount following a risk event of the issuer or originated with a defaulted counterparty. Once a financial asset is classified as defaulted / credit-impaired (except POCIs), it is reported as a stage 3 instrument and remains as such unless all past due amounts have been rectified, additional payments have been made on time, the position is not classified as credit-restructured, and there is general evidence of credit recovery. A three-month probation period is applied before a transfer back to stages 1 or 2 can be triggered. However, most instruments remain in stage 3 for a longer period.
The tables below provide a breakdown of impaired exposures by geographical region and industry. The amounts shown are IFRS carrying values. The geographical distribution is based on the legal domicile of the counterparty or issuer.p
Annual |
CRB: Credit-impaired exposures by industry | ||||
31.12.18 |
|
|
|
|
USD million | Credit-impaired exposures, gross (Stage 3) | Allowances for credit-impaired exposures | Credit-impaired exposures net of allowances | Write-offs for the year ended |
Banks | 3 | (3) | 0 | 0 |
Construction | 33 | (12) | 21 | (9) |
Electricity, gas, water supply | 14 | (2) | 13 | (1) |
Financial services | 164 | (48) | 115 | (7) |
Hotels and restaurants | 69 | (11) | 58 | 0 |
Manufacturing1 | 207 | (110) | 98 | (81) |
Mining | 87 | (31) | 56 | (5) |
Private households | 1,035 | (151) | 884 | (29) |
Public authorities | 28 | (7) | 21 | 0 |
Real estate and rentals | 519 | (51) | 467 | 0 |
Retail and wholesale2 | 251 | (182) | 69 | (4) |
Services | 117 | (39) | 78 | (5) |
Transport, storage, communications and other | 359 | (12) | 347 | (67) |
Total | 2,886 | (659) | 2,227 | (210) |
|
|
|
|
|
|
|
31.12.173 |
|
|
|
|
|
|
USD million | Impaired financial instruments | Specific allowances | Impaired financial instruments net of specific allowances | Collective allowances | Total allowances | Write-offs for the year ended |
Total3 | 1,669 | (718) | 951 | (13) | (731) | (120) |
1 Includes the chemicals industry 2 Includes the food and beverages industry. 3 Prior-period information is presented under IAS 39 requirements. However, it now includes exposures presented within table CR1 in the 30 June 2018 Pillar 3 report - UBS Group and significant related subsidiaries and sub-groups of USD 361 million, with associated allowances of USD 19 million. |
p
27
UBS Group AG consolidated
Annual | The table below provides a breakdown of our credit risk exposures by geographical region. The geographical distribution is based on the legal domicile of the counterparty or issuer. p
Annual |
CRB: Credit-impaired exposures by geographical area | ||||
31.12.18 |
|
|
|
|
USD million | Credit-impaired exposures, gross (Stage 3) | Allowances for credit-impaired exposures | Credit-impaired exposures net of allowances | Write-offs for the year ended |
Asia Pacific | 79 | (43) | 36 | (11) |
Latin America | 67 | (45) | 23 | 0 |
Middle East and Africa | 10 | (2) | 8 | 0 |
North America | 742 | (121) | 621 | (24) |
Switzerland | 1,696 | (330) | 1,366 | (51) |
Rest of Europe | 292 | (118) | 174 | (123) |
Total | 2,886 | (659) | 2,227 | (210) |
| ||||||
31.12.171 |
|
|
|
|
|
|
USD million | Impaired financial instruments | Specific allowances | Impaired financial instruments net of specific allowances | Collective allowances | Total allowances | Write-offs for the year ended |
Total | 1,669 | (718) | 951 | (13) | (731) | (120) |
1 Prior-period information is presented under IAS 39 requirements. However, it now includes exposures presented within table CR1 in the 30 June 2018 Pillar 3 report - UBS Group and significant related subsidiaries and sub-groups of USD 361 million, with associated allowances of USD 19 million. |
p
28
Semiannual | The table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. With the implementation of IFRS 9, the “Allowances / impairments” columns were enhanced to reflect expected credit loss (ECL) allowances and provisions related to stages 1–3 as of 30 June 2018 and 31 December 2018. Comparative numbers as of 31 December 2017 are based on the incurred loss model of IAS 39, Financial Instruments: Recognition and Measurement, and were largely comparable to the IFRS 9 stage 3 allowances and provisions. More information on the net value movements related to Loans and Debt securities shown in the table below is provided on page 31 in the “CR3: Credit risk mitigation techniques – overview” table.p
Semiannual |
CR1: Credit quality of assets | |||||||||||||||||||||||
|
|
| Gross carrying values of: |
| Allowances / impairments |
| Net values | ||||||||||||||||
USD million |
| Defaulted exposures |
| Non-defaulted exposures |
| Stage 3 (credit-impaired) |
| Stage 1 & 2 |
| Total |
|
| |||||||||||
|
| 31.12.18¹ | 30.6.18 | 31.12.17 |
| 31.12.18 | 30.6.18 | 31.12.17 |
| 31.12.18 | 30.6.18 |
| 31.12.18 | 30.6.18 |
| 31.12.18 | 30.6.18 | 31.12.17 |
| 31.12.18 | 30.6.18 | 31.12.17 | |
1 | Loans² |
| 2,886 | 2,912 | 2,856 |
| 460,119 | 457,110 | 439,606 |
| (659) | (753) |
| (272)³ | (276)³ |
| (931) | (1,029) | (698) |
| 462,073 | 458,994 | 441,765 |
2 | Debt securities |
|
|
|
|
| 69,902 | 77,930 | 74,282 |
|
|
|
|
|
|
|
|
|
|
| 69,902 | 77,930 | 74,282 |
3 | Off-balance sheet exposures |
| 383 | 302 | 281 |
| 304,595 | 315,673 | 207,304 |
| (34) | (26) |
| (82) | (86) |
| (116) | (112) | (34) |
| 304,863 | 315,863 | 207,550 |
4 | Total |
| 3,269 | 3,215 | 3,137 |
| 834,616 | 850,713 | 721,191 |
| (693) | (779) |
| (354) | (362) |
| (1,047) | (1,141) | (731) |
| 836,838 | 852,786 | 723,596 |
1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to “Note 9 Expected credit loss measurement“ and “Note 19 Transition to IFRS 9 as of 1 January 2018” of our second quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors for more information on IFRS 9. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section, for more information on the classification of Loans and Debt securities. 3 Excludes ECL on exposures subject to counterparty credit risk (31 December 2018: USD 3.6 million; 30 June 2018: USD 2 million). |
p
Semiannual | The total amount of defaulted loans and debt securities amounted to USD 3.3 billion as of 31 December 2018. The net increase of USD 54 million was driven by the gross USD 381 million increase in total defaulted exposures compared with 30 June 2018, mainly driven by various corporate clients in Switzerland, partly offset by amounts written off, defaulted loans returned to non-defaulted status and other changes. p
Semiannual |
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | |||
USD million | For the half year ended 31.12.18 | For the half year ended 30.6.18 | |
1 | Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | 3,215 | 3,137 |
2 | Loans and debt securities that have defaulted since the last reporting period | 381 | 414 |
3 | Returned to non-defaulted status | (56) | (147) |
4 | Amounts written off | (172) | (38) |
5 | Other changes | (99) | (151) |
6 | Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | 3,269 | 3,215 |
|
p
29
UBS Group AG consolidated
Annual | The table below shows a breakdown of total loan balances where payments have been missed. The amount of past-due mortgage loans was not significant compared with the overall size of the mortgage portfolio. Amounts in the table below are IFRS carrying values and include the IFRS balance sheet lines Loans and advances to customers and loans and advances to banks. p
Annual |
CRB: Past due exposures | |||
USD million | 31.12.18 |
| 31.12.17 |
1–10 days | 53 |
| 133 |
11–30 days | 98 |
| 119 |
31–60 days | 74 |
| 133 |
61–90 days | 39 |
| 201 |
>90 days | 1,535 |
| 1,049 |
of which: mortgage loans | 4741 |
| 4211 |
Total | 1,800 |
| 1,635 |
1 Total mortgage loans: USD 165,398 million (31 December 2017: 157,705 million). |
p
Restructured exposures
Annual | Under imminent payment default or where default has already occurred, we may grant concessions to borrowers in financial difficulties that we would otherwise not consider in the normal course of our business, such as preferential interest rates, extension of maturity, modifying the schedule of repayments, debt / equity swap, subordination, etc. When a forbearance measure takes place, each case is considered individually and the exposure is generally classified in default. Forbearance classification will remain, until the loan is collected or written off, non-preferential conditions are granted that supersede the preferential conditions or until the counterparty has recovered and the preferential conditions no longer exceed our risk appetite.
Contractual adjustments when there is no evidence of imminent payment default, or where changes to terms and conditions are within our usual risk appetite, are not considered to be forborne.
Refer to pages 151 –153 in our Annual Report 2018 for more information on our policies for restructured exposures.
The table below provides more information on restructured exposures as of 31 December 2018. p
Annual |
CRB: Breakdown of restructured exposures between credit-impaired and non-credit-impaired | |||||||||
|
| Credit-impaired |
| Non-credit-impaired |
| Total | |||
USD million |
| 31.12.18 | 31.12.17 |
| 31.12.18 | 31.12.17 |
| 31.12.18 | 31.12.17 |
Restructured exposures |
| 1,114 | 411 |
|
| 755 |
| 1,114 | 1,166 |
|
p
30
Credit risk mitigation
The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2018.
Annual |
CRC – Credit risk mitigation | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off-balance sheet netting |
| Risk, treasury and capital management |
| – | Traded products |
| 141–142 |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 395–399 | |
|
|
| – | Note 27 Offsetting financial assets and financial liabilities |
| 455 | |
|
|
| – | Note 1a item 3i Netting |
| 346 | |
Core features of policies and processes for collateral evaluation and management |
| Risk, treasury and capital management |
| – | Credit risk mitigation |
| 143–145 |
Information about market or credit risk concentrations under the credit risk mitigation instruments used |
| Risk, treasury and capital management |
| – | Risk concentrations |
| 132 |
|
|
| – | Credit risk mitigation |
| 143–145 | |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 395–399 |
p
Additional information on counterparty credit risk mitigation is provided in the “Counterparty credit risk” section on pages 55–66 of this report.
Semiannual | The table below provides a breakdown of unsecured and partially or fully secured exposures, including security type, for the categories Loans and Debt securities.
The total carrying amount of loans increased by USD 3 billion to USD 462 billion in the second half of 2018. This was driven by an increase of USD 5 billion in cash and balances at central banks, mainly resulting from client-driven activity that affected funding consumption by the business divisions, contributing to unsecured exposures. This was partly offset by a decrease of USD 2 billion primarily as a result of lower lending in Global Wealth Management. The total carrying value of debt securities decreased by USD 8 billion to USD 69.9 billion mainly resulting from net transfers out of high-quality government bills and bonds held at fair value into SFTs in Group Asset and Liability Management (Group ALM).p
Semiannual |
CR3: Credit risk mitigation techniques – overview1 | |||||||||
|
|
|
|
|
| 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 | |
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 138,563 | 320,431 | 458,994 |
| 308,335 | 1,349 | 19 |
2 | Debt securities |
| 77,929 |
| 77,929 |
|
|
|
|
3 | Total |
| 216,492 | 320,431 | 536,923 |
| 308,335 | 1,349 | 19 |
4 | of which: defaulted |
| 667 | 1,493 | 2,160 |
| 1,055 | 255 |
|
| |||||||||
31.12.17 |
|
| |||||||
1 | Loans2 |
| 121,582 | 320,183 | 441,765 |
| 308,412 | 1,382 | 45 |
2 | Debt securities |
| 74,281 |
| 74,281 |
|
|
|
|
3 | Total |
| 195,864 | 320,183 | 516,046 |
| 308,412 | 1,382 | 45 |
4 | of which: defaulted |
| 737 | 1,422 | 2,158 |
| 892 | 295 |
|
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” in this section, for more information on the classification of Loans and Debt securities. |
p
31
UBS Group AG consolidated
Standardized approach – credit risk mitigation
Semiannual | The table below illustrates the effect of credit risk mitigation on the calculation of capital requirements under the standardized approach. p
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 % | |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
| ||||||||||
Asset classes2 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 14,287 |
| 14,287 |
| 14,286 |
| 14,286 |
| 494 | 3.5 |
2 | Banks and securities dealers |
| 6,285 | 903 | 7,188 |
| 6,284 | 442 | 6,725 |
| 1,599 | 23.8 |
3 | Public-sector entities and multilateral development banks |
| 1,555 | 279 | 1,834 |
| 1,553 | 56 | 1,608 |
| 450 | 28.0 |
4 | Corporates |
| 5,555 | 3,744 | 9,299 |
| 5,537 | 439 | 5,976 |
| 4,236 | 70.9 |
5 | Retail |
| 14,263 | 3,387 | 17,650 |
| 12,280 | 252 | 12,532 |
| 8,185 | 65.3 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 10,222 |
| 10,222 |
| 10,222 |
| 10,222 |
| 9,345 | 91.4 |
8 | Total |
| 52,167 | 8,314 | 60,480 |
| 50,161 | 1,188 | 51,349 |
| 24,309 | 47.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
| ||||||||||
Asset classes2 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 13,076 |
| 13,076 |
| 13,075 |
| 13,075 |
| 483 | 3.7 |
2 | Banks and securities dealers |
| 5,837 | 1,057 | 6,894 |
| 5,834 | 554 | 6,389 |
| 1,514 | 23.7 |
3 | Public-sector entities and multilateral development banks |
| 1,932 | 289 | 2,221 |
| 1,929 | 143 | 2,072 |
| 655 | 31.6 |
4 | Corporates |
| 6,416 | 3,808 | 10,225 |
| 5,964 | 479 | 6,444 |
| 4,591 | 71.3 |
5 | Retail |
| 14,381 | 3,080 | 17,460 |
| 12,422 | 171 | 12,593 |
| 8,183 | 65.0 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 10,236 |
| 10,236 |
| 10,236 |
| 10,236 |
| 9,181 | 89.7 |
8 | Total |
| 51,876 | 8,235 | 60,111 |
| 49,459 | 1,348 | 50,808 |
| 24,607 | 48.4 |
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
32
IRB approach – credit derivatives used as credit risk mitigation
Semiannual | We actively manage the credit risk in our corporate loan portfolios by utilizing credit derivatives. Single-name credit derivatives that fulfill the operational requirements prescribed by FINMA are recognized in the RWA calculation using the PD or rating (and asset class) assigned to the hedge provider. The PD (or rating) substitution is only applied in the RWA calculation when the PD (or rating) of the hedge provider is lower than the PD (or rating) 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 66 of this report for notional and fair value information on credit derivatives used as credit risk mitigation. p
Semiannual |
CR7: IRB – effect on RWA of credit derivatives used as CRM techniques1 | ||||||||||
|
| 31.12.18 |
| 30.6.18 |
| 31.12.17 | ||||
USD million |
| Pre-credit derivatives RWA | Actual RWA |
| 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 |
| 2,502 | 2,500 |
| 2,728 | 2,722 |
| 2,786 | 2,775 |
3 | Banks and securities dealers – FIRB |
|
|
|
|
|
|
|
|
|
4 | Banks and securities dealers – AIRB |
| 5,240 | 5,240 |
| 4,561 | 4,561 |
| 2,722 | 2,722 |
5 | Public-sector entities, multilateral development banks – FIRB |
|
|
|
|
|
|
|
|
|
6 | Public-sector entities, multilateral development banks – AIRB |
| 798 | 798 |
| 902 | 902 |
| 874 | 874 |
7 | Corporates: Specialized lending – FIRB |
|
|
|
|
|
|
|
|
|
8 | Corporates: Specialized lending – AIRB |
| 12,172 | 12,172 |
| 11,319 | 11,319 |
| 10,273 | 10,273 |
9 | Corporates: Other lending – FIRB |
|
|
|
|
|
|
|
|
|
10 | Corporates: Other lending – AIRB |
| 31,083 | 30,612 |
| 31,960 | 31,487 |
| 26,832 | 26,055 |
11 | Retail: mortgage loans |
| 26,696 | 26,696 |
| 24,964 | 24,964 |
| 23,692 | 23,692 |
12 | Retail exposures: qualifying revolving retail (QRRE) |
| 624 | 624 |
| 582 | 582 |
| 579 | 579 |
13 | Retail: other |
| 8,377 | 8,377 |
| 8,420 | 8,420 |
| 8,626 | 8,626 |
14 | Equity positions (PD/LGD approach) |
|
|
|
|
|
|
|
|
|
15 | Total |
| 87,493 | 87,019 |
| 85,436 | 84,956 |
| 76,385 | 75,597 |
1 The CRM effect is reflected on the original asset class. |
p
33
UBS Group AG consolidated
Credit risk under the standardized approach
Annual | The standardized approach is generally applied where it is not possible to use the advanced internal ratings-based (A-IRB) approach. The standardized approach requires banks, where possible, to use risk assessments prepared by external credit assessment institutions (ECAI) or export credit agencies to determine the risk weightings applied to rated counterparties. We use three FINMA-recognized ECAI to determine the risk weights for certain counterparties according to the BCBS-defined asset classes: Standard & Poor’s, Moody’s Investors Service and Fitch Ratings.
The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its website. There were no changes in the ECAI used compared with 31 December 2017.
Debt instruments are risk-weighted in accordance with the specific issue ratings available. In case there is no specific issue rating published by the ECAI, the issuer rating is applied to the senior unsecured claims of that issuer subject to the conditions prescribed by FINMA. For the asset classes Retail, Equity and Other assets, we apply the regulatory prescribed risk weights independent of an external credit rating. p
Annual |
CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk | |||||
|
|
| 31.12.18 | ||
|
|
| External ratings used | ||
| Asset classes |
| Moody’s | Standard & Poor’s | Fitch |
1 | Central governments and central banks |
| l | l | l |
2 | Banks and securities dealers |
| l | l | l |
3 | Public-sector entities and multilateral development banks |
| l | l | l |
4 | Corporates |
| l | l | l |
|
p
34
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) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 | 0 | 56,467 |
9 | of which: mortgage loans |
|
|
|
| 5,809 |
| 97 | 778 |
|
| 6,685 |
10 | of which: past due1 |
|
|
|
|
|
|
| 112 |
|
| 112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 13,717 |
| 85 |
| 20 |
| 471 |
|
| 14,293 |
2 | Banks and securities dealers |
|
|
| 5,889 |
| 831 |
| 6 |
|
| 6,726 |
3 | Public-sector entities and multilateral development banks |
| 175 |
| 972 |
| 406 |
| 49 |
|
| 1,602 |
4 | Corporates |
|
|
| 1,873 |
| 182 |
| 3,831 |
|
| 5,886 |
5 | Retail |
|
|
|
| 6,133 |
| 1,959 | 4,383 | 144 |
| 12,619 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 877 |
|
|
|
|
| 9,345 |
|
| 10,222 |
8 | Total |
| 14,769 |
| 8,819 | 6,133 | 1,439 | 1,959 | 18,085 | 145 | 0 | 51,349 |
9 | of which: mortgage loans |
|
|
|
| 6,133 |
| 116 | 392 |
|
| 6,642 |
10 | of which: past due1 |
|
|
|
|
|
|
| 109 |
|
| 109 |
| ||||||||||||
31.12.17 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 12,487 |
| 122 |
| 21 |
| 478 | 0 |
| 13,107 |
2 | Banks and securities dealers |
|
|
| 5,677 |
| 676 |
| 25 |
|
| 6,378 |
3 | Public-sector entities and multilateral development banks |
| 215 |
| 1,183 |
| 507 |
| 162 | 0 |
| 2,068 |
4 | Corporates |
| 69 |
| 1,958 |
| 177 |
| 4,118 | 11 |
| 6,333 |
5 | Retail |
|
|
|
| 6,266 |
| 1,817 | 4,491 | 113 |
| 12,687 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 1,057 |
|
|
|
|
| 9,180 |
|
| 10,236 |
8 | Total |
| 13,829 |
| 8,938 | 6,266 | 1,381 | 1,817 | 18,453 | 124 | 0 | 50,808 |
9 | of which: mortgage loans |
|
|
|
| 6,266 |
| 156 | 465 |
|
| 6,887 |
10 | of which: past due1 |
|
|
|
| 2 |
| 2 | 58 | 16 |
| 79 |
1 Includes mortgage loans. |
p
35
UBS Group AG consolidated
Credit risk under internal ratings-based approaches
Annual | We use the A-IRB approach for calculating certain credit risk exposures. Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we
have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2018.p
Annual |
CRE – Internal ratings-based models | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Internal model development, controls and changes |
| Risk, treasury and capital management |
| – | Risk measurement |
| 130–132 |
|
| – | Credit risk models |
| 145–151 | ||
|
| – | Key features of our main credit risk models |
| 146 | ||
|
| – | Risk governance |
| 123–124 | ||
Relationships between risk management and internal audit and independent review of IRB models |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
|
| – | Risk measurement |
| 130–132 | |
Scope and content of the reporting related to credit risk models |
| Risk, treasury and capital management |
| – | Risk measurement |
| 130–132 |
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 133 | ||
|
| – | Credit risk models |
| 145–151 | ||
Supervisor approval of applied approaches |
| Risk, treasury and capital management |
| – | Risk measurement |
| 130–132 |
|
| – | Changes to models and model parameters during the period |
| 151 | ||
|
| – | Stress testing |
| 130–132 | ||
|
| – | Key features of our main credit risk models |
| 146 | ||
Number of key models used by portfolio and the main differences between models |
| Risk, treasury and capital management |
| – | Credit risk models |
| 145–151 |
Description of the main characteristics of approved models |
| Risk, treasury and capital management |
| – | Credit risk models |
| 145–151 |
p
Semiannual | The table in this sub-section provides information on 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 in section 2 on pages 16–18 of this report.
The “CR6: IRB – Credit risk exposures by portfolio and PD range” table on the following pages provides a breakdown of the key parameters used for calculation of capital requirements under the A-IRB approach, shown by PD range across FINMA defined asset classes.p
As of 31 December 2018, exposures before the application of CCFs decreased by USD 21.6 billion to USD 774.6 billion. This decrease was primarily related to a reduction in Lombard lending in Global Wealth Management, which decreased exposures before CCF and CRM by USD 12.1 billion with a reduction in EAD post-CCF and post-CRM of USD 10 billion. This was partly offset by an increase of USD 2.5 billion on exposures before CCF and CRM and post-CCF and post-CRM, due to the revision of the methodology applied for Lombard lending transactions in Japan. There was a USD 6.5 billion reduction in exposures before CCF and CRM and post-CCF and post-CRM in the asset classes “Central governments and central banks” and “Public-sector entities and multilateral development banks”, reflecting a decrease in high-quality liquid assets (HQLA). Information on credit risk RWA for the third quarter of 2018, including details on movements in RWA, is provided on pages 6–7 in our 30 September 2018 UBS Group AG and significant regulated subsidiaries and sub-groups report for the third quarter of 2018, available under “Pillar 3 disclosures” at www.ubs.com/investors and for the fourth quarter on pages 46–47 of this report. p
36
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 139,551 | 19 | 139,570 | 47 | 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 | 0.2 | <0.1 | 55.2 | 1.0 | 0 | 34.7 | 0 |
|
0.25 to <0.50 |
| 3 | 0 | 3 | 10 | 3 | 0.3 | <0.1 | 54.9 | 1.0 | 1 | 54.2 | 0 |
|
0.50 to <0.75 |
| 9 | 0 | 9 | 0 | 9 | 0.7 | <0.1 | 97.9 | 1.1 | 13 | 143.1 | 0 |
|
0.75 to <2.50 |
| 2 | 0 | 2 | 55 | 1 | 1.0 | <0.1 | 38.3 | 2.6 | 1 | 101.5 | 0 |
|
2.50 to <10.00 |
| 4 | 12 | 15 | 52 | 10 | 3.6 | <0.1 | 54.3 | 2.7 | 16 | 162.2 | 0 |
|
10.00 to <100.00 |
| 28 | 0 | 28 | 10 | 28 | 13.9 | <0.1 | 5.0 | 1.0 | 8 | 27.1 | 0 |
|
100.00 (default) |
| 13 | 37 | 50 | 55 | 23 |
| <0.1 |
|
| 25 | 106.0 | 10 |
|
Subtotal |
| 139,609 | 68 | 139,676 | 52 | 139,632 | 0.0 | 0.2 | 29.1 | 1.0 | 2,537 | 1.8 | 14 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 144,249 | 126 | 144,376 | 58 | 144,322 | 0.0 | 0.1 | 35.3 | 1.0 | 2,681 | 1.9 | 3 |
|
0.15 to <0.25 |
| 0 | 0 | 0 | 0 | 0 | 0.2 | <0.1 | 61.0 | 1.2 | 0 | 38.9 | 0 |
|
0.25 to <0.50 |
| 4 | 0 | 4 | 10 | 4 | 0.3 | <0.1 | 69.3 | 1.3 | 3 | 73.8 | 0 |
|
0.50 to <0.75 |
| 5 | 0 | 5 | 0 | 5 | 0.7 | <0.1 | 95.7 | 1.2 | 7 | 140.1 | 0 |
|
0.75 to <2.50 |
| 1 | 3 | 4 | 1 | 1 | 1.1 | <0.1 | 36.4 | 2.7 | 1 | 99.8 | 0 |
|
2.50 to <10.00 |
| 4 | 3 | 7 | 57 | 6 | 2.7 | <0.1 | 9.7 | 4.0 | 2 | 32.5 | 0 |
|
10.00 to <100.00 |
| 37 | 0 | 37 | 50 | 37 | 13.9 | <0.1 | 5.0 | 1.0 | 10 | 27.2 | 0 |
|
100.00 (default) |
| 22 | 52 | 74 | 55 | 40 |
| <0.1 |
|
| 42 | 106.0 | 10 |
|
Subtotal |
| 144,322 | 185 | 144,507 | 56 | 144,415 | 0.0 | 0.1 | 35.3 | 1.0 | 2,747 | 1.9 | 14 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 131,998 | 129 | 132,127 | 49 | 132,060 | 0.0 | 0.1 | 39.0 | 1.0 | 2,855 | 2.2 | 4 |
|
0.15 to <0.25 |
| 0 | 0 | 0 | 0 | 0 | 0.2 | <0.1 | 61.8 | 1.0 | 0 | 39.4 | 0 |
|
0.25 to <0.50 |
| 5 | 0 | 5 | 19 | 5 | 0.3 | <0.1 | 70.0 | 1.8 | 4 | 83.3 | 0 |
|
0.50 to <0.75 |
| 4 | 0 | 4 | 0 | 4 | 0.7 | <0.1 | 65.9 | 1.2 | 4 | 96.9 | 0 |
|
0.75 to <2.50 |
| 1 | 51 | 52 | 54 | 28 | 1.2 | <0.1 | 6.9 | 4.6 | 28 | 100.6 | 0 |
|
2.50 to <10.00 |
| 0 | 3 | 3 | 36 | 1 | 2.7 | <0.1 | 8.0 | 3.8 | 0 | 26.2 | 0 |
|
10.00 to <100.00 |
| 0 | 0 | 0 | 0 | 0 | 13.3 | <0.1 | 10.0 | 1.0 | 0 | 46.4 | 0 |
|
100.00 (default) |
| 27 | 1 | 28 | 55 | 17 |
| <0.1 |
|
| 18 | 106.0 | 11 |
|
Subtotal |
| 132,035 | 183 | 132,218 | 50 | 132,116 | 0.0 | 0.1 | 39.0 | 1.0 | 2,910 | 2.2 | 15 | 8 |
37
UBS Group AG consolidated
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 11,855 | 1,805 | 13,659 | 54 | 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 | 46 | 793 | 0.2 | 0.3 | 49.3 | 1.3 | 364 | 45.9 | 1 |
|
0.25 to <0.50 |
| 454 | 391 | 845 | 52 | 570 | 0.4 | 0.2 | 61.8 | 1.1 | 455 | 79.8 | 1 |
|
0.50 to <0.75 |
| 167 | 263 | 430 | 42 | 221 | 0.6 | 0.1 | 62.9 | 1.1 | 243 | 110.0 | 1 |
|
0.75 to <2.50 |
| 974 | 304 | 1,278 | 46 | 866 | 1.7 | 0.2 | 48.3 | 1.4 | 1,098 | 126.8 | 7 |
|
2.50 to <10.00 |
| 320 | 388 | 708 | 45 | 363 | 4.7 | 0.2 | 52.5 | 1.0 | 674 | 185.5 | 9 |
|
10.00 to <100.00 |
| 0 | 12 | 12 | 28 | 3 | 15.9 | <0.1 | 32.5 | 1.0 | 5 | 165.1 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 14,780 | 3,621 | 18,401 | 50 | 15,454 | 0.3 | 1.5 | 44.8 | 1.1 | 5,272 | 34.1 | 22 | 7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 11,822 | 1,914 | 13,735 | 52 | 12,887 | 0.1 | 0.5 | 42.3 | 1.1 | 2,117 | 16.4 | 3 |
|
0.15 to <0.25 |
| 1,097 | 693 | 1,790 | 52 | 1,396 | 0.2 | 0.3 | 48.4 | 1.2 | 532 | 38.1 | 1 |
|
0.25 to <0.50 |
| 337 | 528 | 866 | 53 | 569 | 0.4 | 0.2 | 56.3 | 1.1 | 344 | 60.4 | 1 |
|
0.50 to <0.75 |
| 116 | 307 | 423 | 44 | 182 | 0.5 | 0.1 | 56.1 | 1.1 | 288 | 158.2 | 3 |
|
0.75 to <2.50 |
| 1,193 | 599 | 1,793 | 37 | 1,059 | 1.5 | 0.2 | 48.1 | 1.6 | 1,018 | 96.1 | 6 |
|
2.50 to <10.00 |
| 209 | 292 | 499 | 46 | 277 | 5.3 | 0.2 | 52.4 | 1.2 | 360 | 129.9 | 7 |
|
10.00 to <100.00 |
| 1 | 16 | 17 | 26 | 5 | 15.7 | <0.1 | 16.2 | 0.8 | 2 | 38.8 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 14,774 | 4,348 | 19,123 | 49 | 16,376 | 0.2 | 1.5 | 44.0 | 1.1 | 4,660 | 28.5 | 22 | 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 8,359 | 3,204 | 11,563 | 47 | 9,832 | 0.0 | 0.5 | 40.6 | 1.1 | 1,414 | 14.4 | 2 |
|
0.15 to <0.25 |
| 801 | 681 | 1,481 | 46 | 952 | 0.2 | 0.3 | 46.9 | 1.3 | 336 | 35.3 | 2 |
|
0.25 to <0.50 |
| 371 | 293 | 664 | 37 | 499 | 0.4 | 0.2 | 66.8 | 1.1 | 299 | 59.8 | 1 |
|
0.50 to <0.75 |
| 230 | 246 | 476 | 34 | 271 | 0.6 | 0.1 | 64.3 | 1.0 | 163 | 60.3 | 1 |
|
0.75 to <2.50 |
| 716 | 568 | 1,284 | 40 | 665 | 1.2 | 0.2 | 61.4 | 1.2 | 500 | 75.2 | 5 |
|
2.50 to <10.00 |
| 229 | 229 | 458 | 20 | 221 | 4.4 | 0.2 | 65.1 | 1.0 | 233 | 105.4 | 6 |
|
10.00 to <100.00 |
| 33 | 7 | 40 | 39 | 34 | 12.3 | <0.1 | 7.6 | 1.3 | 10 | 29.8 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 10,739 | 5,227 | 15,967 | 43 | 12,474 | 0.3 | 1.4 | 44.1 | 1.1 | 2,956 | 23.7 | 18 | 5 |
38
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 6,816 | 909 | 7,725 | 19 | 6,990 | 0.0 | 0.4 | 37.2 | 1.1 | 433 | 6.2 | 1 |
|
0.15 to <0.25 |
| 350 | 221 | 571 | 12 | 377 | 0.2 | 0.2 | 29.9 | 2.6 | 99 | 26.4 | 0 |
|
0.25 to <0.50 |
| 581 | 332 | 913 | 24 | 662 | 0.3 | 0.2 | 27.4 | 2.7 | 210 | 31.7 | 1 |
|
0.50 to <0.75 |
| 44 | 1 | 44 | 28 | 44 | 0.6 | <0.1 | 31.7 | 3.0 | 23 | 51.9 | 0 |
|
0.75 to <2.50 |
| 1 | 3 | 5 | 90 | 4 | 1.1 | <0.1 | 17.8 | 1.1 | 1 | 28.1 | 0 |
|
2.50 to <10.00 |
| 5 | 20 | 25 | 53 | 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 | 20 | 8,093 | 0.1 | 0.8 | 36.0 | 1.3 | 769 | 9.5 | 2 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 10,434 | 933 | 11,368 | 19 | 10,613 | 0.0 | 0.4 | 36.3 | 1.1 | 550 | 5.2 | 1 |
|
0.15 to <0.25 |
| 334 | 100 | 434 | 14 | 348 | 0.2 | 0.2 | 32.0 | 2.9 | 103 | 29.7 | 0 |
|
0.25 to <0.50 |
| 560 | 313 | 872 | 26 | 641 | 0.3 | 0.2 | 26.4 | 2.5 | 197 | 30.7 | 1 |
|
0.50 to <0.75 |
| 45 | 4 | 49 | 11 | 45 | 0.6 | <0.1 | 27.0 | 2.6 | 20 | 44.4 | 0 |
|
0.75 to <2.50 |
| 5 | 3 | 8 | 81 | 7 | 1.6 | <0.1 | 10.5 | 2.8 | 2 | 22.8 | 0 |
|
2.50 to <10.00 |
| 1 | 4 | 6 | 31 | 2 | 2.8 | <0.1 | 22.9 | 3.0 | 1 | 60.2 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 11,380 | 1,357 | 12,736 | 20 | 11,657 | 0.0 | 0.8 | 35.6 | 1.2 | 874 | 7.5 | 2 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 10,349 | 1,030 | 11,380 | 19 | 10,543 | 0.0 | 0.3 | 36.4 | 1.1 | 577 | 5.5 | 1 |
|
0.15 to <0.25 |
| 362 | 259 | 622 | 11 | 391 | 0.2 | 0.1 | 30.8 | 2.8 | 110 | 28.2 | 0 |
|
0.25 to <0.50 |
| 572 | 340 | 912 | 28 | 666 | 0.3 | 0.2 | 17.2 | 2.4 | 130 | 19.6 | 0 |
|
0.50 to <0.75 |
| 50 | 3 | 52 | 12 | 50 | 0.6 | <0.1 | 17.8 | 2.7 | 15 | 30.3 | 0 |
|
0.75 to <2.50 |
| 2 | 3 | 4 | 99 | 4 | 1.3 | <0.1 | 11.8 | 2.2 | 1 | 22.1 | 0 |
|
2.50 to <10.00 |
| 3 | 39 | 42 | 98 | 41 | 2.7 | <0.1 | 8.8 | 1.0 | 7 | 17.9 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 11,338 | 1,674 | 13,012 | 21 | 11,695 | 0.1 | 0.7 | 34.9 | 1.3 | 841 | 7.2 | 1 | 0 |
39
UBS Group AG consolidated
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,853 | 327 | 2,180 | 71 | 2,087 | 0.1 | 0.4 | 13.5 | 1.9 | 137 | 6.6 | 0 |
|
0.15 to <0.25 |
| 994 | 161 | 1,155 | 77 | 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 | 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 | 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 | 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 | 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 | 54 | 150 |
| 0.1 |
|
| 159 | 106.0 | 107 |
|
Subtotal |
| 19,810 | 8,171 | 27,981 | 40 | 22,858 | 1.6 | 3.8 | 30.6 | 1.7 | 12,156 | 53.2 | 180 | 121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,157 | 401 | 1,559 | 57 | 1,385 | 0.1 | 0.3 | 14.2 | 1.9 | 94 | 6.8 | 0 |
|
0.15 to <0.25 |
| 1,061 | 207 | 1,269 | 76 | 1,220 | 0.2 | 0.3 | 18.6 | 2.1 | 188 | 15.4 | 0 |
|
0.25 to <0.50 |
| 4,015 | 2,530 | 6,545 | 46 | 5,150 | 0.4 | 0.6 | 30.5 | 1.6 | 1,676 | 32.5 | 6 |
|
0.50 to <0.75 |
| 3,736 | 2,200 | 5,935 | 37 | 4,483 | 0.6 | 0.6 | 33.8 | 1.5 | 2,132 | 47.5 | 10 |
|
0.75 to <2.50 |
| 7,723 | 2,198 | 9,921 | 39 | 8,570 | 1.4 | 1.7 | 32.9 | 1.7 | 5,346 | 62.4 | 39 |
|
2.50 to <10.00 |
| 1,426 | 326 | 1,752 | 56 | 1,608 | 3.5 | 0.4 | 38.6 | 1.7 | 1,609 | 100.1 | 21 |
|
10.00 to <100.00 |
| 2 | 0 | 2 | 25 | 2 | 11.0 | <0.1 | 10.0 | 1.0 | 1 | 38.1 | 0 |
|
100.00 (default) |
| 240 | 25 | 265 | 54 | 115 |
| <0.1 |
|
| 122 | 106.0 | 138 |
|
Subtotal |
| 19,361 | 7,888 | 27,249 | 43 | 22,534 | 1.5 | 3.9 | 31.0 | 1.7 | 11,168 | 49.6 | 216 | 149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,157 | 457 | 1,614 | 62 | 1,439 | 0.1 | 0.3 | 16.7 | 1.9 | 90 | 6.3 | 0 |
|
0.15 to <0.25 |
| 886 | 356 | 1,243 | 72 | 1,144 | 0.2 | 0.3 | 19.6 | 2.0 | 158 | 13.8 | 0 |
|
0.25 to <0.50 |
| 3,947 | 2,952 | 6,899 | 35 | 4,982 | 0.4 | 0.6 | 28.1 | 1.7 | 1,431 | 28.7 | 5 |
|
0.50 to <0.75 |
| 4,391 | 2,141 | 6,532 | 33 | 5,018 | 0.6 | 0.6 | 31.5 | 1.5 | 2,170 | 43.2 | 10 |
|
0.75 to <2.50 |
| 8,015 | 2,271 | 10,286 | 40 | 8,884 | 1.4 | 1.7 | 30.8 | 1.7 | 4,833 | 54.4 | 39 |
|
2.50 to <10.00 |
| 1,464 | 332 | 1,796 | 70 | 1,686 | 3.2 | 0.4 | 35.8 | 1.6 | 1,376 | 81.6 | 20 |
|
10.00 to <100.00 |
| 6 | 0 | 6 | 43 | 6 | 11.7 | <0.1 | 16.0 | 1.0 | 4 | 57.1 | 0 |
|
100.00 (default) |
| 228 | 20 | 248 | 67 | 137 |
| <0.1 |
|
| 145 | 106.0 | 104 |
|
Subtotal |
| 20,094 | 8,530 | 28,624 | 40 | 23,296 | 1.6 | 3.9 | 29.4 | 1.7 | 10,207 | 43.8 | 179 | 97 |
40
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 18,566 | 21,196 | 39,763 | 37 | 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 | 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 | 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 | 44 | 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 | 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 | 12,321 | 3.4 | 4.8 | 18.1 | 2.2 | 9,783 | 79.4 | 85 |
|
10.00 to <100.00 |
| 297 | 285 | 582 | 53 | 449 | 15.3 | 0.1 | 16.7 | 2.0 | 484 | 107.8 | 9 |
|
100.00 (default) |
| 1,385 | 409 | 1,794 | 42 | 1,178 |
| 0.7 |
|
| 1,249 | 106.0 | 385 |
|
Subtotal |
| 47,908 | 49,516 | 97,424 | 39 | 60,639 | 3.1 | 27.5 | 30.1 | 2.1 | 30,588 | 50.4 | 546 | 533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 17,771 | 21,572 | 39,343 | 37 | 19,778 | 0.0 | 3.9 | 34.5 | 1.9 | 4,609 | 23.3 | 21 |
|
0.15 to <0.25 |
| 5,012 | 6,667 | 11,679 | 39 | 6,399 | 0.2 | 1.7 | 34.3 | 2.2 | 2,422 | 37.9 | 4 |
|
0.25 to <0.50 |
| 3,267 | 4,155 | 7,422 | 41 | 4,811 | 0.4 | 2.6 | 30.3 | 2.1 | 2,156 | 44.8 | 6 |
|
0.50 to <0.75 |
| 3,337 | 2,744 | 6,080 | 33 | 4,221 | 0.6 | 2.7 | 38.8 | 1.8 | 2,913 | 69.0 | 10 |
|
0.75 to <2.50 |
| 7,478 | 5,729 | 13,207 | 41 | 9,139 | 1.4 | 11.5 | 28.6 | 2.0 | 5,861 | 64.1 | 35 |
|
2.50 to <10.00 |
| 10,065 | 11,919 | 21,986 | 34 | 14,171 | 3.4 | 4.9 | 19.2 | 2.1 | 11,420 | 80.6 | 104 |
|
10.00 to <100.00 |
| 346 | 427 | 773 | 47 | 553 | 16.1 | 0.1 | 15.1 | 2.1 | 612 | 110.8 | 12 |
|
100.00 (default) |
| 1,261 | 255 | 1,517 | 41 | 1,060 |
| 0.6 |
|
| 1,124 | 106.0 | 321 |
|
Subtotal |
| 48,536 | 53,469 | 102,007 | 37 | 60,132 | 3.0 | 28.0 | 29.8 | 2.0 | 31,118 | 51.7 | 515 | 505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 14,251 | 21,956 | 36,207 | 36 | 16,805 | 0.1 | 2.2 | 33.5 | 2.1 | 4,078 | 24.3 | 6 |
|
0.15 to <0.25 |
| 5,382 | 6,684 | 12,066 | 38 | 5,621 | 0.2 | 1.1 | 33.3 | 2.1 | 1,915 | 34.1 | 4 |
|
0.25 to <0.50 |
| 3,494 | 4,633 | 8,127 | 39 | 5,087 | 0.4 | 1.8 | 28.1 | 2.0 | 2,147 | 42.2 | 6 |
|
0.50 to <0.75 |
| 3,196 | 3,148 | 6,344 | 35 | 4,444 | 0.6 | 1.7 | 27.1 | 2.0 | 2,289 | 51.5 | 8 |
|
0.75 to <2.50 |
| 7,150 | 6,424 | 13,575 | 40 | 9,759 | 1.4 | 8.0 | 23.0 | 2.0 | 5,411 | 55.4 | 31 |
|
2.50 to <10.00 |
| 10,695 | 7,576 | 18,271 | 42 | 13,611 | 3.4 | 4.3 | 13.9 | 2.3 | 8,136 | 59.8 | 79 |
|
10.00 to <100.00 |
| 352 | 437 | 789 | 54 | 561 | 14.8 | 0.1 | 16.5 | 2.1 | 653 | 116.4 | 13 |
|
100.00 (default) |
| 1,313 | 237 | 1,551 | 46 | 1,091 |
| 0.5 |
|
| 1,157 | 106.0 | 348 |
|
Subtotal |
| 45,833 | 51,096 | 96,930 | 38 | 56,979 | 3.2 | 19.8 | 25.9 | 2.1 | 25,786 | 45.3 | 496 | 436 |
41
UBS Group AG consolidated
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 62,193 | 1,272 | 63,465 | 57 | 62,916 | 0.1 | 129.5 | 19.4 |
| 2,460 | 3.9 | 10 |
|
0.15 to <0.25 |
| 13,409 | 229 | 13,638 | 69 | 13,567 | 0.2 | 20.7 | 23.3 |
| 1,186 | 8.7 | 6 |
|
0.25 to <0.50 |
| 20,155 | 479 | 20,634 | 81 | 20,544 | 0.4 | 27.8 | 24.2 |
| 2,955 | 14.4 | 18 |
|
0.50 to <0.75 |
| 13,276 | 425 | 13,701 | 88 | 13,649 | 0.6 | 15.4 | 24.5 |
| 3,063 | 22.4 | 21 |
|
0.75 to <2.50 |
| 21,252 | 1,318 | 22,570 | 78 | 22,278 | 1.3 | 27.1 | 28.3 |
| 9,433 | 42.3 | 85 |
|
2.50 to <10.00 |
| 7,608 | 260 | 7,868 | 84 | 7,825 | 4.3 | 10.2 | 25.1 |
| 5,715 | 73.0 | 85 |
|
10.00 to <100.00 |
| 912 | 25 | 937 | 84 | 933 | 15.3 | 1.2 | 24.4 |
| 1,140 | 122.2 | 35 |
|
100.00 (default) |
| 723 | 5 | 729 | 69 | 702 |
| 1.1 |
|
| 744 | 106.0 | 25 |
|
Subtotal |
| 139,529 | 4,013 | 143,542 | 73 | 142,413 | 1.2 | 232.8 | 22.7 |
| 26,696 | 18.7 | 286 | 151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 59,794 | 1,278 | 61,072 | 56 | 60,505 | 0.1 | 127.3 | 18.7 |
| 2,147 | 3.5 | 10 |
|
0.15 to <0.25 |
| 13,192 | 289 | 13,481 | 73 | 13,363 | 0.2 | 20.8 | 22.6 |
| 1,058 | 7.9 | 6 |
|
0.25 to <0.50 |
| 19,338 | 468 | 19,808 | 75 | 19,643 | 0.4 | 27.9 | 23.6 |
| 2,538 | 12.9 | 16 |
|
0.50 to <0.75 |
| 13,358 | 393 | 13,751 | 78 | 13,621 | 0.6 | 15.2 | 24.2 |
| 2,766 | 20.3 | 21 |
|
0.75 to <2.50 |
| 21,538 | 1,260 | 22,797 | 76 | 22,436 | 1.3 | 27.4 | 28.3 |
| 8,709 | 38.8 | 87 |
|
2.50 to <10.00 |
| 7,650 | 408 | 8,058 | 81 | 7,943 | 4.3 | 9.9 | 27.1 |
| 5,780 | 72.8 | 92 |
|
10.00 to <100.00 |
| 942 | 17 | 959 | 75 | 951 | 15.7 | 1.2 | 26.2 |
| 1,183 | 124.3 | 38 |
|
100.00 (default) |
| 736 | 3 | 739 | 60 | 712 |
| 1.1 |
|
| 756 | 106.0 | 25 |
|
Subtotal |
| 136,547 | 4,116 | 140,663 | 70 | 139,175 | 1.2 | 230.8 | 22.4 |
| 24,937 | 17.9 | 295 | 151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 53,250 | 758 | 54,008 | 75 | 53,818 | 0.1 | 127.4 | 17.5 |
| 1,671 | 3.1 | 8 |
|
0.15 to <0.25 |
| 14,112 | 243 | 14,356 | 83 | 14,277 | 0.2 | 21.1 | 22.1 |
| 1,033 | 7.2 | 6 |
|
0.25 to <0.50 |
| 21,876 | 388 | 22,264 | 87 | 22,167 | 0.4 | 25.4 | 23.7 |
| 2,681 | 12.1 | 19 |
|
0.50 to <0.75 |
| 14,923 | 339 | 15,261 | 89 | 15,178 | 0.6 | 14.1 | 24.5 |
| 2,881 | 19.0 | 24 |
|
0.75 to <2.50 |
| 23,620 | 1,233 | 24,854 | 77 | 24,504 | 1.3 | 27.5 | 29.2 |
| 9,047 | 36.9 | 97 |
|
2.50 to <10.00 |
| 7,277 | 225 | 7,502 | 87 | 7,425 | 4.3 | 10.7 | 26.7 |
| 4,975 | 67.0 | 84 |
|
10.00 to <100.00 |
| 632 | 16 | 648 | 91 | 644 | 15.9 | 0.8 | 22.7 |
| 665 | 103.2 | 23 |
|
100.00 (default) |
| 719 | 4 | 723 | 83 | 696 |
| 1.0 |
|
| 738 | 106.0 | 26 |
|
Subtotal |
| 136,409 | 3,206 | 139,615 | 80 | 138,709 | 1.2 | 228.1 | 22.4 |
| 23,692 | 17.1 | 287 | 29 |
42
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.183 |
|
| ||||||||||||
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 |
| 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.183 |
|
| ||||||||||||
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 |
| 110 | 329 | 438 |
| 152 | 1.7 | 35.8 | 47.0 |
| 42 | 27.9 | 1 |
|
2.50 to <10.00 |
| 1,073 | 4,879 | 5,953 |
| 1,487 | 2.7 | 827.2 | 42.0 |
| 523 | 35.2 | 16 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 34 | 0 | 34 |
| 15 |
| 25.3 |
|
| 16 | 106.0 | 19 |
|
Subtotal |
| 1,218 | 5,208 | 6,425 |
| 1,655 | 3.5 | 888.3 | 42.1 |
| 582 | 35.2 | 36 | 32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.173 |
|
| ||||||||||||
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 |
| 99 | 338 | 437 |
| 138 | 1.7 | 34.1 | 47.0 |
| 39 | 28.0 | 1 |
|
2.50 to <10.00 |
| 1,081 | 4,928 | 6,009 |
| 1,514 | 2.7 | 818.5 | 42.0 |
| 532 | 35.2 | 16 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 26 | 0 | 26 |
| 7 |
| 21.8 |
|
| 7 | 106.0 | 0 |
|
Subtotal |
| 1,206 | 5,266 | 6,472 |
| 1,659 | 3.0 | 874.4 | 42.2 |
| 578 | 34.9 | 17 | 16 |
43
UBS Group AG consolidated
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-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 104,165 | 202,715 | 306,881 | 13 | 131,207 | 0.0 | 195.3 | 30.7 |
| 5,404 | 4.1 | 17 |
|
0.15 to <0.25 |
| 2,718 | 4,373 | 7,091 | 15 | 3,361 | 0.2 | 6.2 | 26.3 |
| 340 | 10.1 | 2 |
|
0.25 to <0.50 |
| 2,256 | 2,434 | 4,690 | 13 | 2,567 | 0.4 | 2.6 | 32.1 |
| 508 | 19.8 | 3 |
|
0.50 to <0.75 |
| 1,283 | 1,519 | 2,803 | 13 | 1,474 | 0.6 | 1.8 | 28.7 |
| 527 | 35.8 | 3 |
|
0.75 to <2.50 |
| 2,193 | 6,013 | 8,207 | 14 | 3,140 | 1.1 | 48.1 | 29.4 |
| 1,080 | 34.4 | 10 |
|
2.50 to <10.00 |
| 680 | 850 | 1,530 | 12 | 782 | 4.2 | 1.5 | 31.9�� |
| 390 | 49.8 | 10 |
|
10.00 to <100.00 |
| 156 | 89 | 245 | 19 | 173 | 16.4 | 0.7 | 28.1 |
| 104 | 60.2 | 8 |
|
100.00 (default) |
| 27 | 8 | 34 | 2 | 22 |
| <0.1 |
|
| 23 | 106.0 | 5 |
|
Subtotal |
| 113,478 | 218,002 | 331,480 | 13 | 142,726 | 0.1 | 256.24 | 30.6 |
| 8,377 | 5.9 | 57 | 16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 107,920 | 207,902 | 315,823 | 15 | 139,021 | 0.0 | 189.2 | 31.0 |
| 5,693 | 4.1 | 15 |
|
0.15 to <0.25 |
| 2,964 | 5,753 | 8,717 | 13 | 3,684 | 0.2 | 4.7 | 29.8 |
| 422 | 11.5 | 2 |
|
0.25 to <0.50 |
| 1,352 | 3,112 | 4,464 | 11 | 1,704 | 0.4 | 3.1 | 31.9 |
| 336 | 19.7 | 2 |
|
0.50 to <0.75 |
| 1,058 | 2,322 | 3,380 | 11 | 1,308 | 0.6 | 1.7 | 32.2 |
| 539 | 41.2 | 3 |
|
0.75 to <2.50 |
| 2,296 | 4,142 | 6,438 | 20 | 3,136 | 1.2 | 45.2 | 31.7 |
| 1,229 | 39.2 | 12 |
|
2.50 to <10.00 |
| 620 | 3,173 | 3,794 | 11 | 977 | 4.3 | 2.1 | 30.4 |
| 480 | 49.2 | 13 |
|
10.00 to <100.00 |
| 175 | 696 | 871 | 20 | 312 | 16.9 | 3.1 | 23.9 |
| 159 | 51.1 | 12 |
|
100.00 (default) |
| 96 | 7 | 103 | 0 | 11 |
| <0.1 |
|
| 12 | 106.0 | 85 |
|
Subtotal |
| 116,482 | 227,108 | 343,590 | 15 | 150,153 | 0.1 | 249.04 | 31.0 |
| 8,870 | 5.9 | 143 | 90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 107,538 | 98,469 | 206,007 | 25 | 132,504 | 0.0 | 206.2 | 30.5 |
| 5,402 | 4.1 | 17 |
|
0.15 to <0.25 |
| 2,061 | 2,318 | 4,380 | 26 | 2,670 | 0.2 | 5.5 | 27.4 |
| 281 | 10.5 | 1 |
|
0.25 to <0.50 |
| 1,762 | 1,694 | 3,456 | 19 | 2,084 | 0.4 | 3.6 | 29.7 |
| 382 | 18.3 | 2 |
|
0.50 to <0.75 |
| 780 | 878 | 1,658 | 27 | 1,017 | 0.6 | 2.0 | 35.9 |
| 316 | 31.0 | 2 |
|
0.75 to <2.50 |
| 3,121 | 3,234 | 6,355 | 25 | 3,933 | 1.1 | 55.9 | 34.3 |
| 1,540 | 39.4 | 16 |
|
2.50 to <10.00 |
| 763 | 901 | 1,664 | 22 | 963 | 3.7 | 2.5 | 35.7 |
| 513 | 53.3 | 12 |
|
10.00 to <100.00 |
| 177 | 609 | 785 | 20 | 298 | 16.8 | 3.6 | 27.5 |
| 175 | 58.7 | 13 |
|
100.00 (default) |
| 91 | 9 | 100 | 5 | 17 |
| <0.1 |
|
| 18 | 106.0 | 74 |
|
Subtotal |
| 116,293 | 108,113 | 224,406 | 25 | 143,486 | 0.1 | 279.3 | 30.6 |
| 8,626 | 6.0 | 137 | 140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.18 |
| 484,205 | 290,438 | 774,644 | 20 | 533,587 | 0.8 | 1,439.3 4 | 28.6 | 1.4 | 87,019 | 16.3 | 1,135 | 864 |
Total 30.6.18 |
| 492,621 | 303,679 | 796,301 | 21 | 546,097 | 0.8 | 1,402.64 | 30.3 | 1.3 | 84,956 | 15.6 | 1,242 | 948 |
Total 31.12.17 |
| 473,948 | 183,295 | 657,243 | 30 | 520,414 | 0.8 | 1,407.7 | 30.4 | 1.4 | 75,597 | 14.5 | 1,150 | 731 |
1 CRM through financial collateral is considered in the EAD post-CCF and post-CRM, but not in the calculation of average CCF. 2 In line with the Pillar 3 guidance, provisions are only provided for the subtotals by asset class. With the implementation of IFRS 9 effective from 1 January 2018, this column includes expected credit loss allowances related to stages 1 - 3 for exposures subject to the advanced internal ratings-based approaches. 3 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. 4 Does not include obligors for Lombard loan facilities in the region Americas that are entirely undrawn. |
p
44
Credit risk risk-weighted assets under the A-IRB approach
This section provides disclosures on the quarterly credit risk RWA development for the credit risk measured under the A-IRB approach. The table below provides definitions of components driving the RWA as applied in the table on the following page.
Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7
References in the table below link to the line numbers provided in the movement tables on pages 46 and 57 of this report.
Reference | Description | Definition | |
2 | Asset size |
| Movements arising in the ordinary course of business, such as new transactions, sales and write-offs. |
3 | Asset quality / Credit quality of counterparties |
| Movements resulting from changes in the underlying credit quality of counterparties. These are caused by changes to risk parameters, such as counterparty ratings, loss given default estimates or credit hedges. |
4 | Model updates |
| Movements arising from the implementation of new models and from parameter changes to existing models. The RWA effect of model updates is estimated based on the portfolio at the time of the change. |
5 | Methodology and policy
|
| Movements due to methodological changes in calculations driven by regulatory policy changes, including revisions to existing regulations, new regulations and add-ons mandated by the regulator. The effect of methodology and policy changes on RWA is estimated based on the portfolio at the time of the change. |
6 | Acquisitions and disposals |
| Movements as a result of disposal or acquisition of business operations, quantified based on the credit risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases and sales of exposures in the ordinary course of business are reflected under asset size. |
7 | Foreign exchange movements |
| Movements as a result of exchange rate changes of the transaction currencies against the US dollar. |
8 | Other |
| Movements due to changes that cannot be attributed to any other category. |
45
UBS Group AG consolidated
Development in the fourth quarter of 2018
Quarterly | Credit risk RWA under the advanced internal ratings-based (A-IRB) approach increased by USD 1.3 billion to USD 87.0 billion as of 31 December 2018. As presented in the “CR8: RWA flow statements of credit risk exposures under IRB” table below, the RWA increase of USD 2.7 billion from model updates was primarily 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 and income-producing real estate; the new LGD model for unsecured financing and commercial self-used real estate; and calibration of aircraft leasing PD and LGD parameters, together resulting in an increase of USD 2.3 billion in Personal & Corporate Banking and USD 0.3 billion in Global Wealth Management. In addition, regulatory add-ons increased RWA by USD 0.3 billion due to a higher internal ratings-based (IRB) multiplier on Investment Bank exposures to corporates. p
Quarterly |
CR8: RWA flow statements of credit risk exposures under IRB | ||||||||
USD million | For the quarter ended 31.12.18 |
| For the quarter ended 30.9.18 |
| For the quarter ended 30.6.18 |
| For the quarter ended 31.3.18 | |
1 | RWA as of the beginning of the quarter | 85,677 |
| 84,956 |
| 80,988 |
| 75,597 |
2 | Asset size | (868) |
| (1,472) |
| 3,614 |
| 1,109 |
3 | Asset quality | (480) |
| (955) |
| (850) |
| 1,153 |
4 | Model updates | 2,668 |
| 3,067 |
| 2,451 |
| 10,290 |
5 | Methodology and policy | 139 |
| 332 |
| 625 |
| (8,303) |
5a | of which: regulatory add-ons | 277 |
| 332 |
| 306 |
| (8,233) |
6 | Acquisitions and disposals | 42 |
| 0 |
| 0 |
| 0 |
7 | Foreign exchange movements | (159) |
| 359 |
| (2,175) |
| 1,142 |
8 | Other | 0 |
| (611) |
| 303 |
| 0 |
9 | RWA as of the end of the quarter | 87,019 |
| 85,677 |
| 84,956 |
| 80,988 |
|
|
|
|
|
|
|
|
|
p
46
Backtesting
Annual | More information on backtesting of credit models is provided on page 145–151 of our Annual Report 2018. p
CR9: IRB – Backtesting of probability of default (PD) per portfolio1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.7 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.5 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 2.7 | 3.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 13.3 | 13.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.0 | 1.5 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB |
|
|
|
| < 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.9 | 4.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 10.2 | 13.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.0 | 2.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
47
UBS Group AG consolidated
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.5 | 0.5 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.3 |
| 0.2 | 0.2 |
| 1 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.1 | < 0.1 |
| 0 | 0 | 0.2 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.2 |
| 0.1 | 0.2 |
| 0 | 0 | 0.2 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.4 | 3.3 |
| 0.2 | 0.2 |
| 0 | 0 | 0.3 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 12.3 | 14.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 1.2 |
Subtotal |
|
|
| 0.3 | 0.8 |
| 1.4 | 1.4 |
| 1 | 0 | 0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.1 |
| 0.5 | 0.5 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.4 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.1 | 0.1 |
| 0 | 0 | 0.2 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 0.2 | 0.1 |
| 2 | 0 | 0.2 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.7 | 3.4 |
| 0.2 | 0.2 |
| 2 | 0 | 0.4 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 12.4 | 15.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 1.3 |
Subtotal |
|
|
| 0.2 | 0.8 |
| 1.5 | 1.4 |
| 4 | 0 | 0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
48
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.1 |
| 0.3 | 0.4 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.1 | 0.2 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.7 | 1.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 2.7 | 2.7 |
| < 0.1 | 0.0 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 9.1 |
Subtotal |
|
|
| 0.1 | 0.2 |
| 0.7 | 0.8 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.1 |
| 0.4 | 0.3 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.2 | 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 2.7 | 2.7 |
| < 0.1 | 0.0 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 10.0 |
Subtotal |
|
|
| 0.0 | 0.2 |
| 0.8 | 0.7 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
49
UBS Group AG consolidated
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.3 | 0.4 |
| 0 | 0 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.6 | 0.6 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.6 | 0.6 |
| 2 | 0 | 0.2 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.4 |
| 1.7 | 1.4 |
| 7 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.3 | 3.4 |
| 0.4 | 0.3 |
| 10 | 0 | 1.3 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 11.7 | 13.0 |
| < 0.1 | 0.2 |
| 1 | 0 | 6.7 |
Subtotal |
|
|
| 1.6 | 1.2 |
| 3.9 | 4.0 |
| 21 | 0 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.7 | 0.3 |
| 2 | 0 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 1 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.4 |
| 0.5 | 0.6 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.6 | 0.6 |
| 1 | 0 | 0.2 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 1.7 | 1.7 |
| 8 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.5 | 3.9 |
| 0.2 | 0.4 |
| 2 | 0 | 1.2 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 14.2 | 15.5 |
| < 0.1 | < 0.1 |
| 1 | 0 | 2.4 |
Subtotal |
|
|
| 1.1 | 1.0 |
| 4.2 | 3.9 |
| 16 | 0 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
50
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 2.2 | 3.8 |
| 3 | 1 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 1.1 | 1.6 |
| 3 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 1.8 | 2.4 |
| 15 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 1.7 | 2.5 |
| 6 | 1 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.5 |
| 7.9 | 11.2 |
| 83 | 3 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.4 | 4.1 |
| 4.3 | 4.7 |
| 133 | 1 | 1.7 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 14.8 | 15.3 |
| 0.1 | 0.1 |
| 19 | 0 | 10.6 |
Subtotal |
|
|
| 2.9 | 1.6 |
| 19.1 | 26.3 |
| 262 | 6 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 1.7 | 2.2 |
| 2 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 1.0 | 1.1 |
| 3 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 1.4 | 1.8 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 1.5 | 1.7 |
| 2 | 0 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.5 |
| 8.1 | 7.9 |
| 59 | 1 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.1 | 4.1 |
| 4.3 | 4.3 |
| 138 | 2 | 1.5 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 16.9 | 14.7 |
| 0.1 | 0.1 |
| 24 | 0 | 10.4 |
Subtotal |
|
|
| 4.3 | 1.8 |
| 18.3 | 19.1 |
| 229 | 3 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
51
UBS Group AG consolidated
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 112.2 | 129.5 |
| 74 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 22.3 | 20.7 |
| 30 | 1 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 31.6 | 27.8 |
| 58 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 17.1 | 15.4 |
| 112 | 6 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 29.8 | 27.0 |
| 119 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.3 | 3.8 |
| 13.3 | 10.2 |
| 135 | 2 | 1.2 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 15.9 | 16.1 |
| 0.8 | 1.2 |
| 25 | 0 | 3.4 |
Subtotal |
|
|
| 1.2 | 0.6 |
| 227.1 | 231.7 |
| 553 | 9 | 0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.0 |
| 124.7 | 112.2 |
| 95 | 1 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 21.2 | 22.3 |
| 27 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| 25.6 | 31.6 |
| 42 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 14.5 | 17.1 |
| 85 | 3 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.4 |
| 29.7 | 29.8 |
| 174 | 1 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.4 | 4.3 |
| 11.1 | 13.3 |
| 168 | 0 | 1.2 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 15.1 | 14.9 |
| 1.0 | 0.8 |
| 37 | 0 | 3.4 |
Subtotal |
|
|
| 1.1 | 0.6 |
| 227.7 | 227.1 |
| 628 | 5 | 0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
52
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
Standard & Poor’s | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 #REF! | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| 206.2 | 195.3 |
| 8 | 4 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 5.5 | 6.2 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 3.6 | 2.6 |
| 0 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 2.0 | 1.8 |
| 0 | 0 | 0.1 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.0 | 1.0 |
| 55.9 | 48.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.6 | 3.5 |
| 2.5 | 1.5 |
| 0 | 0 | 0.1 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 17.4 | 21.3 |
| 3.6 | 0.7 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.3 | 0.3 |
| 279.3 | 256.2 |
| 8 | 4 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.0 |
| 167.2 | 206.2 |
| 5 | 3 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.9 | 5.5 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 4.4 | 3.6 |
| 0 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 1.0 | 2.0 |
| 0 | 0 | 0.1 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.1 | 1.5 |
| 8.4 | 55.9 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 5.5 | 4.6 |
| 0.9 | 2.5 |
| 0 | 0 | 0.1 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C |
|
|
| 0.0 | 3.6 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.2 | 0.1 |
| 182.8 | 279.3 |
| 5 | 3 | 0.0 |
1 CR9 covers all Pillar 1 PD models that are approved by FINMA and are subject to a yearly confirmation / backtesting (refer to the table “Key features of our main credit risk models” in Annual Report 2018 on page 146). 2 We use 11 years of data for the calculation of the “average historical annual default rate.” |
p
53
UBS Group AG consolidated
Equity exposures
The table below provides information on 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 |
|
|
|
|
|
|
|
31.12.18 |
|
| ||||
Exchange-traded equity exposures |
| 66 |
| 300 | 65 | 208 |
Other equity exposures |
| 1,122 |
| 400 | 814 | 3,450 |
Total |
| 1,188 | 0 |
| 879 | 3,658 |
|
|
|
|
|
|
|
30.6.18 |
|
| ||||
Exchange-traded equity exposures |
| 59 |
| 300 | 58 | 186 |
Other equity exposures |
| 1,112 |
| 400 | 823 | 3,491 |
Total |
| 1,171 | 0 |
| 882 | 3,676 |
|
|
|
|
|
|
|
31.12.17 |
|
| ||||
Exchange-traded equity exposures |
| 59 |
| 300 | 59 | 188 |
Other equity exposures |
| 873 |
| 400 | 529 | 2,242 |
Total |
| 932 | 0 |
| 587 | 2,429 |
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
54
Annual | Counterparty credit risk (CCR) arises from over-the-counter (OTC) and exchange-traded derivatives (ETD), 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 (EPE) and stressed expected positive exposure (stressed EPE) 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 securities financing transactions (securities borrowing, securities lending, margin lending, repurchase agreements and reverse repurchase agreements), we determine the regulatory credit exposure using the close-out period (COP) approach.
The counterparty credit risk-related tables in this report correspond to the CCR by asset class that is provided in the “Regulatory exposures and risk-weighted assets” table on page 16–18 of this report. p
This section is structured into three sub-sections:
Counterparty credit risk management
Annual | Refers to disclosures on our risk management objectives, policies and risk management process, operating limits for CCR exposures, wrong-way risks and the effect of a credit rating downgrade. p
Counterparty credit risk risk-weighted assets
Quarterly | Comprises disclosures on the quarterly credit risk RWA development. p
Counterparty credit risk exposure
Semiannual | Provides information on our CCR exposures, credit valuation adjustment (CVA), capital charge and credit derivatives exposures. This section excludes CCR exposures to central counterparties; CVA is separately covered in table CCR2. p
55
UBS Group AG consolidated
Counterparty credit risk management
The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2018.
Annual |
CCRA – Counterparty credit risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Risk management objectives and policies related to counterparty credit risk |
| Risk, treasury and capital management |
| – | Traded products |
| 141–142 |
|
|
| – | Credit hedging |
| 145 | |
|
|
|
| – | Mitigation of settlement risk |
| 145 |
|
| Consolidated financial statements |
| – | Note 1a item 3e Securities borrowing / lending and repurchase / reverse repurchase transactions |
| 338 |
|
|
| – | Note 1a item 3j Hedge accounting |
| 346–347 | |
|
|
| – | Note 11 Derivative instruments |
| 395–399 | |
The method used to assign the operating limits defined in terms of internal capacity for counterparty credit exposures and for CCP exposures |
| Risk, treasury and capital management |
| – | Risk governance |
| 123–124 |
|
|
| – | Portfolio and position limits |
| 132 | |
|
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 133 | |
|
|
| – | Credit hedging |
| 145 | |
|
|
| – | Credit risk models |
| 145–151 | |
Policies relating to guarantees and other risk mitigants and counterparty risk assessment |
| Risk, treasury and capital management |
| – | Credit risk mitigation |
| 143–145 |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 395–399 | |
|
|
| – | Note 25 Offsetting financial assets and financial liabilities |
| 450–451 | |
Policies with respect to wrong-way risk exposures |
| Risk, treasury and capital management |
| – | Exposure at default |
| 148 |
The effect on the bank of a credit rating downgrade (i.e., amount of collateral that the bank would be required to provide) |
| Risk, treasury and capital management |
| – | Credit ratings |
| 186 |
p
56
Counterparty credit risk risk-weighted assets
Quarterly | CCR RWA under the internal model method (IMM) and value-at-risk (VaR) decreased by USD 0.6 billion to USD 22.7 billion during the fourth quarter of 2018. For definitions of counterparty credit risk RWA movement table components, refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the “Credit risk” section on page 45 of this report.p
Quarterly |
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR) | |||||||||||||||||
|
| For the quarter ended 31.12.18 |
| For the quarter ended 30.9.18 |
| For the quarter ended 30.6.18 |
| For the quarter ended 31.3.18 | |||||||||
USD million |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total | |
|
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
1 | RWA as of the beginning of the quarter |
| 18,366 | 4,863 | 23,229 |
| 18,548 | 4,458 | 23,006 |
| 19,464 | 4,498 | 23,962 |
| 17,720 | 4,102 | 21,823 |
2 | Asset size |
| (738) | 249 | (489) |
| (621) | 491 | (130) |
| (437) | 62 | (374) |
| 1,119 | 350 | 1,469 |
3 | Credit quality of counterparties |
| 165 | (62) | 103 |
| (30) | (134) | (163) |
| (238) | (48) | (286) |
| 156 | (75) | 81 |
4 | Model updates |
| (116) | (57) | (173) |
| 285 | 0 | 285 |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
5 | Methodology and policy |
| 227 | 64 | 291 |
| 222 | 56 | 278 |
| 229 | 64 | 293 |
| 236 | 57 | 293 |
5a | of which: regulatory add-ons |
| 227 | 64 | 291 |
| 222 | 56 | 278 |
| 229 | 64 | 293 |
| 236 | 57 | 293 |
6 | Acquisitions and disposals |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
7 | Foreign exchange movements |
| (61) | (20) | (81) |
| (38) | (8) | (47) |
| (470) | (118) | (589) |
| 233 | 65 | 297 |
8 | Other |
| (220) | 0 | (220) |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
| 0 | 0 | 0 |
9 | RWA as of the end of the quarter |
| 17,624 | 5,036 | 22,660 |
| 18,366 | 4,863 | 23,229 |
| 18,548 | 4,458 | 23,006 |
| 19,464 | 4,498 | 23,962 |
|
p
57
UBS Group AG consolidated
Counterparty credit exposure
Semiannual | Exposure at default (EAD) post credit-risk mitigation (CRM) related to counterparty credit risk (CCR) decreased by USD 11.2 billion to USD 100.6 billion, whereas RWA increased by USD 0.8 billion to USD 32.1 billion as of 31 December 2018. EAD post CRM on derivative exposures decreased by USD 11.5 billion and RWA by USD 2.2 billion, primarily in our Foreign exchange, Rates and Credit and Equities businesses within the Investment Bank and Group ALM, largely as a result of client-driven decreases and fair value changes. RWA from securities financing transactions increased by USD 3 billion, mainly due to the revision of the methodology applied for structured margin lending transactions. p
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 | |
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
30.6.18 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 11,3792 | 9,278 |
| 1.01 | 20,657 | 4,862 |
2 | Internal model method (for derivatives) |
|
|
| 30,677 | 1.6 | 49,083 | 18,349 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 16,337 | 3,779 |
5 | VaR (for SFTs) |
|
|
|
|
| 25,762 | 4,316 |
6 | Total |
|
|
|
|
| 111,839 | 31,307 |
| ||||||||
31.12.17 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 10,9412 | 7,845 |
| 1.01 | 18,786 | 3,901 |
2 | Internal model method (for derivatives) |
|
|
| 28,922 | 1.6 | 46,275 | 17,267 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 16,139 | 3,508 |
5 | VaR (for SFTs) |
|
|
|
|
| 23,386 | 3,959 |
6 | Total |
|
|
|
|
| 104,586 | 28,635 |
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 (A-IRB) 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 the 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 on our portfolios subject to the CVA capital charge as of 31 December 2018 is provided in the table below. p
Semiannual |
CCR2: Credit valuation adjustment (CVA) capital charge | ||||||||||
|
|
| 31.12.18 |
| 30.6.18 |
| 31.12.17 | |||
USD million |
| EAD post-CRM1 | RWA |
| EAD post-CRM1 | RWA |
| EAD post-CRM1 | RWA | |
| Total portfolios subject to the advanced CVA capital charge |
| 26,680 | 1,479 |
| 27,947 | 1,799 |
| 24,684 | 2,017 |
1 | (i) VaR component (including the 3× multiplier) |
|
| 271 |
|
| 346 |
|
| 473 |
2 | (ii) Stressed VaR component (including the 3× multiplier) |
|
| 1,208 |
|
| 1,453 |
|
| 1,544 |
3 | All portfolios subject to the standardized CVA capital charge |
| 4,946 | 1,338 |
| 8,543 | 1,697 |
| 8,226 | 1,146 |
4 | Total subject to the CVA capital charge |
| 31,626 | 2,816 |
| 36,489 | 3,496 |
| 32,911 | 3,164 |
1 Includes EAD of the underlying portfolio subject to the respective CVA charge. |
p
58
Semiannual | The table below provides information on our counterparty credit risk under the standardized approach. Exposure at default (EAD) increased by USD 4.3 billion to USD 6.7 billion mainly due to the revision of the methodology applied for structured margin lending transactions. p
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 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 | 0 | 6,679 |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 30.6.18 |
|
| ||||||||
1 | Central governments and central banks |
| 203 |
|
|
|
|
|
|
| 203 |
2 | Banks and securities dealers |
|
|
| 105 | 101 |
| 50 | 3 |
| 259 |
3 | Public-sector entities and multilateral development banks |
|
|
|
|
|
| 1 |
|
| 1 |
4 | Corporates |
|
|
| 1 | 170 |
| 1,255 |
|
| 1,426 |
5 | Retail |
|
|
|
|
| 18 | 509 |
|
| 527 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 203 |
| 105 | 271 | 18 | 1,815 | 3 | 0 | 2,417 |
| |||||||||||
| Regulatory portfolio as of 31.12.17 |
|
| ||||||||
1 | Central governments and central banks |
| 207 |
|
|
|
|
|
|
| 207 |
2 | Banks and securities dealers |
|
|
| 102 | 242 |
| 1 |
|
| 345 |
3 | Public-sector entities and multilateral development banks |
|
|
|
|
|
| 4 |
|
| 4 |
4 | Corporates |
|
|
|
| 62 |
| 827 |
|
| 889 |
5 | Retail |
|
|
|
|
| 4 | 99 |
|
| 104 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 207 |
| 102 | 304 | 4 | 932 | 0 | 0 | 1,549 |
p
59
UBS Group AG consolidated
Semiannual | Information on RWA, including details on movements in RWA, is provided on pages 6–7 of our UBS Group AG and significant regulated subsidiaries and sub-groups report for the third quarter of 2018, available under “Pillar 3 disclosures” at www.ubs.com/investors and on page 57 of this report.
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 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 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 8,824 | 0.0 | 0.1 | 49.1 | 0.4 | 805 | 9.1 |
0.15 to <0.25 |
| 279 | 0.2 | <0.1 | 66.2 | 0.9 | 129 | 46.2 |
0.25 to <0.50 |
| 169 | 0.3 | <0.1 | 90.7 | 1.0 | 152 | 89.9 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 25 | 0.9 | <0.1 | 59.8 | 0.6 | 25 | 99.7 |
2.50 to <10.00 |
| 0 | 5.2 | <0.1 | 67.2 | 1.0 | 1 | 253.9 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 9,298 | 0.1 | 0.2 | 50.4 | 0.5 | 1,112 | 12.0 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 7,746 | 0.0 | 0.1 | 47.3 | 0.6 | 790 | 10.2 |
0.15 to <0.25 |
| 224 | 0.2 | <0.1 | 68.1 | 0.9 | 108 | 48.2 |
0.25 to <0.50 |
| 26 | 0.3 | <0.1 | 79.2 | 1.0 | 21 | 79.1 |
0.50 to <0.75 |
| 20 | 0.7 | <0.1 | 70.0 | 0.1 | 18 | 87.8 |
0.75 to <2.50 |
| 31 | 1.0 | <0.1 | 60.0 | 0.5 | 30 | 95.2 |
2.50 to <10.00 |
| 2 | 6.2 | <0.1 | 70.0 | 1.0 | 5 | 281.5 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,050 | 0.1 | 0.2 | 48.1 | 0.6 | 971 | 12.1 |
60
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 % |
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 18,456 | 0.1 | 0.4 | 49.7 | 0.7 | 3,370 | 18.3 |
0.15 to <0.25 |
| 4,102 | 0.2 | 0.3 | 48.9 | 0.8 | 1,450 | 35.4 |
0.25 to <0.50 |
| 1,334 | 0.4 | 0.2 | 50.2 | 1.0 | 717 | 53.8 |
0.50 to <0.75 |
| 507 | 0.6 | 0.1 | 61.9 | 1.1 | 497 | 98.0 |
0.75 to <2.50 |
| 491 | 1.1 | 0.2 | 60.5 | 0.7 | 425 | 86.6 |
2.50 to <10.00 |
| 130 | 7.2 | 0.1 | 31.0 | 0.3 | 143 | 110.4 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 66.0 | 1.0 | 1 | 249.1 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 25,020 | 0.2 | 1.2 | 50.0 | 0.7 | 6,604 | 26.4 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 18,435 | 0.1 | 0.4 | 50.0 | 0.7 | 3,155 | 17.1 |
0.15 to <0.25 |
| 3,202 | 0.2 | 0.3 | 49.2 | 0.9 | 1,207 | 37.7 |
0.25 to <0.50 |
| 1,399 | 0.4 | 0.2 | 47.6 | 1.0 | 735 | 52.5 |
0.50 to <0.75 |
| 429 | 0.6 | 0.1 | 63.6 | 1.0 | 432 | 100.7 |
0.75 to <2.50 |
| 603 | 1.1 | 0.2 | 61.6 | 0.7 | 619 | 102.6 |
2.50 to <10.00 |
| 86 | 4.7 | 0.1 | 42.7 | 0.4 | 120 | 139.5 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 66.0 | 1.0 | 1 | 350.0 |
100.00 (default) |
| 32 |
| <0.1 |
|
| 34 | 106.0 |
Subtotal |
| 24,186 | 0.3 | 1.2 | 50.3 | 0.7 | 6,303 | 26.1 |
61
UBS Group AG consolidated
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 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 |
| <0.1 |
|
| 13 | 106.0 |
Subtotal |
| 2,657 | 0.5 | 0.1 | 44.1 | 1.1 | 288 | 10.8 |
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 3,267 | 0.0 | 0.1 | 42.8 | 1.4 | 251.0 | 7.7 |
0.15 to <0.25 |
| 84 | 0.2 | <0.1 | 58.9 | 1.0 | 30.8 | 36.7 |
0.25 to <0.50 |
| 44 | 0.3 | <0.1 | 56.6 | 1.0 | 25.5 | 57.6 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 14 | 1.0 | <0.1 | 35.0 | 1.0 | 8.4 | 60.4 |
2.50 to <10.00 |
| 0 | 2.7 | <0.1 | 35.0 | 1.0 | 0.0 | 87.4 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 12 |
| <0.1 |
|
| 12.8 | 106.0 |
Subtotal |
| 3,421 | 0.4 | 0.1 | 43.3 | 1.4 | 328.5 | 9.6 |
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 3,595 | 0.0 | 0.1 | 43.5 | 1.5 | 334 | 9.3 |
0.15 to <0.25 |
| 119 | 0.2 | <0.1 | 49.3 | 1.2 | 36 | 30.6 |
0.25 to <0.50 |
| 42 | 0.3 | <0.1 | 58.7 | 1.0 | 25 | 59.2 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 23 | 1.0 | <0.1 | 35.0 | 0.0 | 11 | 50.0 |
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) |
| 23 |
| <0.1 |
|
| 25 | 106.0 |
Subtotal |
| 3,802 | 0.6 | 0.1 | 43.6 | 1.5 | 431 | 11.3 |
62
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 % |
|
|
|
|
|
|
|
|
|
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 |
| <0.1 |
|
| 1 | 106.0 |
Subtotal |
| 52,403 | 0.3 | 17.3 | 39.3 | 0.6 | 19,276 | 36.8 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 30.6.181 |
|
| ||||||
0.00 to <0.15 |
| 41,954 | 0.0 | 12.2 | 35.9 | 0.6 | 5,293 | 12.6 |
0.15 to <0.25 |
| 8,878 | 0.2 | 1.5 | 46.6 | 0.5 | 4,196 | 47.3 |
0.25 to <0.50 |
| 2,500 | 0.4 | 0.9 | 73.8 | 1.0 | 3,059 | 122.3 |
0.50 to <0.75 |
| 2,290 | 0.6 | 0.9 | 62.9 | 0.7 | 3,420 | 149.4 |
0.75 to <2.50 |
| 5,530 | 1.2 | 1.9 | 25.2 | 0.8 | 3,834 | 69.3 |
2.50 to <10.00 |
| 1,806 | 3.1 | 0.3 | 12.6 | 0.4 | 947 | 52.4 |
10.00 to <100.00 |
| 5 | 13.1 | <0.1 | 46.2 | 1.0 | 14 | 317.5 |
100.00 (default) |
| 1 |
| <0.1 |
|
| 1 | 106.0 |
Subtotal |
| 62,963 | 0.3 | 17.7 | 38.3 | 0.6 | 20,764 | 33.0 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.171 |
|
| ||||||
0.00 to <0.15 |
| 38,883 | 0.0 | 12.0 | 37.7 | 0.6 | 4,988 | 12.8 |
0.15 to <0.25 |
| 7,665 | 0.2 | 1.5 | 46.9 | 0.5 | 3,491 | 45.5 |
0.25 to <0.50 |
| 2,659 | 0.4 | 1.0 | 68.8 | 1.0 | 3,140 | 118.1 |
0.50 to <0.75 |
| 1,970 | 0.6 | 0.9 | 64.7 | 0.7 | 2,901 | 147.2 |
0.75 to <2.50 |
| 6,241 | 1.2 | 1.9 | 22.3 | 0.8 | 3,906 | 62.6 |
2.50 to <10.00 |
| 1,827 | 3.2 | 0.3 | 12.8 | 0.4 | 952 | 52.1 |
10.00 to <100.00 |
| 2 | 13.5 | <0.1 | 48.6 | 1.0 | 5 | 307.1 |
100.00 (default) |
| 15 |
| <0.1 |
|
| 16 | 106.0 |
Subtotal |
| 59,262 | 0.3 | 17.6 | 38.8 | 0.6 | 19,397 | 32.7 |
63
UBS Group AG consolidated
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 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 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 7,977 | 0.0 | 17.1 | 27.8 |
| 294.7 | 3.7 |
0.15 to <0.25 |
| 311 | 0.2 | 0.2 | 61.1 |
| 72.9 | 23.5 |
0.25 to <0.50 |
| 61 | 0.3 | 0.1 | 27.2 |
| 10.3 | 16.8 |
0.50 to <0.75 |
| 11 | 0.6 | 0.1 | 27.0 |
| 2.5 | 23.4 |
0.75 to <2.50 |
| 340 | 1.0 | 11.2 | 29.8 |
| 117.9 | 34.7 |
2.50 to <10.00 |
| 15 | 3.8 | 0.1 | 29.1 |
| 6.7 | 44.7 |
10.00 to <100.00 |
| 5 | 21.4 | 0.1 | 29.4 |
| 3.3 | 69.7 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,719 | 0.1 | 29.0 | 29.0 |
| 508.3 | 5.8 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 7,111 | 0.0 | 13.9 | 27.2 |
| 256 | 3.6 |
0.15 to <0.25 |
| 198 | 0.2 | 0.1 | 28.9 |
| 22 | 11.1 |
0.25 to <0.50 |
| 44 | 0.4 | 0.1 | 29.3 |
| 8 | 18.1 |
0.50 to <0.75 |
| 13 | 0.6 | 0.1 | 28.8 |
| 3 | 24.9 |
0.75 to <2.50 |
| 324 | 1.0 | 10.4 | 29.7 |
| 114 | 35.3 |
2.50 to <10.00 |
| 43 | 3.9 | 0.2 | 29.4 |
| 20 | 45.2 |
10.00 to <100.00 |
| 4 | 20.2 | 0.1 | 32.1 |
| 3 | 74.5 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 7,737 | 0.1 | 24.8 | 27.4 |
| 426 | 5.5 |
|
|
|
|
|
|
|
|
|
Total 31.12.18 |
| 93,933 | 0.2 | 43.4 | 41.0 | 0.7 | 27,075 | 28.8 |
Total 30.6.18 |
| 109,422 | 0.2 | 48.7 | 41.8 | 0.7 | 29,316 | 26.8 |
Total 31.12.17 |
| 103,037 | 0.3 | 45.0 | 42.6 | 0.8 | 27,528 | 26.7 |
1 Includes exposures to managed funds. |
p
64
Semiannual |
Fair value of collateral posted for securities financing transactions increased by USD 18.6 billion to USD 477.6 billion, mainly in Group ALM, resulting from higher client activity. p
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 |
|
| ||||||||||
Cash – domestic currency (USD) |
| 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
| ||||||||||
Cash – domestic currency (USD)4 |
| 2,864 | 16,970 | 19,834 |
| 1,550 | 7,061 | 8,611 |
| 27,779 |
| 64,482 |
Cash – other currencies4 |
|
| 22,151 | 22,151 |
| 1,704 | 14,796 | 16,500 |
| 15,317 |
| 38,921 |
Sovereign debt |
| 1,594 | 8,929 | 10,523 |
| 3,773 | 8,448 | 12,221 |
| 203,678 |
| 143,526 |
Other debt securities |
|
| 1,427 | 1,427 |
| 5 | 1,106 | 1,111 |
| 80,589 |
| 36,686 |
Equity securities |
| 4,424 | 36 | 4,460 |
| 1,611 | 1,593 | 3,203 |
| 293,287 |
| 175,415 |
Total |
| 8,882 | 49,513 | 58,395 |
| 8,643 | 33,004 | 41,647 |
| 620,650 |
| 459,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
| ||||||||||
Cash – domestic currency (USD)4 |
| 2,459 | 16,298 | 18,757 |
| 1,135 | 6,011 | 7,146 |
| 29,612 |
| 64,961 |
Cash – other currencies4 |
|
| 20,524 | 20,524 |
| 1,809 | 15,256 | 17,065 |
| 12,493 |
| 52,137 |
Sovereign debt |
| 1,723 | 10,391 | 12,114 |
| 3,555 | 7,751 | 11,306 |
| 219,538 |
| 153,773 |
Other debt securities |
|
| 1,211 | 1,211 |
| 5 | 1,368 | 1,373 |
| 73,512 |
| 30,820 |
Equity securities |
| 2,898 | 45 | 2,943 |
| 1,828 | 1,147 | 2,975 |
| 305,891 |
| 162,443 |
Total |
| 7,080 | 48,469 | 55,549 |
| 8,331 | 31,534 | 39,865 |
| 641,046 |
| 464,134 |
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. 4 The presentation of 'cash - domestic currency' was aligned with US dollars as the new presentation currency applied for UBS Group AG's IFRS consolidated financial statements as of 31 December 2018. |
p
65
UBS Group AG consolidated
Semiannual | Notionals for credit derivatives decreased by USD 4.4 billion for protection bought and USD 4.1 billion for protection sold, primarily as a result of continued reductions in our Corporate Center – Non-core and Legacy Portfolio.p
Semiannual |
CCR6: Credit derivatives exposures | |||||||||
|
| 31.12.18 |
| 30.6.18 |
| 31.12.17 | |||
USD million |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
Notionals1 |
|
|
|
|
|
|
|
|
|
Single-name credit default swaps |
| 43,265 | 44,875 |
| 48,609 | 48,154 |
| 62,884 | 57,117 |
Index credit default swaps |
| 37,006 | 32,309 |
| 34,288 | 33,438 |
| 39,258 | 39,365 |
Total return swaps |
| 4,726 | 1,976 |
| 4,497 | 1,665 |
| 4,551 | 1,703 |
Credit options |
| 4,065 | 57 |
| 6,087 | 58 |
| 4,400 | 60 |
Other credit derivatives |
|
|
|
|
|
|
|
|
|
Total notionals |
| 89,063 | 79,218 |
| 93,481 | 83,316 |
| 111,093 | 98,244 |
Fair values |
|
|
|
|
|
|
|
|
|
Positive fair value (asset) |
| 1,117 | 815 |
| 940 | 1,217 |
| 813 | 2,088 |
Negative fair value (liability) |
| 1,612 | 1,232 |
| 1,943 | 1,328 |
| 2,996 | 910 |
1 Includes notional amounts for client-cleared transactions. |
p
66
Section 6 Comparison of A-IRB approach and standardized approach for credit risk
Annual | In accordance with current prudential regulations, FINMA has approved our use of the advanced internal ratings-based (A-IRB) approach for calculating the required capital for a majority of our credit risk exposures.
The principal differences between the standardized approach (SA) and the A-IRB approach identified below are based on the current SA rules without consideration of the material revisions announced by the Basel Committee on Banking Supervision (BCBS) in December 2017.
We believe that advanced approaches that adequately capture economic risks are paramount for the appropriate representation of the capital requirements related to risk-taking activities. Within a strong risk control framework and in combination with robust stress testing practices, strict risk limits, as well as leverage and liquidity requirements, advanced approaches promote a proactive risk culture, putting the right incentives in place to prudently manage risks.
Refer to the “Introduction and basis for preparation” section of this report for more information on FINMA-defined asset classes.p
Key methodological differences between A-IRB and current SA approaches
Annual | In line with the BCBS objective, the A-IRB approach seeks to balance the maintenance of prudent levels of capital while encouraging, where appropriate, the use of advanced risk management techniques. By design, the calibration of the current SA rules and the A-IRB approaches is such that low-risk, short-maturity, well-collateralized portfolios across the various asset classes (with the exception of Central governments and central banks) receive lower risk weights under the A-IRB than under the current SA rules. Accordingly, RWA and capital requirements under the current SA rules would be substantially higher than under the A-IRB approach for lower-risk portfolios. Conversely, RWA for higher-risk portfolios are higher under the A-IRB than under the current SA approach.
Differences primarily arise due to the measurement of exposure at default (EAD) and to the risk weights applied. In both cases, the treatment of risk mitigation such as collateral can have a significant effect.
EAD measurement
For the measurement of EAD, the main differences relate to derivatives, driven by the differences between the internal model method (IMM) and the regulatory prescribed current exposure method (CEM).
The model-based approaches to derive estimates of EAD for derivatives and securities financing transactions reflect the detailed characteristics of individual transactions. They model the range of possible exposure outcomes across all transactions within the same legally enforceable netting set at various future time points. This assesses the net amount that may be owed to us or that we may owe to others, taking into account the effect of correlated market moves over the potential time it could take to close out a position. The calculation considers current market conditions and is therefore sensitive to deteriorations in the market environment.
In contrast, EAD under the regulatory prescribed rules are calculated as replacement costs at the balance sheet date plus regulatory add-ons, which take into account potential future market movements but at predetermined fixed rates, which are not sensitive to changes in market conditions. These add-ons are crudely differentiated by reference to only five product types and three maturity buckets. Moreover, the current regulatory prescribed rules calculation gives very limited recognition to the benefits of diversification across transactions within the same legally enforceable netting set. As a result, large diversified portfolios, such as those arising from our activities with other market-making banks, will generate much higher EAD under the current regulatory prescribed rules than under the model-based approach.
Risk weights
Under the A-IRB approach, risk weights are assigned according to the bank’s internal credit assessment of the counterparty to determine the probability of default (PD) and loss given default (LGD).
67
UBS Group AG consolidated
The PD is an estimate of the likelihood of a counterparty defaulting on its contractual obligations. It is assessed using rating tools tailored to the various categories of counterparties. Statistically developed scorecards, based on key attributes of the obligor, are used to determine PD for many of our corporate clients and for loans secured by real estate. Where available, market data may also be used to derive the PD for large corporate counterparties. For Lombard loans, Merton-type model simulations are used that take into account potential changes in the value of securities collateral. PD is not only an integral part of the credit risk measurement, but also an important input for determining the level of credit approval required for any given transaction. Moreover, for the purpose of capital underpinning, the majority of counterparty PDs are subject to a floor.
The LGD is an estimate of the magnitude of the likely loss if there is a default. The calculation takes into account the loss of principal, interest and other amounts such as workout costs, including the cost of carrying an impaired position during the workout process less recovered amounts. Importantly, LGD considers credit mitigation by way of collateral or guarantees, with the estimates being supported by our internal historical loss data and external information where available.
The combination of PD and LGD determined at the counterparty level results in a highly granular level of differentiation of the economic risk from different borrowers and transactions.
In contrast, the SA risk weights are largely reliant on external rating agencies’ assessments of the credit quality of the counterparty, with a 100% risk weight typically being applied where no external rating is available. Even where external ratings are available, there is only a coarse granularity of risk weights, with only four primary risk weights used for differentiating counterparties, with the addition of a 0% risk weight for AA– or better rated Central governments and central banks. Risk weights of 35% and 75% are used for mortgages and retail exposures, respectively.
The SA does not differentiate across transaction maturities except for interbank lending, albeit in a very simplistic manner considering only shorter or longer than three months. This has clear limitations. For example, the economic risk of a six-month loan to, say, a BB-rated US corporate is significantly different to that of a 10-year loan to the same borrower. This difference is evident from the distinction of PD levels based on ratings assigned by external rating agencies through their separate ratings for short-term and long-term debt for a given issuer.
The SA typically assigns lower risk weights to sub-investment grade counterparties than the A-IRB approach, thereby potentially understating the economic risk. Conversely, investment grade counterparties typically receive higher risk weights under the SA than under the A-IRB approach.
Maturity is also an important factor, with the A-IRB approach producing a higher capital requirement for longer maturity exposures than for shorter maturity exposures. Since the accelerated implementation of our strategy in 2012, the maturity effect has become particularly important as we had a notable shift from longer-term to shorter-term transactions in our credit portfolio.
Additionally, under the A-IRB approach we calculate expected loss measures that are deducted from common equity tier 1 (CET1) capital to the extent that they exceed general provisions, which is not the case under the SA.
Given the divergence between the SA and the economic risk, which is better represented under the A-IRB approach, particularly for lower-grade counterparties, there is a risk that applying the SA could incentivize higher risk-taking without a commensurate increase in required capital. p
Comparison of the A-IRB approach EAD and leverage ratio denominator by asset class
Annual | The following table shows EAD, average risk weight (RW), RWA and leverage ratio denominator (LRD) per asset class for Central governments and central banks, Multilateral development banks and Public-sector entities, Banks and securities dealers, Corporates and Retail credit risk and counterparty credit risk exposures subject to the A-IRB approach. LRD is the exposure measure used for the leverage ratio.
LRD estimates presented in the table reflect the credit risk and counterparty credit risk components of exposures only and are therefore not representative of the LRD requirement at bank level overall. The LRD estimates exclude exposures subject to market risk, non-counterparty-related risk and SA credit risk to provide a like-for-like comparison with the A-IRB credit risk EAD shown. p
Annual |
Breakdown by asset classes | ||||||
|
| A-IRB |
| LRD | ||
in USD billion, except where indicated |
| EAD | RW % | RWA |
|
|
Central governments and central banks |
| 149 | 2 | 4 |
| 160 |
Multilateral development banks |
| 5 | 2 | 0 |
| 4 |
Public-sector entities |
| 6 | 17 | 1 |
| 7 |
Banks and securities dealers |
| 35 | 32 | 11 |
| 77 |
Corporates |
| 136 | 46 | 62 |
| 227 |
Retail |
| 297 | 12 | 36 |
| 278 |
of which: residential mortgages |
| 142 | 19 | 27 |
| 148 |
of which: Lombard lending |
| 153 | 6 | 9 |
| 124 |
p
68
Comparison of the A-IRB approach, the SA and LRD by asset class
Annual | The differences between the A-IRB approach, the SA and LRD per asset class are discussed below and on the following pages.
Asset classes Central governments and central banks, Multilateral development banks and Public sector entities
The regulatory net EAD for Central governments and central banks, Multilateral development banks (MDBs) and Public sector entities (PSEs) is USD 160 billion under the A-IRB approach. Since the vast majority of our exposure is driven by banking products exposures, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.
The charts below provide comparisons of risk weights for exposures to the asset classes Central governments and central banks, highly rated MDBs and other MDBs and PSEs calculated under the A-IRB approach and the SA. Risk weights under the A-IRB approach are shown for one-year and five-year maturities, both assuming an LGD of 45%. Our internal A-IRB ratings have been mapped to external ratings based on the long-term average of one-year default rates available from the major credit rating agencies, as described on page 147 of our Annual Report 2018.
The SA assigns a zero risk weight to central governments and central banks rated AA– and better and to highly rated MDB counterparties, while the A-IRB approach generally assigns risk weights higher than zero even for the highest-quality sovereign counterparties.
For other MDB and PSE counterparties rated AA- and better, the risk weight applied is 20%.
Despite this, we would expect an increase in average risk weight under the SA due to exposures to unrated counterparties such as sovereign wealth funds, which attract a 100% risk weight under the SA despite being generally considered very low risk, and short-term repo transactions with central banks rated below AA–, such as the Bank of Japan.
However, as the asset class is not a significant driver of RWA, we would expect any resulting increase in RWA to be relatively small.
Asset class Banks and securities dealers
The regulatory net EAD for exposures to the asset class Banks and securities dealers is USD 35 billion under the A-IRB approach. The A-IRB net EAD is lower compared with the LRD as a result of collateral mitigation on derivatives and securities financing transactions. We would expect the net EAD to increase significantly under the regulatory prescribed rules related to derivatives and securities financing transactions within the Investment Bank, due to the aforementioned methodological differences between the calculation of EAD under the two approaches.
The chart below provides a comparison of risk weights for SA.
The vast majority of our exposure toward Banks and securities dealers is of investment grade quality. The average contractual maturity of this exposure is closer to the one-year example provided in the chart above. Therefore, we would expect a higher average risk weight under the SA than the 25% average risk weight under the A-IRB approach. In combination with higher EAD, we would expect this to lead to significantly higher RWA for Banks and securities dealers under the SA.
69
UBS Group AG consolidated
Asset class Corporates
The regulatory net EAD for the asset class Corporates is USD 136 billion under the A-IRB approach. The A-IRB net EAD is lower compared with the LRD as a result of collateral mitigation on derivatives and securities financing transactions. We would expect the EAD figure to be higher under the regulatory prescribed rules related to derivatives and securities financing transactions due to the aforementioned methodological differences between the calculation of EAD under the two approaches. Derivatives and securities financing transactions currently account for 40% of the EAD for this asset class.
The following chart provides a comparison of risk weights for Corporates exposures calculated under the A-IRB approach and the SA. These exposures primarily arise from corporate lending and derivatives trading within the Investment Bank, and lending to large corporates and small and medium-sized enterprises within Switzerland. The comparison does not include the FINMA-required multiplier applied to Investment Bank Corporates exposures under A-IRB.
Investment grade counterparties typically receive higher risk weights under the SA than under the A-IRB approach. The majority of our Corporates exposures fall into this category. We would therefore expect risk weights for Corporates to be generally higher under the SA.
In addition, SA risk weights rely on external ratings, with a default weighting of 100% being applied where no external rating is available. Typically, counterparties with no external rating are riskier and thus have higher risk weights under the A-IRB approach. However, managed funds, which comprise nearly one-third of our Corporates EAD, typically have no debt and are therefore unrated. The SA applies a 100% risk weight to exposures to these funds. Under A-IRB, these funds are considered very low risk and have an average risk weight of 17%. We believe the SA significantly overstates the associated risk.
Conversely, for certain exposures, we consider the risk weight of 100% under the SA resulting from the absence of an external rating as insufficient, as evident from the hypothetical leveraged finance counterparty example in the table below. p
Annual | Comparison of risk weights as a function of internal rating assessment
The table assumes two counterparties without external rating assignment.
Interest | Total debt / | Debt / assets | Liquidity (fraction of assets that are liquid) | Internal rating assessment | Exposure maturity | A-IRB risk weight range | SA risk weight | |
Managed funds | NA | NA | 0 | 100% | AAA–A | < 1Y | 10–20% | 100% |
Leveraged | < 2 | > 2.5 | > 50% | 0% | BB–C | > 5Y | 100–250% | 100% |
p
70
Asset class Retail
Sub-asset class Residential mortgages
The regulatory net EAD for the sub-asset class Residential mortgages is USD 142 billion under the A-IRB approach. Since the vast majority is driven by banking products exposures, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.
Due to the size of our personal and corporate banking business in Switzerland, our domestic portfolios represent a significant portion of our overall lending exposures, with the largest being loans secured by residential properties.
Our internal models assign risk weights to such loans by considering the debt service capacity of borrowers as well as the availability of other collateral, amongst other factors. These are important considerations for the Swiss market, where there is legal recourse to the borrower.
In contrast, and different to the assignment of risk weights for asset classes above, the SA only crudely differentiates the risk weights based on loan-to-value (LTV) ranges as shown in the table below.
The vast majority of our exposures would attract the minimum 35% risk weight under the SA, compared with the average of 15% observed under the A-IRB approach.
The difference is largely due to the current SA rules not giving benefit to the portion of exposures with an LTV below 67%. The vast majority of exposures fall within this category, as shown in the “Swiss mortgages: distribution of net exposure at default (EAD) across exposure segments and loan-to-value (LTV) buckets” table on page 138 of our Annual Report 2018.
Sub-asset class Lombard lending
Annual | The regulatory net EAD for the sub-asset class Lombard loans is USD 153 billion under the A-IRB approach as of 31 December 2018 and mainly arises in our wealth management businesses.
Eligible collateral is more limited under the SA than under A-IRB. However, the haircuts applied to collateral under the A-IRB approach are generally greater than those prescribed under the SA. Given this, we would expect the overall effect of applying current SA rules to be limited for this portfolio. p
71
UBS Group AG consolidated
Annual | This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the revised Basel III securitization framework, applicable since 1 January 2018, which incorporated changes to the treatment of banking book securitization positions.
In a traditional securitization, a pool of loans (or other debt obligations) is 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.
We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which are
then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party investors. As sponsor, we manage, provide financing for or advice on securitization programs. In line with the Basel III framework, sponsoring includes underwriting activities. In all other cases, we act in the role of investor by taking securitization positions. p
Objectives, roles and involvement
Securitization in the banking book
Annual | Securitization positions held in the banking book include legacy risk positions in Corporate Center – Non-core and Legacy Portfolio. In 2018, for the majority of securitization carrying values on the balance sheet, we acted in the role of originator or investor.
Securitization and resecuritization positions in the banking book are measured at fair value, reflecting market prices where available or based on our internal pricing models. p
Securitization in the trading book
Annual | Securitizations held in the trading book are part of trading activities, including market-making and client facilitation, that could result in retention of certain securitization positions as an investor, including those that we may have originated or sponsored. In the trading book, securitization and resecuritization positions are measured at fair value, reflecting market prices where available, or based on our internal pricing models. p
Type of structured entities and affiliated entities involved in
securitization transactions
Annual | For the securitization of third-party exposures, the type of structured entities or special purpose vehicles employed is selected as appropriate based on the type of transaction undertaken. Examples include limited liability companies, common law trusts and depositor entities.
We also manage or advise groups of affiliated entities that invest in exposures we have securitized or in structured entities that we sponsor.
Refer to Note 31 “Interests in subsidiaries and other entities” on pages 485–492 of our Annual Report 2018 for further information on interests in structured entities. p
Managing and monitoring of the credit and market risk of securitization positions
Annual | The banking book securitization and resecuritization portfolio is subject to specific risk monitoring, which may include interest rate and credit spread sensitivity analysis, as well as inclusion in firm-wide earnings-at-risk, capital-at-risk and combined stress test metrics.
The trading book securitization positions are also subject to multiple risk limits, such as management value-at-risk (VaR) and stress limits as well as market value limits. As part of managing risks within predefined risk limits, traders may utilize hedging and risk mitigation strategies. Hedging may, however, expose the firm to basis risks as the hedging instrument and the position being hedged may not always move in parallel. Such basis risks are managed within the overall limits. Any retained securitization from origination activities and any purchased securitization positions are governed by risk limits together with any other trading positions. Legacy trading book securitization exposure is subject to the same management VaR limit framework. Additionally, risk limits are used to control the unwinding, novation and asset sales process on an ongoing basis. p
Accounting policies
Annual | Refer to “Consolidation” on pages 328–329 in “Note 1 Summary of significant accounting policies” in the “Consolidated financial statements” section of our Annual Report 2018 for information on accounting policies that relate to securitization activities. p
72
Regulatory capital treatment of securitization exposures
Annual | With the implementation of the revised securitization framework as of 1 January 2018 for banking book securitization exposures, the following approaches to calculate the associated risk-weighted assets (RWA) have become available, each with specific preconditions that must be met:
– we use internal ratings (internal ratings-based approach (SEC-IRBA)) if the securitized pool largely consists of internal ratings-based positions and internal ratings are available;
– if the IRBA cannot be applied, we use external ratings (external ratings-based approach (SEC-ERBA)), if available, from Standard & Poor’s, Moody’s Investors Service and Fitch Ratings for securitization exposures, provided that we are able to demonstrate our expertise in critically challenging and reviewing the external ratings; or
– if we cannot apply the IRBA or ERBA methods, we apply the standardized approach (SEC-SA) where the delinquency status of a significant portion of the underlying exposure can be determined or a risk weight of 1,250%. Resecuritization positions are either treated under the standardized approach or with a 1,250% risk weight.
The selection of the external credit assessment institutions (ECAI) is based on the primary rating agency concept. This concept is applied, in principle, to avoid having the credit assessment by one ECAI applied to one or more tranches and by another ECAI to the other tranches, unless this is the result of the application of the specific rules for multiple assessments. If any two of the aforementioned rating agencies have issued a rating for a particular exposure, we would apply the lower of the two credit ratings. If all three rating agencies have issued a rating for a particular exposure, we would apply the middle of the three credit ratings. As of 31 December 2018, UBS did not use internal ratings for the purpose of the RWA calculation for securitization positions in the banking book. p
Securitization exposures in the banking and trading book
Semiannual | The tables “SEC1: Securitization exposures in the banking book” and “SEC2: Securitization exposures in the trading book” outline the carrying values on the balance sheet in the banking and trading books as of 31 December 2018, 30 June 2018 and 31 December 2017. The activity is further broken down by our role (originator, sponsor or investor) and by securitization type (traditional or synthetic). Amounts disclosed under 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: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor” and “SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor” have been modified to reflect changes to the revised securitization framework.
Development in RWA related to securitization exposures in the banking book in the second half of 2018
RWA from securitization exposures from the banking book decreased by USD 0.6 billion due to rating changes for exposures under the external ratings-based approach.
For information on the development of RWA in the first half of 2018 refer to our 30 June 2018 Pillar 3 report – UBS Group and significant subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors. p
73
UBS Group AG consolidated
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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 87 |
| 87 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 88 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 87 |
| 87 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 88 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
| 125 |
| 125 |
| 126 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
|
|
|
|
| 0 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 126 |
| 126 |
| 126 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 87 |
| 87 |
| 0 |
| 0 |
|
|
|
|
| 126 |
| 126 |
| 213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 92 |
| 92 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 92 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 92 |
| 92 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 92 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
|
|
|
|
|
|
|
|
| 142 |
| 142 |
| 142 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 0 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 142 |
| 142 |
| 142 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 92 |
| 92 |
|
|
|
|
|
|
|
|
| 142 |
| 142 |
| 234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 97 |
| 97 |
| 137 |
| 137 |
|
|
|
|
| ��0 |
| 0 |
| 235 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 97 |
| 97 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 97 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
| 137 |
| 137 |
|
|
|
|
|
|
|
|
| 137 |
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
| 1,976 | 1,976 |
|
|
|
|
|
|
|
|
| 142 |
| 142 |
| 2,118 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
| 1,976 | 1,976 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1,976 |
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 0 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 142 |
| 142 |
| 142 |
13 | Re-securitization |
| 0 |
| 0 |
| 0 |
| 0 |
|
|
|
|
| 0 |
| 0 |
| 0 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 97 | 1,976 | 2,073 |
| 137 |
| 137 |
|
|
|
|
| 142 |
| 142 |
| 2,353 |
p
74
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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 13 |
| 13 |
| 22 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 13 |
| 13 |
| 22 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
| 1 | 4 | 5 |
| 1 |
| 1 |
| 222 |
| 222 |
| 16 |
| 16 |
| 244 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
| 1 |
| 1 |
| 1 |
| 1 |
| 222 |
| 222 |
| 14 |
| 14 |
| 238 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 14 |
| 14 |
| 24 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 14 |
| 14 |
| 24 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 4 |
| 4 |
| 100 |
| 100 |
| 8 |
| 8 |
| 112 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
| 100 |
| 100 |
| 8 |
| 8 |
| 108 |
10 | Lease and receivables |
|
|
|
|
| 4 |
| 4 |
|
|
|
|
|
|
|
|
| 4 |
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | Re-securitization |
|
| 6 | 6 |
| 3 |
| 3 |
|
|
|
|
| 10 |
| 10 |
| 19 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 3 | 6 | 9 |
| 14 |
| 14 |
| 100 |
| 100 |
| 31 |
| 31 |
| 154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 10 |
| 10 |
|
|
|
|
| 27 |
| 27 |
| 40 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 3 |
| 3 |
| 10 |
| 10 |
|
|
|
|
| 27 |
| 27 |
| 40 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 2 |
| 2 |
| 18 |
| 18 |
| 7 |
| 7 |
| 27 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
| 18 |
| 18 |
| 7 |
| 7 |
| 25 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
| 2 |
| 2 |
|
|
|
|
|
|
|
|
|
|
13 | Re-securitization |
|
| 6 | 6 |
| 2 |
| 2 |
|
|
|
|
| 10 |
| 10 |
| 18 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 3 | 6 | 10 |
| 14 |
| 14 |
| 18 |
| 18 |
| 44 |
| 44 |
| 85 |
p
75
UBS Group AG consolidated
Semiannual |
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor |
|
|
| ||||||||||||||||||||||||||||
|
| 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 | |||||||||||||||||
USD million |
|
|
| ≤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% | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 | |||||||||||||||||||||||||||||||
1 | Total exposures |
| 92 |
|
|
|
| 0 | 92 |
|
| 92 | 0 |
|
|
| 1,150 |
|
| 1,150 |
| 1 |
|
|
| 92 |
|
| 92 | 0 |
|
2 | Traditional securitization |
| 92 |
|
|
|
| 0 | 92 |
|
| 92 | 0 |
|
|
| 1,150 |
|
| 1,150 |
| 1 |
|
|
| 92 |
|
| 92 | 0 |
|
3 | of which: securitization |
| 92 |
|
|
|
| 0 | 92 |
|
| 92 | 0 |
|
|
| 1,150 |
|
| 1,150 |
| 1 |
|
|
| 92 |
|
| 92 | 0 |
|
4 | of which: retail underlying |
| 92 |
|
|
|
| 0 | 92 |
|
| 92 | 0 |
|
|
| 1,150 |
|
| 1,150 |
| 1 |
|
|
| 92 |
|
| 92 | 0 |
|
5 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (continued) | ||||||||||||||||||||||||||||
|
| 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 | ||||||||||||||
USD million |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA |
| IRB SFA | 1250% |
|
|
| IRB RBA |
| IRB SFA |
| 1250% | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 | ||||||||||||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 2,210 |
| 137 | 1,976 |
| 0 | 96 |
| 137 | 1,976 | 96 |
| 1,676 |
| 17 |
| 452 | 1,206 |
| 134 |
| 1 |
| 36 |
| 96 |
2 | Traditional securitization |
| 234 |
| 137 |
|
| 0 | 96 |
| 137 |
| 96 |
| 1,224 |
| 17 |
|
| 1,206 |
| 97 |
| 1 |
|
|
| 96 |
3 | of which: securitization |
| 234 |
| 137 |
|
|
| 96 |
| 137 |
| 96 |
| 1,224 |
| 17 |
|
| 1,206 |
| 97 |
| 1 |
|
|
| 96 |
4 | of which: retail underlying |
| 234 |
| 137 |
|
|
| 96 |
| 137 |
| 96 |
| 1,224 |
| 17 |
|
| 1,206 |
| 97 |
| 1 |
|
|
| 96 |
5 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: re-securitization |
| 0 |
|
|
|
| 0 | 0 |
| 0 |
| 0 |
| 0 |
| 0 |
|
| 0 |
| 0 |
| 0 |
|
|
| 0 |
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
| 0 |
|
|
|
| 0 | 0 |
| 0 |
| 0 |
| 0 |
| 0 |
|
| 0 |
| 0 |
| 0 |
|
|
| 0 |
9 | Synthetic securitization |
| 1,976 |
|
| 1,976 |
|
|
|
|
| 1,976 |
|
| 452 |
|
|
| 452 |
|
| 36 |
|
|
| 36 |
|
|
10 | of which: securitization |
| 1,976 |
|
| 1,976 |
|
|
|
|
| 1,976 |
|
| 452 |
|
|
| 452 |
|
| 36 |
|
|
| 36 |
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
| 1,976 |
|
| 1,976 |
|
|
|
|
| 1,976 |
|
| 452 |
|
|
| 452 |
|
| 36 |
|
|
| 36 |
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
p
77
UBS Group AG consolidated
Semiannual |
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor |
|
|
| ||||||||||||||||||||||||||||
|
| 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 | |||||||||||||||||
USD million |
|
|
| ≤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% | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
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14 | of which: senior |
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15 | of which: non-senior |
|
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30.6.18 | |||||||||||||||||||||||||||||||
Asset classes |
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| |
1 | Total exposures |
| 142 |
|
|
| 62 | 80 | 0 |
|
| 142 | 0 |
|
|
| 124 |
|
| 124 |
| 0 |
|
|
| 10 |
|
| 10 | 0 |
|
2 | Traditional securitization |
| 142 |
|
|
| 62 | 80 | 0 |
|
| 142 | 0 |
|
|
| 124 |
|
| 124 |
| 0 |
|
|
| 10 |
|
| 10 | 0 |
|
3 | of which: securitization |
| 142 |
|
|
| 62 | 80 | 0 |
|
| 142 | 0 |
|
|
| 124 |
|
| 124 |
| 0 |
|
|
| 10 |
|
| 10 | 0 |
|
4 | of which: retail underlying |
| 0 |
|
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|
|
| 0 |
|
|
| 0 |
|
|
| 0 |
|
|
|
| 0 |
|
|
| 0 |
|
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| 0 |
|
5 | of which: wholesale |
| 142 |
|
|
| 62 | 80 |
|
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| 142 |
|
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|
| 124 |
|
| 124 |
|
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| 10 |
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| 10 |
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6 | of which: re-securitization |
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7 | of which: senior |
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8 | of which: non-senior |
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9 | Synthetic securitization |
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10 | of which: securitization |
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11 | of which: retail underlying |
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12 | of which: wholesale |
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13 | of which: re-securitization |
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14 | of which: senior |
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15 | of which: non-senior |
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78
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor | |||||||||||||||||||||||||
|
| 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 | |||||||||||
USD million |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA | IRB SFA | 1250% |
|
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| IRB RBA | IRB SFA | 1250% | |
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31.12.17 | |||||||||||||||||||||||||
Asset classes |
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| |
1 | Total exposures |
| 142 |
| 66 | 0 | 76 | 0 | 0 |
| 142 |
| 0 |
| 64 |
| 63 |
| 1 |
| 5 |
| 5 |
| 0 |
2 | Traditional securitization |
| 142 |
| 66 | 0 | 76 | 0 | 0 |
| 142 |
| 0 |
| 64 |
| 63 |
| 1 |
| 5 |
| 5 |
| 0 |
3 | of which: securitization |
| 142 |
| 66 | 0 | 76 | 0 | 0 |
| 142 |
| 0 |
| 64 |
| 63 |
| 1 |
| 5 |
| 5 |
| 0 |
4 | of which: retail underlying |
| 0 |
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| 0 |
|
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| 0 |
| 1 |
|
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| 1 |
| 0 |
|
|
| 0 |
5 | of which: wholesale |
| 142 |
| 66 | 0 | 76 |
| 0 |
| 142 |
| 0 |
| 63 |
| 63 |
| 0 |
| 5 |
| 5 |
| 0 |
6 | of which: re-securitization |
| 0 |
|
| 0 |
|
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
7 | of which: senior |
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8 | of which: non-senior |
| 0 |
|
| ��0 |
|
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
9 | Synthetic securitization |
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10 | of which: securitization |
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11 | of which: retail underlying |
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12 | of which: wholesale |
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13 | of which: re-securitization |
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14 | of which: senior |
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15 | of which: non-senior |
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p
79
UBS Group AG consolidated
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 (RniV), 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. More information on each of these components is detailed in the following pages.
The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2018.
Annual |
MRA – Market risk | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Strategies and processes of the bank for market risk |
| Risk, treasury and capital management |
| – | Risk appetite framework |
| 125–128 |
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 154 | ||
|
| – | Market risk stress loss, Value-at-risk |
| 155–158 | ||
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 395–399 | |
Structure and organization of the market risk management function |
| Risk, treasury and capital management |
| – | Key risks, risk measures and performance by business division and Corporate Center unit |
| 120 |
|
| – | Risk governance |
| 123–124 | ||
Scope and nature of risk reporting and measurement systems |
| Risk, treasury and capital management |
| – | Internal risk reporting |
| 129 |
|
|
| – | Main sources of market risk, Overview of measurement, monitoring and management techniques |
| 154 |
p
80
Market risk risk-weighted assets
Market risk RWA development in the quarter
Quarterly | This section provides disclosures on the quarterly market risk RWA developments for market risk measured under the internal models method. The four main components that contribute to market risk RWA are VaR, SVaR, IRC and the CRM. VaR and SVaR components include the RWA charge for RniV. The “MR2: RWA flow statements of market risk exposures under an internal models approach” table on the following page provides a breakdown of the market risk RWA movement in the fourth quarter of 2018 across these components, according to Basel Committee on Banking Supervision-defined movement categories. These categories are described below. p
Definitions of market risk RWA movement table components for MR2
References in the table below link to the line numbers provided in the movement table on the next page.
Reference | Description |
| Definition |
1 / 8c | RWA as of previous and current reporting period end (end of period) |
| Quarter-end RWA. |
1a / 8b | Regulatory adjustment |
| Indicates the difference between rows 1 and 1b, and 8c and 8a, respectively. |
1b / 8a | RWA at previous and current quarter end (end of day) |
| For a given component (e.g., VaR), this refers to the RWA computed whenever that component’s snapshot quarter-end figure is higher than the 60-day average for regulatory VaR, and the 12-week average for SVaR and IRC, thus determining the quarter-end RWA. The regulatory adjustment would be zero if the quarter-end RWA were triggered by the snapshot quarter-end figure.
|
| Movement of end-of-day RWA | ||
2 | Movement in risk levels |
| Movements due to changes in positions and risk levels. |
3 | Model updates / changes |
| Movements due to routine updates to model parameters and model changes. |
4 | Methodology and policy |
| Movements due to methodological changes in calculations driven by regulatory policy changes, including revisions of existing regulations, new regulations and add-ons mandated by the regulator. |
5 | Acquisitions and disposals |
| Movements due to the disposal or acquisition of business operations, quantified based on the market risk exposures at the end of the quarter preceding a disposal or following an acquisition. Purchases and sales of exposures in the ordinary course of business are reflected in “Movements in risk levels.” |
6 | Foreign exchange movements |
| Movements due to changes in exchange rates. Note that the effect of movements in exchange rates is captured in “Movement in risk levels,” since exchange rate movements are part of the effects of market movements on risk levels. |
7 | Other |
| Movements due to changes that cannot be attributed to any other category. |
RWA flow
Quarterly |
Market risk RWA increased by USD 8.3 billion in the fourth quarter, driven by asset size and other movements resulting from higher average regulatory and stressed value-at-risk (VaR) levels observed in the Investment Bank, mainly in its Equities business following significant market volatility. The increase from regulatory add-ons of USD 1.4 billion reflects updates from the monthly risks-not-in-VaR assessment and higher levels of regulatory VaR and stressed VaR.
The VaR multiplier remained unchanged at 3.0 compared with the third quarter of 2018. p
81
UBS Group AG consolidated
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 31.12.17 | 3,157 | 5,403 | 3,547 | 81 |
| 12,188 |
1a | Regulatory adjustment | (2,454) | (4,635) | 0 | (27) |
| (7,116) |
1b | RWA at previous quarter-end (end of day) | 703 | 768 | 3,547 | 54 |
| 5,072 |
2 | Movement in risk levels | 410 | 1,539 | (1,159) | 0 |
| 789 |
3 | Model updates / changes | 74 | (3) | 0 | 0 |
| 71 |
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 | 19 | 285 | 0 | (15) |
| 289 |
8a | RWA at the end of the reporting period (end of day) | 1,207 | 2,589 | 2,387 | 39 |
| 6,222 |
8b | Regulatory adjustment | 6,021 | 9,968 | 847 | 14 |
| 16,850 |
8c | RWA as of 31.3.18 | 7,228 | 12,557 | 3,234 | 53 |
| 23,072 |
1 | RWA as of 31.3.18 | 7,228 | 12,557 | 3,234 | 53 |
| 23,072 |
1a | Regulatory adjustment | (6,021) | (9,968) | (847) | (14) |
| (16,850) |
1b | RWA at previous quarter-end (end of day) | 1,207 | 2,589 | 2,387 | 39 |
| 6,222 |
2 | Movement in risk levels | 1,019 | 822 | 12 | 0 |
| 1,852 |
3 | Model updates / changes | (135) | 12 | 0 | 0 |
| (123) |
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 | (101) | 23 | 0 | 18 |
| (60) |
8a | RWA at the end of the reporting period (end of day) | 1,989 | 3,446 | 2,399 | 57 |
| 7,891 |
8b | Regulatory adjustment | 1,311 | 2,934 | 0 | 0 |
| 4,245 |
8c | RWA as of 30.6.18 | 3,300 | 6,380 | 2,399 | 57 |
| 12,136 |
1 | RWA as of 30.6.18 | 3,300 | 6,380 | 2,399 | 57 |
| 12,136 |
1a | Regulatory adjustment | (1,311) | (2,934) | 0 | 0 |
| (4,245) |
1b | RWA at previous quarter-end (end of day) | 1,989 | 3,446 | 2,399 | 57 |
| 7,891 |
2 | Movement in risk levels | (1,653) | (2,400) | 327 | 0 |
| (3,726) |
3 | Model updates / changes | (8) | (62) | (60) | 0 |
| (130) |
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 | (1) | 80 | 0 | (57) |
| 22 |
8a | RWA at the end of the reporting period (end of day) | 328 | 1,063 | 2,666 | 0 |
| 4,057 |
8b | Regulatory adjustment | 2,142 | 5,101 | 0 | 12 |
| 7,255 |
8c | RWA as of 30.9.18 | 2,470 | 6,164 | 2,666 | 12 |
| 11,313 |
1 | RWA as of 30.9.18 | 2,470 | 6,164 | 2,666 | 12 |
| 11,313 |
1a | Regulatory adjustment | (2,142) | (5,101) | 0 | (12) |
| (7,255) |
1b | RWA at previous quarter-end (end of day) | 328 | 1,063 | 2,666 | 0 |
| 4,057 |
2 | Movement in risk levels | 1,765 | 1,975 | (1,373) | 0 |
| 2,368 |
3 | Model updates / changes | 335 | (47) | (53) | 0 |
| 235 |
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 | 489 | 689 | 0 | 0 |
| 1,178 |
8a | RWA at the end of the reporting period (end of day) | 2,918 | 3,680 | 1,240 | 0 |
| 7,838 |
8b | Regulatory adjustment | 2,167 | 8,470 | 1,059 | 7 |
| 11,702 |
8c | RWA as of 31.12.18 | 5,085 | 12,149 | 2,299 | 7 |
| 19,541 |
1 Components that describe movements in RWA are presented in italic. |
p
82
Securitization positions in the trading book
Semiannual | Our exposure to securitization positions in the trading book relates primarily to positions in Corporate Center – Non-core and Legacy Portfolio that we continue to wind down. A small amount of exposure also arises from secondary trading in commercial mortgage-backed securities in the Investment Bank. Refer to the “Regulatory exposures and risk-weighted assets” table on page 16–18 of this report and to the “Securitizations” section of this report for more information.
The table below provides information on market risk RWA from securitization exposures in the trading book. p
Semiannual |
MR1: Market risk under standardized approach | ||||
| RWA | |||
USD million | 31.12.18 | 30.6.18 | 31.12.17 | |
| 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 | 364 | 410 |
9 | Total | 452 | 364 | 410 |
|
p
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2018. p
Annual |
MRB – Internal models approach | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Description of activities and risks covered by the VaR models and stressed VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 155–158 |
|
| – | Main sources of market risk |
| 154 | ||
VaR models applied by different entities within the Group |
| Risk, treasury and capital management |
| – | Main sources of market risk |
| 154 |
|
| – | Value-at-risk |
| 155–158 | ||
General description of VaR and stressed VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 155–158 |
|
|
|
|
|
| ||
Main differences between the VaR and stressed VaR models used for management purposes and for regulatory purposes |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 155–158 |
|
|
|
|
|
| ||
Further information on VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 155–158 |
|
|
|
| – | Market risk stress loss |
| 155 |
|
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 154 |
|
| Consolidated financial statements |
| – | Note 24 Fair value measurement |
| 429–449 |
Description of stress testing applied to modeling parameters |
| Consolidated financial statements |
| – | Note 24 Fair value measurement |
| 429–449 |
Description of backtesting approach |
| Risk, treasury and capital management |
| – | Backtesting of VaR |
| 157–158 |
|
| – | VaR model confirmation |
| 158 |
p
83
UBS Group AG consolidated
Regulatory calculation of market risk
Semiannual | The table below shows minimum, maximum, average and period-end regulatory VaR, stressed VaR, the IRC and the comprehensive risk capital charge.
During the second half of 2018, average 10-day 99% regulatory VaR and stressed VaR decreased due to risk management actions, despite increased market volatility in the fourth quarter. p
Semiannual |
MR3: IMA values for trading portfolios | ||||
| For the six-month period ended 31.12.18 | For the six-month period ended 30.6.18 | For the six-month period ended 31.12.17 | |
USD million |
|
|
| |
| VaR (10-day 99%) |
|
|
|
1 | Maximum value | 107 | 181 | 93 |
2 | Average value | 38 | 52 | 36 |
3 | Minimum value | 6 | 2 | 12 |
4 | Period end | 79 | 65 | 22 |
| Stressed VaR (10-day 99%) |
|
|
|
5 | Maximum value | 202 | 334 | 333 |
6 | Average value | 93 | 107 | 86 |
7 | Minimum value | 35 | 23 | 27 |
8 | Period end | 98 | 122 | 31 |
| Incremental risk charge (99.9%) |
|
|
|
9 | Maximum value | 247 | 342 | 310 |
10 | Average value | 193 | 222 | 272 |
11 | Minimum value | 99 | 153 | 209 |
12 | Period end | 99 | 192 | 284 |
| Comprehensive risk capital charge (99.9%) |
|
|
|
13 | Maximum value | 5 | 5 | 9 |
14 | Average value | 1 | 4 | 6 |
15 | Minimum value | 0 | 3 | 4 |
16 | Period end | 0 | 5 | 4 |
17 | Floor (standardized measurement method) | 0 | 1 | 1 |
|
p
84
Value-at-risk
VaR definition
Annual | VaR is a statistical measure of market risk, representing the market risk losses that could potentially be realized over a set time horizon (holding period) at an established level of confidence. The measure assumes no change in the Group’s trading positions over the set time horizon.
We calculate VaR on a daily basis. The profit or loss distribution from which VaR is derived is generated by our internally developed VaR model. The VaR model simulates returns over the holding period of those risk factors to which our trading positions are sensitive, and subsequently quantifies the profit or loss effect of these risk factor returns on the trading positions. Risk factor returns associated with the risk factor classes of general interest rates, foreign exchange and commodities are based on a pure historical simulation approach, taking into account a five-year look-back window. Risk factor returns for selected issuer-based risk factors, such as equity price and credit spreads, are decomposed into systematic and residual, issuer-specific components using a factor model approach. Systematic returns are based on historical simulation, and residual returns are based on a Monte Carlo simulation. The VaR model profit and loss distribution is derived from the sum of the systematic and residual returns in such a way that we consistently capture systematic and residual risk. Correlations among risk factors are implicitly captured via the historical simulation approach. In modeling the risk factor returns, we consider the stationarity properties of the historical time series of risk factor changes. Depending on the stationarity properties of the risk factors within a given risk factor class, we choose to model the risk factor returns using absolute returns or logarithmic returns. The risk factor return distributions are updated on a fortnightly basis.
Although our VaR model does not have full revaluation capability, we source full revaluation grids and sensitivities from our front-office systems, enabling us to capture material non-linear profit or loss effects.
We use a single VaR model for both internal management purposes and determining market risk risk-weighted assets (RWA), although we consider different confidence levels and time horizons. For internal management purposes, we establish risk limits and measure exposures using VaR at the 95% confidence level with a one-day holding period, aligned to the way we consider the risks associated with our trading activities. The regulatory measure of market risk used to underpin the market risk capital requirement under Basel III requires a measure equivalent to a 99% confidence level using a 10-day holding period. In the calculation of a 10-day holding period VaR, we employ 10-day risk factor returns, whereby all observations are equally weighted.
Additionally, the population of the portfolio within management and regulatory VaR is slightly different. The population within regulatory VaR meets regulatory requirements for inclusion in regulatory VaR. Management VaR includes a broader population of positions. For example, regulatory VaR excludes the credit spread risks from the securitization portfolio, which are treated instead under the securitization approach for regulatory purposes.
We also use SVaR for the calculation of regulatory capital. SVaR adopts broadly the same methodology as regulatory VaR and is calculated using the same population, holding period (10-day) and confidence level (99%). However, unlike regulatory VaR, the historical data set for SVaR is not limited to five years, but spans the time period from 1 January 2007 to present. In deriving SVaR, we search for the largest 10-day holding period VaR for the current portfolio of the Group across all one-year look-back windows that fall into the interval from 1 January 2007 to present. SVaR is computed weekly. p
Derivation of VaR- and SVaR-based RWA
Annual | VaR and SVaR are used to derive the VaR and SVaR components of the market risk Basel III RWA, as shown in the “Regulatory exposures and risk-weighted assets” table on pages 16–18 of this report. This calculation takes the maximum of the respective period-end VaR measure and the product of the average VaR measure for the 60 trading days immediately preceding the period end and a VaR multiplier set by FINMA. The VaR multiplier, which was 3.0 as of 31 December 2018, is dependent upon the number of VaR backtesting exceptions within a 250-business-day window. When the number of exceptions is greater than four, the multiplier increases gradually from three to a maximum of four if 10 or more backtesting exceptions occur. This is then multiplied by a risk weight factor of 1,250% to determine RWA.
In addition to the VaR multiplier, at the time of the structural change to our VaR model in the first quarter of 2016, FINMA introduced a model multiplier of 1.3 to be applied in the calculation of VaR and SVaR RWA. This model multiplier was temporarily introduced to offset a reduction in VaR at the time, pending other improvements to the VaR model which are expected to increase VaR. This temporary multiplier has not yet been removed.
This calculation is set out in the table below. p
Annual |
Calculation of VaR- and SVaR-based RWA as of 31 December 2018 | |||||||
USD million | Period-end VaR (A) | 60-day average VaR (B) | VaR multiplier (C) | Model multiplier (D) | Max. (A, B x C) x D (E) | Risk weight factor (F) | Basel III RWA (E x F) |
VaR (10-day 99%) | 79 | 50 | 3.00 | 1.3 | 196 | 1,250% | 2,454 |
Stressed VaR (10-day 99%) | 98 | 120 | 3.00 | 1.3 | 469 | 1,250% | 5,866 |
p
85
UBS Group AG consolidated
MR4: Comparison of VaR estimates with gains / losses
Semiannual | VaR backtesting is a performance measurement process in which the 1-day VaR prediction is compared with the realized 1-day profit & loss (P&L). We compute backtesting VaR using a 99% confidence level and one-day holding period for the population included within regulatory VaR. Since 99% VaR at UBS is defined as a risk measure that operates on the lower tail of the P&L distribution, 99% backtesting VaR is a negative number. Backtesting revenues exclude non-trading revenues, such as valuation reserves, fees and commissions and revenues from intraday trading, to provide for a like-for-like comparison. A backtesting exception occurs when backtesting revenues are lower than the previous day’s backtesting VaR.
Statistically, given the confidence level of 99%, two or three backtesting exceptions per year can be expected. More than four exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a prolonged period of time. However, as noted in the VaR limitations section above, a sudden increase or decrease in market volatility relative to the five-year window could lead to a higher or lower number of exceptions, respectively. Accordingly, Group-level backtesting exceptions are investigated, as are exceptional positive backtesting revenues, with results being reported to senior business management, the Group Chief Risk Officer and the Chief Risk Officer Market & Treasury Risk. Backtesting exceptions are also reported to internal and external auditors and to the relevant regulators.
The “Group: development of regulatory backtesting revenues and actual trading revenues against backtesting VaR” chart on the page below shows the 12-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for 2018. The chart shows both the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is due to 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.
The number of negative backtesting exceptions within a 250-business-day window increased from one to two by the end of the year. The FINMA VaR multiplier for market risk RWA remained unchanged at 3.0 as of 31 December 2018. p
Semiannual |
p
86
Risks-not-in-VaR definition
Annual | We have a framework to identify and quantify potential risks that are not fully captured by our VaR model. We refer to these as risks-not-in-VaR (RniV). This framework is used to underpin these potential risks with regulatory capital, calculated as a multiple of VaR and SVaR.
Our VaR model can be split into two components: the P&L representation and the risk factor model. This gives rise to two RniV categories: P&L representation RniV and risk factor RniV. P&L representation RniV arises from approximations made by the VaR model to quantify the effect of risk factor changes on the profit and loss of positions and portfolios. Risk factor RniV originate from an inadequate modeling of the stochastic behavior of the risk factors. p
Risks-not-in-VaR quantification
Annual | The RniV quantification is conducted on the basis of a quantitative approach that was developed within the Risk Methodology department, and that has been approved by FINMA. We quantify RniV on a monthly basis. The revised framework applies to both categories of RniV: P&L representation RniV as well as risk factor RniV. p
Risks-not-in-VaR mitigation
Annual | Material RniV items are monitored and controlled by means and measures other than VaR, such as position limits and stress limits. Additionally, there are ongoing initiatives to extend the VaR model to better capture these risks. p
Derivation of RWA add-on for risks-not-in-VaR
Annual | The RniV framework is used to derive the RniV-based component of the market risk Basel III RWA, using the aforementioned approach, which is approved by FINMA and subject to a recalibration frequency that is at least quarterly. As the RWA from RniV are add-ons, they do not reflect any diversification benefits across risks capitalized through VaR and SVaR.
The RniV VaR and SVaR capital ratios applicable during the fourth quarter are 107% for each.
FINMA continues to require that RniV stressed VaR capital be floored at RniV VaR capital. p
Annual |
Calculation of RniV-based RWA as of 31 December 2018 | |||
USD million | Period-end RWA (A) | RniV add-on (B) | RniV RWA (A x B) |
Regulatory VaR | 2,454 | 107% | 2,632 |
Stressed VaR | 5,866 | 107% | 6,284 |
Total RniV RWA |
|
| 8,915 |
|
p
87
UBS Group AG consolidated
Incremental risk charge
Annual | Incremental risk charge (IRC) is the potential loss due to the defaults or credit migrations of issuers of non-securitized credit instruments in the trading book. IRC is calculated as the portfolio loss at the 99.9% percentile of the portfolio loss distribution over a one-year time horizon. It uses a multi-factor model applying the constant position assumption for all positions in the IRC portfolio: all positions are kept unchanged over the one-year time period.
The portfolio loss distribution is estimated using a Monte Carlo simulation approach. The simulation is performed in two steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a portfolio rating migration model, and second, default and migration losses conditional on credit events generated by the migration model are calculated and aggregated.
The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of the underlying asset value of a firm. The correlation structure of asset values is based on the SunGard APT factor model with factor loadings and volatilities homogenized within region-industry-size buckets. For the government bucket, a conservative expert-based correlation value is used. The transition matrix approach is utilized to set migration and default thresholds. The transition matrix for sovereign obligors is calibrated to the history of S&P sovereign ratings. The transition matrix for non-sovereigns is calibrated to the history of UBS internal ratings.
For each position related to a defaulted obligor, default losses are calculated based on the maximum default exposure measure (the loss in the case of a default event assuming zero recovery) and a random recovery concept. To account for potential basis risk between instruments, different recovery values may be generated for different instruments even if they belong to the same issuer. To calculate rating migration losses, a linear (delta) approximation is used. A loss due to a migration event is calculated as a change in the average credit spread due to the rating change, multiplied by the corresponding sensitivity of a position to changes in credit spreads.
The validation of the IRC model relies heavily on sensitivity analyses embedded into the annual model reconfirmation.p
Annual | IRC is calculated weekly and the results are used to derive the IRC-based component of the market risk Basel III RWA, as shown in the “Regulatory exposures and risk-weighted assets” table on pages 16–18 of this report. The derivation is similar to that for VaR- and SVaR-based RWA, but without a VaR multiplier, and is shown below. p
Annual |
Calculation of IRC-based RWA as of 31 December 2018 | |||||
| Period-end IRC (A) | Average of last 12 weeks IRC (B) | Max (A, B) (C) | Risk weight factor (D) | Basel III RWA (C x D) |
USD million | |||||
| 99 | 184 | 184 | 1,250% | 2,299 |
p
88
Comprehensive risk measure
Annual | The comprehensive risk measure (CRM) is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level. The calculation assumes a static portfolio with trade aging, a modeling choice consistent with the portfolio being hedged in a back-to-back manner. The model scope covers collateralized debt obligation (CDO) swaps, credit-linked notes (CLNs), 1st- and nth-to-default swaps and CLNs and hedges for these positions, including single-name credit default swaps (CDSs), CLNs and index CDSs.
The CRM profit and loss distribution is estimated using a Monte Carlo simulation of defaults, loss given defaults (LGDs) and market data changes over the next 12 months where spreads follow their own stochastic processes and are correlated to defaults. The risk engine loads the definition of all trades and, for each Monte Carlo scenario, generates the trade cash flows over the next 12 months and revalues the trades on the horizon date. The revaluation relies on sampled FX rates, credit spreads and index bases and introduces a correlation skew by using stochastic correlations and stochastic LGDs. The correlation skew is calibrated at irregular intervals. The 99.9% negative quantile of the resulting profit and loss distribution is then taken to be the CRM result. Our CRM methodology is subject to minimum qualitative standards. p
Annual | CRM is calculated weekly, and the results are used to derive the CRM-based component of the market risk Basel III RWA, as shown in the “Regulatory exposures and risk-weighted assets” table on pages 16–18 of this report. The calculation is subject to a floor equal to 8% of the equivalent capital charge under the specific risk measure (SRM) for the correlation trading portfolio. The calculation is shown below. p
Annual |
Calculation of CRM-based RWA as of 31 December 2018 | |||||
USD million | Period-end CRM (A) | Average of last 12 weeks CRM (B)1 | Max (A, B) (C) | Risk weight factor (D) | Basel III RWA (C x D) |
| 0 | 1 | 1 | 1,250% | 7 |
1 CRM = Max (CRM model result, 8% of equivalent charge under the SRM). |
p
89
UBS Group AG consolidated
Section 9 Operational risk
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2018. p
Annual |
ORA: Operational risk | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Details of the approach for operational risk capital assessment for which the bank qualifies |
| Risk, treasury and capital management |
| – | Operational risk framework |
| 171 |
Description of the advanced measurement approaches (AMA) for operational risk |
| Risk, treasury and capital management |
| – | Advanced measurement approach model |
| 172 |
p
90
Annual | Interest rate risk in the banking book arises from balance sheet positions such as Loans, 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.
The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2018. p
Annual |
Interest rate risk in the banking book | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
The nature of interest rate risk in the banking book and key assumptions applied |
| Risk, treasury and capital management |
| – | Interest rate risk in the banking book
|
| 159–163 |
p
Interest rate risk sensitivity to parallel shifts in yield curves
Annual | Interest rate risk in the banking book is not underpinned for capital purposes, but is subject to a regulatory threshold. As of 31 December 2018, the economic-value effect of an adverse parallel shift in interest rates of ±200 basis points on our banking book interest rate risk exposures was significantly below both the current threshold of 20% of eligible capital recommended by regulators and the new threshold of 15% of Tier 1 capital applicable as of 2019.
The interest rate risk sensitivity figures presented in the “Interest rate sensitivity – banking book” table on the next page represent the effect of +1, ±100 and ±200-basis-point parallel moves in yield curves on present values of future cash flows, irrespective of accounting treatment. In the prevailing negative interest rate environment for the Swiss franc in particular, and to a lesser extent for the euro and the Japanese yen, interest rates for Global Wealth Management and Personal & Corporate Banking client transactions are generally floored at 0%. Accordingly, for the purposes of this disclosure table, downward moves of 100 / 200 basis points are floored to ensure that the resulting shocked interest rates do not turn negative. The flooring results in non-linear sensitivity behavior.
The sensitivity of the banking book to rising rates was positive USD 1.0 million per basis point compared with approximately nil at prior year-end. This was mainly due to changes in US dollar sensitivity. In the third quarter of 2018, we implemented a transfer process of the interest rate risk from our Global Wealth Management in the Americas into Corporate Center – Group ALM, and adopted a replication model for the non-maturing deposits held in the US. This decreased the exposure to rising rates in Global Wealth Management to negative USD 0.1 million per basis point from negative USD 1.8 million per basis point.
The sensitivity of the banking book to rising rates includes the interest rate sensitivities arising from debt investments classified as Financial assets measured at fair value through other comprehensive income. The sensitivity of these positions to a 1-basis-point parallel increase in the yields of the respective instruments was approximately negative USD 2 million, unchanged from the prior year.
The sensitivity of the banking book to rising interest rates also includes interest rate sensitivities arising from interest rate swaps designated in cash flow hedges. Fair value gains or losses associated with the effective portion of these hedges are recognized directly in other comprehensive income (OCI) in equity. When the hedged forecast cash flows affect profit or loss, the associated gains or losses on the hedging derivatives are reclassified from OCI to profit or loss. These swaps are predominantly denominated in US dollars, euros and Swiss francs. A 1-basis-point parallel increase of underlying LIBOR curves would have decreased OCI by approximately USD 22 million, excluding adjustments for tax. p
91
UBS Group AG consolidated
Annual |
Interest rate sensitivity – banking book1 | ||||||
31.12.18 |
|
| ||||
USD million |
| –200 bps | –100 bps | +1 bp | +100 bps | +200 bps |
CHF |
| (8.5) | (8.5) | 0.8 | 78.6 | 158.6 |
EUR |
| (167.9) | (141.3) | 0.1 | 6.9 | 15.6 |
GBP |
| (88.2) | (56.0) | 0.1 | 11.1 | 20.5 |
USD |
| (355.3) | (96.5) | 0.0 | (73.6) | (202.3) |
Other |
| 8.8 | 3.7 | 0.1 | 10.4 | 21.3 |
Total effect on fair value of interest rate-sensitive banking book positions |
| (611.1) | (298.5) | 1.0 | 33.4 | 13.6 |
|
|
|
|
|
|
|
31.12.17 |
|
| ||||
USD million |
| –200 bps | –100 bps | +1 bp | +100 bps | +200 bps |
CHF |
| (32.7) | (32.7) | 1.0 | 100.2 | 196.2 |
EUR |
| (145.8) | (92.9) | 0.2 | 15.6 | 31.9 |
GBP |
| (59.1) | (56.8) | 0.1 | 11.5 | 21.8 |
USD |
| 27.3 | 14.8 | (1.4) | (138.5) | (287.8) |
Other |
| 4.4 | 0.8 | 0.1 | 5.2 | 10.7 |
Total effect on fair value of interest rate-sensitive banking book positions |
| (205.8) | (166.8) | 0.0 | (6.1) | (27.3) |
1 In the prevailing negative interest rate environment for the Swiss franc in particular, and to a lesser extent for the euro, interest rates for Global Wealth Management (excluding Americas) and Personal & Corporate Banking client transactions are generally floored at non-negative levels. Accordingly, for the purposes of this disclosure table, downward moves of 100 / 200 basis points are floored to ensure that the resulting shocked interest rates do not turn negative. The flooring results in non-linear sensitivity behavior.
|
p
92
The table below provides detail on the Swiss SRB going and gone concern requirements as required by FINMA. Further information on capital management is provided on pages 194–208 of our Annual Report 2018.
Quarterly |
Swiss SRB going and gone concern requirements and information1 | ||||||||||||
As of 31.12.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||||
USD million, except where indicated |
| RWA |
| LRD |
| RWA |
| LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing capacity |
| in % |
|
| in % |
|
| in % |
|
| in % |
|
Common equity tier 1 capital |
| 9.75 | 25,711 |
| 2.90 | 26,233 |
| 10.29 | 27,135 |
| 3.50 | 31,661 |
of which: minimum capital |
| 5.40 | 14,242 |
| 1.90 | 17,187 |
| 4.50 | 11,869 |
| 1.50 | 13,569 |
of which: buffer capital |
| 4.06 | 10,708 |
| 1.00 | 9,046 |
| 5.50 | 14,506 |
| 2.00 | 18,092 |
of which: countercyclical buffer2 |
| 0.29 | 761 |
|
|
|
| 0.29 | 761 |
|
|
|
Maximum additional tier 1 capital |
| 3.40 | 8,967 |
| 1.10 | 9,951 |
| 4.30 | 11,341 |
| 1.50 | 13,569 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 2.60 | 6,857 |
| 1.10 | 9,951 |
| 3.50 | 9,231 |
| 1.50 | 13,569 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 2,110 |
|
|
|
| 0.80 | 2,110 |
|
|
|
Total going concern capital |
| 13.15 | 34,678 |
| 4.00 | 36,184 |
| 14.593 | 38,476 |
| 5.003 | 45,230 |
Base gone concern loss-absorbing capacity, including applicable add-ons and rebate |
| 7.484 | 19,718 |
| 2.524 | 22,796 |
| 12.015 | 31,681 |
| 4.205 | 37,993 |
Total gone concern loss-absorbing capacity |
| 7.48 | 19,718 |
| 2.52 | 22,796 |
| 12.01 | 31,681 |
| 4.20 | 37,993 |
Total loss-absorbing capacity |
| 20.62 | 54,396 |
| 6.52 | 58,980 |
| 26.60 | 70,158 |
| 9.20 | 83,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 12.94 | 34,119 |
| 3.77 | 34,119 |
| 12.94 | 34,119 |
| 3.77 | 34,119 |
High-trigger loss-absorbing additional tier 1 capital6,7 |
| 6.89 | 18,167 |
| 2.01 | 18,167 |
| 4.61 | 12,160 |
| 1.34 | 12,160 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.71 | 9,790 |
| 1.08 | 9,790 |
| 3.71 | 9,790 |
| 1.08 | 9,790 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.90 | 2,369 |
| 0.26 | 2,369 |
| 0.90 | 2,369 |
| 0.26 | 2,369 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2.28 | 6,008 |
| 0.66 | 6,008 |
|
|
|
|
|
|
Total going concern capital |
| 19.82 | 52,287 |
| 5.78 | 52,287 |
| 17.55 | 46,279 |
| 5.12 | 46,279 |
Gone concern loss-absorbing capacity |
| 11.93 | 31,452 |
| 3.48 | 31,452 |
| 14.20 | 37,460 |
| 4.14 | 37,460 |
of which: TLAC-eligible senior unsecured debt |
| 11.37 | 29,988 |
| 3.32 | 29,988 |
| 11.37 | 29,988 |
| 3.32 | 29,988 |
Total gone concern loss-absorbing capacity |
| 11.93 | 31,452 |
| 3.48 | 31,452 |
| 14.20 | 37,460 |
| 4.14 | 37,460 |
Total loss-absorbing capacity |
| 31.75 | 83,738 |
| 9.26 | 83,738 |
| 31.75 | 83,738 |
| 9.26 | 83,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 263,747 |
|
|
|
|
| 263,747 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 904,598 |
|
|
|
|
| 904,598 |
1 This table includes a rebate equal to 40% of the maximum rebate on the gone concern requirements, which was granted by FINMA and will be phased in until 1 January 2020. This table does not include a rebate for the usage of low-trigger loss-absorbing additional tier 1 or tier 2 capital instruments to meet the gone concern requirements. 2 Going concern capital ratio requirements include countercyclical buffer requirements of 0.29%. 3 Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio denominator (LRD). 4 Includes applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.42% for RWA and 0.48% for LRD. 5 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2.29% for RWA and 0.8% for LRD. 6 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. 7 Includes outstanding high- and 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. | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
p
93
UBS Group AG consolidated
Semiannual | The table below provides detail on the underlying exposures and RWA used in the computation of countercyclical buffer of UBS Group. Further information on the methodology of geographical allocation used is provided on page 166 of our Annual Report 2018 under the “Country risk exposure allocation” section. During the fourth quarter of 2018, the countercyclical buffer rate for the United Kingdom increased from 0.5% to 1.0%, resulting in an increase of 3 basis points in our countercyclical capital buffer rate to 0.08%.p
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 | 1.875 | 6,206 |
| 2,058 |
|
|
Sweden | 1.8752 | 1,095 |
| 301 |
|
|
United Kingdom | 1.000 | 39,111 |
| 8,132 |
|
|
Sum |
| 46,412 |
| 10,490 |
|
|
Total |
| 529,500 |
| 156,972 | 0.08 | 211 |
1 Includes private sector exposures 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. 2 The current countercyclical buffer rate of 2% for Sweden is subject to phase-in arrangements. |
p
94
Semiannual | The table below provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by 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 table “CC1: Composition of regulatory capital.” Refer to the “Linkage between financial statements and regulatory exposures” section of this report for more information on the most significant entities consolidated under IFRS, but not included in the regulatory scope of consolidation. p
Semiannual |
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation | |||||
As of 31.12.18 | 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 | References1 |
USD million |
|
|
|
|
|
Assets |
|
|
|
|
|
Cash and balances at central banks | 108,370 | 0 |
| 108,370 |
|
Loans and advances to banks | 16,868 | (213) |
| 16,655 |
|
Receivables from securities financing transactions | 95,349 |
|
| 95,349 |
|
Cash collateral receivables on derivative instruments | 23,602 |
|
| 23,602 |
|
Loans and advances to customers | 320,352 | 53 |
| 320,405 |
|
Other financial assets measured at amortized cost | 22,563 | (221) |
| 22,342 |
|
Total financial assets measured at amortized cost | 587,104 | (381) | 0 | 586,723 |
|
Financial assets at fair value held for trading | 104,370 | (474) |
| 103,897 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties | 32,121 |
|
| 32,121 |
|
Derivative financial instruments | 126,210 | 10 |
| 126,219 |
|
Brokerage receivables | 16,840 |
|
| 16,840 |
|
Financial assets at fair value not held for trading | 82,690 | (21,449) |
| 61,241 |
|
Total financial assets measured at fair value through profit or loss | 330,110 | (21,913) | 0 | 308,197 |
|
Financial assets measured at fair value through other comprehensive income | 6,667 | 0 | 0 | 6,667 |
|
Consolidated participations | 0 | 77 |
| 77 |
|
Investments in associates | 1,099 |
|
| 1,099 |
|
of which: goodwill | 176 |
|
| 176 | 4 |
Property, equipment and software | 9,348 | (50) |
| 9,297 |
|
Goodwill and intangible assets | 6,647 | 0 |
| 6,647 |
|
of which: goodwill | 6,392 | 0 |
| 6,392 | 4 |
of which: intangible assets | 254 |
|
| 254 | 5 |
Deferred tax assets | 10,105 | 0 |
| 10,105 |
|
of which: deferred tax assets recognized for tax loss carry-forwards | 6,099 | 0 | 0 | 6,099 | 6 |
of which: deferred tax assets on temporary differences | 4,006 | 0 | 0 | 4,006 | 10 |
Other non-financial assets | 7,410 | (10) |
| 7,400 |
|
of which: net defined benefit pension and other post-employment assets | 0 |
|
| 0 | 8 |
Total assets | 958,489 | (22,277) | 0 | 936,212 |
|
95
UBS Group AG consolidated
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
As of 31.12.18 | 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 | References1 |
USD million |
|
|
|
|
|
Liabilities |
|
|
|
|
|
Amounts due to banks | 10,962 |
|
| 10,962 |
|
Payables from securities financing transactions | 10,296 |
|
| 10,296 |
|
Cash collateral payables on derivative instruments | 28,906 |
|
| 28,906 |
|
Customer deposits | 419,838 | (51) |
| 419,787 |
|
Debt issued measured at amortized cost | 132,271 | (7) |
| 132,264 |
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital2 | 7,785 |
|
| 7,785 | 9 |
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital2 | 2,369 |
|
| 2,369 | 9 |
of which: amount eligible for low-trigger loss-absorbing tier 2 capital3 | 6,008 |
|
| 6,008 | 11 |
of which: amount eligible for capital instruments subject to phase-out from tier 2 capital4 | 693 |
|
| 693 | 12 |
Other financial liabilities measured at amortized cost | 6,885 | (504) |
| 6,381 |
|
Total financial liabilities measured at amortized cost | 609,158 | (562) | 0 | 608,597 |
|
Financial liabilities at fair value held for trading | 28,943 | 0 |
| 28,943 |
|
Derivative financial instruments | 125,723 | 5 |
| 125,727 |
|
Brokerage payables designated at fair value | 38,420 |
|
| 38,420 |
|
Debt issued designated at fair value | 57,031 | 0 |
| 57,031 |
|
Other financial liabilities designated at fair value | 33,594 | (21,679) |
| 11,915 |
|
Total financial liabilities measured at fair value through profit or loss | 283,711 | (21,674) | 0 | 262,037 |
|
Provisions | 3,494 | 0 |
| 3,494 |
|
Other non-financial liabilities | 9,022 | (15) |
| 9,007 |
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))5 | 1,403 |
|
| 1,403 | 9 |
of which: deferred tax liabilities related to goodwill | 54 |
|
| 54 | 4 |
of which: deferred tax liabilities related to other intangible assets | 3 |
|
| 3 | 5 |
Total liabilities | 905,386 | (22,251) | 0 | 883,134 |
|
Equity |
|
|
|
|
|
Share capital | 338 |
|
| 338 | 1 |
Share premium | 20,843 |
|
| 20,843 | 1 |
Treasury shares | (2,631) |
|
| (2,631) | 3 |
Retained earnings | 30,448 | (26) |
| 30,422 | 2 |
Other comprehensive income recognized directly in equity, net of tax | 3,930 | 0 |
| 3,931 | 3 |
of which: unrealized gains / (losses) from cash flow hedges | 109 | 0 |
| 109 | 7 |
Equity attributable to shareholders | 52,928 | (26) | 0 | 52,902 |
|
Equity attributable to non-controlling interests | 176 |
|
| 176 |
|
Total equity | 53,103 | (26) | 0 | 53,078 |
|
Total liabilities and equity | 958,489 | (22,277) | 0 | 936,212 |
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “Composition of capital” table. 2 Represents IFRS carrying value. 3 IFRS carrying value is USD 6,808 million. 4 IFRS carrying value is USD 703 million. 5 IFRS carrying value is USD 1,983 million. Refer to the “Compensation” section of our Annual Report 2018 for more information on the DCCP. |
p
96
Semiannual | The table below and on the following pages provides the composition of capital as defined by BCBS and FINMA, and based on BCBS Basel III phase-in rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the table “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.”
Refer to the documents “Capital 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. p
Semiannual |
CC1: Composition of regulatory capital | |||
As of 31.12.18 | 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 | 21,180 | 1 |
2 | Retained earnings | 30,422 | 2 |
3 | Accumulated other comprehensive income (and other reserves) | 1,299 | 3 |
4 | Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies) | 0 |
|
5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 0 |
|
6 | Common Equity Tier 1 capital before regulatory adjustments | 52,902 |
|
| Common Equity Tier 1 capital: regulatory adjustments |
|
|
7 | Prudent valuation adjustments | (120) |
|
8 | Goodwill (net of related tax liability) | (6,514) | 4 |
9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | (251) | 5 |
10 | Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)2 | (6,107) | 6 |
11 | Cash flow hedge reserve | (109) | 7 |
12 | Shortfall of provisions to expected losses | (368) |
|
13 | Securitization gain on sale | 0 |
|
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | (397) |
|
15 | Defined benefit pension fund net assets | 0 | 8 |
16 | Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet)3 | (1,652) | 9 |
17 | Reciprocal cross-holdings in common equity | 0 |
|
17a | Qualified holdings where a significant influence is exercised with other owners (CET1 instruments) | 0 |
|
17b | Insignificant holdings (CET1 instruments) | 0 |
|
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) | 0 |
|
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) | 0 |
|
20 | Mortgage servicing rights (amount above 10% threshold) | 0 |
|
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) | (586) | 10 |
22 | Amount exceeding the 15% threshold | 0 |
|
23 | Of which: significant investments in the common stock of financials | 0 |
|
24 | Of which: mortgage servicing rights | 0 |
|
25 | Of which: deferred tax assets arising from temporary differences | 0 |
|
26 | Expected losses on equity investment under the PD / LGD approach | 0 |
|
26a | Further adjustments to financial statements in accordance with a recognized international accounting standard | (4) |
|
26b | Other adjustments | (2,674) |
|
27 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions | 0 |
|
28 | Total regulatory adjustments to Common Equity Tier 1 | (18,783) |
|
29 | Common Equity Tier 1 capital (CET1) | 34,119 |
|
97
UBS Group AG consolidated
CC1: Composition of regulatory capital (Continued) | |||
As of 31.12.18 | Amounts | References1 | |
USD million except where indicated |
|
| |
| Additional Tier 1 capital: instruments |
|
|
30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | 12,160 |
|
31 | Of which: classified as equity under applicable accounting standards | 0 |
|
32 | Of which: classified as liabilities under applicable accounting standards | 12,160 | 9 |
33 | Directly issued capital instruments subject to phase-out from additional Tier 1 | 0 |
|
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) | 0 |
|
35 | Of which: instruments issued by subsidiaries subject to phase-out | 0 |
|
36 | Additional Tier 1 capital before regulatory adjustments | 12,160 |
|
| Additional Tier 1 capital: regulatory adjustments |
|
|
37 | Investments in own additional Tier 1 instruments | 0 |
|
38 | Reciprocal cross-holdings in additional Tier 1 instruments | 0 |
|
38a | Qualified holdings where a significant influence is exercised with other owners (AT1 instruments) | 0 |
|
38b | Immaterial investments (AT1 instruments) | 0 |
|
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) | 0 |
|
40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation | 0 |
|
41 | Other adjustments | 0 |
|
42 | Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions | 0 |
|
42a | Regulatory adjustments applied to CET1 capital due to insufficient additional Tier 1 to cover deductions | 0 |
|
43 | Total regulatory adjustments to additional Tier 1 capital | 0 |
|
44 | Additional Tier 1 capital (AT1) | 12,160 |
|
45 | Tier 1 capital (T1 = CET1 + AT1) | 46,279 |
|
| Tier 2 capital: instruments and provisions |
|
|
46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | 6,010 | 11 |
47 | Directly issued capital instruments subject to phase-out from Tier 2 | 710 | 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) | 0 |
|
49 | Of which: instruments issued by subsidiaries subject to phase-out | 0 |
|
50 | Provisions | 0 |
|
51 | Tier 2 capital before regulatory adjustments | 6,720 |
|
| Tier 2 capital: regulatory adjustments |
|
|
52 | Investments in own Tier 2 instruments4 | (17) | 11, 12 |
53 | Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities | 0 |
|
53a | Qualified holdings where a significant influence is exercised with other owners (T2 instruments and other TLAC instruments) | 0 |
|
53b | Immaterial investments (T2 instruments and other TLAC instruments) | 0 |
|
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) | 0 |
|
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) | 0 |
|
56 | Other adjustments | 0 |
|
56a | Excess of the adjustments, which are allocated to the AT1 capital | 0 |
|
57 | Total regulatory adjustments to Tier 2 capital | (17) |
|
58 | Tier 2 capital (T2) | 6,702 |
|
59 | Total regulatory capital (TC = T1 + T2) | 52,981 |
|
60 | Total risk-weighted assets | 263,747 |
|
98
CC1: Composition of regulatory capital (Continued) | |||
As of 31.12.18 | Amounts | References1 | |
USD million except where indicated |
|
| |
| Capital ratios and buffers |
|
|
61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 12.94 |
|
62 | Tier 1 (as a percentage of risk-weighted assets) | 17.55 |
|
63 | Total capital (as a percentage of risk-weighted assets) | 20.09 |
|
64 | Institution-specific buffer requirement (CET1 requirements plus capital conservation buffer plus countercyclical buffer requirements plus capital buffer requirement for SRBs, expressed as a percentage of risk-weighted assets) 5 | 2.71 |
|
65 | Of which: capital conservation buffer requirement | 1.88 |
|
66 | Of which: bank-specific countercyclical buffer requirement | 0.08 |
|
67 | Of which: higher loss absorbency requirement | 0.75 |
|
68 | Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements | 8.44 |
|
| Amounts below the thresholds for deduction (before risk weighting) |
|
|
72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 1,129 |
|
73 | Significant investments in the common stock of financial entities | 955 |
|
74 | Mortgage servicing rights (net of related tax liability) | 0 |
|
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 4,094 |
|
| 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) | 0 |
|
77 | Cap on inclusion of provisions in Tier 2 under standardized approach | 0 |
|
78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | 0 |
|
79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach | 0 |
|
| 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 | 0 |
|
81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | 0 |
|
82 | Current cap on AT1 instruments subject to phase-out arrangements | 0 |
|
83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 0 |
|
84 | Current cap on T2 instruments subject to phase-out arrangements | 2,233 |
|
85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | 0 |
|
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 602 million in DCCP-related charge for regulatory capital purposes. 4 Consists of own instruments for phase-out tier 2 capital of USD 17.2 million. 5 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital management“ section of our Annual Report 2018 for more information on the Swiss SRB requirements. |
p
99
UBS Group AG consolidated
Prudent valuation
Annual | The table below provides a breakdown of prudent valuation adjustments to CET1 capital. These adjustments are incremental to the ones made under IFRS, which include adjustments for liquidity and model uncertainty as well as credit, funding and debit valuation adjustments.
Instruments that are measured as part of a portfolio of combined long and short positions are valued at mid-market levels to ensure consistent valuation of the long- and short component risks. A liquidity valuation adjustment is then made to the overall net long or short exposure to move the fair value to bid or offer as appropriate, reflecting current levels of market liquidity.
Uncertainties associated with the use of model-based valuations are incorporated into the measurement of fair value through the use of model reserves. These reserves reflect the amounts that the Group estimates should be deducted from valuations produced directly by models to incorporate uncertainties in the relevant modeling assumptions, in the model and market inputs used, or in the calibration of the model output to adjust for known model deficiencies.
To ensure compliance with the prudent valuation requirements, UBS has established systems, controls and governance around the valuation of positions measured at fair value.
Further details on the valuation adjustments in the financial accounts and related governance are provided in Note 24 Fair value measurement on pages 437–439 of our Annual Report 2018. p
Annual |
PV1: Prudent valuation adjustments (PVA) |
|
|
|
| |||||
As of 31.12.18 |
|
|
|
|
|
|
|
| |
USD million | Equity | Interest rates | FX | Credit | Commodities | Total | Of which: In the trading book | Of which: In the banking book | |
1 | Closeout uncertainty, of which: | (29) | (75) | 0 | (16) | 0 | (120) | (46) | (74) |
2 | Mid-market value |
|
|
|
|
|
|
|
|
3 | Closeout cost |
|
|
|
|
|
|
|
|
4 | Concentration | (29) | (75) | 0 | (16) | 0 | (120) | (46) | (74) |
5 | Early termination |
|
|
|
|
|
|
|
|
6 | Model risk |
|
|
|
|
|
|
|
|
7 | Operational risk |
|
|
|
|
|
|
|
|
8 | Investing and funding costs |
|
|
|
|
|
|
|
|
9 | Unearned credit spreads |
|
|
|
|
|
|
|
|
10 | Future administrative costs |
|
|
|
|
|
|
|
|
11 | Other |
|
|
|
|
|
|
|
|
12 | Total adjustment1 | (29) | (75) | 0 | (16) | 0 | (120) | (46) | (74) |
1 Valuation adjustments recognized already under the financial accounting standards reflect an estimated total life-to-date loss of USD 890 million as of 31 December 2018, of which valuation adjustments account for an estimated life-to-date loss of USD 388 million for liquidity and of USD 327 million for model uncertainty. Refer to "Note 24 Fair value measurement" in the "Consolidated financial statements" section on pages 437–439 of our Annual Report 2018 for more information. |
p
100
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. In addition, balance sheet assets deducted from our tier 1 capital are excluded from LRD, which led to a difference between phase-in and fully applied LRD for deferred tax assets and net defined benefit pension plan assets until 31 December 2017.
The “Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions” table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures, which are the starting point for calculating the BCBS LRD as shown in the “BCBS Basel III leverage ratio common disclosure” table on the next 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 securities financing transactions 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 “BCBS Basel III leverage ratio common disclosure” table on the next page.
As of 31 December 2018, our BCBS Basel III leverage ratio was 5.1% and the BCBS Basel III LRD was USD 905 billion. p
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 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 TLAC-eligible senior unsecured debt. p
Quarterly |
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions | |||
USD million | 31.12.18 | 30.9.18 | 31.12.17 |
On-balance sheet exposures |
|
|
|
IFRS total assets | 958,351 | 950,193 | 939,322 |
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | (22,277) | (24,532) | (12,456) |
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 | 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 | 0 |
Less carrying value of derivative financial instruments in IFRS total assets1 | (149,821) | (138,247) | (145,337) |
Less carrying value of securities financing transactions in IFRS total assets2 | (123,154) | (115,083) | (117,866) |
Adjustments to accounting values | 0 | 0 | 0 |
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 663,099 | 672,330 | 663,664 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (13,831) | (13,380) | (12,950) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 649,268 | 658,950 | 650,714 |
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. |
p
Quarterly | During the fourth quarter of 2018, LRD decreased by USD 10 billion to USD 905 billion due to decreases in currency effects of USD 2 billion and in asset size and other movements of USD 8 billion. The LRD movements described below exclude currency effects. On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs)) decreased by USD 8 billion. A decrease in exposures in the Investment Bank, mainly resulting from client-driven reductions and trade unwinds within the Equities business, was partly offset by an increase in cash and balances in central banks in Corporate Center – Group Asset and Liability Management (Group ALM) as client-driven activity affected funding consumption by the business divisions. Derivative exposures decreased by USD 4 billion, reflecting decreased notional amounts and add-on exposures under the current exposure method from a net increase of client-driven trade terminations and maturities across all businesses within the Investment Bank. These decreases were partly offset by an increase in SFTs of USD 6 billion, primarily driven by reinvestment of cash and cash equivalents in Corporate Center – Group ALM and partly offset by lower prime brokerage receivables in the Investment Bank’s Equities business. p
101
UBS Group AG consolidated
Quarterly |
LR2: BCBS Basel III leverage ratio common disclosure | ||||
USD million, except where indicated | 31.12.18 | 30.9.18 | 31.12.17 | |
|
|
|
|
|
| On-balance sheet exposures |
|
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 663,099 | 672,330 | 663,664 |
2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (13,831) | (13,380) | (12,950) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 649,268 | 658,950 | 650,714 |
|
|
|
|
|
| Derivative exposures |
|
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 43,007 | 39,529 | 43,225 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 85,503 | 91,344 | 91,512 |
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 0 | 0 | 0 |
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (13,717) | (11,870) | (12,804) |
8 | (Exempted CCP leg of client-cleared trade exposures) | (21,556) | (21,706) | (23,427) |
9 | Adjusted effective notional amount of all written credit derivatives1 | 76,901 | 78,885 | 96,463 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)2 | (74,771) | (76,657) | (94,329) |
11 | Total derivative exposures | 95,366 | 99,525 | 100,640 |
|
|
|
|
|
| Securities financing transaction exposures |
|
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 213,710 | 194,940 | 196,654 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (90,555) | (79,856) | (78,788) |
14 | CCR exposure for SFT assets | 7,774 | 10,389 | 9,509 |
15 | Agent transaction exposures | 0 | 0 | 0 |
16 | Total securities financing transaction exposures | 130,928 | 125,473 | 127,375 |
|
|
|
|
|
| Other off-balance sheet exposures |
|
|
|
17 | Off-balance sheet exposure at gross notional amount | 88,075 | 91,197 | 95,498 |
18 | (Adjustments for conversion to credit equivalent amounts) | (59,039) | (60,078) | (63,636) |
19 | Total off-balance sheet items | 29,035 | 31,118 | 31,862 |
| Total exposures (leverage ratio denominator), phase-in | 904,598 | 915,066 | 910,591 |
| (Additional asset amounts deducted in determining Basel III tier 1 capital fully applied) |
|
| (1,559) |
| Total exposures (leverage ratio denominator), fully applied | 904,598 | 915,066 | 909,032 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator), phase-in |
|
|
|
20 | Tier 1 capital |
|
| 44,562 |
21 | Total exposures (leverage ratio denominator) |
|
| 910,591 |
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio phase-in (%) |
|
| 4.9 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator), fully applied |
|
|
|
20 | Tier 1 capital | 46,279 | 45,972 | 42,995 |
21 | Total exposures (leverage ratio denominator) | 904,598 | 915,066 | 909,032 |
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio fully applied (%) | 5.1 | 5.0 | 4.7 |
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. |
p
102
Quarterly |
LR1: BCBS Basel III leverage ratio summary comparison | ||||
USD million | 31.12.18 | 30.9.18 | 31.12.17 | |
1 | Total consolidated assets as per published financial statements | 958,351 | 950,193 | 939,322 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1 | (36,108) | (37,912) | (25,406) |
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 | 0 |
4 | Adjustments for derivative financial instruments | (54,454) | (38,722) | (44,696) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 7,774 | 10,389 | 9,509 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 29,035 | 31,118 | 31,862 |
7 | Other adjustments | 0 | 0 | 0 |
8 | Leverage ratio exposure (leverage ratio denominator), phase-in | 904,598 | 915,066 | 910,591 |
1 This item includes assets that are deducted from tier 1 capital. |
p
Quarterly |
BCBS Basel III leverage ratio | |||||
USD million, except where indicated |
|
|
|
|
|
Phase-in | 31.12.18 | 30.9.18 | 30.6.18 | 31.3.18 | 31.12.17 |
Total tier 1 capital |
|
|
|
| 44,562 |
BCBS total exposures (leverage ratio denominator) |
|
|
|
| 910,591 |
BCBS Basel III leverage ratio (%) |
|
|
|
| 4.9 |
|
|
|
|
|
|
Fully applied | 31.12.18 | 30.9.18 | 30.6.18 | 31.3.18 | 31.12.17 |
Total tier 1 capital | 46,279 | 45,972 | 45,353 | 46,180 | 42,995 |
BCBS total exposures (leverage ratio denominator) | 904,598 | 915,066 | 910,383 | 925,651 | 909,032 |
BCBS Basel III leverage ratio (%) | 5.1 | 5.0 | 5.0 | 5.0 | 4.7 |
p
103
UBS Group AG consolidated
The table below presents an overview of risk management disclosures related to risks resulting from liquidity and funding activities that are provided separately in our Annual Report 2018.
LIQA – Liquidity risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Liquidity risk management including risk tolerance and target / limit setting, monitoring and reporting including policies and practices as well as governance and governance structure |
| Treasury management |
| – | Strategy, objectives and governance |
| 173 |
Funding risk strategy and management: objective, diversification of funding sources, limits and targets approach |
| Treasury management |
| – | Liabilities and funding management |
| 182 |
Liquidity risk management and strategy: objective, diversification of liquid assets, limits and targets approach |
| Treasury management |
| – | Assets and liquidity management |
| 174–181 |
Stress testing approach and stress scenario description |
| Treasury management |
| – | Stress testing |
| 181 |
Contingency funding plan |
| Treasury management |
| – | Contingency funding plan |
| 181 |
Asset encumbrance (encumbered, unencumbered and assets that cannot be pledged as collateral); unencumbered assets by currency, limitations on the transferability of liquidity |
| Treasury management |
| – | Asset encumbrance Unencumbered assets available to secure funding on a Group and / or legal entity level by currency Trapped liquidity at Group level (High-quality liquid assets paragraph) |
| 178–181
176 |
Maturity of assets and liabilities to provide a view on the balance sheet and off-balance sheet structure |
| Treasury management |
| – | Maturity analysis of assets and liabilities |
| 186–188 |
104
LIQ1 – Liquidity risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2018 section |
| Disclosure |
| Annual Report 2018 page number | |
|
|
|
|
|
|
|
|
Concentration of funding sources |
| Treasury management |
| – | Funding by product and currency |
| 184 |
Currency mismatch in the LCR |
| Treasury management |
| – | Liquidity coverage ratio |
| 177 |
High-quality liquid assets
Quarterly | High-quality liquid assets (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, an active and sizable 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.p
Quarterly |
High-quality liquid assets | ||||||||||||
|
| Average 4Q181 |
| Average 3Q181 |
| Average 4Q171 | ||||||
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 |
| Level 1 weighted liquidity value2 | Level 2 weighted liquidity value2 | Total weighted liquidity value2 |
Cash balances3 |
| 96 | 0 | 96 |
| 102 | 0 | 102 |
| 104 | 0 | 104 |
Securities |
| 65 | 12 | 78 |
| 64 | 11 | 74 |
| 64 | 17 | 81 |
Total high-quality liquid assets4 |
| 161 | 12 | 173 |
| 166 | 11 | 177 |
| 168 | 17 | 185 |
1 Calculated based on an average of 64 data points in the fourth quarter of 2018, 63 data points in the third quarter of 2018 and 63 data points in the fourth quarter of 2017. 2 Calculated after the application of haircuts. 3 Includes cash and balances at central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements. |
p
105
UBS Group AG consolidated
Liquidity coverage ratio
Quarterly | In the fourth quarter of 2018, the UBS Group liquidity coverage ratio (LCR) increased by 1 percentage point to 136%, remaining above the 110% Group LCR minimum communicated by FINMA. The LCR increase was primarily driven by lower net cash outflows related to secured financing transactions. This was partly offset by decreased high-quality liquid assets due to lower average cash balances.p
Quarterly |
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
|
|
| Average 4Q181 |
| Average 3Q181 |
| Average 4Q171 | |||
USD billion, except where indicated |
| Unweighted value | Weighted value2 |
| Unweighted value | Weighted value2 |
| Unweighted value | Weighted value2 | |
| ||||||||||
High-quality liquid assets | ||||||||||
1 | High-quality liquid assets |
| 176 | 173 |
| 178 | 177 |
| 188 | 185 |
| ||||||||||
Cash outflows | ||||||||||
2 | Retail deposits and deposits from small business customers |
| 234 | 26 |
| 237 | 26 |
| 240 | 27 |
3 | of which: stable deposits |
| 35 | 1 |
| 35 | 1 |
| 36 | 1 |
4 | of which: less stable deposits |
| 199 | 25 |
| 202 | 25 |
| 204 | 26 |
5 | Unsecured wholesale funding |
| 182 | 102 |
| 182 | 101 |
| 187 | 106 |
6 | of which: operational deposits (all counterparties) |
| 42 | 10 |
| 42 | 10 |
| 36 | 9 |
7 | of which: non-operational deposits (all counterparties) |
| 129 | 80 |
| 129 | 80 |
| 139 | 86 |
8 | of which: unsecured debt |
| 12 | 12 |
| 11 | 11 |
| 11 | 11 |
9 | Secured wholesale funding |
|
| 76 |
|
| 82 |
|
| 80 |
10 | Additional requirements: |
| 76 | 24 |
| 80 | 25 |
| 85 | 26 |
11 | of which: outflows related to derivatives and other transactions |
| 40 | 16 |
| 40 | 15 |
| 43 | 17 |
12 | of which: outflows related to loss of funding on debt products3 |
| 1 | 1 |
| 1 | 1 |
| 0 | 0 |
13 | of which: committed credit and liquidity facilities |
| 35 | 7 |
| 39 | 8 |
| 42 | 9 |
14 | Other contractual funding obligations |
| 14 | 12 |
| 23 | 21 |
| 14 | 13 |
15 | Other contingent funding obligations |
| 247 | 5 |
| 256 | 5 |
| 251 | 6 |
16 | Total cash outflows |
|
| 246 |
|
| 260 |
|
| 257 |
| ||||||||||
Cash inflows | ||||||||||
17 | Secured lending |
| 295 | 79 |
| 297 | 83 |
| 297 | 84 |
18 | Inflows from fully performing exposures |
| 66 | 29 |
| 67 | 30 |
| 65 | 33 |
19 | Other cash inflows |
| 10 | 10 |
| 16 | 16 |
| 10 | 10 |
20 | Total cash inflows |
| 370 | 119 |
| 381 | 130 |
| 372 | 128 |
| ||||||||||
|
|
| Average 4Q181 |
| Average 3Q181 |
| Average 4Q171 | |||
USD billion, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
|
|
|
Liquidity coverage ratio | ||||||||||
21 | High-quality liquid assets |
|
| 173 |
|
| 177 |
|
| 185 |
22 | Net cash outflows |
|
| 127 |
|
| 131 |
|
| 130 |
23 | Liquidity coverage ratio (%) |
|
| 136 |
|
| 135 |
|
| 143 |
1 Calculated based on an average of 64 data points in the fourth quarter of 2018, 63 data points in the third quarter of 2018 and 63 data points in the fourth quarter of 2017. 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. |
p
106
Annual | Pillar 3 disclosures on remuneration are separately provided on pages 234 and 250–299 in our Annual Report 2018. p
Annual | The Financial Stability Board (FSB) determined that UBS is a global systemically important bank (G-SIB), using an indicator-based methodology adopted by the Basel Committee on Banking Supervision (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 the 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 the range from 1.0% to 3.5%. These requirements were phased in from 1 January 2016 to 31 December 2018 and became fully effective on 1 January 2019. In November 2018, the FSB determined that, based on the year-end 2016 indicators, the requirement for UBS is 1.0%. As our Swiss SRB Basel III capital requirements exceed the BCBS requirements including the G-SIB buffer, UBS is not affected by the above.
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 in January 2023. We do not expect these changes to result in an increase of our additional CET1 capital buffer requirement. p
® Refer to the “UBS Group AG – Global systemically important banks (G-SIBs) indicators as of 31 December 2018” report, which will be published in July 2019 under “Pillar 3 disclosures” at www.ubs.com/investors
107
|
UBS AG consolidated
Section 1 Key metrics
UBS AG consolidated capital and other regulatory information is provided in the UBS Group AG and UBS AG Annual Report 2018 available under “Annual reporting” at www.ubs.com/investors.
Quarterly | The table below is based on BCBS Basel III phase-in rules. During the fourth quarter of 2018, CET1 capital decreased by USD 0.4 billion to USD 34.6 billion, mainly reflecting the accruals of capital returns to the shareholder UBS Group AG. RWA increased USD 6.6 billion to USD 256.2 billion, mainly due to increases of USD 8.3 billion in market risk RWA and USD 1.6 billion in credit and counterparty credit risk RWA, partly offset by a decrease of USD 3.4 billion in operational risk RWA. Leverage ratio exposure remained largely stable as in previous quarters.
Effective from 31 December 2018, UBS opted to phase in the effects from IFRS 9 expected credit loss (ECL) on CET1 capital, if any, over a five-year transitional period. This conclusion did not have a material effect on our CET1 capital as of 31 December 2018.p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
| |||
USD million, except where indicated | ||||||||||
|
|
| 31.12.18 | 30.9.18 |
| 30.6.18 |
| 31.3.18 |
| 31.12.17 |
Available capital (amounts)1 |
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 34,6082 | 35,046 |
| 33,983 |
| 35,060 |
| 36,974 |
1a | Fully loaded ECL accounting model |
| 34,572 | 35,046 |
| 33,983 |
| 35,060 |
|
|
2 | Tier 1 |
| 44,791 | 44,576 |
| 43,562 |
| 44,763 |
| 40,619 |
2a | Fully loaded ECL accounting model Tier 1 |
| 44,755 | 44,576 |
| 43,562 |
| 44,763 |
|
|
3 | Total capital |
| 51,494 | 51,241 |
| 50,659 |
| 52,061 |
| 49,503 |
3a | Fully loaded ECL accounting model total capital |
| 51,458 | 51,241 |
| 50,659 |
| 52,061 |
|
|
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 262,840 | 256,206 |
| 253,872 |
| 266,202 |
| 243,5981 |
4a | Total risk-weighted assets (pre-floor) |
| 262,840 | 256,206 |
| 253,872 |
| 266,202 |
| 243,598 |
Risk-based capital ratios as a percentage of RWA1 |
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 13.17 | 13.68 |
| 13.39 |
| 13.17 |
| 15.18 |
5a | Fully loaded ECL accounting model Common Equity Tier 1 (%) |
| 13.15 | 13.68 |
| 13.39 |
| 13.17 |
|
|
6 | Tier 1 ratio (%) |
| 17.04 | 17.40 |
| 17.16 |
| 16.82 |
| 16.67 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) |
| 17.03 | 17.40 |
| 17.16 |
| 16.82 |
|
|
7 | Total capital ratio (%) |
| 19.59 | 20.00 |
| 19.95 |
| 19.56 |
| 20.32 |
7a | Fully loaded ECL accounting model total capital ratio (%) |
| 19.58 | 20.00 |
| 19.95 |
| 19.56 |
|
|
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.88 | 1.88 |
| 1.88 |
| 1.88 |
| 1.25 |
9 | Countercyclical buffer requirement (%) |
| 0.08 | 0.05 |
| 0.06 |
| 0.03 |
| 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.21 | 0.21 |
| 0.20 |
| 0.19 |
| 0.20 |
10 | Bank G-SIB and/or D-SIB additional requirements (%)3 |
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 1.95 | 1.93 |
| 1.93 |
| 1.90 |
| 1.27 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)1 |
| 8.67 | 9.18 |
| 8.89 |
| 8.67 |
| 10.68 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 904,458 | 915,977 |
| 911,451 |
| 926,917 |
| 911,6701 |
14 | Basel III leverage ratio (%)1 |
| 4.95 | 4.87 |
| 4.78 |
| 4.83 |
| 4.46 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 4.95 | 4.87 |
| 4.78 |
| 4.83 |
|
|
1 Based on BCBS Basel III phase-in rules. 2 As of 31 December 2018, IFRS 9 expected credit loss (ECL) effects are considered on a phased-in basis in accordance with the FINMA guidance. 3 Swiss SRB going concern requirements and information for UBS AG consolidated is provided in the "Capital management" section of our UBS Group AG and UBS AG Annual Report 2018 available under "Annual reporting" at www.ubs.com/investors. |
p
|
110
Significant regulated subsidiaries and sub-groups
Section 1 Introduction
The sections below include capital and other regulatory information as of 31 December 2018 for UBS AG standalone, UBS Switzerland AG standalone, UBS Limited standalone and UBS Americas Holding LLC consolidated.
Capital information in this section is based on Pillar 1 capital 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 fourth quarter of 2018
Quarterly | The table below is based on BCBS Basel III phase-in rules. During the fourth quarter of 2018, CET1 capital remained largely stable. RWA increased by USD 4.8 billion to USD 292.9 billion, mainly reflecting a USD 7.2 billion increase in market risk RWA due to higher average regulatory and stressed value-at-risk levels, partly offset by a USD 3.0 billion decrease in operational risk RWA after the recalibration of the advanced measurement approach model used for calculation of operational risk capital. Leverage ratio exposure decreased by USD 19 billion to USD 601 billion, mainly due to on-balance sheet exposures (excluding derivative exposures and SFT).
Effective from 31 December 2018, UBS opted to phase in the effects from IFRS 9 expected credit loss (ECL) on CET1 capital, if any, over a five-year transitional period. This conclusion did not have an effect on our CET1 capital as of 31 December 2018. p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
| |
USD million, except where indicated | ||||||||||
|
|
| 31.12.18 | 30.9.18 |
| 30.6.18 |
| 31.3.18 |
| 31.12.17 |
Available capital (amounts)1 |
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 49,411 | 49,810 |
| 49,583 |
| 49,833 |
| 49,625 |
1a | Fully loaded ECL accounting model |
| 49,411 | 49,810 |
| 49,583 |
| 49,833 |
|
|
2 | Tier 1 |
| 59,595 | 59,341 |
| 59,161 |
| 59,537 |
| 54,600 |
2a | Fully loaded ECL accounting model Tier 1 |
| 59,595 | 59,341 |
| 59,161 |
| 59,537 |
|
|
3 | Total capital |
| 66,295 | 66,005 |
| 66,258 |
| 68,329 |
| 63,471 |
3a | Fully loaded ECL accounting model total capital |
| 66,295 | 66,005 |
| 66,258 |
| 68,329 |
|
|
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 292,888 | 288,045 |
| 286,457 |
| 302,296 |
| 284,7071 |
4a | Total risk-weighted assets (pre-floor) |
| 292,888 | 288,045 |
| 286,457 |
| 302,296 |
| 284,707 |
Risk-based capital ratios as a percentage of RWA1 |
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 16.87 | 17.29 |
| 17.31 |
| 16.48 |
| 17.43 |
5a | Fully loaded ECL accounting model Common Equity Tier 1 (%) |
| 16.87 | 17.29 |
| 17.31 |
| 16.48 |
|
|
6 | Tier 1 ratio (%) |
| 20.35 | 20.60 |
| 20.65 |
| 19.69 |
| 19.18 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) |
| 20.35 | 20.60 |
| 20.65 |
| 19.69 |
|
|
7 | Total capital ratio (%) |
| 22.63 | 22.91 |
| 23.13 |
| 22.60 |
| 22.29 |
7a | Fully loaded ECL accounting model total capital ratio (%) |
| 22.63 | 22.91 |
| 23.13 |
| 22.60 |
|
|
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.88 | 1.88 |
| 1.88 |
| 1.88 |
| 1.25 |
9 | Countercyclical buffer requirement (%) |
| 0.07 | 0.05 |
| 0.08 |
| 0.04 |
| 0.02 |
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 (%)2 |
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 1.95 | 1.92 |
| 1.96 |
| 1.91 |
| 1.27 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)1 |
| 12.37 | 12.79 |
| 12.81 |
| 11.98 |
| 12.93 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 601,013 | 619,741 |
| 620,074 |
| 620,353 |
| 615,2381 |
14 | Basel III leverage ratio (%)1 |
| 9.92 | 9.58 |
| 9.54 |
| 9.60 |
| 8.87 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 9.92 | 9.58 |
| 9.54 |
| 9.60 |
|
|
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 76,456 | 81,214 |
| 83,473 |
| 89,631 |
| 87,800 |
16 | Total net cash outflow |
| 55,032 | 59,450 |
| 60,786 |
| 70,367 |
| 66,505 |
17 | LCR ratio (%) |
| 139 | 137 |
| 137 |
| 127 |
| 132 |
1 Based on BCBS Basel III phase-in rules. 2 Swiss SRB going concern requirements and information for UBS AG standalone is provided in the following pages in this section. |
p
112
Swiss SRB going concern requirements and information
Quarterly | UBS AG standalone is considered a systemically relevant bank (SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. Under Swiss SRB regulations, article 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.
The FINMA decree issued in 2017 established the measure of total going concern capital for UBS AG. Common equity tier 1 (CET1) and high-trigger additional tier 1 capital instruments are eligible as going concern capital, and low-trigger tier 2 capital instruments remain eligible until the earlier of
(i) their maturity or the first call date or (ii) 31 December 2019.
Capital requirements based on risk-weighted assets (RWA) and leverage ratio denominator (LRD) are the same under both the phase-in and fully applied rules. The capital requirements based on RWA include a minimum CET1 capital requirement of 10% plus the effects from countercyclical buffers (CCBs), and a total going concern capital requirement of 14.3% plus the effects from CCBs. The capital requirements based on LRD include a minimum CET1 capital requirement of 3.5% and a total going concern leverage ratio requirement of 5.0%. For direct and indirect investments, including holding of regulatory capital instruments of UBS AG in subsidiaries that are active in banking and finance, the FINMA decree introduced a risk-weighting approach, with a phase-in period until 1 January 2028. Starting 1 July 2017, these investments have been risk-weighted at 200%. As of 1 January 2019, the risk weights will gradually be raised by 5 percentage points per year for Swiss-domiciled investments and by 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights are 250% and 400%, respectively.
More information on this change is provided in “Section 2 UBS AG standalone” of the UBS Group AG and significant regulated subsidiaries and sub-groups third quarter 2017 Pillar 3 report available under “Pillar 3 disclosures” at www.ubs.com/investors. p
113
Significant regulated subsidiaries and sub-groups
Swiss SRB going concern requirements and information
Quarterly |
Swiss SRB going concern requirements and information | ||||||||||||
As of 31.12.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB after transition | ||||||||
USD million, except where indicated |
| RWA |
| LRD |
| RWA |
| LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Required going concern capital |
| in %1 |
|
| in %1 |
|
| in % |
|
| in % |
|
Common equity tier 1 capital |
| 10.07 | 29,497 |
| 3.50 | 21,035 |
| 10.07 | 38,630 |
| 3.50 | 21,035 |
of which: minimum capital |
| 4.50 | 13,180 |
| 1.50 | 9,015 |
| 4.50 | 17,261 |
| 1.50 | 9,015 |
of which: buffer capital |
| 5.50 | 16,109 |
| 2.00 | 12,020 |
| 5.50 | 21,097 |
| 2.00 | 12,020 |
of which: countercyclical buffer2 |
| 0.07 | 208 |
|
|
|
| 0.07 | 273 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 12,594 |
| 1.50 | 9,015 |
| 4.30 | 16,494 |
| 1.50 | 9,015 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 3.50 | 10,251 |
| 1.50 | 9,015 |
| 3.50 | 13,425 |
| 1.50 | 9,015 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 2,343 |
|
|
|
| 0.80 | 3,069 |
|
|
|
Total going concern capital |
| 14.373 | 42,091 |
| 5.003 | 30,051 |
| 14.373 | 55,124 |
| 5.003 | 30,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 16.87 | 49,411 |
| 8.22 | 49,411 |
| 12.88 | 49,411 |
| 8.22 | 49,411 |
High-trigger loss-absorbing additional tier 1 capital4 |
| 4.72 | 13,813 |
| 2.30 | 13,813 |
| 2.03 | 7,805 |
| 1.30 | 7,805 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 2.66 | 7,805 |
| 1.30 | 7,805 |
| 2.03 | 7,805 |
| 1.30 | 7,805 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2.05 | 6,008 |
| 1.00 | 6,008 |
|
|
|
|
|
|
Total going concern capital |
| 21.59 | 63,225 |
| 10.52 | 63,225 |
| 14.92 | 57,217 |
| 9.52 | 57,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 292,888 |
|
|
|
|
| 383,578 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 601,013 |
|
|
|
|
| 601,013 |
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 12.86% plus the effect of countercyclical buffer (CCB) requirements of 0.07%, of which 9.46% plus the effect of CCB requirements of 0.07% must be satisfied with CET1 capital, and a total going concern leverage ratio requirement of 4%, of which 2.9% must be satisfied with CET1 capital. 2 Going concern capital ratio requirements as of 31 December 2018 include CCB requirements of 0.07%. 3 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD. 4 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. |
p
114
Quarterly |
Swiss SRB going concern information |
| ||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB after transition | |||
USD million, except where indicated |
| 31.12.18 |
| 31.12.17 |
| 31.12.18 | 31.12.17 |
|
|
|
|
|
|
|
|
Going concern capital |
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 49,411 |
| 49,625 |
| 49,411 | 49,424 |
High-trigger loss-absorbing additional tier 1 capital |
| 7,805 |
| 3,761 |
| 7,805 | 3,761 |
Total loss-absorbing additional tier 1 capital |
| 7,805 |
| 3,761 |
| 7,805 | 3,761 |
Total tier 1 capital |
| 57,217 |
| 53,386 |
| 57,217 | 53,185 |
Low-trigger loss-absorbing tier 2 capital1 |
| 6,008 |
| 8,077 |
|
|
|
Total tier 2 capital |
| 6,008 |
| 8,077 |
|
|
|
Total going concern capital |
| 63,225 |
| 61,464 |
| 57,217 | 53,185 |
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
Risk-weighted assets |
| 292,888 |
| 284,707 |
| 383,578 | 374,811 |
of which: direct and indirect investments in Swiss-domiciled subsidiaries2 |
| 31,711 |
| 29,335 |
| 39,639 | 36,668 |
of which: direct and indirect investments in foreign-domiciled subsidiaries2 |
| 82,762 |
| 82,771 |
| 165,525 | 165,542 |
Leverage ratio denominator |
| 601,013 |
| 615,238 |
| 601,013 | 615,037 |
|
|
|
|
|
|
|
|
Capital ratios (%) |
|
|
|
|
|
|
|
Total going concern capital ratio |
| 21.6 |
| 21.6 |
| 14.9 | 14.2 |
of which: CET1 capital ratio |
| 16.9 |
| 17.4 |
| 12.9 | 13.2 |
|
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
|
Total going concern leverage ratio |
| 10.5 |
| 10.0 |
| 9.5 | 8.6 |
of which: CET1 leverage ratio |
| 8.2 |
| 8.1 |
| 8.2 | 8.0 |
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 (31 December 2018: USD 15,856 million; 31 December 2017: USD 14,668 million), and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 December 2018: USD 41,381 million; 31 December 2017: USD 41,386 million), is currently risk weighted at 200%. Risk weights are gradually increased by 5% per year for Swiss-domiciled investments and 20% per year for foreign-domiciled investments starting 1 January 2019 until the fully applied risk weights of 250% and 400%, respectively, are applied. |
p
Reconciliation of Swiss banking law equity to Swiss SRB common equity tier 1 capital | ||
USD billion | 31.12.18 | 31.12.17 |
Equity – Swiss banking law1 | 51.1 | 51.2 |
Deferred tax assets | 0.5 | 0.6 |
Valuation differences for investments in subsidiaries | 1.6 | 1.8 |
Goodwill and intangible assets | 0.0 | (0.4) |
Accruals for proposed dividends to shareholders | (3.3) | (3.1) |
Other | (0.5) | (0.4) |
Common equity tier 1 capital | 49.4 | 49.6 2 |
1 Equity under Swiss banking law is adjusted to derive equity in accordance with IFRS and then further adjusted to derive common equity tier 1 (CET1) capital in accordance with Swiss SRB requirements. 2 Based on Swiss SRB requirements, including transitional arrangements. |
115
Significant regulated subsidiaries and sub-groups
Leverage ratio information
Quarterly |
Swiss SRB leverage ratio denominator | ||||||
|
| LRD (fully applied) |
| LRD (phase-in) | ||
USD billion |
| 31.12.18 |
| 31.12.17 |
| 31.12.17 |
|
|
|
|
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
Swiss GAAP total assets |
| 480.0 |
| 489.3 |
| 489.3 |
Difference between Swiss GAAP and IFRS total assets |
| 118.6 |
| 115.5 |
| 115.5 |
Less: derivative exposures and SFTs1 |
| (236.7) |
| (221.6) |
| (221.6) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 361.9 |
| 383.2 |
| 383.2 |
Derivative exposures |
| 99.3 |
| 97.0 |
| 97.0 |
Securities financing transactions |
| 114.2 |
| 104.4 |
| 104.4 |
Off-balance sheet items |
| 26.1 |
| 32.4 |
| 32.4 |
Items deducted from Swiss SRB tier 1 capital |
| (0.5) |
| (2.0) |
| (1.8) |
Total exposures (leverage ratio denominator) |
| 601.0 |
| 615.0 |
| 615.2 |
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 (phase-in) | ||||||
USD million, except where indicated |
| 31.12.18 | 30.9.18 | 30.6.18 | 31.3.18 | 31.12.17 |
Total tier 1 capital |
| 59,595 | 59,341 | 59,161 | 59,537 | 54,600 |
Total exposures (leverage ratio denominator) |
| 601,013 | 619,741 | 620,074 | 620,353 | 615,238 |
BCBS Basel III leverage ratio (%) |
| 9.9 | 9.6 | 9.5 | 9.6 | 8.9 |
p
Liquidity coverage ratio
Quarterly | UBS AG is required to maintain a minimum liquidity coverage ratio of 105% as communicated by FINMA. p
Quarterly |
Liquidity coverage ratio | |||
|
| Weighted value1 | |
USD billion, except where indicated |
| Average 4Q182 | Average 4Q172 |
High-quality liquid assets |
| 76 | 88 |
Total net cash outflows |
| 55 | 67 |
of which: cash outflows |
| 169 | 191 |
of which: cash inflows |
| 114 | 124 |
Liquidity coverage ratio (%) |
| 139 | 132 |
1 Calculated after the application of haircuts and inflow and outflow rates. 2 Calculated based on an average of 64 data points in the fourth quarter of 2018 and 63 data points in the fourth quarter of 2017. |
p
116
Section 3 UBS Switzerland AG standalone
Key metrics of the fourth quarter of 2018
Quarterly | The table below is based on BCBS Basel III phase-in rules. All key metrics of UBS Switzerland AG remained stable throughout the quarters of 2018.
Effective from 31 December 2018, UBS opted to phase in the effects of IFRS 9 expected credit loss (ECL) on CET1 capital, if any, over a five-year transitional period. This conclusion did not have an effect on our CET1 capital as of 31 December 2018. p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
|
| |
CHF million, except where indicated | |||||||||||
|
|
| 31.12.18 |
| 30.9.18 |
| 30.6.18 |
| 31.3.18 |
| 31.12.17 |
Available capital (amounts)1 |
|
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 10,225 |
| 10,165 |
| 10,072 |
| 10,118 |
| 10,160 |
1a | Fully loaded ECL accounting model |
| 10,225 |
| 10,165 |
| 10,072 |
| 10,118 |
|
|
2 | Tier 1 |
| 14,468 |
| 13,165 |
| 13,072 |
| 13,118 |
| 13,160 |
2a | Fully loaded ECL accounting model Tier 1 |
| 14,468 |
| 13,165 |
| 13,072 |
| 13,118 |
|
|
3 | Total capital |
| 14,468 |
| 13,165 |
| 13,072 |
| 13,118 |
| 13,188 |
3a | Fully loaded ECL accounting model total capital |
| 14,468 |
| 13,165 |
| 13,072 |
| 13,118 |
|
|
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 95,646 |
| 95,541 |
| 94,887 |
| 94,311 |
| 92,8941 |
4a | Total risk-weighted assets (pre-floor) |
| 91,457 |
| 88,299 |
| 88,357 |
| 83,890 |
| 81,551 |
Risk-based capital ratios as a percentage of RWA1 |
|
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 10.69 |
| 10.64 |
| 10.61 |
| 10.73 |
| 10.94 |
5a | Fully loaded ECL accounting model Common Equity Tier 1 (%) |
| 10.69 |
| 10.64 |
| 10.61 |
| 10.73 |
|
|
6 | Tier 1 ratio (%) |
| 15.13 |
| 13.78 |
| 13.78 |
| 13.91 |
| 14.17 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) |
| 15.13 |
| 13.78 |
| 13.78 |
| 13.91 |
|
|
7 | Total capital ratio (%) |
| 15.13 |
| 13.78 |
| 13.78 |
| 13.91 |
| 14.20 |
7a | Fully loaded ECL accounting model total capital ratio (%) |
| 15.13 |
| 13.78 |
| 13.78 |
| 13.91 |
|
|
Additional CET1 buffer requirements as a percentage of RWA2 |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.88 |
| 1.88 |
| 1.88 |
| 1.88 |
| 1.25 |
9 | Countercyclical buffer requirement (%) |
| 0.01 |
| 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.56 |
| 0.56 |
| 0.54 |
| 0.52 |
| 0.52 |
10 | Bank G-SIB and/or D-SIB additional requirements (%)3 |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 1.88 |
| 1.88 |
| 1.88 |
| 1.88 |
| 1.25 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)1 |
| 6.19 |
| 6.14 |
| 6.11 |
| 6.23 |
| 6.44 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 306,487 |
| 303,257 |
| 304,046 |
| 301,968 |
| 302,9871 |
14 | Basel III leverage ratio (%) 1 |
| 4.72 |
| 4.34 |
| 4.30 |
| 4.34 |
| 4.34 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%) 1 |
| 4.72 |
| 4.34 |
| 4.30 |
| 4.34 |
|
|
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 67,427 |
| 66,174 |
| 68,620 |
| 69,024 |
| 68,798 |
16 | Total net cash outflow |
| 52,846 |
| 53,130 |
| 53,731 |
| 54,782 |
| 47,718 |
17 | LCR ratio (%) |
| 128 |
| 125 |
| 128 |
| 126 |
| 144 |
1 Based on BCBS Basel III phase-in rules. 2 As Annex 8 of ERV 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 ERV. 3 Swiss SRB going concern requirements and information for UBS Switzerland AG is provided on the next page. |
p
117
Significant regulated subsidiaries and sub-groups
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 31 December 2018, the phase-in going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.43% and 4.0%, respectively. The gone concern requirements on a phase-in basis were 7.48% for the RWA-based requirement and 2.52% for the LRD-based requirement. p
The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are consistent with those applicable to UBS Group AG consolidated and are described
in the “Capital management” section of the UBS Group AG Annual Report 2018.
® Refer to “Regulatory framework” in the “Capital Management” section of the UBS Group AG Annual Report 2018 for more information on loss-absorbing capacity, leverage ratio requirements and gone concern rebate
® Refer to “Additional information” in the “Capital Management” section of the UBS Group AG Annual Report 2018 for more information on the joint liability of UBS AG and UBS Switzerland AG
Quarterly |
Swiss SRB going and gone concern requirements and information1 | ||||||||||||
As of 31.12.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||||
CHF million, except where indicated |
| RWA |
| LRD |
| RWA |
| LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing capacity |
| in %2 |
|
| in % |
|
| in % |
|
| in % |
|
Common equity tier 1 capital |
| 10.03 | 9,595 |
| 2.90 | 8,888 |
| 10.57 | 10,112 |
| 3.50 | 10,727 |
of which: minimum capital |
| 5.40 | 5,165 |
| 1.90 | 5,823 |
| 4.50 | 4,304 |
| 1.50 | 4,597 |
of which: buffer capital |
| 4.06 | 3,883 |
| 1.00 | 3,065 |
| 5.50 | 5,261 |
| 2.00 | 6,130 |
of which: countercyclical buffer3 |
| 0.57 | 547 |
|
|
|
| 0.57 | 547 |
|
|
|
Maximum additional tier 1 capital |
| 3.40 | 3,252 |
| 1.10 | 3,371 |
| 4.30 | 4,113 |
| 1.50 | 4,597 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 2.60 | 2,487 |
| 1.10 | 3,371 |
| 3.50 | 3,348 |
| 1.50 | 4,597 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 765 |
|
|
|
| 0.80 | 765 |
|
|
|
Total going concern capital |
| 13.43 | 12,847 |
| 4.00 | 12,259 |
| 14.874 | 14,224 |
| 5.004 | 15,324 |
Base gone concern loss-absorbing capacity, including applicable add-ons and rebate |
| 7.485 | 7,151 |
| 2.525 | 7,723 |
| 12.016 | 11,489 |
| 4.206 | 12,872 |
Total gone concern loss-absorbing capacity |
| 7.48 | 7,151 |
| 2.52 | 7,723 |
| 12.01 | 11,489 |
| 4.20 | 12,872 |
Total loss-absorbing capacity |
| 20.91 | 19,998 |
| 6.52 | 19,983 |
| 26.88 | 25,713 |
| 9.20 | 28,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 10.69 | 10,225 |
| 3.34 | 10,225 |
| 10.69 | 10,225 |
| 3.34 | 10,225 |
High-trigger loss-absorbing additional tier 1 capital |
| 4.44 | 4,243 |
| 1.38 | 4,243 |
| 4.44 | 4,243 |
| 1.38 | 4,243 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.44 | 4,243 |
| 1.38 | 4,243 |
| 4.44 | 4,243 |
| 1.38 | 4,243 |
Total going concern capital |
| 15.13 | 14,468 |
| 4.72 | 14,468 |
| 15.13 | 14,468 |
| 4.72 | 14,468 |
Gone concern loss-absorbing capacity |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
of which: TLAC-eligible debt |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
Total gone concern loss-absorbing capacity |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
| 11.43 | 10,932 |
| 3.57 | 10,932 |
Total loss-absorbing capacity |
| 26.56 | 25,400 |
| 8.29 | 25,400 |
| 26.56 | 25,400 |
| 8.29 | 25,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 95,646 |
|
|
|
|
| 95,646 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 306,487 |
|
|
|
|
| 306,487 |
1 This table includes a rebate equal to 40% of the maximum rebate on the gone concern requirements, which was granted by FINMA and will be phased in until 1 January 2020. Refer to the “Capital management” section of our Annual Report 2018 for more information. 2 The total loss-absorbing capacity ratio requirement of 20.91% 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 0.57%, 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. 3 Going concern capital ratio requirements include CCB requirements of 0.57%. 4 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD. 5 Includes applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.42% for RWA and 0.48% for LRD. 6 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2.29% for RWA and 0.8% for LRD. |
p
118
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information | ||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||
CHF million, except where indicated |
| 31.12.18 | 31.12.17 |
| 31.12.18 | 31.12.17 |
|
|
|
|
|
|
|
Going concern capital |
|
|
|
|
|
|
Common equity tier 1 capital |
| 10,225 | 10,160 |
| 10,225 | 10,160 |
High-trigger loss-absorbing additional tier 1 capital |
| 4,243 | 3,000 |
| 4,243 | 3,000 |
Total tier 1 capital |
| 14,468 | 13,160 |
| 14,468 | 13,160 |
Total going concern capital |
| 14,468 | 13,160 |
| 14,468 | 13,160 |
|
|
|
|
|
|
|
Gone concern loss-absorbing capacity |
|
|
|
|
|
|
TLAC-eligible debt |
| 10,932 | 8,400 |
| 10,932 | 8,400 |
Total gone concern loss-absorbing capacity |
| 10,932 | 8,400 |
| 10,932 | 8,400 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Total loss-absorbing capacity |
| 25,400 | 21,560 |
| 25,400 | 21,560 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
| 95,646 | 92,894 |
| 95,646 | 92,894 |
Leverage ratio denominator |
| 306,487 | 302,987 |
| 306,487 | 302,987 |
|
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
|
Going concern capital ratio |
| 15.1 | 14.2 |
| 15.1 | 14.2 |
of which: common equity tier 1 capital ratio |
| 10.7 | 10.9 |
| 10.7 | 10.9 |
Gone concern loss-absorbing capacity ratio |
| 11.4 | 9.0 |
| 11.4 | 9.0 |
Total loss-absorbing capacity ratio |
| 26.6 | 23.2 |
| 26.6 | 23.2 |
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
Going concern leverage ratio |
| 4.7 | 4.3 |
| 4.7 | 4.3 |
of which: common equity tier 1 leverage ratio |
| 3.3 | 3.4 |
| 3.3 | 3.4 |
Gone concern leverage ratio |
| 3.6 | 2.8 |
| 3.6 | 2.8 |
Total loss-absorbing capacity leverage ratio |
| 8.3 | 7.1 |
| 8.3 | 7.1 |
|
p
Reconciliation of Swiss banking law equity to Swiss SRB common equity tier 1 capital | ||
CHF billion | 31.12.18 | 31.12.17 |
Equity – Swiss banking law1 | 13.8 | 14.8 |
Deferred tax assets | 0.2 | 0.5 |
Goodwill and intangible assets | (1.3) | (2.4) |
Accruals for proposed dividends to shareholders | (2.2) | (2.4) |
Other | (0.3) | (0.3) |
Common equity tier 1 capital (phase-in) | 10.2 | 10.2 |
1 Equity under Swiss banking law is adjusted to derive equity in accordance with IFRS and then further adjusted to derive common equity tier 1 (CET1) capital in accordance with Swiss SRB requirements. |
119
Significant regulated subsidiaries and sub-groups
Leverage ratio information
Quarterly |
Swiss SRB leverage ratio denominator | ||||
CHF billion |
| 31.12.18 | 31.12.17 |
|
Leverage ratio denominator |
|
|
|
|
Swiss GAAP total assets |
| 293.0 | 290.3 |
|
Difference between Swiss GAAP and IFRS total assets |
| 1.8 | 1.3 |
|
Less: derivative exposures and SFTs1 |
| (32.5) | (39.6) |
|
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 262.3 | 252.0 |
|
Derivative exposures |
| 3.7 | 4.0 |
|
Securities financing transactions |
| 28.5 | 35.3 |
|
Off-balance sheet items |
| 12.4 | 12.2 |
|
Items deducted from Swiss SRB tier 1 capital |
| (0.5) | (0.5) |
|
Total exposures (leverage ratio denominator) |
| 306.5 | 303.0 |
|
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 (phase-in) | ||||||
CHF million, except where indicated |
| 31.12.18 | 30.9.18 | 30.6.18 | 31.3.18 | 31.12.17 |
Total tier 1 capital |
| 14,468 | 13,165 | 13,072 | 13,118 | 13,160 |
Total exposures (leverage ratio denominator) |
| 306,487 | 303,257 | 304,046 | 301,968 | 302,987 |
BCBS Basel III leverage ratio (%) |
| 4.7 | 4.3 | 4.3 | 4.3 | 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%.p
Quarterly |
Liquidity coverage ratio |
|
|
|
|
| Weighted value1 | |
CHF billion, except where indicated |
| Average 4Q182 | Average 4Q172 |
High-quality liquid assets |
| 67 | 69 |
Total net cash outflows |
| 53 | 48 |
of which: cash outflows |
| 86 | 89 |
of which: cash inflows |
| 34 | 41 |
Liquidity coverage ratio (%) |
| 128 | 144 |
1 Calculated after the application of haircuts and inflow and outflow rates. 2 Calculated based on an average of 64 data points in the fourth quarter of 2018 and 63 data points in the fourth quarter of 2017. |
p
120
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 |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland |
1a | Instrument number |
| 1 |
| 2 |
| 3 |
| 4 | 5 | 6 |
2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) |
| N/A |
| N/A |
| N/A |
| N/A | N/A | N/A |
3 | Governing law(s) of the instrument |
| Swiss |
| Swiss |
| Swiss |
| Swiss | 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 |
| n/a |
| n/a | 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 | ||||||
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
121
Significant regulated subsidiaries and sub-groups
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 writedown, writedown 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 writedown, fully or partially |
| – |
| Fully | ||||||
33 | If writedown, permanent or temporary |
| – |
| Permanent | ||||||
34 | If temporary write-down, description of writeup 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 (article 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 phase-in (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
122
Section 4 UBS Limited standalone
Quarterly | The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Limited standalone based on the Pillar 1 capital requirements. 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. p
Quarterly |
KM1: Key metrics1,2 |
|
|
|
|
|
|
|
| |||
GBP million, except where indicated | |||||||||||
|
|
| 31.12.18 |
| 30.9.18 |
| 30.6.18 |
| 31.3.18 |
| 31.12.173 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 2,377 |
| 2,521 |
| 2,524 |
| 2,521 |
| 2,529 |
2 | Tier 1 |
| 2,612 |
| 2,756 |
| 2,759 |
| 2,756 |
| 2,764 |
3 | Total capital |
| 2,867 |
| 3,009 |
| 3,447 |
| 3,427 |
| 3,449 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 8,486 |
| 12,119 |
| 11,593 |
| 10,778 |
| 10,473 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 28.0 |
| 20.8 |
| 21.8 |
| 23.4 |
| 24.2 |
6 | Tier 1 ratio (%) |
| 30.8 |
| 22.7 |
| 23.8 |
| 25.6 |
| 26.4 |
7 | Total capital ratio (%) |
| 33.8 |
| 24.8 |
| 29.7 |
| 31.8 |
| 32.9 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.3 |
9 | Countercyclical buffer requirement (%) |
| 0.3 |
| 0.2 |
| 0.2 |
| 0.1 |
| 0.1 |
10 | Bank G-SIB and / or D-SIB additional requirements (%) |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.2 |
| 2.1 |
| 2.1 |
| 2.0 |
| 1.4 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 21.3 |
| 14.3 |
| 15.3 |
| 16.9 |
| 18.4 |
12a | Capital conservation buffer requirements pursuant to Annex 8 of ERV (%)4 |
|
|
|
|
|
|
|
|
|
|
12b | Countercyclical buffer requirements pursuant to Art. 44 and 44a of ERV (%) |
|
|
|
|
|
|
|
|
|
|
12c | CET1 capital requirement (including CCB) (%) |
| 6.7 |
| 6.5 |
| 6.5 |
| 6.5 |
| 5.8 |
12d | Tier 1 capital requirement (including CCB) (%) |
| 8.2 |
| 8.0 |
| 8.0 |
| 8.0 |
| 7.3 |
12e | Total capital requirement (including CCB) (%) |
| 10.2 |
| 10.0 |
| 10.0 |
| 10.0 |
| 9.3 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 28,661 |
| 37,915 |
| 36,217 |
| 35,995 |
| 36,409 |
14 | Basel III leverage ratio (%)5 |
| 9.1 |
| 7.3 |
| 7.6 |
| 7.7 |
| 7.6 |
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 5,460 |
| 5,489 |
| 5,712 |
| 5,744 |
| 5,758 |
16 | Total net cash outflow |
| 1,308 |
| 1,277 |
| 1,237 |
| 1,269 |
| 1,317 |
17 | LCR ratio (%)6 |
| 429 |
| 441 |
| 473 |
| 473 |
| 454 |
1 Based on Directive 2013/36/EU and Regulation 575/2013 (together known as “CRD IV”) and their related technical standards, as implemented in the UK by the Prudential Regulation Authority. 2 There is no local disclosure requirement for net stable funding ratio for UBS Limited as of 31 December 2018. 3 Figures as of 31 December 2017 have been adjusted for consistency with the full-year audited financial statements and / or local regulatory reporting, which were finalized after the publication of the UBS Group AG Annual Report 2017 and the 31 December 2017 Pillar 3 report on 9 March 2018. 4 As Annex 8 of ERV 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 12b pursuant to Art. 44 ERV. 5 On the basis of tier 1 capital. 6 The values represent an average of the month-end balances for the twelve months ending 31 December 2018, 30 September 2018, 30 June 2018, 31 March 2018 and 31 December 2017 in line with the European Banking Authority guidelines on the liquidity coverage ratio disclosure (EBA/GL/2017/01). Including PRA Pillar 2 requirements, the equivalent average ratios were 179% for 31 December 2018, 182% for 30 September 2018, 192% for 30 June 2018, 192% for 31 March 2018 and 187% for 31 December 2017. |
123
Significant regulated subsidiaries and sub-groups
Section 5 UBS Americas Holding LLC consolidated
Quarterly | The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Americas Holding LLC consolidated based on Pillar 1 capital requirements. 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. p
Quarterly |
KM1: Key metrics1,2 |
|
|
|
|
|
|
|
| |||
USD million, except where indicated | |||||||||||
|
|
| 31.12.18 |
| 30.9.183 |
| 30.6.18 |
| 31.3.18 |
| 31.12.174 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 11,746 |
| 11,068 |
| 10,693 |
| 10,188 |
| 10,851 |
2 | Tier 1 |
| 13,887 |
| 13,209 |
| 12,834 |
| 12,329 |
| 12,047 |
3 | Total capital |
| 14,601 |
| 13,925 |
| 13,555 |
| 13,048 |
| 12,769 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 52,581 |
| 52,829 |
| 51,136 |
| 50,485 |
| 49,587 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 22.3 |
| 21.0 |
| 20.9 |
| 20.2 |
| 21.9 |
6 | Tier 1 ratio (%) |
| 26.4 |
| 25.0 |
| 25.1 |
| 24.4 |
| 24.3 |
7 | Total capital ratio (%) |
| 27.8 |
| 26.4 |
| 26.5 |
| 25.8 |
| 25.8 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.3 |
9 | Countercyclical buffer requirement (%)5 |
|
|
|
|
|
|
|
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%)6 |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.9 |
| 1.3 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)7 |
| 15.9 |
| 14.6 |
| 14.5 |
| 13.8 |
| 16.1 |
12a | Capital conservation buffer requirements pursuant to Annex 8 of ERV (%)8 |
|
|
|
|
|
|
|
|
|
|
12b | Countercyclical buffer requirements pursuant to Art. 44 and 44a of ERV (%)5 |
|
|
|
|
|
|
|
|
|
|
12c | CET1 capital requirement (including CCB) (%) |
| 6.4 |
| 6.4 |
| 6.4 |
| 6.4 |
| 5.8 |
12d | Tier 1 capital requirement (including CCB) (%) |
| 7.9 |
| 7.9 |
| 7.9 |
| 7.9 |
| 7.3 |
12e | Total capital requirement (including CCB) (%) |
| 9.9 |
| 9.9 |
| 9.9 |
| 9.9 |
| 9.3 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 122,829 |
| 124,982 |
| 129,375 |
| 132,764 |
| 135,718 |
14 | Basel III leverage ratio (%)9 |
| 11.3 |
| 10.6 |
| 9.9 |
| 9.3 |
| 8.9 |
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 31 December 2018. 3 Figures as of 30 September 2018 have been adjusted for consistency with the local regulatory reporting of the entity. 4 Figures as of 31 December 2017 have been adjusted for consistency with the full-year audited financial statements and / or local regulatory reporting, which were finalized after the publication of the UBS Group AG Annual Report 2017 and the 31 December 2017 Pillar 3 report on 9 March 2018. 5 Not applicable as the countercyclical buffer requirement applies only to banking organizations subject to the advanced approaches capital rules. 6 Not applicable as requirements have not been proposed. 7 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. 8 There is no local disclosure requirement for capital conservation buffer requirements pursuant to Annex 8 of ERV (%). 9 On the basis of tier 1 capital. |
p
124
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
COP close-out period
C&ORC Compliance & Operational Risk Control
CRD IV EU Capital Requirements Directive of 2013
CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)
CSO Client Strategy Office
CST combined stress test
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
ECAI external credit assessment institution
ECB European Central Bank
ECL expected credit loss(es)
EEPE effective expected positive exposure
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
FDIC US Federal Deposit Insurance Corporation
FINMA Swiss Financial Market Supervisory Authority
FINRA US Financial Industry Regulatory Authority
FMIA Swiss Federal Act on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading
Abbreviations frequently used in our financial reports (continued)
FMIO FINMA Ordinance on Financial Market Infrastructure
FRA forward rate agreement
FSA UK Financial Services Authority
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 British pound
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 rates
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 associated Regulation
MRT Material Risk Taker
MTN medium-term note
N
NAV net asset value
NII net interest income
NPA non-prosecution agreement
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 ratings-based approach
RBC risk-based capital
RLN reference-linked note
RMBS residential mortgage-backed security
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
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
SESTA Swiss Federal Act on Stock Exchanges and Securities Trading
SESTO FINMA Ordinance on Stock Exchanges and Securities Trading
SFA supervisory formula approach
SFT securities financing transaction
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
SSFA simplified supervisory formula approach
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.
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 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. Starting in 2018, 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. For prior periods, these values are calculated on the basis of rounded figures displayed in the tables and text.
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.
UBS Group AG
P.O. Box
CH-8098 Zurich
www.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: March 15, 2019