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: February 28, 2020
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 2019 Pillar 3 report of UBS Group AG and significant regulated subsidiaries and sub-groups, which appears immediately following this page.
31 December 2019 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
Terms used in this report, unless the context requires otherwise
“UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us” and “our” | UBS Group AG and its consolidated subsidiaries |
“UBS AG consolidated” | UBS AG and its consolidated subsidiaries |
“UBS Group AG” and “UBS Group AG standalone” | UBS Group AG on a standalone basis |
“UBS AG” and “UBS AG standalone” | UBS AG on a standalone basis |
“UBS Switzerland AG” and “UBS Switzerland AG standalone” | UBS Switzerland AG on a standalone basis |
“UBS Europe SE consolidated” | UBS Europe SE and its consolidated subsidiaries |
“UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated” | UBS Americas Holding LLC and its consolidated subsidiaries |
Table of contents | |||
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UBS Group | |||
16 | Section 1 | ||
19 | Section 2 | ||
23 | Section 3 | Linkage between financial statements and regulatory exposures | |
26 | Section 4 | ||
57 | 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 | ||
95 | Section 11 | ||
103 | Section 12 | ||
105 | Section 13 | ||
108 | Section 14 | ||
111 | Section 15 | ||
112 | Section 16 | Requirements for global systemically important banks and related indicators | |
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Significant regulated subsidiaries and sub-groups | |||
114 | Section 1 | ||
114 | Section 2 | ||
118 | Section 3 | ||
124 | Section 4 | ||
125 | Section 5 | ||
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Contacts
Switchboards
For all general inquiries.
www.ubs.com/contact
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team supports institutional, professional and retail investors from
our offices in Zurich,
London, New York and Krakow.
UBS Group AG, Investor Relations
P.O. Box, CH-8098 Zurich, Switzerland
www.ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team supports
global media and journalists
from our offices in Zurich, London, New York and Hong Kong.
www.ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5858
mediarelations-ny@ubs.com
Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company Secretary
The Group Company Secretary receives inquiries regarding compensation and related issues addressed to members of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
+41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company Secretary Office, is responsible
for the registration of UBS Group AG registered shares.
UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Hotline +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/Contact
Shareholder website:
www.computershare.com/investor
Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com
Language: English
© UBS 2020. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for UBS Group as well as prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.” Certain information provided in our Annual Report 2019 or other publications also serves to address Pillar 3 disclosure requirements. Where this is the case, a reference has been included in this report to the UBS publication which provides such information.
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 2019 for UBS Group AG consolidated is provided in the “Capital management” section of our Annual Report 2019 and for UBS AG consolidated in the “Capital management” section of the combined UBS Group AG and UBS AG Annual Report 2019, available under “Annual reporting” at www.ubs.com/investors.
Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors.
Significant regulatory and disclosure requirements and changes effective in or from 2019
Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements
This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”) as revised on 31 October 2019, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.
BCBS launches a consolidated framework of its standards
Following a consultation period earlier in the year, the BCBS launched a consolidated version of its global standards in December 2019, bringing together all BCBS global standards for the regulation and supervision of banks. The publication of these standards in a new format primarily focused on reorganizing existing and future requirements. While no new elements were introduced, a number of minor inconsistencies were addressed along with a list of new frequently asked questions and answers added.
Changes to Pillar 1 requirements
Revised Capital Adequacy Ordinance and the Banking Ordinance
As of 1 January 2019, we became subject to the revised Capital Adequacy Ordinance (the CAO) and the Banking Ordinance (the BO), with no material effect on UBS, as the changes were largely previously implemented by too big to fail-related decrees.
Changes to Pillar 3 disclosure requirements
We disclosed the following tables and/or narratives for the first time in 2019:
– “KM2: Key metrics – TLAC requirements (at resolution group level)” effective 31 March 2019 and applicable for UBS Group AG consolidated, the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g., a bail-in) are expected to be applied;
– “TLAC1 – TLAC composition for G-SIBs (at resolution group level)” applicable to UBS Group AG consolidated, effective 30 June 2019;
– “TLAC2 – Material sub-group entity – creditor ranking at legal entity level” applicable to UBS Americas Holding LLC consolidated, effective 31 December 2019;
– “TLAC3 – Resolution entity – creditor ranking at legal entity level” applicable to UBS Group AG consolidated at a legal entity level, effective 30 June 2019;
– “IRRBBA – IRRBB risk management objectives and policies” applicable to UBS Group AG consolidated, effective 30 June 2019;
– “IRRBB1 – Quantitative information about IRRBB” applicable to UBS Group AG consolidated, effective 30 June 2019; and
– “IRRBBA1 – Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk” applicable to UBS Group AG consolidated, effective 30 June 2019.
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Effective 30 June 2019, we have revised the “CR1 – Credit quality of assets” table to address additional disclosure requirements with regard to the allocation of the accounting provisions for credit losses between the standardized approach and the internal ratings-based approach, as required by the aforementioned BCBS Technical Amendment issued in August 2018.
The “CRB – Additional disclosures related to credit quality of assets” has been amended, effective 31 December 2019, accompanying the revisions related to “CR1 – Credit quality of assets” requiring UBS Group AG consolidated to disclose its rationale for the categorization of accounting provisions into general and specific categories under the standardized approach.
Significant model updates and accounting and methodology changes effective in 2019
Changes to accounting affecting Pillar 1 and Pillar 3 disclosures
Effective from 1 January 2019, we adopted IFRS 16, Leases, fundamentally changing how we account for operating leases when acting as a lessee. Upon adoption, assets and liabilities increased by USD 3.5 billion, with a corresponding increase in risk-weighted assets (RWA) and leverage ratio denominator (LRD).
Exclusion of certain collar financing transactions from credit risk RWA
As part of methodology and policy changes, as of 30 June 2019 we excluded USD 2.1 billion of certain collar financing transactions in the Investment Bank from credit risk RWA due to their non-credit bearing nature. These collar financing transactions remain subject to the market risk framework.
Model updates
In 2019, we have fully phased-in the remaining USD 2.8 billion of RWA increases related to the probability of default (PD) and loss given default (LGD) changes from the implementation of revised models for Swiss residential mortgages. In addition, the credit conversion factor for zero-balance securities-backed lending and margin loan exposures was updated in the second half of 2019, and resulted in a USD 0.8 billion increase in RWA.
Significant BCBS and FINMA requirements to be adopted in 2020 or later
Final guidance
Gone concern loss-abs ☐ rbing capacity requirements
Under the Swiss SRB framework, banks are eligible for a rebate on the gone concern requirement if they take actions that facilitate recovery and resolvability beyond the minimum requirements to ensure the integrity of systemically important functions in the case of an impending insolvency. In addition, in the event that CET1 capital, low-trigger loss-absorbing additional tier 1 (AT1) or certain low-trigger tier 2 capital instruments are used to meet the gone concern requirements, such requirements may be reduced by up to 2.86 percentage points for the RWA-based requirement and up to 1 percentage point for the LRD-based requirement. As of 1 January 2020, the combined reduction applied for resolvability measures and the aforementioned gone concern requirement reduction for the use of higher quality capital may not exceed 5.34 percentage points for the RWA-based requirement of 13.94% and 1.875 percentage points for the LRD-based requirement of 4.875%. The amount of the rebate for improved resolvability is assessed annually by FINMA, and has been phased in until 1 January 2020. Based on actions we completed by December 2018 to improve resolvability, FINMA granted a rebate on the gone concern requirement of 42.5% of the aforementioned maximum rebate in the third quarter of 2019, which resulted in a reduction of 2.27 percentage points for the RWA-based requirement and 0.80 percentage points for the LRD-based requirement. UBS also qualifies for an additional rebate for the use of low-trigger tier 2 capital instruments to fulfill gone concern requirements, allowing a further reduction of 1.33 percentage points for the RWA-based requirement and 0.38 percentage points for the LRD-based requirements.
® Refer to the “Capital management” section of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors, for information about the current capital requirements
Revised FINMA circular on credit risk
We have adopted the standardized approach for counterparty credit risk (SA-CCR) as of 1 January 2020. SA-CCR is a comprehensive, non-modeled approach for measuring counterparty credit risk associated with over-the-counter derivatives, exchange-traded derivatives and long settlement transactions that replaces the current exposure method (CEM).
In line with the implementation date for SA-CCR, the FINMA revisions to the capital treatment concerning UBS’s exposures to central counterparties also became effective on 1 January 2020. The final requirements include, among other things, a single approach for calculating capital requirements for exposures arising from UBS’s contributions to the mutualized default fund resources of a qualifying central counterparty (a QCCP), and contain specific guidance regarding multi-level client structures where UBS clears its trades through intermediaries linked to a central counterparty.
4
The capital requirements for investments in funds in the banking book detailed in FINMA Circular 2017/7 “Credit risk – banks” were introduced on 1 January 2020. The standard requires that investments in funds that are held in the banking book are consistently treated with one of the following three approaches, which vary in their degree of risk sensitivity and conservatism: the “look-through approach,” the “mandate-based approach” or the “fallback approach.”
The effects of the adoptions will be presented in our 31 March 2020 Pillar 3 report, which will be available from April 2020.
Swiss Federal Council adopts new rules on gone concern capital for G-SIBs
In November 2019, the Swiss Federal Council adopted amendments to the Capital Adequacy Ordinance, which became effective 1 January 2020. The revisions introduce gone concern capital requirements for Switzerland-based intermediate parent banks of global systemically important banks (G-SIBs) on a standalone basis. As a consequence, UBS AG will be subject to (i) a gone concern capital requirement on its third-party exposure on a standalone basis, (ii) an additional gone concern capital buffer requirement equal to 30% of the Group’s gone concern capital requirement on UBS AG’s consolidated exposure, and (iii) a gone concern capital requirement equal to the nominal value of the gone concern instruments issued by UBS entities and held by the parent bank. A transitional period until 2024 will be granted for the buffer requirement.
Based on current estimates, and once the new requirements have been fully phased in, we expect UBS Group to be required to maintain a gone concern leverage ratio of around 75 to 100 basis points higher than what would be required to meet the Group requirements alone. The actual total loss-absorbing capital Group requirement at the end of the transition phase will depend on a number of components, including the subsidiaries’ loss-absorbing capacity at the time.
The revisions also reduced the gone concern requirement of UBS Switzerland AG to 62% of the Group’s gone concern requirement (before rebate) and increased the minimum gone concern requirement for the Group (after rebate) from 3% to 3.75% (based on leverage ratio denominator), effective 1 January 2022.
Finally, instruments available to meet gone concern requirements remain eligible until one year before maturity; however, the current haircut of 50% in the last year of eligibility is no longer applied under the revised rules.
Basel III finalization and adjustments to market risk framework
In December 2017, the BCBS announced the finalization of the Basel III framework, which we currently expect FINMA to implement later than the originally communicated effective date of 1 January 2022. 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 the 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 G-SIBs.
In January 2019, the BCBS also published the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 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. The new accord is currently expected to be introduced into national law later than the originally communicated effective date of 1 January 2022.
Leverage ratio treatment
In June 2019, the BCBS concluded to align the leverage ratio measurement of client-cleared derivatives with SA-CCR. This treatment permits both cash and non-cash forms of segregated initial margin, as well as cash and non-cash variation margin, received from a client to offset the replacement cost and potential future exposure for client-cleared derivatives only. This will help to mitigate any potential effect on the leverage ratio denominator from the finalization of the Basel III framework. We expect that the modified standardized approach for counterparty credit risk for leverage ratio purposes will become effective in concurrence with the Swiss timelines for adopting the Basel III final rule.
The BCBS also introduced a new disclosure standard, effective 1 January 2022, which sets out additional requirements for banks to disclose their leverage ratios based on quarter-end and daily average values of securities financing transactions. FINMA has not yet adopted the new disclosure standard.
Net stable funding ratio (NSFR)
Having delayed the introduction of Net Stable Funding Ratio (NSFR) requirements in Switzerland over the previous two years to align with developments in the EU and the US, the Swiss Federal Council communicated its intention in November 2019 to adopt the associated ordinance amendments in early summer 2020, and bring them into force by mid-2021. The Swiss Federal Department of Finance was mandated to finalize the regulatory texts jointly with relevant stakeholders, including affected banks, in the coming months. If implemented as originally proposed in the 2017 consultation, the introduction of NSFR could result in a significant increase in long-term funding requirements on a legal entity level.
® Refer to the “Treasury management” section of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors, for more information about the NSFR
5
Pillar 3 disclosure requirements
The BCBS updated the Pillar 3 disclosure requirements, which now include new disclosure requirements on asset encumbrance and, if required by national supervisors at the jurisdictional level, on capital distribution constraints. FINMA has not yet adopted these requirements.
We will disclose “CCR8 – Exposures to central counterparties” in our Pillar 3 reporting beginning with 30 June 2020.
Significant BCBS and FINMA consultation papers
Revisions to market risk disclosure requirements and voluntary disclosure of sovereign exposures
In November 2019, the BCBS issued two consultations to seek public feedback on a set of revised disclosure requirements related to the final revisions of the market risk framework published in January 2019. The first consultative document proposes a number of changes primarily related to the introduction of the “traffic light” approach for trading desks using the internal models approach, as well as enhancements to the disclosure of the trading desk structure. The second consultative document proposes voluntary disclosures related to banks’ exposures to sovereigns building upon the feedback received to the Committee’s December 2017 Discussion Paper on the regulatory treatment of sovereign exposures. Comments on both consultations were due by mid-February 2020.
Limited revisions to the Credit Valuation Adjustment (CVA) risk framework
In November 2019, the BCBS issued a consultation paper proposing a set of targeted revisions to the CVA risk framework published in December 2017. The proposal implements final revisions to the market risk framework and the capital requirements for bank exposures to central counterparties into
the CVA risk framework. It also considers adjustments to the scope of portfolios subject to CVA risk capital requirements and a possible calibration adjustment to the overall capital requirements calculated under the CVA standardized and basic approaches. Comments on this consultation paper were due by the end of February 2020.
Frequency and comparability of Pillar 3 disclosures
The table on the next page summarizes the reporting frequency for each disclosure as per the current FINMA requirements applicable to UBS.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 30 September 2019 for disclosures required on a quarterly basis. Where specifically required by FINMA and/or the BCBS, we disclose comparative information for additional reporting dates. The new TLAC2 disclosure is provided for the first time, as of 31 December 2019, in this report without comparative information.
Where required, movement commentary is aligned with the corresponding disclosure frequency required by FINMA and always refers to the latest comparative period. Throughout this report, signposts are displayed at the beginning of a section, table or chart – Annual | Semiannual | Quarterly | – indicating whether the disclosure is provided annually, semiannually or quarterly. A triangle symbol – p p p – indicates the end of the signpost.
® Refer to our 31 March 2019, 30 June 2019 and 30 September 2019 Pillar 3 reports, available under “Pillar 3 disclosures” at www.ubs.com/investors, for more information about previously published quarterly movement commentary
® Refer to our 30 June 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors, for more information about previously published semiannual movement commentary
6
The following table outlines the annual, semiannual and quarterly disclosure requirements that are satisfied in this report for UBS Group and significant regulated subsidiaries and sub-groups as applicable. For specific disclosures, this report may refer to our Annual Report 2019.
FINMA reference | Disclosure title | FINMA reference | Disclosure title |
Annual disclosure requirements | |||
OVA | Bank risk management approach | CCRA | Qualitative disclosure related to counterparty credit risk |
LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | SECA | Qualitative disclosure requirements related to securitization exposures |
LI2 | Main sources of differences between regulatory exposure amounts and carrying amounts in financial statements | MRA | Qualitative disclosure requirements related to market risk |
LIA | Explanations of differences between accounting and regulatory exposure amounts | MRB | Qualitative disclosures for banks using the internal models approach (IMA) |
PV1 | Prudent valuation adjustments (PVAs) | IRRBBA | Interest rate risk in the banking book (IRRBB) risk management objective and policies |
GSIB1 | Disclosure of G-SIB indicators | IRRBB1 | Quantitative information about interest rate risk in the banking book (IRRBB) |
LIQA | Liquidity risk management | IRRBBA1 | Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk |
CRA | General qualitative information about credit risk | REMA | Remuneration policy |
CRB | Additional disclosure related to the credit quality of assets | REM1 | Remuneration awarded during the financial year |
CRC | Qualitative disclosure requirements related to credit risk mitigation techniques | REM2 | Special payments |
CRD | Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk | REM3 | Deferred remuneration |
CRE | Qualitative disclosures related to internal ratings-based (IRB) models | ORA | Qualitative disclosure requirements related to operational risk |
CR9 | IRB – backtesting of probability of default (PD) per portfolio |
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7
FINMA reference | Disclosure title | FINMA reference | Disclosure title |
Semiannual disclosure requirements | |||
CR1 | Credit quality of assets | SEC1 | Securitization exposures in the banking book |
CR2 | Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | SEC2 | Securitization exposures in the trading book |
CR3 | Credit risk mitigation techniques – overview | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor |
CR4 | Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects | SEC4 | Securitization exposures in the banking book and associated capital requirements – bank acting as investor |
CR5 | Standardized approach – exposures by asset classes and risk weights | MR1 | Market risk under standardized approach |
CR6 | IRB – credit risk exposures by portfolio and PD range | MR3 | IMA values for trading portfolios |
CR7 | IRB – effect on risk-weighted assets (RWA) of credit derivatives used as CRM techniques | MR4 | Comparison of value-at-risk (VaR) estimates with gains/losses |
CR10 | IRB (equities under the simple risk weight method) | CC1 | Composition of regulatory capital |
CCR1 | Analysis of counterparty credit risk (CCR) exposure by approach | CC2 | Reconciliation of regulatory capital to balance sheet |
CCR2 | Credit valuation adjustment (CVA) capital charge | CCA2 | Main features of regulatory capital instruments and other TLAC-eligible instruments |
CCR3 | Standardized approach of CCR exposures by regulatory portfolio and risk weights | CCyB1 | Geographical distribution of credit exposures used in the countercyclical capital buffer |
CCR4 | IRB – CCR exposures by portfolio and PD scale | TLAC1 | TLAC composition for G-SIBs (at resolution group level) |
CCR5 | Composition of collateral for CCR exposure | TLAC2 | Material sub-group entity – creditor ranking at legal entity level |
CCR6 | Credit derivatives exposures | TLAC3 | Resolution entity – creditor ranking at legal entity level |
CCR81 | Exposures to central counterparties |
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Quarterly disclosure requirements | |||
KM1 | Key metrics | MR2 | RWA flow statements of market risk exposures under an IMA |
KM2 | Key metrics – TLAC requirements (at resolution group level) | LR1 | Summary comparison of accounting assets vs leverage ratio exposure measure |
OV1 | Overview of RWA | LR2 | Leverage ratio common disclosure template |
CR8 | RWA flow statements of credit risk exposures under IRB | LIQ1 | Liquidity coverage ratio (LCR) |
CCR7 | RWA flow statements of CCR exposures under the internal model method (IMM) |
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1 Disclosure is not required as of 31 December 2019. 2 The CCA table is published on our website. Refer to the document titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” under “Bondholder information” at www.ubs.com/investors for more information.
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8
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 banking licenses 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, multi-lateral 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 Bank for International Settlements, the International Monetary Fund and eligible multi-lateral 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 represent 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 (the 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 about 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 that policy.
9
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 2019.
Annual |
OVA – Bank risk management approach | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Business model and risk profile |
| Our strategy, business model and environment |
| – | Risk factors |
| 60–70 |
|
|
| – | Current market climate and industry trends |
| 31–34 | |
|
| Risk, treasury and capital management |
| – | Overview of risks arising from our business activities |
| 105–106 |
|
|
|
| – | Risk categories |
| 107 |
|
|
|
| – | Top and emerging risks |
| 108 |
|
|
|
| – | Risk appetite framework |
| 111–114 |
|
|
|
| – | Risk measurement |
| 116–118 |
|
|
|
| – | Credit risk – Key developments, Main sources of credit risk, Overview of measurement, monitoring and management techniques |
| 119 |
|
|
|
| – | Market risk – Key developments, Main sources of market risk, Overview of measurement, monitoring and management techniques |
| 138 |
|
|
|
| – | Interest rate risk in the banking book |
| 143–146 |
|
|
|
| – | Other market risk exposures |
| 146–147 |
|
|
|
| – | Country risk framework |
| 148 |
|
|
|
| – | Operational risk framework |
| 154 |
|
|
|
| – | Risk management and control principles |
| 112 |
Risk governance |
| Risk, treasury and capital management |
| – | Risk categories |
| 107 |
|
|
|
| – | Risk governance |
| 109–110 |
|
|
|
| – | Interest rate risk in the banking book – Risk management and governance |
| 143 |
|
|
|
| – | Treasury management – Strategy, objectives and governance |
| 156 |
|
|
|
| – | Capital management – Capital management objectives, planning and activities |
| 175–176 |
Communication and enforcement of risk culture within the bank |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
|
|
| – | Risk appetite framework |
| 111–114 | |
|
|
| – | Internal risk reporting |
| 115 | |
|
|
| – | Operational risk framework |
| 154 | |
Scope and main features of risk measurement systems |
| Risk, treasury and capital management |
| – | Risk measurement |
| 116–118 |
|
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 119 | |
|
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 138 |
|
|
|
| – | Country risk exposure measure |
| 148 |
|
|
|
| – | Advanced measurement approach model |
| 155 |
Risk information reporting |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
|
|
|
| – | Internal risk reporting |
| 115 |
|
|
|
| – | Risk management and control principles |
| 112 |
10
OVA – Bank risk management approach (continued) | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Stress testing |
| Risk, treasury and capital management |
| – | Risk appetite framework |
| 111–114 |
|
| – | Stress testing |
| 116–117 | ||
|
| – | Credit risk models – Stress loss |
| 133–134 | ||
|
| – | Market risk stress loss |
| 139 | ||
|
| – | Interest rate risk in the banking book |
| 143–146 | ||
|
| – | Other market risk exposures |
| 146–147 | ||
|
| – | Assets and liquidity management – Stress testing |
| 163 | ||
Strategies and processes applied to manage, hedge and mitigate risks |
| Risk, treasury and capital management |
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 119 |
|
|
| – | Credit risk mitigation |
| 127–129 | |
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 138 | |
|
|
| – | Value-at-risk |
| 139–142 | |
|
|
| – | Interest rate risk in the banking book |
| 143–146 | |
|
|
| – | Other market risk exposures |
| 146–147 | |
|
|
| – | Country risk exposure |
| 148–152 | |
|
|
| – | Operational risk framework |
| 154 | |
|
|
| – | Liabilities and funding management |
| 164–168 | |
|
|
| – | Currency management |
| 173 | |
|
|
| – | Risk management and control principles |
| 112 | |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 365–370 | |
|
|
| – | Note 23d Maximum exposure to credit risk |
| 395–396 | |
|
|
| – | Note 24i Maximum exposure to credit risk for financial instruments measured at fair value |
| 422 | |
|
|
| – | Note 25 Offsetting financial assets and financial liabilities |
| 424–425 | |
p
11
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 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.
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 amount 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 sub-set 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 amount 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 amount 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. |
12
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 (ETDs) 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 ETDs 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 ETDs is calculated considering the net positive replacement values and potential future exposure. – Exposure for SFTs is based on the IFRS carrying amount, 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 sub-set 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 amount 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 amount after eligible regulatory credit risk mitigation and credit conversion factor is the basis for measuring securitization exposure. | Consistent with BCBS, we apply the FINMA-defined hierarchy of approaches for banking book securitizations to measure 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), if 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, if 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%. |
13
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. |
| Since the second quarter of 2019, we have not held eligible correlation trading positions. Prior to then, the CRM had been calculated weekly and used to derive the CRM-based component of the market risk RWA, with the calculation subject to a floor equal to 8% of the equivalent capital charge under the specific risk measure (SRM) for the correlation trading portfolio. |
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 the Ratings-based approach, i.e., applying risk weights based on external ratings. |
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. |
14
UBS Group AG consolidated
Key metrics of the fourth quarter of 2019
Quarterly | The KM1 and KM2 tables on the following pages are based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.
During the fourth quarter of 2019, our common equity tier 1 (CET1) capital increased by USD 0.9 billion to USD 35.6 billion, mainly due to operating profit before tax, changes in compensation-related regulatory capital accruals, foreign currency translation effects and defined benefit plans. These effects were partly offset by accruals for capital returns to shareholders, share repurchases under our share repurchase program and current tax expenses. Our tier 1 capital increased by USD 1.2 billion to USD 51.9 billion, primarily reflecting the aforementioned increase in our CET1 capital and the issuance of a USD 0.3 billion high-trigger loss-absorbing AT1 capital instrument denominated in Swiss francs.
® Refer to “UBS shares” in the “Capital management” section of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors for more information about the share repurchase program
The TLAC available as of 31 December 2019 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes is measured at the lower of cost or market value. This amount was negligible as of 31 December 2019, but is included as available TLAC in the KM2 table in this section.
Risk-weighted assets (RWA) decreased by USD 5.4 billion to USD 259.2 billion, mainly due to decreases in operational risk RWA and market risk RWA. Leverage ratio exposure increased by USD 9 billion during the quarter, predominantly driven by currency effects and on-balance sheet assets (other than SFTs and derivatives), partly offset by a decrease in SFTs and derivatives. Average high-quality liquid assets decreased by USD 1.7 billion, reflecting higher funding consumption by the business divisions and reductions in issued debt, partly offset by higher deposit balances. Average total net cash outflows increased by USD 2.1 billion following a reduction in inflows from secured financing transaction investments, partly offset by higher average inflows from loans. p
16
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
| |
USD million, except where indicated |
| |||||||||
|
|
| 31.12.19 |
| 30.9.19 |
| 30.6.19 |
| 31.3.19 | 31.12.18 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 35,582 |
| 34,673 |
| 34,948 |
| 34,658 | 34,119 |
1a | Fully loaded ECL accounting model CET11 |
| 35,538 |
| 34,635 |
| 34,904 |
| 34,613 | 34,071 |
2 | Tier 1 |
| 51,888 |
| 50,702 |
| 49,993 |
| 49,436 | 46,279 |
2a | Fully loaded ECL accounting model Tier 11 |
| 51,844 |
| 50,664 |
| 49,949 |
| 49,391 | 46,231 |
3 | Total capital |
| 57,614 |
| 56,396 |
| 56,345 |
| 56,148 | 52,981 |
3a | Fully loaded ECL accounting model total capital1 |
| 57,570 |
| 56,358 |
| 56,302 |
| 56,103 | 52,933 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 259,208 |
| 264,626 |
| 262,135 |
| 267,556 | 263,747 |
4a | Minimum capital requirement2 |
| 20,737 |
| 21,170 |
| 20,971 |
| 21,404 | 21,100 |
4b | Total risk-weighted assets (pre-floor) |
| 259,208 |
| 264,626 |
| 262,135 |
| 267,556 | 263,747 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 13.73 |
| 13.10 |
| 13.33 |
| 12.95 | 12.94 |
5a | Fully loaded ECL accounting model Common equity tier 1 ratio (%)1 |
| 13.71 |
| 13.09 |
| 13.32 |
| 12.94 | 12.92 |
6 | Tier 1 ratio (%) |
| 20.02 |
| 19.16 |
| 19.07 |
| 18.48 | 17.55 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 |
| 20.00 |
| 19.15 |
| 19.05 |
| 18.46 | 17.53 |
7 | Total capital ratio (%) |
| 22.23 |
| 21.31 |
| 21.49 |
| 20.99 | 20.09 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 22.21 |
| 21.30 |
| 21.48 |
| 20.97 | 20.07 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 2.50 |
| 2.50 |
| 2.50 |
| 2.50 | 1.88 |
9 | Countercyclical buffer requirement (%) |
| 0.08 |
| 0.10 |
| 0.09 |
| 0.10 | 0.08 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.23 |
| 0.21 |
| 0.22 |
| 0.21 | 0.21 |
10 | Bank G-SIB and/or D-SIB additional requirements (%) |
| 1.00 |
| 1.00 |
| 1.00 |
| 1.00 | 0.75 |
11 | Total of bank CET1-specific buffer requirements (%) |
| 3.58 |
| 3.60 |
| 3.59 |
| 3.60 | 2.71 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 9.23 |
| 8.60 |
| 8.83 |
| 8.45 | 8.44 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 911,325 |
| 901,914 |
| 911,379 |
| 910,993 | 904,598 |
14 | Basel III leverage ratio (%) |
| 5.69 |
| 5.62 |
| 5.49 |
| 5.43 | 5.12 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.69 |
| 5.62 |
| 5.48 |
| 5.42 | 5.11 |
Liquidity coverage ratio3 |
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 166,215 |
| 167,916 |
| 176,173 |
| 186,038 | 173,389 |
16 | Total net cash outflow |
| 124,112 |
| 122,025 |
| 121,314 |
| 121,521 | 127,352 |
17 | LCR (%) |
| 134 |
| 138 |
| 145 |
| 153 | 136 |
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in section 14 of this report for more information. | ||||||||||
p
17
UBS Group AG consolidated
Quarterly |
KM2: Key metrics – TLAC requirements (at resolution group level)1 | |||||||||||
USD million, except where indicated |
|
|
|
|
|
|
|
|
|
| |
|
| 31.12.19 |
| 30.9.19 |
| 30.6.19 |
| 31.3.19 |
| 31.12.18 | |
1 | Total loss-absorbing capacity (TLAC) available |
| 89,660 |
| 88,197 |
| 87,388 |
| 87,477 |
| 83,740 |
1a | Fully loaded ECL accounting model TLAC available2 |
| 89,616 |
| 88,159 |
| 87,344 |
| 87,433 |
| 83,692 |
2 | Total RWA at the level of the resolution group |
| 259,208 |
| 264,626 |
| 262,135 |
| 267,556 |
| 263,747 |
3 | TLAC as a percentage of RWA (%) |
| 34.59 |
| 33.33 |
| 33.34 |
| 32.69 |
| 31.75 |
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)2 |
| 34.57 |
| 33.31 |
| 33.32 |
| 32.68 |
| 31.73 |
4 | Leverage ratio exposure measure at the level of the resolution group |
| 911,325 |
| 901,914 |
| 911,379 |
| 910,993 |
| 904,598 |
5 | TLAC as a percentage of leverage ratio exposure measure (%) |
| 9.84 |
| 9.78 |
| 9.59 |
| 9.60 |
| 9.26 |
5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)2 |
| 9.83 |
| 9.77 |
| 9.58 |
| 9.60 |
| 9.25 |
6a | Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
| No | ||||||||
6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
| No | ||||||||
6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%) |
| N/A – Refer to our response to 6b. | ||||||||
1 Resolution group level is defined as the UBS Group AG consolidated level. 2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” | |||||||||||
p
18
RWA development in the fourth quarter of 2019
Quarterly | The OV1 table below provides an overview of our risk-weighted assets (RWA) and the related minimum capital requirements by risk type. The FINMA template includes rows that are currently not applicable to UBS and therefore have been left empty.
During the fourth quarter of 2019, RWA decreased by USD 5.4 billion to USD 259.2 billion, mainly due to a decrease of USD 2.8 billion in operational risk RWA and a decrease of USD 2.7 billion in market risk RWA. Information about movements in RWA over the fourth quarter of 2019 is provided on pages 48–49 of our fourth quarter 2019 report, available under “Quarterly reporting” at www.ubs.com/investors, and in the respective sections of this report. More information about capital management and RWA, including details regarding movements in RWA over 2019, is provided on pages 185–187 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors. p
Quarterly |
OV1: Overview of RWA | |||||||||
|
| RWA |
| Minimum capital requirements1 | |||||
USD million |
| 31.12.19 | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
| 31.12.19 | |
1 | Credit risk (excluding counterparty credit risk) |
| 121,244 | 119,969 | 114,991 | 118,419 | 112,991 |
| 9,700 |
2 | of which: standardized approach (SA) |
| 28,386 | 27,786 | 28,287 | 28,971 | 25,972 |
| 2,271 |
2a | of which: non-counterparty-related risk |
| 13,135 | 12,678 | 12,912 | 12,779 | 9,514 |
| 1,051 |
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 |
| 92,858 | 92,183 | 86,703 | 89,448 | 87,019 |
| 7,429 |
6 | Counterparty credit risk2 |
| 36,354 | 37,259 | 37,487 | 36,793 | 34,282 |
| 2,908 |
7 | of which: SA for counterparty credit risk (SA-CCR)3 |
| 4,699 | 5,962 | 5,793 | 5,183 | 5,415 |
| 376 |
8 | of which: internal model method (IMM) |
| 20,275 | 19,309 | 20,133 | 19,371 | 17,624 |
| 1,622 |
8a | of which: value-at-risk (VaR) |
| 5,502 | 5,426 | 5,453 | 5,889 | 5,036 |
| 440 |
9 | of which: other CCR |
| 5,879 | 6,561 | 6,107 | 6,351 | 6,207 |
| 470 |
10 | Credit valuation adjustment (CVA) |
| 1,900 | 2,458 | 2,553 | 2,631 | 2,816 |
| 152 |
11 | Equity positions under the simple risk weight approach4 |
| 3,261 | 3,248 | 3,302 | 3,960 | 3,658 |
| 261 |
12 | Equity investments in funds – look-through approach5 |
|
|
|
|
|
|
|
|
13 | Equity investments in funds – mandate-based approach5 |
|
|
|
|
|
|
|
|
14 | Equity investments in funds – fallback approach5 |
|
|
|
|
|
|
|
|
15 | Settlement risk |
| 357 | 347 | 415 | 384 | 375 |
| 29 |
16 | Securitization exposures in banking book |
| 633 | 656 | 664 | 703 | 709 |
| 51 |
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) |
| 598 | 647 | 657 | 696 | 701 |
| 48 |
19 | of which securitization standardized approach (SEC-SA) |
| 35 | 8 | 7 | 7 | 8 |
| 3 |
20 | Market Risk |
| 6,556 | 9,207 | 10,977 | 12,985 | 19,992 |
| 525 |
21 | of which: standardized approach (SA) |
| 419 | 492 | 452 | 643 | 452 |
| 34 |
22 | of which: internal model approaches (IMM) |
| 6,137 | 8,714 | 10,526 | 12,343 | 19,541 |
| 491 |
23 | Capital charge for switch between trading book and banking book6 |
|
|
|
|
|
|
|
|
24 | Operational risk |
| 77,542 | 80,345 | 80,345 | 80,345 | 77,558 |
| 6,203 |
25 | Amounts below thresholds for deduction (250% risk weight)4,7 |
| 11,361 | 11,138 | 11,402 | 11,335 | 11,365 |
| 909 |
25a | of which: Deferred tax assets |
| 8,951 | 8,699 | 8,853 | 8,747 | 8,782 |
| 716 |
26 | Floor adjustment8 |
|
|
|
|
|
|
|
|
27 | Total |
| 259,208 | 264,626 | 262,135 | 267,556 | 263,747 |
| 20,737 |
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the subcomponents of counterparty credit risk refers to the calculation of the exposure measure. 3 Calculated in accordance with the current exposure method (CEM). The RWA under the standardized approach for counterparty credit risk (SA-CCR) will be presented for the first time in the 31 March 2020 Pillar 3 report. 4 Includes investments in funds. Items subject to threshold deduction treatments that do not exceed their respective threshold are risk weighted at 250% (31 December 2019: RWA USD 2,410 million; 30 September 2019: RWA USD 2,439 million; 30 June 2019: RWA USD 2,548 million; 31 March 2019: RWA USD 2,588 million; 31 December 2018: RWA USD 2,583 million) and are separately included in line 25 “Amounts below thresholds for deduction (250% risk weight).” 5 The effect of the adoption of the new regulation for the calculation of RWA for investments in funds introduced on 1 January 2020 will be presented for the first time in the 31 March 2020 Pillar 3 report. 6 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 7 Includes items subject to threshold deduction treatments that do not exceed their respective threshold and are risk weighted at 250%. Items subject to threshold deduction treatments are significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences, both of which are measured against their respective threshold. 8 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, do not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. For the status of the finalization of the Basel III capital framework, refer to the “Regulatory and legal developments” section of our Annual Report 2019 which outlines how the proposed floor calculation would differ in significant aspects from the current approach. | |||||||||
p
19
UBS Group AG consolidated
The table below and on the following pages is provided on a voluntary basis to complement other disclosures provided, is aligned with the principles applied in the OV1 table and presents the net exposure at default (EAD) and RWA by risk type and FINMA-defined asset class, which forms the basis for the calculation of RWA. These exposures are further subdivided into standardized approaches and advanced internal ratings-based (A-IRB) or model-based approaches. For credit risk, the classification defines the method used to derive the risk weight factors, through either internal ratings (A-IRB) or external ratings (standardized approach). The split between standardized approaches and A-IRB or model-based approaches for counterparty credit risk refers to the exposure measure, whereas the split in templates CCR3 and CCR4 refers to the risk weighting approach. Market and operational risk RWA, excluding securitization and re-securitization in the trading book, are derived using model calculations and are therefore included in the model-based approach columns.
The table provides references to sections in this report containing more information about the specific topics.
Regulatory exposures and risk-weighted assets | |||||||||||
31.12.19 |
| A-IRB / model-based approach |
| Standardized approach2 |
| 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) |
| 551,748 | 92,858 | 4 |
| 49,939 | 28,386 | 4 |
| 601,687 | 121,244 |
Central governments and central banks |
| 138,880 | 2,482 | CR6, CR7 |
| 10,687 | 938 | CR4, CR5 |
| 149,567 | 3,420 |
Banks and securities dealers |
| 17,614 | 6,102 | CR6, CR7 |
| 5,541 | 1,314 | CR4, CR5 |
| 23,155 | 7,416 |
Public-sector entities, multilateral development banks |
| 8,012 | 844 | CR6, CR7 |
| 920 | 238 | CR4, CR5 |
| 8,932 | 1,082 |
Corporates: specialized lending |
| 23,313 | 11,475 | CR6, CR7 |
|
|
| CR4, CR5 |
| 23,313 | 11,475 |
Corporates: other lending |
| 52,533 | 31,836 | CR6, CR7 |
| 6,017 | 4,824 | CR4, CR5 |
| 58,550 | 36,660 |
Central counterparties |
|
|
|
|
| 474 | 16 |
|
| 474 | 16 |
Retail |
| 311,396 | 40,118 | CR6, CR7 |
| 12,074 | 7,923 | CR4, CR5 |
| 323,469 | 48,041 |
Residential mortgages |
| 149,255 | 29,133 |
|
| 6,466 | 2,641 |
|
| 155,721 | 31,774 |
Qualifying revolving retail exposures (QRRE) |
| 1,944 | 687 |
|
|
|
|
|
| 1,944 | 687 |
Other retail1 |
| 160,197 | 10,298 |
|
| 5,608 | 5,282 |
|
| 165,805 | 15,580 |
Non-counterparty-related risk |
|
|
|
|
| 14,226 | 13,135 | CR4, CR5 |
| 14,226 | 13,135 |
Property, equipment and software |
|
|
|
|
| 12,756 | 12,756 |
|
| 12,756 | 12,756 |
Other |
|
|
|
|
| 1,470 | 378 |
|
| 1,470 | 378 |
Counterparty credit risk2 |
| 102,536 | 25,777 | 5 |
| 70,327 | 10,577 | 5 |
| 172,863 | 36,354 |
Central governments and central banks |
| 7,070 | 670 | CCR3, CCR4 |
| 2,091 | 104 | CCR3, CCR4 |
| 9,161 | 774 |
Banks and securities dealers |
| 18,078 | 5,376 | CCR3, CCR4 |
| 2,328 | 660 | CCR3, CCR4 |
| 20,407 | 6,036 |
Public-sector entities, multilateral development banks |
| 1,917 | 423 | CCR3, CCR4 |
| 755 | 45 | CCR3, CCR4 |
| 2,673 | 469 |
Corporates incl. specialized lending |
| 48,331 | 18,759 | CCR3, CCR4 |
| 17,402 | 7,722 | CCR3, CCR4 |
| 65,733 | 26,481 |
Central counterparties |
| 27,139 | 547 |
|
| 41,531 | 1,343 |
|
| 68,671 | 1,891 |
Retail |
|
|
|
|
| 6,219 | 703 | CCR3, CCR4 |
| 6,219 | 703 |
Credit valuation adjustment (CVA) |
|
| 974 | 5, CCR2 |
|
| 926 | 5, CCR2 |
|
| 1,900 |
Equity positions in the banking book (CR) |
| 778 | 3,261 | 4, CR10 |
|
|
|
|
| 778 | 3,261 |
Settlement risk |
| 30 | 54 |
|
| 183 | 303 |
|
| 213 | 357 |
Securitization exposure in the banking book |
|
|
|
|
| 188 | 633 | 7 |
| 188 | 633 |
Market risk |
|
| 6,137 | 8 |
| 670 | 419 | 7, 8 |
| 670 | 6,556 |
Value-at-risk (VaR) |
|
| 487 | MR2 |
|
|
|
|
|
| 487 |
Stressed value-at risk (SVaR) |
|
| 2,082 | MR2 |
|
|
|
|
|
| 2,082 |
Add-on for risks-not-in-VaR (RniV) |
|
| 2,344 | MR2 |
|
|
|
|
|
| 2,344 |
Incremental risk charge (IRC) |
|
| 1,224 | MR2 |
|
|
|
|
|
| 1,224 |
Comprehensive risk measure (CRM)3 |
|
|
|
|
|
|
|
|
|
|
|
Securitization / re-securitization in the trading book |
|
|
|
|
| 670 | 419 | MR1 |
| 670 | 419 |
Operational risk |
|
| 77,542 |
|
|
|
|
|
|
| 77,542 |
Amounts below thresholds for deduction (250% risk weight) |
| 964 | 2,410 |
|
| 3,580 | 8,951 |
|
| 4,544 | 11,361 |
Deferred tax assets |
|
|
|
|
| 3,580 | 8,951 |
|
| 3,580 | 8,951 |
Significant investments in non-consolidated financial institutions |
| 964 | 2,410 |
|
|
|
|
|
| 964 | 2,410 |
Total |
| 656,055 | 209,014 |
|
| 124,887 | 50,194 |
|
| 780,942 | 259,208 |
20
Regulatory exposures and risk-weighted assets (continued) | |||||||||||
30.6.19 |
| A-IRB / model-based approach |
| Standardized approach2 |
| Total | |||||
USD million |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA |
Credit risk (excluding counterparty credit risk) |
| 529,925 | 86,703 | 4 |
| 49,922 | 28,287 | 4 |
| 579,847 | 114,991 |
Central governments and central banks |
| 140,098 | 3,064 | CR6, CR7 |
| 11,017 | 885 | CR4, CR5 |
| 151,115 | 3,949 |
Banks and securities dealers |
| 15,953 | 4,762 | CR6, CR7 |
| 5,132 | 1,172 | CR4, CR5 |
| 21,086 | 5,934 |
Public-sector entities, multilateral development banks |
| 6,822 | 817 | CR6, CR7 |
| 949 | 278 | CR4, CR5 |
| 7,771 | 1,095 |
Corporates: specialized lending |
| 23,511 | 11,798 | CR6, CR7 |
|
|
| CR4, CR5 |
| 23,511 | 11,798 |
Corporates: other lending |
| 52,992 | 29,669 | CR6, CR7 |
| 6,080 | 4,864 | CR4, CR5 |
| 59,073 | 34,533 |
Central counterparties |
|
|
|
|
| 376 | 14 |
|
| 376 | 14 |
Retail |
| 290,548 | 36,593 | CR6, CR7 |
| 12,367 | 8,162 | CR4, CR5 |
| 302,914 | 44,755 |
Residential mortgages |
| 145,852 | 27,678 |
|
| 6,662 | 2,860 |
|
| 152,514 | 30,538 |
Qualifying revolving retail exposures (QRRE) |
| 1,836 | 647 |
|
|
|
|
|
| 1,836 | 647 |
Other retail1 |
| 142,860 | 8,269 |
|
| 5,705 | 5,302 |
|
| 148,565 | 13,571 |
Non-counterparty-related risk |
|
|
|
|
| 14,001 | 12,912 | CR4, CR5 |
| 14,001 | 12,912 |
Property, equipment and software |
|
|
|
|
| 12,645 | 12,645 |
|
| 12,645 | 12,645 |
Other |
|
|
|
|
| 1,356 | 267 |
|
| 1,356 | 267 |
Counterparty credit risk2 |
| 84,322 | 25,587 | 5 |
| 82,687 | 11,900 | 5 |
| 167,009 | 37,487 |
Central governments and central banks |
| 7,144 | 747 | CCR3, CCR4 |
| 3,460 | 106 | CCR3, CCR4 |
| 10,604 | 853 |
Banks and securities dealers |
| 17,067 | 5,077 | CCR3, CCR4 |
| 3,014 | 835 | CCR3, CCR4 |
| 20,081 | 5,911 |
Public-sector entities, multilateral development banks |
| 1,839 | 345 | CCR3, CCR4 |
| 504 | 23 | CCR3, CCR4 |
| 2,344 | 368 |
Corporates incl. specialized lending |
| 42,391 | 19,023 | CCR3, CCR4 |
| 20,343 | 8,761 | CCR3, CCR4 |
| 62,734 | 27,784 |
Central counterparties |
| 15,881 | 396 |
|
| 49,149 | 1,621 |
|
| 65,031 | 2,017 |
Retail |
|
|
|
|
| 6,216 | 554 | CCR3, CCR4 |
| 6,216 | 554 |
Credit valuation adjustment (CVA) |
|
| 1,106 | 5, CCR2 |
|
| 1,447 | 5, CCR2 |
|
| 2,553 |
Equity positions in the banking book (CR) |
| 788 | 3,302 | 4, CR10 |
|
|
|
|
| 788 | 3,302 |
Settlement risk |
| 30 | 74 |
|
| 167 | 340 |
|
| 197 | 415 |
Securitization exposure in the banking book |
|
|
|
|
| 203 | 664 | 7 |
| 203 | 664 |
Market risk |
|
| 10,526 | 8 |
| 720 | 452 | 7, 8 |
| 720 | 10,977 |
Value-at-risk (VaR) |
|
| 1,439 | MR2 |
|
|
|
|
|
| 1,439 |
Stressed value-at risk (SVaR) |
|
| 3,448 | MR2 |
|
|
|
|
|
| 3,448 |
Add-on for risks-not-in-VaR (RniV) |
|
| 4,114 | MR2 |
|
|
|
|
|
| 4,114 |
Incremental risk charge (IRC) |
|
| 1,524 | MR2 |
|
|
|
|
|
| 1,524 |
Comprehensive risk measure (CRM)3 |
|
|
|
|
|
|
|
|
|
|
|
Securitization / re-securitization in the trading book |
|
|
|
|
| 720 | 452 | MR1 |
| 720 | 452 |
Operational risk |
|
| 80,345 |
|
|
|
|
|
|
| 80,345 |
Amounts below thresholds for deduction (250% risk weight) |
| 1,019 | 2,548 |
|
| 3,541 | 8,853 |
|
| 4,560 | 11,402 |
Deferred tax assets |
|
|
|
|
| 3,541 | 8,853 |
|
| 3,541 | 8,853 |
Significant investments in non-consolidated financial institutions |
| 1,019 | 2,548 |
|
|
|
|
|
| 1,019 | 2,548 |
Total |
| 616,084 | 210,191 |
|
| 137,240 | 51,944 |
|
| 753,324 | 262,135 |
21
UBS Group AG consolidated
Regulatory exposures and risk-weighted assets (continued) | |||||||||||
31.12.18 |
| A-IRB / model-based approach |
| Standardized approach2 |
| 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 | 112,991 |
Central governments and central banks |
| 139,632 | 2,537 | CR6, CR7 |
| 17,854 | 748 | CR4, CR5 |
| 157,485 | 3,285 |
Banks and securities dealers |
| 15,454 | 5,272 | CR6, CR7 |
| 7,456 | 1,842 | CR4, CR5 |
| 22,910 | 7,114 |
Public-sector entities, multilateral development banks |
| 8,093 | 769 | CR6, CR7 |
| 1,232 | 349 | CR4, CR5 |
| 9,324 | 1,118 |
Corporates: specialized lending |
| 22,858 | 12,156 | CR6, CR7 |
|
|
| CR4, CR5 |
| 22,858 | 12,156 |
Corporates: other lending |
| 60,639 | 30,588 | CR6, CR7 |
| 6,467 | 5,010 | CR4, CR5 |
| 67,106 | 35,599 |
Central counterparties |
|
|
|
|
| 284 | 27 |
|
| 284 | 27 |
Retail |
| 286,912 | 35,697 | CR6, CR7 |
| 12,650 | 8,481 | CR4, CR5 |
| 299,562 | 44,178 |
Residential mortgages |
| 142,413 | 26,696 |
|
| 6,685 | 2,884 |
|
| 149,098 | 29,580 |
Qualifying revolving retail exposures (QRRE) |
| 1,772 | 624 |
|
|
|
|
|
| 1,772 | 624 |
Other retail1 |
| 142,726 | 8,377 |
|
| 5,966 | 5,597 |
|
| 148,692 | 13,974 |
Non-counterparty-related risk |
|
|
|
|
| 10,524 | 9,514 | CR4, CR5 |
| 10,524 | 9,514 |
Property, equipment and software |
|
|
|
|
| 9,305 | 9,305 |
|
| 9,305 | 9,305 |
Other |
|
|
|
|
| 1,219 | 209 |
|
| 1,219 | 209 |
Counterparty credit risk2 |
| 83,202 | 22,660 | 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 | MR2 |
|
|
|
|
|
| 2,454 |
Stressed value-at risk (SVaR) |
|
| 5,866 | MR2 |
|
|
|
|
|
| 5,866 |
Add-on for risks-not-in-VaR (RniV) |
|
| 8,915 | MR2 |
|
|
|
|
|
| 8,915 |
Incremental risk charge (IRC) |
|
| 2,299 | MR2 |
|
|
|
|
|
| 2,299 |
Comprehensive risk measure (CRM) |
|
| 7 | MR2 |
|
|
|
|
|
| 7 |
Securitization / re-securitization in the trading book |
|
|
|
|
| 500 | 452 | MR1 |
| 500 | 452 |
Operational risk |
|
| 77,558 |
|
|
|
|
|
|
| 77,558 |
Amounts below thresholds for deduction (250% risk weight) |
| 975 | 2,583 |
|
| 3,513 | 8,782 |
|
| 4,487 | 11,365 |
Deferred tax assets |
|
|
|
|
| 3,513 | 8,782 |
|
| 3,513 | 8,782 |
Significant investments in non-consolidated financial institutions |
| 975 | 2,583 |
|
|
|
|
|
| 975 | 2,583 |
Total |
| 618,701 | 214,587 |
|
| 146,094 | 49,159 |
|
| 764,795 | 263,747 |
1 Consists primarily of Lombard lending, which represents loans made against the pledge of eligible marketable securities or cash, as well as exposures to small businesses, private clients and other retail customers without mortgage financing. 2 The split between A-IRB / model-based approach and standardized approach for counterparty credit risk refers to the exposure measure, whereas the split in tables CCR3 and CCR4 refers to the risk weight approach. As of 31 December 2019, USD 97,845 million of EAD (30 June 2019: USD 95,241 million; 31 December 2018: USD 93,933 million) was subject to the A-IRB approach, and USD 6,348 million of EAD (30 June 2019: USD 6,737 million; 31 December 2018: USD 6,679 million) was subject to the standardized approach. 3 As of 30 June 2019 and 31 December 2019, the CRM-based capital requirement has not been applicable to us, as we have not held eligible correlation trading positions. | |||||||||||
22
This section provides information about the differences between our regulatory exposures and carrying amounts presented in our financial statements prepared in accordance with 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 | ||||||||||
31.12.19 |
| Carrying amounts as reported in published financial statements |
| Carrying amounts under scope of regulatory consolidation |
| Carrying amounts 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 |
| 107,068 |
| 107,068 |
| 107,068 |
|
|
|
|
Loans and advances to banks |
| 12,447 |
| 12,211 |
| 11,548 | 6634 |
| 62 |
|
Receivables from securities financing transactions |
| 84,245 |
| 84,245 |
|
| 84,245 |
| 92 |
|
Cash collateral receivables on derivative instruments |
| 23,289 |
| 23,289 |
|
| 23,289 |
| 369 |
|
Loans and advances to customers |
| 326,786 |
| 326,842 |
| 322,725 | 4,1174 |
|
|
|
Other financial assets measured at amortized cost |
| 22,980 |
| 22,542 |
| 22,230 | 1,5246 |
|
|
|
Total financial assets measured at amortized cost |
| 576,815 |
| 576,197 |
| 463,571 | 113,838 |
| 523 |
|
Financial assets at fair value held for trading |
| 127,514 |
| 127,488 |
| 6,2755 | 41,2856 | 117 | 121,397 |
|
Derivative financial instruments |
| 121,841 |
| 121,852 |
|
| 121,852 |
| 117,334 |
|
Brokerage receivables |
| 18,007 |
| 18,007 |
| 4,906 | 13,101 |
|
|
|
Financial assets at fair value not held for trading7 |
| 83,944 |
| 56,255 |
| 38,435 | 6,9376,8 | 81 | 17,477 |
|
Total financial assets measured at fair value through profit or loss |
| 351,307 |
| 323,602 |
| 49,616 | 183,175 | 198 | 256,207 |
|
Financial assets measured at fair value through other comprehensive income |
| 6,345 |
| 6,345 |
| 6,345 | 2176 |
|
|
|
Consolidated participations |
|
|
| 96 |
| 96 |
|
|
|
|
Investments in associates |
| 1,051 |
| 1,051 |
| 873 |
|
|
| 178 |
Property, equipment and software |
| 12,804 |
| 12,756 |
| 12,756 |
|
|
|
|
Goodwill and intangible assets |
| 6,469 |
| 6,469 |
|
|
|
|
| 6,469 |
Deferred tax assets |
| 9,537 |
| 9,5379 |
| 3,580 |
|
|
| 6,342 |
Other non-financial assets |
| 7,856 |
| 7,850 |
| 3,243 |
|
| 4,597 | 9 |
Total assets |
| 972,183 |
| 943,902 |
| 540,079 | 297,230 | 198 | 261,327 | 12,998 |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Amounts due to banks |
| 6,570 |
| 6,570 |
|
|
|
|
| 6,570 |
Payables from securities financing transactions |
| 7,778 |
| 7,778 |
|
| 7,778 |
|
|
|
Cash collateral payables on derivative instruments |
| 31,415 |
| 31,415 |
|
| 31,415 |
| 258 |
|
Customer deposits |
| 448,284 |
| 448,291 |
|
|
|
|
| 448,291 |
Debt issued measured at amortized cost |
| 110,497 |
| 110,492 |
|
|
|
|
| 110,492 |
Other financial liabilities measured at amortized cost |
| 9,712 |
| 9,557 |
|
|
|
|
| 9,557 |
Total financial liabilities measured at amortized cost |
| 614,256 |
| 614,103 |
|
| 39,193 |
| 258 | 574,910 |
Financial liabilities at fair value held for trading |
| 30,591 |
| 30,591 |
|
|
|
| 30,591 |
|
Derivative financial instruments |
| 120,880 |
| 120,883 |
|
| 120,883 |
| 116,300 |
|
Brokerage payables designated at fair value |
| 37,233 |
| 37,233 |
|
|
|
|
| 37,233 |
Debt issued designated at fair value |
| 66,809 |
| 66,822 |
|
|
|
| 66,174 | 648 |
Other financial liabilities designated at fair value |
| 35,940 |
| 7,795 |
|
|
|
| 7,601 | 194 |
Total financial liabilities measured at fair value through profit or loss |
| 291,452 |
| 263,324 |
|
| 120,883 |
| 220,666 | 38,075 |
Provisions |
| 2,974 |
| 2,974 |
|
|
|
|
| 2,974 |
Other non-financial liabilities |
| 8,794 |
| 8,792 |
|
|
|
|
| 8,792 |
Total liabilities |
| 917,476 |
| 889,193 |
|
| 160,076 |
| 220,924 | 624,752 |
1 Includes non-counterparty-related risk and equity positions in the banking book subject to the simple risk weight method of USD 19,749 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 520,330 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 the “Subject to market risk framework” column. 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 Funded collar trades without re-hypothecation rights are treated as non-credit bearing exposures and are excluded from the “Subject to credit risk framework” column. 8 Includes structured reverse repurchase and securities borrowing agreements, as well as other exposures subject to the counterparty credit risk framework. 9 Net of deferred tax liabilities, which are offset against prudential filters (e.g., goodwill and intangibles, as well as cash flow hedges) in the regulatory capital calculation. | ||||||||||
p
23
UBS Group AG consolidated
Annual | The LI1 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 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, other financial assets measured at amortized cost, financial assets measured at fair value through profit or loss and financial assets measured at fair value through other comprehensive income include securities that have been pledged as collateral. These securities are also considered in the counterparty credit risk framework, as collateral pledged is subject to counterparty credit risk. p
LIA: Explanation of the differences between the IFRS and regulatory scopes of consolidation
Annual | The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under International Financial Reporting Standards (IFRS) and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and are active in banking and finance. However, subsidiaries consolidated under IFRS 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 scope of consolidation as of 31 December 2019 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 scope of consolidation. These entities account for most of the difference between the “Balance sheet in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the CC2 table. 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 2019, entities consolidated under either the IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.
In the banking book, certain equity investments are not consolidated under IFRS nor under the regulatory scope. As of 31 December 2019, 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 are risk weighted based on applicable threshold rules.
More information about the legal structure of the UBS Group and on the IFRS scope of consolidation is provided on pages 15 and 312–313, respectively, of our Annual Report 2019, available under “Annual reporting” at www.ubs.com/investors. p
Semiannual |
Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation | ||||||
|
| 31.12.19 |
|
| ||
USD million |
| Total assets1 | Total equity1 |
|
| Purpose |
UBS Asset Management Life Ltd |
| 28,225 | 44 |
|
| Life Insurance |
UBS Life Insurance Company USA |
| 144 | 43 |
|
| Life insurance |
1 Total assets and total equity on a standalone basis. | ||||||
p
24
Annual |
LI2: Main sources of differences between regulatory exposure amounts and carrying amounts in financial statements (under the regulatory scope of consolidation) | ||||||||
31.12.19 |
| Total |
| Items subject to: | ||||
USD million |
|
|
| Credit risk framework | Counterparty credit risk framework | Securitization framework | Market risk framework | |
1 | Asset carrying amount amount under scope of regulatory consolidation (as per template LI1) |
| 943,902 |
| 540,0791 | 297,230 | 198 | 261,327 |
2 | Liabilities carrying amount amount under scope of regulatory consolidation2 |
| (121,463) |
|
| (121,463) |
|
|
3 | Total net amount under regulatory scope of consolidation |
| 822,439 |
| 540,079 | 175,767 | 198 | 261,327 |
4 | Off-balance sheet amounts (post-CCF; e.g., guarantees, commitments)3 |
| 73,424 |
| 73,412 | 12 |
|
|
5 | Differences due to prudential filters |
| (12,998) |
|
|
|
|
|
6 | Derivatives: PFE and collateral mitigation (including off-balance sheet exposures) |
| 89,762 |
|
| 89,762 |
|
|
7 | SFTs: Collateral mitigation (including off-balance sheet exposures) |
| (92,465) |
|
| (92,465) |
|
|
8 | Other differences including collateral mitigation in the banking book |
| (99,219) |
| (6,483) |
| (10) | (260,657)4 |
9 | Exposure amounts considered for regulatory purposes |
| 780,942 |
| 607,008 | 173,076 | 188 | 670 |
1 Includes non-counterparty-related risk and equity positions in the banking book subject to the simple risk weight method of USD 19,749 million, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 3 of this report, resulting in IFRS carrying amounts reflected in the credit risk section of USD 520,330 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 for netting per the relevant netting agreement in order to not exceed the net amount of financial assets presented on the balance sheet (included in row 1); i.e., over-collateralization, where it exists, is not reflected in the table. 3 Includes off-balance sheet exposures where a credit conversion factor is applied. 4 Exposure at default is only calculated for securitization exposures in the trading book, resulting in a difference between carrying amounts 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 LI2 table above illustrates the key differences between regulatory exposure amounts and accounting carrying amounts under the regulatory scope of consolidation. In addition to the accounting carrying amounts, the regulatory exposure amounts include:
– netting of financial instruments and cash collateral where an enforceable master netting agreement is in place (row 2);
– off-balance sheet amounts not related to derivatives and securities financing transactions (SFTs) (row 4);
– potential future exposure (PFE) for derivatives, offset by eligible financial collateral deductions (row 6);
– effects from the model calculation of effective expected positive exposure (EEPE) applied to derivatives (row 6);
– any collateral mitigation through the application of the close-out period approach or the comprehensive measurement approach (row 7); and
– effects of collateral mitigation in the banking book (row 8).
The regulatory exposure amount excludes prudential filters (row 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 (row 8).p
Fair value measurement
The table below references additional information about fair value measurement that is provided in our Annual Report 2019, available under “Annual reporting” at www.ubs.com/investors.
Annual |
Pillar 3 disclosure requirement | Annual Report 2019 section | Disclosure |
| Annual Report 2019 page number | |||
|
|
|
|
|
|
|
|
Valuation methodologies applied, including mark-to-market and mark-to-model methodologies in use |
| Consolidated financial statements |
| – | Note 24a Valuation principles |
| 404–405 |
|
|
| – | Note 24c Fair value hierarchy |
| 406–412 | |
|
|
| – | Note 24f Level 3 instruments: valuation techniques and inputs |
| 415–417 | |
Description of the independent price verification process |
| Consolidated financial statements |
| – | Note 24b Valuation governance |
| 405 |
Procedures for valuation adjustments or reserves for valuing trading positions by type of instrument |
| Consolidated financial statements |
| – | Note 24d Valuation adjustments |
| 412–414 |
p
25
UBS Group AG consolidated
Introduction
This section provides information about the exposures subject to the Basel III credit risk framework, as presented in the “Regulatory exposures and risk-weighted assets” table on pages 20–22 of this report. Information about counterparty credit risk is reflected in the “Counterparty credit risk” section on pages 57–66 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 regarding 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 how it is 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” below, as referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section, provide a link to the IFRS balance sheet structure.
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; and
– 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; and
– Financial assets measured at fair value through other comprehensive income. p
This section is organized in eight sub-sections:
Credit risk management
Annual | This sub-section 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 | This sub-section provides information about our credit risk exposures and credit quality of assets. pp
Credit risk mitigation
Annual | Semiannual | This sub-section 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 about 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 | This sub-section provides information about the use of external credit assessment institutions (ECAIs) to determine risk weightings applied to rated counterparties, as well as quantitative information about credit risk exposures and the effect of CRM under the standardized approach. pp
26
Credit risk under internal risk-based approaches
Annual | Semiannual | This sub-section refers to disclosures on our internal risk-based models used to calculate RWA, including information about internal model development and control, as well as characteristics of our models. It further includes tables that provide information about credit risk exposures under the A-IRB approach, including the main parameters used in A-IRB models for the calculation of capital requirements, presented by portfolio and probability of default (PD) range. pp
Credit risk risk-weighted assets under the A-IRB approach
Quarterly | This sub-section comprises disclosures on the quarterly credit risk RWA development under the A-IRB approach. p
Backtesting
Annual | This sub-section includes disclosures on the backtesting of PD calculations. p
Equity exposures
Semiannual | This sub-section provides information about our equity exposures under the simple risk weight method. p
Credit risk management
The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2019.
Annual |
CRA – Credit risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 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 |
| 106 |
|
|
| – | Risk categories, Risk definitions |
| 107 | |
|
|
| – | Credit risk profile of the Group |
| 120 | |
|
|
| – | Main sources of credit risk |
| 119 | |
| Consolidated financial statements |
| – | Note 23d Maximum exposure to credit risk |
| 395–396 | |
Criteria and approach used for defining credit risk management policy and for setting credit risk limits |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
|
| – | Risk appetite framework |
| 111–114 | ||
|
| – | Risk measurement |
| 116–118 | ||
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 119 | ||
Structure and organization of the credit risk management and control function |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
Interaction between the credit risk management, risk control, compliance and internal audit functions |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
|
| – | Risk appetite framework |
| 111–114 | ||
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 |
| 109–110 |
|
|
| – | Internal risk reporting |
| 115 | |
|
|
| – | Credit risk profile of the Group |
| 120 | |
|
|
| – | Risk appetite framework |
| 111–114 | |
p
27
UBS Group AG consolidated
Credit risk exposure and credit quality of assets
Amounts shown in the tables below and on the following pages are IFRS carrying amounts according to the regulatory scope of consolidation that are subject to the credit risk framework.
Annual |
CRB: Breakdown of exposures by industry | ||||||||||||||
31.12.19 | ||||||||||||||
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 amount of assets |
Balances at central banks | 106,265 |
|
|
|
|
|
|
|
|
|
|
|
| 106,265 |
Loans and advances to banks1 | 11,548 |
|
|
|
|
|
|
|
|
|
|
|
| 11,548 |
Loans and advances to customers1 |
| 2,402 | 955 | 62,173 | 1,653 | 3,354 | 628 | 201,544 | 1,086 | 15,917 | 6,816 | 20,954 | 5,241 | 322,725 |
Other financial assets measured at amortized cost | 2,853 | 184 | 5 | 2,036 | 6 | 307 | 9 | 4,013 | 8,559 | 309 | 129 | 2,907 | 550 | 21,868 |
Total financial assets measured at amortized cost | 120,667 | 2,586 | 960 | 64,209 | 1,660 | 3,661 | 636 | 205,558 | 9,645 | 16,226 | 6,946 | 23,861 | 5,792 | 462,406 |
Financial assets at fair value held for trading | 1 | 271 | 16 | 227 | 0 | 329 | 7 | 0 | 5,260 | 3 | 141 |
| 7 | 6,262 |
Brokerage receivables | 6 | 39 | 17 | 329 | 6 | 0 | 4 | 3,872 | 18 |
| 18 | 514 | 86 | 4,906 |
Financial assets at fair value not held for trading | 12,840 | 56 |
| 5,300 |
|
| 0 | 196 | 17,681 | 1,208 |
| 86 |
| 37,367 |
Total financial assets measured at fair value through profit or loss | 12,847 | 365 | 33 | 5,856 | 6 | 329 | 11 | 4,068 | 22,958 | 1,211 | 159 | 600 | 93 | 48,535 |
Financial assets measured at fair value through other comprehensive income | 230 |
|
| 2,356 |
|
|
|
| 2,156 |
|
| 1,602 |
| 6,345 |
Other non-financial assets | 297 |
| 0 | 49 |
|
|
| 463 | 1,314 | 2 |
| 890 | 29 | 3,044 |
Total | 134,041 | 2,952 | 992 | 72,470 | 1,665 | 3,990 | 647 | 210,088 | 36,072 | 17,439 | 7,105 | 26,953 | 5,915 | 520,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 | ||||||||||||||
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 |
| 1 | 11,752 |
|
| 16 | 1,284 | 22,468 | 291 |
| 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
28
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 | |||||||
31.12.19 | |||||||
USD million | Asia Pacific | Latin America | Middle East and Africa | North America | Switzerland | Rest of Europe | Total carrying amount of assets |
Balances at central banks | 8,612 | 0 |
| 11,251 | 74,335 | 12,068 | 106,265 |
Loans and advances to banks1 | 3,720 | 191 | 429 | 4,107 | 88 | 3,013 | 11,548 |
Loans and advances to customers1 | 24,148 | 5,377 | 4,861 | 84,674 | 169,229 | 34,436 | 322,725 |
Other financial assets measured at amortized cost | 426 | 74 | 33 | 16,073 | 2,260 | 3,002 | 21,868 |
Total financial assets measured at amortized cost | 36,905 | 5,642 | 5,322 | 116,105 | 245,912 | 52,519 | 462,406 |
Financial assets at fair value held for trading | 213 | 753 | 0 | 2,897 | 8 | 2,391 | 6,262 |
Brokerage receivables | 6 | 52 | 15 | 4,800 | 3 | 29 | 4,906 |
Financial assets at fair value not held for trading | 7,726 | 0 | 30 | 15,148 | 970 | 13,493 | 37,367 |
Total financial assets measured at fair value through profit or loss | 7,946 | 805 | 46 | 22,845 | 980 | 15,914 | 48,535 |
Financial assets measured at fair value through other comprehensive income | 450 | 81 | 0 | 5,814 | 0 | 0 | 6,345 |
Other non-financial assets | 126 | 26 | 3 | 542 | 355 | 1,992 | 3,044 |
Total | 45,427 | 6,554 | 5,371 | 145,306 | 247,248 | 70,424 | 520,330 |
|
|
|
|
|
|
|
|
31.12.18 | |||||||
Balances with 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
29
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 | ||||
31.12.19 | ||||
USD million | Due in 1 year or less | Due between 1 year and 5 years | Due over 5 years | Total carrying amount of assets |
Balances at central banks | 106,265 |
|
| 106,265 |
Loans and advances to banks1 | 11,520 | 22 | 6 | 11,548 |
Loans and advances to customers1 | 184,870 | 85,846 | 52,009 | 322,725 |
Other financial assets measured at amortized cost | 6,281 | 7,736 | 7,851 | 21,868 |
Total financial assets measured at amortized cost | 308,937 | 93,603 | 59,866 | 462,406 |
Financial assets at fair value held for trading | 610 | 571 | 5,082 | 6,262 |
Brokerage receivables | 4,906 |
|
| 4,906 |
Financial assets at fair value not held for trading | 16,151 | 19,477 | 1,739 | 37,367 |
Total financial assets measured at fair value through profit or loss | 21,667 | 20,048 | 6,821 | 48,535 |
Financial assets measured at fair value through other comprehensive income | 1,054 | 547 | 4,743 | 6,345 |
Other non-financial assets | 1,751 | 1,293 |
| 3,044 |
Total | 333,409 | 115,491 | 71,430 | 520,330 |
|
|
|
|
|
31.12.18 | ||||
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
30
Policies for past-due, non-performing and credit-impaired claims
Annual | 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 or there is other evidence that payment obligations will not be fully met without recourse to collateral.
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 those 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 one claim against a counterparty is defaulted on, generally all claims against the counterparty are treated as defaulted.
An instrument is classified as credit-impaired if the counterparty is classified as defaulted, and/or the instrument is identified as purchased or originated credit-impaired (POCI). An instrument is POCI if it has been purchased at a deep 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 POCI), 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 on the next page provide a breakdown of impaired exposures by geographical region and industry. The amounts shown are IFRS carrying amounts. The geographical distribution is based on the legal domicile of the counterparty or issuer.p
31
UBS Group AG consolidated
Annual |
CRB: Credit-impaired exposures by industry | ||||
31.12.19 |
|
|
|
|
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 | 1 | 0 | 1 | (2) |
Construction | 44 | (12) | 33 | (4) |
Electricity, gas, water supply | 14 | 0 | 14 | (2) |
Financial services | 296 | (62) | 234 | (5) |
Hotels and restaurants | 22 | (11) | 12 | (7) |
Manufacturing1 | 178 | (103) | 75 | (30) |
Mining | 97 | (53) | 44 | (1) |
Private households | 1,246 | (139) | 1,107 | (21) |
Public authorities | 34 | (5) | 29 |
|
Real estate and rentals | 480 | (36) | 444 | (4) |
Retail and wholesale2 | 236 | (167) | 69 | (14) |
Services | 125 | (40) | 85 | (13) |
Transport, storage, communications and other | 206 | (27) | 179 | (39) |
Total | 2,981 | (655) | 2,326 | (142) |
| ||||
31.12.18 | ||||
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) |
1 Includes the chemicals industry 2 Includes the food and beverages industry. | ||||
p
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 | ||||
31.12.19 |
|
|
|
|
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 | 105 | (3) | 103 | (46) |
Latin America | 67 | (43) | 24 | (4) |
Middle East and Africa | 21 | (1) | 19 | (2) |
North America | 938 | (150) | 787 | (43) |
Switzerland | 1,456 | (329) | 1,127 | (44) |
Rest of Europe | 393 | (127) | 266 | (4) |
Total | 2,981 | (655) | 2,326 | (142) |
|
|
|
|
|
31.12.18 | ||||
Asia Pacific | 79 | (43) | 36 | (11) |
Latin America | 67 | (45) | 23 |
|
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) |
p
32
Semiannual | The CR1 table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. The table includes a split of ECL accounting provisions based on the standardized approach and the internal ratings-based approach. More information about the net value movements related to Loans and Debt securities shown in the table is provided on page 36 in the “CR3: Credit risk mitigation techniques – overview” table.p
Semiannual |
CR1: Credit quality of assets | |||||||||||||
|
|
| Gross carrying amounts of: |
| Allowances / impairments |
| Of which: ECL accounting provisions for credit losses on SA exposures |
| Of which: ECL accounting provisions for credit losses on IRB exposures (Stage 1, 2, 3) |
| Net values | ||
USD million |
| Defaulted exposures1 | Non-defaulted exposures |
|
| Allocated in regulatory category of Specific (Stage 3 credit-impaired) | Allocated in regulatory category of General (Stage 1 & 2) |
|
| ||||
31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,981 | 455,494 |
| (911)4 |
| (114) | (68) |
| (729) |
| 457,564 |
2 | Debt securities |
|
| 62,766 |
|
|
|
|
|
|
|
| 62,766 |
3 | Off-balance sheet exposures3 |
| 132 | 52,725 |
| (78)4 |
| (1) | (3) |
| (75) |
| 52,778 |
4 | Total |
| 3,113 | 570,986 |
| (989)4 |
| (115) | (71) |
| (804) |
| 573,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,703 | 446,046 |
| (902)4 |
| (148) | (56) |
| (698) |
| 447,847 |
2 | Debt securities |
|
| 67,788 |
|
|
|
|
|
|
|
| 67,788 |
3 | Off-balance sheet exposures3 |
| 217 | 49,766 |
| (82)4 |
| (1) | (2) |
| (79) |
| 49,901 |
4 | Total |
| 2,920 | 563,600 |
| (984)4 |
| (149) | (59) |
| (776) |
| 565,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,886 | 460,119 |
| (931)4 |
| (124) | (58) |
| (750) |
| 462,073 |
2 | Debt securities |
|
| 69,902 |
|
|
|
|
|
|
|
| 69,902 |
3 | Off-balance sheet exposures3 |
| 268 | 54,124 |
| (81)4 |
| (1) | (3) |
| (77) |
| 54,312 |
4 | Total |
| 3,154 | 584,145 |
| (1,012)4 |
| (125) | (61) |
| (827) |
| 586,288 |
1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to Note 23 “Expected credit loss measurement“ of our Annual Report 2019 for more information about 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 about the classification of Loans and Debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongation of loans which do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities, even if they attract RWA. Comparative figures have been adjusted to adhere to this presentation. 4 Excludes ECL on exposures subject to counterparty credit risk (31 December 2019: USD 5 million; 30 June 2019: USD 5 million; 31 December 2018: USD 4 million) and ECL on revocable off-balance sheet exposures (31 December 2019: USD 35 million; 30 June 2019: USD 41 million; 31 December 2018: USD 36 million). | |||||||||||||
p
Semiannual | The total amount of defaulted loans and debt securities was USD 3.1 billion as of 31 December 2019. The net increase of USD 0.2 billion compared with 30 June 2019 was mainly driven by exposures outside Switzerland. p
Semiannual |
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | |||
USD million | For the half year ended 31.12.191 | For the half year ended 30.6.191 | |
1 | Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | 2,920 | 3,154 |
2 | Loans and debt securities that have defaulted since the last reporting period | 780 | 336 |
3 | Returned to non-defaulted status | (225) | (205) |
4 | Amounts written off | (70) | (72) |
5 | Other changes | (292) | (293) |
6 | Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | 3,113 | 2,920 |
1 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongation of loans which do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities, even if they attract RWA. Comparative figures have been adjusted to adhere to this presentation. | |||
p
33
UBS Group AG consolidated
Annual | The table below provides a breakdown of total loan balances where payments have been missed. The increase in past-due amounts is mainly related to exposures outside Switzerland. 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 amounts 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 | 31.12.19 |
| 31.12.18 |
1–10 days | 45 |
| 53 |
11–30 days | 178 |
| 98 |
31–60 days | 166 |
| 74 |
61–90 days | 90 |
| 39 |
>90 days | 1,635 |
| 1,535 |
of which: mortgage loans | 6751 |
| 4741 |
Total | 2,113 |
| 1,800 |
1 Total mortgage loans as of 31 December 2019: USD 172,853 million (31 December 2018: 165,398 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 offering preferential interest rates, extending 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 as defaulted. 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 tolerance.
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 135–137 of our Annual Report 2019, available under ”Annual reporting“ at www.ubs.com/investors for more information about our policies for restructured exposures.
The table below provides more information about restructured exposures as of 31 December 2019. The increase is mainly related to exposures outside Switzerland. p
Annual |
CRB: Breakdown of restructured exposures between credit-impaired and non-credit-impaired | |||||||||
|
| Credit-impaired |
| Non-credit-impaired |
| Total | |||
USD million |
| 31.12.19 | 31.12.18 |
| 31.12.19 | 31.12.18 |
| 31.12.19 | 31.12.18 |
Restructured exposures |
| 1,152 | 1,114 |
|
|
|
| 1,152 | 1,114 |
| |||||||||
p
34
Credit risk mitigation
The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2019.
Annual |
CRC – Credit risk mitigation | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 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 |
| 125–126 |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 365–370 | |
|
|
| – | Note 25 Offsetting financial assets and financial liabilities |
| 424–425 | |
|
|
| – | Note 1a item 3i Offsetting |
| 331 | |
Core features of policies and processes for collateral evaluation and management |
| Risk, treasury and capital management |
| – | Credit risk mitigation |
| 127–129 |
Information about market or credit risk concentrations under the credit risk mitigation instruments used |
| Risk, treasury and capital management |
| – | Risk concentrations |
| 118 |
|
|
| – | Credit risk mitigation |
| 127–129 | |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 365–370 | |
|
|
| – | Note 23d Maximum exposure to credit risk |
| 395-396 | |
|
| – | Note 24i Maximum exposure to credit risk for financial instruments measured at fair value |
| 422 | ||
|
| – | Note 25 Offsetting financial assets and financial liabilities |
| 424-425 | ||
p
Additional information about counterparty credit risk mitigation is provided in the “Counterparty credit risk” section on pages 57–66 of this report.
35
UBS Group AG consolidated
Semiannual | The CR3 table below provides a breakdown of loans and debt securities into unsecured and partially or fully secured exposures, with additional information about security type.
Total carrying amount of loans increased by USD 9.7 billion to USD 457.6 billion in the second half of 2019. This was primarily driven by increased mortgage loans to customers as well as higher balances at central banks from client-driven activity that affected the funding consumption by business divisions. The total carrying amount of debt securities decreased by USD 5.0 billion to USD 62.8 billion, reflecting a reduction in government bonds and bills as well as debt instruments issued by banks.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 | |
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 138,961 | 318,603 | 457,564 |
| 307,400 | 1,125 |
|
2 | Debt securities |
| 62,766 |
| 62,766 |
|
|
|
|
3 | Total |
| 201,727 | 318,603 | 520,330 |
| 307,400 | 1,125 |
|
4 | of which: defaulted |
| 504 | 1,823 | 2,327 |
| 1,167 | 225 |
|
|
|
|
|
|
|
|
|
|
|
30.6.19 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 134,317 | 313,530 | 447,847 |
| 302,665 | 1,174 | 36 |
2 | Debt securities |
| 67,788 |
| 67,788 |
|
|
|
|
3 | Total |
| 202,104 | 313,530 | 515,635 |
| 302,665 | 1,174 | 36 |
4 | of which: defaulted |
| 342 | 1,709 | 2,051 |
| 1,137 | 316 |
|
| |||||||||
31.12.18 |
|
| |||||||
1 | Loans2 |
| 145,458 | 316,615 | 462,073 |
| 304,900 | 1,204 | 38 |
2 | Debt securities |
| 69,902 |
| 69,902 |
|
|
|
|
3 | Total |
| 215,360 | 316,615 | 531,975 |
| 304,900 | 1,204 | 38 |
4 | of which: defaulted |
| 412 | 1,815 | 2,227 |
| 1,215 | 320 |
|
1 Exposures in this table represent carrying amounts 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 about the classification of Loans and Debt securities. | |||||||||
p
36
Standardized approach – credit risk mitigation
Semiannual | The CR4 table below illustrates the effect of credit risk mitigation on the calculation of capital requirements under the standardized approach. In the second half of 2019, off-balance sheet exposures before CCF and CRM under the Corporates asset class increased by USD 4.6 billion to USD 8.8 billion, reflecting increases in exposures to certain clients within Global Wealth Management. p
Semiannual |
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects | ||||||||||||
|
|
| Exposures before CCF and CRM1 |
| Exposures post-CCF and post-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 % | |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
| ||||||||||
Asset classes2 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 10,687 |
| 10,687 |
| 10,687 |
| 10,687 |
| 938 | 8.8 |
2 | Banks and securities dealers |
| 5,072 | 928 | 6,000 |
| 5,071 | 464 | 5,536 |
| 1,314 | 23.7 |
3 | Public-sector entities and multilateral development banks |
| 844 | 372 | 1,216 |
| 844 | 74 | 918 |
| 237 | 25.9 |
4 | Corporates |
| 6,310 | 8,823 | 15,133 |
| 5,847 | 651 | 6,499 |
| 4,839 | 74.5 |
5 | Retail |
| 12,141 | 4,071 | 16,212 |
| 11,974 | 100 | 12,074 |
| 7,923 | 65.6 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets3 |
| 14,226 |
| 14,226 |
| 14,226 |
| 14,226 |
| 13,135 | 92.3 |
8 | Total |
| 49,280 | 14,194 | 63,475 |
| 48,648 | 1,290 | 49,939 |
| 28,386 | 56.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 |
|
| ||||||||||
Asset classes2 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 11,015 |
| 11,015 |
| 11,011 |
| 11,011 |
| 882 | 8.0 |
2 | Banks and securities dealers |
| 4,415 | 1,203 | 5,618 |
| 4,412 | 720 | 5,132 |
| 1,169 | 22.8 |
3 | Public-sector entities and multilateral development banks |
| 907 | 323 | 1,231 |
| 890 | 64 | 954 |
| 281 | 29.5 |
4 | Corporates |
| 5,975 | 4,177 | 10,151 |
| 5,892 | 565 | 6,457 |
| 4,880 | 75.6 |
5 | Retail |
| 12,428 | 4,364 | 16,792 |
| 12,235 | 131 | 12,367 |
| 8,162 | 66.0 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets3 |
| 14,001 |
| 14,001 |
| 14,001 |
| 14,001 |
| 12,912 | 92.2 |
8 | Total |
| 48,741 | 10,067 | 58,808 |
| 48,442 | 1,481 | 49,922 |
| 28,287 | 56.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 |
|
| ||||||||||
Asset classes2 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 17,859 |
| 17,859 |
| 17,851 |
| 17,851 |
| 746 | 4.2 |
2 | Banks and securities dealers |
| 6,749 | 1,179 | 7,928 |
| 6,733 | 722 | 7,456 |
| 1,842 | 24.7 |
3 | Public-sector entities and multilateral development banks |
| 1,180 | 277 | 1,457 |
| 1,179 | 55 | 1,235 |
| 351 | 28.4 |
4 | Corporates |
| 6,146 | 4,523 | 10,669 |
| 6,087 | 722 | 6,810 |
| 5,058 | 74.3 |
5 | Retail |
| 12,786 | 4,230 | 17,016 |
| 12,437 | 155 | 12,592 |
| 8,461 | 67.2 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets3 |
| 10,524 |
| 10,524 |
| 10,524 |
| 10,524 |
| 9,513 | 90.4 |
8 | Total |
| 55,244 | 10,208 | 65,452 |
| 54,812 | 1,655 | 56,467 |
| 25,972 | 46.0 |
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation. 2 The CRM effect is reflected in the original asset class. 3 Excludes securitization exposures and RWA under the standardized approach. Refer to the “Regulatory exposures and risk-weighted assets” table in section 2 and to section 7 of this report for more information. | ||||||||||||
p
37
UBS Group AG consolidated
IRB approach – credit derivatives used as credit risk mitigation
Semiannual | The PD substitution is only applied in the RWA calculation when the PD of the hedge provider is lower than the PD of the obligor. In addition, default correlation between the obligor and the 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 section 5 of this report for notional and fair value information about credit derivatives used as credit risk mitigation. p
Semiannual |
CR7: IRB – effect on RWA of credit derivatives used as CRM techniques1 | ||||||||||
|
| 31.12.19 |
| 30.6.19 |
| 31.12.18 | ||||
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 |
| 2,446 | 2,446 |
| 3,034 | 3,033 |
| 2,502 | 2,500 |
3 | Banks and securities dealers – FIRB |
|
|
|
|
|
|
|
|
|
4 | Banks and securities dealers – AIRB |
| 5,911 | 5,911 |
| 4,755 | 4,755 |
| 5,240 | 5,240 |
5 | Public-sector entities, multilateral development banks – FIRB |
|
|
|
|
|
|
|
|
|
6 | Public-sector entities, multilateral development banks – AIRB |
| 847 | 847 |
| 823 | 823 |
| 798 | 798 |
7 | Corporates: specialized lending – FIRB |
|
|
|
|
|
|
|
|
|
8 | Corporates: specialized lending – AIRB |
| 11,525 | 11,525 |
| 11,835 | 11,835 |
| 12,172 | 12,172 |
9 | Corporates: other lending – FIRB |
|
|
|
|
|
|
|
|
|
10 | Corporates: other lending – AIRB |
| 32,394 | 32,144 |
| 30,039 | 29,794 |
| 31,083 | 30,612 |
11 | Retail: mortgage loans |
| 29,118 | 29,118 |
| 27,666 | 27,666 |
| 26,696 | 26,696 |
12 | Retail exposures: qualifying revolving retail (QRRE) |
| 687 | 687 |
| 647 | 647 |
| 624 | 624 |
13 | Retail: other |
| 10,180 | 10,180 |
| 8,151 | 8,151 |
| 8,377 | 8,377 |
14 | Equity positions (PD/LGD approach) |
|
|
|
|
|
|
|
|
|
15 | Total |
| 93,108 | 92,858 |
| 86,950 | 86,703 |
| 87,493 | 87,019 |
1 The CRM effect is reflected in the original asset class. | ||||||||||
p
38
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 to, where possible, 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 2018.
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 | |||||
|
|
| 31.12.19 | ||
|
|
| 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
39
UBS Group AG consolidated
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 post-CRM) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 9,540 |
| 225 |
| 58 |
| 864 |
|
| 10,687 |
2 | Banks and securities dealers |
|
|
| 4,863 |
| 673 |
| 5 |
|
| 5,541 |
3 | Public-sector entities and multilateral development banks |
| 398 |
| 256 |
| 155 |
| 110 |
|
| 920 |
4 | Corporates |
|
|
| 1,831 |
| 137 | 1722 | 4,348 | 2 |
| 6,491 |
5 | Retail |
|
|
|
| 5,846 |
| 1,622 | 4,496 | 109 |
| 12,074 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 1,091 |
|
|
|
|
| 13,135 |
|
| 14,226 |
8 | Total |
| 11,030 |
| 7,175 | 5,846 | 1,023 | 1,794 | 22,959 | 112 |
| 49,939 |
9 | of which: mortgage loans |
|
|
|
| 5,846 |
| 99 | 521 |
|
| 6,466 |
10 | of which: past due1 |
|
|
|
|
|
|
| 242 |
|
| 242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 9,924 |
| 226 |
| 53 |
| 813 |
|
| 11,017 |
2 | Banks and securities dealers |
|
|
| 4,655 |
| 471 |
| 6 |
|
| 5,132 |
3 | Public-sector entities and multilateral development banks |
| 161 |
| 528 |
| 174 |
| 85 |
|
| 949 |
4 | Corporates |
|
|
| 1,826 |
| 147 | 1852 | 4,297 | 2 |
| 6,457 |
5 | Retail |
|
|
|
| 5,805 | 36 | 1,763 | 4,707 | 55 |
| 12,367 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 1,089 |
|
|
|
|
| 12,912 |
|
| 14,001 |
8 | Total |
| 11,174 |
| 7,235 | 5,805 | 881 | 1,948 | 22,821 | 58 |
| 49,922 |
9 | of which: mortgage loans |
|
|
|
| 5,805 |
| 115 | 742 |
|
| 6,662 |
10 | of which: past due1 |
|
|
|
|
|
|
| 86 |
|
| 86 |
| ||||||||||||
31.12.18 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 17,061 |
| 42 |
| 24 |
| 727 |
|
| 17,854 |
2 | Banks and securities dealers |
|
|
| 6,259 |
| 1,192 |
| 4 | 0 |
| 7,456 |
3 | Public-sector entities and multilateral development banks |
| 101 |
| 771 |
| 330 |
| 30 | 0 |
| 1,232 |
4 | Corporates |
|
|
| 1,961 |
| 138 | 2662 | 4,385 | 2 |
| 6,751 |
5 | Retail |
|
|
|
| 5,809 |
| 1,811 | 4,910 | 120 |
| 12,650 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 1,010 |
|
|
|
|
| 9,513 |
|
| 10,524 |
8 | Total |
| 18,172 |
| 9,033 | 5,809 | 1,684 | 2,077 | 19,570 | 122 |
| 56,467 |
9 | of which: mortgage loans |
|
|
|
| 5,809 |
| 97 | 778 |
|
| 6,685 |
10 | of which: past due1 |
|
|
|
|
|
|
| 112 |
|
| 112 |
1 Includes mortgage loans. 2 Relates to structured margin lending exposures based on the methodology agreed with FINMA. | ||||||||||||
p
40
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 2019.p
Annual |
CRE – Internal ratings-based models | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Internal model development, controls and changes |
| Risk, treasury and capital management |
| – | Risk measurement |
| 116–118 |
|
| – | Credit risk models |
| 129–135 | ||
|
| – | Key features of our main credit risk models |
| 130 | ||
|
| – | Risk governance |
| 109–110 | ||
Relationships between risk management and internal audit and independent review of IRB models |
| Risk, treasury and capital management |
| – | Risk governance |
| 109–110 |
|
|
| – | Risk measurement |
| 116–118 | |
Scope and content of the reporting related to credit risk models |
| Risk, treasury and capital management |
| – | Risk measurement |
| 116–118 |
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 119 | ||
|
| – | Credit risk models |
| 129–135 | ||
Supervisor approval of applied approaches |
| Risk, treasury and capital management |
| – | Risk measurement |
| 116–118 |
|
| – | Changes to models and model parameters during the period |
| 135 | ||
|
| – | Stress testing |
| 116–117 | ||
|
| – | Key features of our main credit risk models |
| 130 | ||
Number of key models used by portfolio and the main differences between models |
| Risk, treasury and capital management |
| – | Credit risk models |
| 129–135 |
Description of the main characteristics of approved models |
| Risk, treasury and capital management |
| – | Credit risk models |
| 129–135 |
p
Annual | Semiannual | The CR6 table on the following pages provides information about credit risk exposures under the A-IRB approach, including a breakdown of the main parameters used in A-IRB models for the calculation of capital requirements, presented by portfolio and PD range across FINMA-defined asset classes.
Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the PD, LGD, EAD and other parameters, subject to FINMA approval. The proportion of EAD covered by either the standardized or the A-IRB approach is provided in the “Regulatory exposures and risk-weighted assets” table on pages 20–22 of this report. p
As of 31 December 2019, exposures before the application of credit conversion factors (CCFs) increased by USD 19 billion to USD 800 billion across various asset classes, resulting in an overall RWA increase of USD 6 billion.
In the “Retail: other retail” asset class, total exposures pre-CCF increased by USD 13 billion to USD 357 billion, mainly reflecting increases in drawn and unutilized Lombard facilities. RWA for this asset class increased by USD 2 billion to USD 10 billion, due to the aforementioned increase in exposures and a change of the CCF for zero-balance securities-backed lending and margin loans exposures.
In the “Retail: residential mortgages” asset class, total exposures pre-CCF increased from USD 147 billion to USD 150 billion and RWA increased from USD 28 billion to USD 29 billion, reflecting business-driven exposure movements and the continued phasing-in of RWA increases related to PD and LGD changes from the implementation of revised models for Swiss residential mortgages.
In the ”Corporates: other lending“ asset class, RWA increased by USD 2 billion to USD 32 billion, primarily driven by the increase in unutilized credit facilities.
Increases in total exposures pre-CCF and RWA in the “Banks and securities dealers” asset class were driven by guarantees issued in Personal & Corporate Banking.
Information about credit risk RWA for the third quarter of 2019, including details regarding movements in RWA, is provided on pages 7–9 of our 30 September 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors, and for the fourth quarter of 2019 on page 50 of this report. p
41
UBS Group AG consolidated
Semiannual |
CR6: IRB – Credit risk exposures by portfolio and PD range |
|
|
|
|
|
|
|
| ||||||
USD million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 138,755 | 207 | 138,961 | 49.4 | 138,852 | 0.0 | 0.1 | 30.4 | 1.0 | 2,455 | 1.8 | 3 |
|
0.15 to <0.25 |
| 0 |
| 0 |
| 0 | 0.2 | <0.1 | 65.8 | 1.0 | 0 | 41.8 | 0 |
|
0.25 to <0.50 |
| 0 |
| 0 |
| 0 | 0.3 | <0.1 | 45.0 | 1.0 | 0 | 44.4 | 0 |
|
0.50 to <0.75 |
| 4 |
| 4 |
| 4 | 0.7 | <0.1 | 53.1 | 1.1 | 3 | 77.7 | 0 |
|
0.75 to <2.50 |
| 1 | 0 | 1 | 55.0 | 1 | 1.4 | <0.1 | 39.4 | 2.5 | 1 | 111.6 | 0 |
|
2.50 to <10.00 |
| 0 | 1 | 1 | 76.1 | 1 | 2.7 | <0.1 | 10.2 | 4.4 | 0 | 33.0 | 0 |
|
10.00 to <100.00 |
| 0 | 0 | 0 | 9.7 | 0 | 13.0 | <0.1 | 45.0 | 1.0 | 0 | 206.7 | 0 |
|
100.00 (default) |
| 13 | 36 | 49 | 55.0 | 22 | 100.0 | <0.1 | 21.83 | 6.44 | 23 | 106.0 | 11 |
|
Subtotal |
| 138,772 | 243 | 139,016 | 50.4 | 138,880 | 0.0 | 0.1 | 30.4 | 1.0 | 2,482 | 1.8 | 14 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 139,976 | 187 | 140,163 | 50.6 | 140,066 | 0.0 | 0.1 | 41.1 | 1.0 | 3,030 | 2.2 | 4 |
|
0.15 to <0.25 |
| 0 |
| 0 |
| 0 | 0.2 | <0.1 | 64.1 | 1.0 | 0 | 40.6 | 0 |
|
0.25 to <0.50 |
| 1 |
| 1 |
| 1 | 0.3 | <0.1 | 54.5 | 1.0 | 1 | 53.7 | 0 |
|
0.50 to <0.75 |
| 5 |
| 5 |
| 5 | 0.7 | <0.1 | 52.9 | 1.1 | 4 | 77.5 | 0 |
|
0.75 to <2.50 |
| 1 | 0 | 1 | 55.0 | 1 | 1.1 | <0.1 | 37.3 | 2.7 | 1 | 101.6 | 0 |
|
2.50 to <10.00 |
| 0 | 4 | 4 | 56.3 | 2 | 3.6 | <0.1 | 56.4 | 2.4 | 4 | 166.2 | 0 |
|
10.00 to <100.00 |
| 0 | 0 | 0 | 9.8 | 0 | 13.9 | <0.1 | 44.9 | 1.0 | 0 | 211.4 | 0 |
|
100.00 (default) |
| 13 | 37 | 51 | 55.0 | 23 | 100.0 | <0.1 | 20.73 | 6.34 | 25 | 106.0 | 10 |
|
Subtotal |
| 139,996 | 228 | 140,224 | 51.4 | 140,098 | 0.0 | 0.1 | 41.1 | 1.0 | 3,064 | 2.2 | 14 | 12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 139,551 | 19 | 139,570 | 46.7 | 139,558 | 0.0 | 0.1 | 29.1 | 1.0 | 2,474 | 1.8 | 3 |
|
0.15 to <0.25 |
| 0 |
| 0 |
| 0 | 0.2 | <0.1 | 55.2 | 1.0 | 0 | 34.7 | 0 |
|
0.25 to <0.50 |
| 3 | 0 | 3 | 9.8 | 3 | 0.3 | <0.1 | 54.9 | 1.0 | 1 | 54.2 | 0 |
|
0.50 to <0.75 |
| 9 |
| 9 |
| 9 | 0.7 | <0.1 | 97.9 | 1.1 | 13 | 143.1 | 0 |
|
0.75 to <2.50 |
| 2 | 0 | 2 | 55.0 | 1 | 1.0 | <0.1 | 38.3 | 2.6 | 1 | 101.5 | 0 |
|
2.50 to <10.00 |
| 4 | 12 | 15 | 52.1 | 10 | 3.6 | <0.1 | 54.3 | 2.7 | 16 | 162.2 | 0 |
|
10.00 to <100.00 |
| 28 | 0 | 28 | 9.8 | 28 | 13.9 | <0.1 | 5.0 | 1.0 | 8 | 27.1 | 0 |
|
100.00 (default) |
| 13 | 37 | 50 | 55.0 | 23 | 100.0 | <0.1 | 20.73 | 5.94 | 25 | 106.0 | 10 |
|
Subtotal |
| 139,609 | 68 | 139,676 | 52.2 | 139,632 | 0.0 | 0.2 | 29.1 | 1.0 | 2,537 | 1.8 | 14 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 11,797 | 1,914 | 13,711 | 50.6 | 12,591 | 0.0 | 0.5 | 39.0 | 1.0 | 1,877 | 14.9 | 3 |
|
0.15 to <0.25 |
| 691 | 2,191 | 2,882 | 84.3 | 2,304 | 0.2 | 0.3 | 50.4 | 2.1 | 1,335 | 58.0 | 2 |
|
0.25 to <0.50 |
| 665 | 431 | 1,097 | 52.1 | 815 | 0.4 | 0.2 | 47.4 | 1.5 | 532 | 65.3 | 1 |
|
0.50 to <0.75 |
| 478 | 287 | 765 | 44.2 | 577 | 0.6 | 0.1 | 45.3 | 1.0 | 478 | 82.8 | 2 |
|
0.75 to <2.50 |
| 830 | 574 | 1,404 | 47.5 | 922 | 1.4 | 0.2 | 46.3 | 1.3 | 1,013 | 109.8 | 6 |
|
2.50 to <10.00 |
| 282 | 462 | 744 | 44.8 | 377 | 3.6 | 0.2 | 64.4 | 1.1 | 810 | 214.7 | 9 |
|
10.00 to <100.00 |
| 44 | 11 | 54 | 43.3 | 27 | 14.2 | <0.1 | 38.2 | 1.2 | 57 | 212.6 | 4 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 14,786 | 5,870 | 20,657 | 62.2 | 17,614 | 0.3 | 1.5 | 42.0 | 1.2 | 6,102 | 34.6 | 28 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 12,528 | 1,769 | 14,296 | 53.9 | 13,516 | 0.0 | 0.5 | 41.7 | 1.1 | 2,355 | 17.4 | 6 |
|
0.15 to <0.25 |
| 836 | 545 | 1,381 | 39.1 | 670 | 0.2 | 0.3 | 54.9 | 1.3 | 345 | 51.5 | 1 |
|
0.25 to <0.50 |
| 559 | 452 | 1,011 | 49.4 | 663 | 0.4 | 0.2 | 62.1 | 1.0 | 541 | 81.6 | 2 |
|
0.50 to <0.75 |
| 316 | 206 | 522 | 40.7 | 354 | 0.6 | 0.1 | 51.3 | 1.1 | 307 | 86.7 | 1 |
|
0.75 to <2.50 |
| 539 | 268 | 807 | 27.7 | 484 | 1.4 | 0.2 | 61.5 | 0.9 | 724 | 149.5 | 4 |
|
2.50 to <10.00 |
| 244 | 269 | 513 | 43.4 | 264 | 5.1 | 0.2 | 51.4 | 1.0 | 488 | 184.7 | 6 |
|
10.00 to <100.00 |
| 0 | 4 | 4 | 29.5 | 1 | 17.0 | <0.1 | 12.2 | 1.2 | 1 | 67.9 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 15,022 | 3,513 | 18,535 | 47.4 | 15,953 | 0.2 | 1.5 | 44.1 | 1.1 | 4,762 | 29.8 | 20 | 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 11,855 | 1,805 | 13,659 | 54.1 | 12,639 | 0.1 | 0.5 | 43.0 | 1.1 | 2,433 | 19.2 | 4 |
|
0.15 to <0.25 |
| 1,011 | 458 | 1,469 | 45.8 | 793 | 0.2 | 0.3 | 49.3 | 1.3 | 364 | 45.9 | 1 |
|
0.25 to <0.50 |
| 454 | 391 | 845 | 51.9 | 570 | 0.4 | 0.2 | 61.8 | 1.1 | 455 | 79.8 | 1 |
|
0.50 to <0.75 |
| 167 | 263 | 430 | 42.4 | 221 | 0.6 | 0.1 | 62.9 | 1.1 | 243 | 110.0 | 1 |
|
0.75 to <2.50 |
| 974 | 304 | 1,278 | 45.9 | 866 | 1.7 | 0.2 | 48.3 | 1.4 | 1,098 | 126.8 | 7 |
|
2.50 to <10.00 |
| 320 | 388 | 708 | 44.6 | 363 | 4.7 | 0.2 | 52.5 | 1.0 | 674 | 185.5 | 9 |
|
10.00 to <100.00 |
| 0 | 12 | 12 | 28.0 | 3 | 15.9 | <0.1 | 32.5 | 1.0 | 5 | 165.1 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 14,780 | 3,621 | 18,401 | 50.0 | 15,454 | 0.3 | 1.5 | 44.8 | 1.1 | 5,272 | 34.1 | 22 | 7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 6,854 | 754 | 7,609 | 12.8 | 6,951 | 0.0 | 0.3 | 35.3 | 1.1 | 543 | 7.8 | 1 |
|
0.15 to <0.25 |
| 277 | 239 | 516 | 11.8 | 305 | 0.2 | 0.2 | 30.7 | 2.7 | 82 | 26.9 | 0 |
|
0.25 to <0.50 |
| 608 | 405 | 1,013 | 25.7 | 713 | 0.3 | 0.2 | 25.3 | 2.5 | 198 | 27.8 | 1 |
|
0.50 to <0.75 |
| 33 | 7 | 41 | 10.0 | 34 | 0.6 | <0.1 | 28.7 | 2.7 | 16 | 47.3 | 0 |
|
0.75 to <2.50 |
| 1 | 0 | 1 | 97.9 | 1 | 1.0 | <0.1 | 13.4 | 1.2 | 0 | 18.9 | 0 |
|
2.50 to <10.00 |
| 1 | 6 | 7 | 54.7 | 4 | 2.9 | <0.1 | 6.0 | 5.0 | 1 | 17.6 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 4 |
| 4 |
| 4 | 100.0 | <0.1 |
| 1.04 | 4 | 106.0 |
|
|
Subtotal |
| 7,779 | 1,412 | 9,191 | 16.5 | 8,012 | 0.1 | 0.8 | 34.2 | 1.3 | 844 | 10.5 | 2 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 5,615 | 918 | 6,533 | 19.1 | 5,808 | 0.0 | 0.4 | 35.6 | 1.2 | 514 | 8.9 | 1 |
|
0.15 to <0.25 |
| 308 | 165 | 473 | 12.5 | 328 | 0.2 | 0.2 | 31.1 | 2.6 | 87 | 26.4 | 0 |
|
0.25 to <0.50 |
| 559 | 336 | 896 | 22.0 | 633 | 0.3 | 0.2 | 26.6 | 2.6 | 192 | 30.4 | 1 |
|
0.50 to <0.75 |
| 36 | 3 | 39 | 14.0 | 37 | 0.6 | <0.1 | 28.8 | 3.1 | 18 | 48.5 | 0 |
|
0.75 to <2.50 |
| 1 | 3 | 3 | 96.9 | 3 | 1.0 | <0.1 | 11.3 | 1.1 | 1 | 18.7 | 0 |
|
2.50 to <10.00 |
| 26 | 14 | 40 | 54.9 | 9 | 2.9 | <0.1 | 5.5 | 5.0 | 1 | 16.1 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 4 |
| 4 |
| 4 | 100.0 | <0.1 |
| 1.04 | 4 | 106.0 |
|
|
Subtotal |
| 6,549 | 1,439 | 7,988 | 19.5 | 6,822 | 0.1 | 0.8 | 34.4 | 1.4 | 817 | 12.0 | 1 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 6,816 | 909 | 7,725 | 19.2 | 6,990 | 0.0 | 0.4 | 37.2 | 1.1 | 433 | 6.2 | 1 |
|
0.15 to <0.25 |
| 350 | 221 | 571 | 12.0 | 377 | 0.2 | 0.2 | 29.9 | 2.6 | 99 | 26.4 | 0 |
|
0.25 to <0.50 |
| 581 | 332 | 913 | 24.3 | 662 | 0.3 | 0.2 | 27.4 | 2.7 | 210 | 31.7 | 1 |
|
0.50 to <0.75 |
| 44 | 1 | 44 | 27.6 | 44 | 0.6 | <0.1 | 31.7 | 3.0 | 23 | 51.9 | 0 |
|
0.75 to <2.50 |
| 1 | 3 | 5 | 90.4 | 4 | 1.1 | <0.1 | 17.8 | 1.1 | 1 | 28.1 | 0 |
|
2.50 to <10.00 |
| 5 | 20 | 25 | 53.3 | 16 | 2.8 | <0.1 | 5.5 | 4.9 | 3 | 17.0 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 7,797 | 1,487 | 9,284 | 19.9 | 8,093 | 0.1 | 0.8 | 36.0 | 1.3 | 769 | 9.5 | 2 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,947 | 420 | 2,367 | 77.3 | 2,271 | 0.1 | 0.4 | 14.9 | 2.1 | 174 | 7.6 | 0 |
|
0.15 to <0.25 |
| 1,501 | 524 | 2,024 | 60.7 | 1,819 | 0.2 | 0.3 | 15.9 | 2.0 | 265 | 14.6 | 1 |
|
0.25 to <0.50 |
| 3,812 | 2,141 | 5,953 | 31.3 | 4,464 | 0.4 | 0.6 | 27.3 | 2.0 | 1,436 | 32.2 | 4 |
|
0.50 to <0.75 |
| 4,141 | 3,420 | 7,560 | 31.5 | 5,141 | 0.6 | 0.6 | 31.8 | 1.5 | 2,470 | 48.0 | 10 |
|
0.75 to <2.50 |
| 7,333 | 2,377 | 9,710 | 36.8 | 8,206 | 1.4 | 1.4 | 31.7 | 1.7 | 5,550 | 67.6 | 37 |
|
2.50 to <10.00 |
| 1,163 | 296 | 1,459 | 61.0 | 1,343 | 3.5 | 0.3 | 39.2 | 1.5 | 1,507 | 112.2 | 19 |
|
10.00 to <100.00 |
| 0 |
| 0 |
| 0 | 12.0 | <0.1 | 65.0 | 1.0 | 0 | 289.5 | 0 |
|
100.00 (default) |
| 167 | 2 | 168 | 75.9 | 70 | 100.0 | 0.1 | 58.33 | 3.14 | 74 | 106.0 | 98 |
|
Subtotal |
| 20,063 | 9,178 | 29,241 | 37.5 | 23,313 | 1.2 | 3.8 | 28.5 | 1.8 | 11,475 | 49.2 | 169 | 112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 2,122 | 540 | 2,662 | 68.2 | 2,490 | 0.1 | 0.5 | 12.9 | 2.1 | 168 | 6.8 | 0 |
|
0.15 to <0.25 |
| 1,027 | 180 | 1,207 | 79.9 | 1,171 | 0.2 | 0.3 | 17.7 | 2.0 | 197 | 16.8 | 0 |
|
0.25 to <0.50 |
| 3,709 | 2,145 | 5,854 | 32.3 | 4,365 | 0.4 | 0.6 | 27.8 | 1.9 | 1,435 | 32.9 | 4 |
|
0.50 to <0.75 |
| 4,605 | 3,061 | 7,667 | 28.8 | 5,427 | 0.6 | 0.6 | 30.8 | 1.6 | 2,568 | 47.3 | 11 |
|
0.75 to <2.50 |
| 7,814 | 2,534 | 10,348 | 36.9 | 8,749 | 1.4 | 1.5 | 32.6 | 1.6 | 5,972 | 68.3 | 39 |
|
2.50 to <10.00 |
| 1,089 | 246 | 1,336 | 56.0 | 1,226 | 3.4 | 0.3 | 39.5 | 1.5 | 1,371 | 111.8 | 16 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 177 | 13 | 190 | 18.9 | 82 | 100.0 | 0.1 | 51.13 | 2.54 | 87 | 106.0 | 97 |
|
Subtotal |
| 20,544 | 8,720 | 29,264 | 36.3 | 23,511 | 1.3 | 3.8 | 28.9 | 1.7 | 11,798 | 50.2 | 169 | 113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,853 | 327 | 2,180 | 71.4 | 2,087 | 0.1 | 0.4 | 13.5 | 1.9 | 137 | 6.6 | 0 |
|
0.15 to <0.25 |
| 994 | 161 | 1,155 | 77.4 | 1,118 | 0.2 | 0.3 | 18.3 | 1.9 | 190 | 17.0 | 0 |
|
0.25 to <0.50 |
| 3,712 | 2,006 | 5,718 | 40.3 | 4,496 | 0.4 | 0.6 | 30.9 | 1.8 | 1,627 | 36.2 | 5 |
|
0.50 to <0.75 |
| 4,446 | 2,875 | 7,321 | 34.0 | 5,360 | 0.6 | 0.6 | 32.1 | 1.6 | 2,643 | 49.3 | 11 |
|
0.75 to <2.50 |
| 7,379 | 2,467 | 9,846 | 36.0 | 8,266 | 1.3 | 1.5 | 33.7 | 1.6 | 5,819 | 70.4 | 38 |
|
2.50 to <10.00 |
| 1,195 | 289 | 1,483 | 64.4 | 1,381 | 3.3 | 0.4 | 40.5 | 1.7 | 1,581 | 114.5 | 18 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 232 | 46 | 278 | 53.5 | 150 | 100.0 | 0.1 | 38.53 | 1.84 | 159 | 106.0 | 107 |
|
Subtotal |
| 19,810 | 8,171 | 27,981 | 39.7 | 22,858 | 1.6 | 3.8 | 30.6 | 1.7 | 12,156 | 53.2 | 180 | 121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 13,796 | 18,886 | 32,682 | 34.4 | 16,701 | 0.0 | 3.4 | 37.3 | 1.8 | 3,682 | 22.0 | 9 |
|
0.15 to <0.25 |
| 3,965 | 5,479 | 9,444 | 37.2 | 5,489 | 0.2 | 1.6 | 32.5 | 2.4 | 2,016 | 36.7 | 3 |
|
0.25 to <0.50 |
| 4,094 | 3,403 | 7,497 | 35.3 | 5,233 | 0.4 | 2.5 | 33.6 | 2.0 | 2,715 | 51.9 | 6 |
|
0.50 to <0.75 |
| 2,997 | 2,434 | 5,431 | 41.0 | 4,060 | 0.6 | 2.4 | 32.9 | 1.8 | 2,207 | 54.4 | 8 |
|
0.75 to <2.50 |
| 9,093 | 8,342 | 17,435 | 37.9 | 12,372 | 1.4 | 11.1 | 30.8 | 2.1 | 9,329 | 75.4 | 52 |
|
2.50 to <10.00 |
| 4,303 | 7,958 | 12,261 | 38.5 | 7,399 | 4.1 | 4.9 | 32.1 | 2.4 | 10,543 | 142.5 | 100 |
|
10.00 to <100.00 |
| 319 | 286 | 604 | 58.8 | 487 | 17.6 | 0.1 | 13.6 | 1.8 | 506 | 103.9 | 11 |
|
100.00 (default) |
| 1,091 | 166 | 1,257 | 44.9 | 790 | 100.0 | 0.7 | 33.13 | 2.74 | 838 | 106.0 | 385 |
|
Subtotal |
| 39,657 | 46,955 | 86,612 | 36.6 | 52,533 | 2.7 | 26.6 | 33.5 | 2.0 | 31,836 | 60.6 | 575 | 554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 15,564 | 20,154 | 35,718 | 37.6 | 18,265 | 0.0 | 3.9 | 37.9 | 1.7 | 3,777 | 20.7 | 25 |
|
0.15 to <0.25 |
| 4,176 | 5,345 | 9,521 | 39.3 | 5,573 | 0.2 | 1.7 | 34.0 | 2.4 | 2,173 | 39.0 | 3 |
|
0.25 to <0.50 |
| 3,207 | 4,024 | 7,231 | 39.8 | 4,776 | 0.4 | 2.5 | 34.4 | 2.3 | 2,626 | 55.0 | 6 |
|
0.50 to <0.75 |
| 3,733 | 2,418 | 6,151 | 40.4 | 4,814 | 0.6 | 2.6 | 33.6 | 1.9 | 2,959 | 61.5 | 10 |
|
0.75 to <2.50 |
| 8,838 | 5,029 | 13,867 | 44.4 | 11,167 | 1.4 | 11.2 | 29.3 | 2.1 | 7,502 | 67.2 | 44 |
|
2.50 to <10.00 |
| 4,015 | 7,707 | 11,722 | 40.0 | 7,107 | 4.0 | 4.8 | 31.3 | 2.3 | 9,301 | 130.9 | 87 |
|
10.00 to <100.00 |
| 259 | 326 | 584 | 55.5 | 439 | 15.5 | 0.1 | 14.7 | 1.8 | 434 | 98.8 | 8 |
|
100.00 (default) |
| 1,074 | 186 | 1,260 | 42.5 | 851 | 100.0 | 0.7 | 30.33 | 2.64 | 898 | 106.0 | 376 |
|
Subtotal |
| 40,865 | 45,188 | 86,054 | 39.5 | 52,992 | 2.7 | 27.4 | 33.8 | 2.0 | 29,669 | 56.0 | 560 | 521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 18,566 | 21,196 | 39,763 | 37.4 | 20,917 | 0.0 | 3.9 | 36.7 | 1.8 | 5,157 | 24.7 | 8 |
|
0.15 to <0.25 |
| 4,347 | 6,500 | 10,847 | 37.4 | 6,099 | 0.2 | 1.6 | 33.4 | 2.4 | 2,417 | 39.6 | 4 |
|
0.25 to <0.50 |
| 3,604 | 4,593 | 8,197 | 40.3 | 5,328 | 0.4 | 2.5 | 30.2 | 2.2 | 2,612 | 49.0 | 6 |
|
0.50 to <0.75 |
| 3,111 | 2,516 | 5,627 | 43.6 | 4,204 | 0.6 | 2.6 | 37.8 | 1.8 | 2,906 | 69.1 | 10 |
|
0.75 to <2.50 |
| 7,481 | 6,155 | 13,637 | 41.2 | 10,142 | 1.4 | 11.4 | 26.4 | 2.3 | 5,980 | 59.0 | 38 |
|
2.50 to <10.00 |
| 9,116 | 7,861 | 16,977 | 39.3 | 12,321 | 3.4 | 4.8 | 18.1 | 2.2 | 9,783 | 79.4 | 85 |
|
10.00 to <100.00 |
| 297 | 285 | 582 | 52.8 | 449 | 15.3 | 0.1 | 16.7 | 2.0 | 484 | 107.8 | 9 |
|
100.00 (default) |
| 1,385 | 409 | 1,794 | 41.5 | 1,178 | 100.0 | 0.7 | 22.73 | 2.54 | 1,249 | 106.0 | 385 |
|
Subtotal |
| 47,908 | 49,516 | 97,424 | 38.9 | 60,639 | 3.1 | 27.5 | 29.9 | 2.1 | 30,588 | 50.4 | 546 | 533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 64,019 | 1,427 | 65,447 | 60.5 | 64,883 | 0.1 | 129.2 | 18.5 |
| 2,692 | 4.1 | 10 |
|
0.15 to <0.25 |
| 14,093 | 290 | 14,383 | 75.6 | 14,312 | 0.2 | 21.0 | 22.5 |
| 1,324 | 9.3 | 6 |
|
0.25 to <0.50 |
| 21,278 | 505 | 21,783 | 81.3 | 21,688 | 0.3 | 28.4 | 23.3 |
| 3,238 | 14.9 | 18 |
|
0.50 to <0.75 |
| 14,121 | 363 | 14,484 | 87.7 | 14,439 | 0.6 | 16.2 | 24.0 |
| 3,377 | 23.4 | 22 |
|
0.75 to <2.50 |
| 22,450 | 1,358 | 23,808 | 80.0 | 23,536 | 1.3 | 28.5 | 26.7 |
| 10,025 | 42.6 | 85 |
|
2.50 to <10.00 |
| 8,416 | 318 | 8,734 | 82.6 | 8,678 | 4.4 | 10.8 | 23.5 |
| 6,479 | 74.7 | 90 |
|
10.00 to <100.00 |
| 981 | 26 | 1,007 | 94.8 | 1,006 | 15.8 | 1.2 | 22.6 |
| 1,245 | 123.8 | 35 |
|
100.00 (default) |
| 735 | 2 | 737 | 67.1 | 711 | 100.0 | 1.1 | 3.53 |
| 754 | 106.0 | 26 |
|
Subtotal |
| 146,093 | 4,290 | 150,383 | 74.3 | 149,255 | 1.2 | 236.3 | 21.7 |
| 29,133 | 19.5 | 292 | 110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 63,360 | 1,448 | 64,808 | 58.1 | 64,200 | 0.1 | 129.9 | 19.0 |
| 2,602 | 4.1 | 11 |
|
0.15 to <0.25 |
| 13,740 | 307 | 14,047 | 71.8 | 13,961 | 0.2 | 21.0 | 22.9 |
| 1,260 | 9.0 | 6 |
|
0.25 to <0.50 |
| 21,020 | 549 | 21,569 | 76.4 | 21,439 | 0.4 | 28.2 | 23.8 |
| 3,150 | 14.7 | 18 |
|
0.50 to <0.75 |
| 13,774 | 396 | 14,170 | 82.2 | 14,100 | 0.6 | 15.7 | 24.3 |
| 3,236 | 22.9 | 22 |
|
0.75 to <2.50 |
| 21,465 | 1,350 | 22,815 | 74.3 | 22,468 | 1.3 | 28.1 | 27.6 |
| 9,574 | 42.6 | 84 |
|
2.50 to <10.00 |
| 7,816 | 312 | 8,128 | 80.2 | 8,066 | 4.4 | 9.8 | 24.4 |
| 5,947 | 73.7 | 85 |
|
10.00 to <100.00 |
| 882 | 22 | 904 | 84.2 | 901 | 15.6 | 1.2 | 24.4 |
| 1,148 | 127.4 | 34 |
|
100.00 (default) |
| 739 | 7 | 746 | 38.9 | 717 | 100.0 | 1.1 | 3.33 |
| 760 | 106.0 | 24 |
|
Subtotal |
| 142,796 | 4,392 | 147,188 | 70.1 | 145,852 | 1.2 | 235.0 | 22.2 |
| 27,678 | 19.0 | 283 | 123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 62,193 | 1,272 | 63,465 | 56.8 | 62,916 | 0.1 | 129.5 | 19.4 |
| 2,460 | 3.9 | 10 |
|
0.15 to <0.25 |
| 13,409 | 229 | 13,638 | 69.0 | 13,567 | 0.2 | 20.7 | 23.3 |
| 1,186 | 8.7 | 6 |
|
0.25 to <0.50 |
| 20,155 | 479 | 20,634 | 81.1 | 20,544 | 0.4 | 27.8 | 24.2 |
| 2,955 | 14.4 | 18 |
|
0.50 to <0.75 |
| 13,276 | 425 | 13,701 | 87.8 | 13,649 | 0.6 | 15.4 | 24.5 |
| 3,063 | 22.4 | 21 |
|
0.75 to <2.50 |
| 21,252 | 1,318 | 22,570 | 77.9 | 22,278 | 1.3 | 27.1 | 28.3 |
| 9,433 | 42.3 | 85 |
|
2.50 to <10.00 |
| 7,608 | 260 | 7,868 | 83.5 | 7,825 | 4.3 | 10.2 | 25.1 |
| 5,715 | 73.0 | 85 |
|
10.00 to <100.00 |
| 912 | 25 | 937 | 84.2 | 933 | 15.3 | 1.2 | 24.4 |
| 1,140 | 122.2 | 35 |
|
100.00 (default) |
| 723 | 5 | 729 | 68.8 | 702 | 100.0 | 1.1 | 3.63 |
| 744 | 106.0 | 25 |
|
Subtotal |
| 139,529 | 4,013 | 143,542 | 72.5 | 142,413 | 1.2 | 232.8 | 22.6 |
| 26,696 | 18.7 | 286 | 151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.192 |
|
| ||||||||||||
0.00 to <0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15 to <0.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 107 | 373 | 480 |
| 148 | 1.7 | 36.3 | 47.0 |
| 41 | 28.0 | 1 |
|
2.50 to <10.00 |
| 1,282 | 5,632 | 6,915 |
| 1,776 | 2.7 | 947.4 | 42.0 |
| 625 | 35.2 | 19 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 33 |
| 33 |
| 20 | 100.0 | 24.4 | 40.03 |
| 21 | 106.0 | 13 |
|
Subtotal |
| 1,422 | 6,006 | 7,428 |
| 1,944 | 3.6 | 1,008.2 | 42.4 |
| 687 | 35.3 | 34 | 28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.192 |
|
| ||||||||||||
0.00 to <0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15 to <0.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 108 | 364 | 472 |
| 150 | 1.7 | 36.5 | 47.0 |
| 42 | 28.0 | 1 |
|
2.50 to <10.00 |
| 1,205 | 5,534 | 6,740 |
| 1,669 | 2.7 | 913.1 | 42.0 |
| 587 | 35.2 | 18 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 28 |
| 28 |
| 17 | 100.0 | 23.0 | 41.13 |
| 18 | 106.0 | 12 |
|
Subtotal |
| 1,342 | 5,898 | 7,240 |
| 1,836 | 3.5 | 972.6 | 42.4 |
| 647 | 35.2 | 31 | 26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.182 |
|
| ||||||||||||
0.00 to <0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15 to <0.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 103 | 348 | 450 |
| 142 | 1.7 | 34.6 | 47.0 |
| 40 | 28.0 | 1 |
|
2.50 to <10.00 |
| 1,166 | 5,213 | 6,378 |
| 1,614 | 2.7 | 860.5 | 42.0 |
| 568 | 35.2 | 18 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 26 |
| 26 |
| 16 | 100.0 | 21.4 | 40.03 |
| 17 | 106.0 | 11 |
|
Subtotal |
| 1,294 | 5,560 | 6,855 |
| 1,772 | 3.5 | 916.5 | 42.4 |
| 624 | 35.2 | 29 | 24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 108,053 | 226,115 | 334,169 | 18.4 | 149,666 | 0.0 | 201.8 | 32.5 |
| 6,535 | 4.4 | 20 |
|
0.15 to <0.25 |
| 1,977 | 3,610 | 5,587 | 18.9 | 2,660 | 0.2 | 4.5 | 29.7 |
| 304 | 11.4 | 1 |
|
0.25 to <0.50 |
| 1,405 | 2,235 | 3,640 | 18.2 | 1,811 | 0.4 | 2.2 | 34.4 |
| 385 | 21.3 | 2 |
|
0.50 to <0.75 |
| 837 | 1,193 | 2,031 | 18.4 | 1,056 | 0.6 | 1.7 | 33.1 |
| 315 | 29.9 | 2 |
|
0.75 to <2.50 |
| 2,793 | 7,052 | 9,845 | 15.0 | 3,846 | 1.1 | 42.5 | 35.4 |
| 1,568 | 40.8 | 14 |
|
2.50 to <10.00 |
| 860 | 773 | 1,633 | 16.5 | 980 | 5.6 | 1.4 | 64.5 |
| 1,073 | 109.5 | 41 |
|
10.00 to <100.00 |
| 166 | 26 | 192 | 31.9 | 175 | 15.4 | 0.7 | 30.8 |
| 115 | 65.7 | 9 |
|
100.00 (default) |
| 4 | 7 | 11 | 2.3 | 4 | 100.0 | <0.1 | 42.53 |
| 4 | 106.0 | 5 |
|
Subtotal |
| 116,096 | 241,012 | 357,108 | 18.3 | 160,197 | 0.1 | 254.9 | 32.8 |
| 10,298 | 6.4 | 95 | 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.19 |
|
| ||||||||||||
0.00 to <0.15 |
| 105,756 | 214,575 | 320,331 | 12.7 | 132,852 | 0.0 | 194.1 | 30.6 |
| 5,467 | 4.1 | 17 |
|
0.15 to <0.25 |
| 2,106 | 3,678 | 5,784 | 16.4 | 2,709 | 0.2 | 5.8 | 29.1 |
| 302 | 11.2 | 1 |
|
0.25 to <0.50 |
| 1,373 | 2,070 | 3,443 | 16.3 | 1,709 | 0.4 | 2.6 | 29.7 |
| 314 | 18.4 | 2 |
|
0.50 to <0.75 |
| 1,294 | 2,312 | 3,606 | 11.6 | 1,563 | 0.6 | 1.8 | 29.6 |
| 545 | 34.9 | 3 |
|
0.75 to <2.50 |
| 2,128 | 7,275 | 9,403 | 14.2 | 3,160 | 1.1 | 44.9 | 31.0 |
| 1,131 | 35.8 | 11 |
|
2.50 to <10.00 |
| 551 | 645 | 1,196 | 20.9 | 685 | 4.0 | 1.8 | 33.9 |
| 401 | 58.6 | 9 |
|
10.00 to <100.00 |
| 158 | 46 | 204 | 19.6 | 167 | 15.5 | 0.5 | 26.6 |
| 93 | 55.8 | 7 |
|
100.00 (default) |
| 19 | 1 | 19 | 38.0 | 14 | 100.0 | <0.1 | 34.33 |
| 15 | 106.0 | 5 |
|
Subtotal |
| 113,385 | 230,601 | 343,986 | 12.8 | 142,860 | 0.1 | 251.4 | 30.6 |
| 8,269 | 5.8 | 54 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 104,165 | 202,715 | 306,881 | 13.4 | 131,207 | 0.0 | 195.3 | 30.7 |
| 5,404 | 4.1 | 17 |
|
0.15 to <0.25 |
| 2,718 | 4,373 | 7,091 | 14.7 | 3,361 | 0.2 | 6.2 | 26.3 |
| 340 | 10.1 | 2 |
|
0.25 to <0.50 |
| 2,256 | 2,434 | 4,690 | 12.8 | 2,567 | 0.4 | 2.6 | 32.1 |
| 508 | 19.8 | 3 |
|
0.50 to <0.75 |
| 1,283 | 1,519 | 2,803 | 12.6 | 1,474 | 0.6 | 1.8 | 28.7 |
| 527 | 35.8 | 3 |
|
0.75 to <2.50 |
| 2,193 | 6,013 | 8,207 | 14.4 | 3,140 | 1.1 | 48.1 | 29.4 |
| 1,080 | 34.4 | 10 |
|
2.50 to <10.00 |
| 680 | 850 | 1,530 | 12.1 | 782 | 4.2 | 1.5 | 31.9 |
| 390 | 49.8 | 10 |
|
10.00 to <100.00 |
| 156 | 89 | 245 | 18.9 | 173 | 16.4 | 0.7 | 28.1 |
| 104 | 60.2 | 8 |
|
100.00 (default) |
| 27 | 8 | 34 | 2.1 | 22 | 100.0 | <0.1 | 19.43 |
| 23 | 106.0 | 5 |
|
Subtotal |
| 113,478 | 218,002 | 331,480 | 13.4 | 142,726 | 0.1 | 256.2 | 30.6 |
| 8,377 | 5.9 | 57 | 16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.19 |
| 484,669 | 314,965 | 799,634 | 22.9 | 551,748 | 0.7 | 1,532.1 | 29.4 | 1.35 | 92,858 | 16.8 | 1,208 | 836 |
Total 30.6.19 |
| 480,500 | 299,979 | 780,479 | 18.6 | 529,925 | 0.7 | 1,492.5 | 31.8 | 1.35 | 86,703 | 16.4 | 1,133 | 815 |
Total 31.12.18 |
| 484,205 | 290,438 | 774,644 | 19.6 | 533,587 | 0.8 | 1,439.3 | 28.5 | 1.45 | 87,019 | 16.3 | 1,135 | 864 |
1 In line with the Pillar 3 guidance, provisions are only provided for the sub-totals by asset class. 2 For the calculation of column “EAD post-CCF and post-CRM,” a balance factor approach is used instead of a CCF approach. The EAD is calculated by multiplying the on-balance sheet exposure with a fixed factor of 1.4. 3 Average LGD for defaulted exposures disclosed in the table are not used to calculate RWA. The disclosed number is derived using ECL accounting provisions (Stage 3) divided by total exposures pre-CCF. 4 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 5 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. | ||||||||||||||
p
49
UBS Group AG consolidated
Credit risk risk-weighted assets under the A-IRB approach
This sub-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 applied in the CR8 table below.
Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7
The references in the table below refer to the line numbers provided in the movement tables on this page and page 58 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 implementation 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 implementation 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. |
Development in the fourth quarter of 2019
Quarterly | Credit risk RWA under the A-IRB approach increased by USD 0.7 billion to USD 92.9 billion as of 31 December 2019.
The RWA decrease from asset size movements of USD 1.9 billion was predominantly driven by decreases in traded loans, term loan exposures and unutilized credit facilities in the Investment Bank’s Corporate Client Solutions business.
The increase in RWA from model updates of USD 0.9 billion was mainly 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, which resulted in an RWA increase of USD 0.4 billion in Personal & Corporate Banking and USD 0.1 billion in Global Wealth Management. In addition, a change of the credit conversion factor for zero-balance securities-backed lending and margin loans exposures increased RWA in Global Wealth Management by USD 0.4 billion. p
Quarterly |
CR8: RWA flow statements of credit risk exposures under IRB | ||||||||
USD million | For the quarter ended 31.12.19 |
| For the quarter ended 30.9.19 |
| For the quarter ended 30.6.19 |
| For the quarter ended 31.3.19 | |
1 | RWA as of the beginning of the quarter | 92,183 |
| 86,703 |
| 89,448 |
| 87,019 |
2 | Asset size | (1,936) |
| 5,830 |
| (1,454) |
| 3,212 |
3 | Asset quality | 55 |
| 472 |
| (989) |
| (70) |
4 | Model updates | 868 |
| 861 |
| 520 |
| 430 |
5 | Methodology and policy |
|
|
|
| (2,119) |
| (102) |
6 | Acquisitions and disposals |
|
|
|
| (53) |
|
|
7 | Foreign exchange movements | 1,688 |
| (1,313) |
| 976 |
| (667) |
8 | Other |
|
| (370) |
| 375 |
| (374) |
9 | RWA as of the end of the quarter | 92,858 |
| 92,183 |
| 86,703 |
| 89,448 |
|
|
|
|
|
|
|
|
|
p
50
Backtesting
Annual | More information about backtesting of credit models is provided on pages 134 of our Annual Report 2019. p
Annual |
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 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
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 | 0.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 2.0 | 1.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.6 | 3.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 13.9 | 13.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.1 | 1.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
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 | 0.4 |
| 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 | 0.1 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.7 | 1.4 |
| 0.2 | 0.2 |
| 0 | 0 | 0.2 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.7 | 3.1 |
| 0.2 | 0.2 |
| 0 | 0 | 0.3 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 15.9 | 16.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 1.1 |
Subtotal |
|
|
| 0.4 | 0.7 |
| 1.4 | 1.4 |
| 0 | 0 | 0.1 |
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 |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
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 | 0.2 |
| 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 |
| 1 | 0 | 0.6 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– |
|
|
| 0.0 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 8.3 |
Subtotal |
|
|
| 0.1 | 0.2 |
| 0.8 | 0.7 |
| 1 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
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 | |
| End of previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.4 | 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 |
| 1 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.6 | 0.6 |
| 0 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.6 | 0.6 |
| 0 | 0 | 0.2 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.4 |
| 1.5 | 1.4 |
| 4 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.3 | 3.5 |
| 0.4 | 0.3 |
| 6 | 0 | 1.3 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 6.1 |
Subtotal |
|
|
| 1.6 | 1.1 |
| 3.7 | 3.7 |
| 11 | 0 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 | 1.5 |
| 7 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.3 | 3.4 |
| 0.4 | 0.4 |
| 10 | 0 | 1.3 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 11.7 | 13.0 |
| < 0.1 | 0.0 |
| 1 | 0 | 6.7 |
Subtotal |
|
|
| 1.6 | 1.2 |
| 3.9 | 3.7 |
| 21 | 0 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 3.8 | 3.3 |
| 6 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 1.6 | 1.6 |
| 5 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 2.4 | 2.4 |
| 8 | 2 | 0.2 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 2.5 | 2.4 |
| 10 | 1 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.5 |
| 11.2 | 11.0 |
| 86 | 3 | 0.5 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.4 | 3.9 |
| 4.7 | 4.9 |
| 131 | 2 | 1.8 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 15.3 | 15.2 |
| 0.1 | < 0.1 |
| 15 | 1 | 10.8 |
Subtotal |
|
|
| 2.8 | 1.5 |
| 26.3 | 25.7 |
| 261 | 9 | 0.3 |
53
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: 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 129.5 | 129.2 |
| 88 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 20.7 | 21.0 |
| 29 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 27.8 | 28.4 |
| 49 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 15.4 | 16.2 |
| 89 | 0 | 0.3 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 27.0 | 28.5 |
| 85 | 1 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.3 | 4.2 |
| 10.2 | 10.8 |
| 98 | 0 | 1.2 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 15.3 | 15.7 |
| 1.2 | 1.2 |
| 39 | 0 | 3.4 |
Subtotal |
|
|
| 1.2 | 0.6 |
| 231.7 | 235.2 |
| 477 | 1 | 0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
54
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: other retail as of 31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| 195.3 | 201.8 |
| 15 | 1 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 6.2 | 4.5 |
| 1 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 2.6 | 2.2 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 1.8 | 1.7 |
| 0 | 0 | 0.1 |
0.75 to <2.50 | Baa2 to Ba3 | BB to BB– | BB to BB– | 1.1 | 1.0 |
| 48.1 | 42.5 |
| 6 | 1 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.2 | 3.4 |
| 1.5 | 1.4 |
| 0 | 0 | 0.1 |
10.00 to <100.00 | Caa to C | CCC to C | CCC to C | 16.4 | 21.3 |
| 0.7 | 0.7 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.1 | 0.3 |
| 256.2 | 254.9 |
| 23 | 2 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
1 This table 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” under “Credit risk models” in the “Risk management and control” section of our Annual Report 2019 for more information. 2 We use 12 years of data for the calculation of the “average historical annual default rate.” | ||||||||||||
p
55
UBS Group AG consolidated
Equity exposures
The table below provides information about our equity exposures under the simple risk weight method.
Semiannual |
CR10: IRB (equities under the simple risk-weight method)1 | ||||||
USD million, except where indicated |
| On-balance sheet amount | Off-balance sheet amount | Risk weight in %2 | Exposure amount3 | RWA2 |
|
|
|
|
|
|
|
31.12.19 |
|
| ||||
Exchange-traded equity exposures |
| 34 |
| 300 | 34 | 107 |
Other equity exposures |
| 1,010 |
| 400 | 744 | 3,154 |
Total |
| 1,043 |
|
| 777 | 3,261 |
|
|
|
|
|
|
|
30.6.19 |
|
| ||||
Exchange-traded equity exposures |
| 50 |
| 300 | 37 | 119 |
Other equity exposures |
| 999 |
| 400 | 751 | 3,182 |
Total |
| 1,049 |
|
| 788 | 3,302 |
|
|
|
|
|
|
|
31.12.18 |
|
| ||||
Exchange-traded equity exposures |
| 66 |
| 300 | 65 | 208 |
Other equity exposures |
| 1,122 |
| 400 | 814 | 3,450 |
Total |
| 1,188 |
|
| 879 | 3,658 |
1 This table includes investment in funds (until 31 December 2019), and 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
56
Introduction
Annual | This section provides information about the exposures subject to the Basel III counterparty credit risk framework, as presented in the “Regulatory exposures and risk-weighted assets” table on pages 20–22 of this report.
Counterparty credit risk (CCR) arises from over-the-counter (OTC) and exchange-traded derivatives (ETDs), securities financing transactions (SFTs) and long settlement transactions. Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EEPE) and stressed expected positive exposure (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. p
This section is structured into three sub-sections:
Counterparty credit risk management
Annual | This sub-section refers to disclosures regarding 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 | This sub-section comprises disclosures on the quarterly CCR risk-weighted assets (RWA) development. p
Counterparty credit risk exposure
Semiannual | This sub-section provides information about our CCR exposures, credit valuation adjustment (CVA), capital charge and credit derivatives exposures. This section excludes CCR exposures to central counterparties. CVA is separately covered in the CCR2 table. p
57
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 2019.
Annual |
CCRA – Counterparty credit risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Risk management objectives and policies related to counterparty credit risk |
| Risk, treasury and capital management |
| – | Traded products |
| 125–126 |
|
|
| – | Credit hedging |
| 129 | |
|
|
|
| – | Mitigation of settlement risk |
| 129 |
|
| Consolidated financial statements |
| – | Note 1a item 3e Securities borrowing / lending and repurchase / reverse repurchase transactions |
| 323 |
|
|
| – | Note 1a item 3j Hedge accounting |
| 331–332 | |
|
|
| – | Note 11 Derivative instruments |
| 365–370 | |
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 |
| 109–110 |
|
|
| – | Portfolio and position limits |
| 118 | |
|
|
| – | Credit risk – Overview of measurement, monitoring and management techniques |
| 119 | |
|
|
| – | Credit hedging |
| 129 | |
|
|
| – | Credit risk models |
| 129–135 | |
Policies relating to guarantees and other risk mitigants, and counterparty risk assessment |
| Risk, treasury and capital management |
| – | Credit risk mitigation |
| 127–129 |
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 365–370 | |
|
|
| – | Note 25 Offsetting financial assets and financial liabilities |
| 424–425 | |
Policies with respect to wrong-way risk exposures |
| Risk, treasury and capital management |
| – | Exposure at default |
| 131-132 |
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 |
| 167-168 |
p
Counterparty credit risk risk-weighted assets
Quarterly | CCR RWA under the internal model method (IMM) increased by USD 1.0 billion to USD 20.3 billion during the fourth quarter of 2019, primarily due to increased market
volatility affecting the derivative exposures. 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 50 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 31.12.19 |
| For the quarter ended 30.9.19 |
| For the quarter ended 30.6.19 |
| For the quarter ended 31.3.19 | |||||||||
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 |
| 19,309 | 5,426 | 24,736 |
| 20,133 | 5,453 | 25,587 |
| 19,371 | 5,889 | 25,260 |
| 17,624 | 5,036 | 22,660 |
2 | Asset size |
| 909 | 64 | 973 |
| (648) | 106 | (543) |
| 727 | (603) | 124 |
| 1,147 | 900 | 2,047 |
3 | Credit quality of counterparties |
| (138) | (194) | (332) |
| (5) | (80) | (85) |
| 9 | (85) | (76) |
| 15 | (189) | (174) |
4 | Model updates |
|
| 127 | 127 |
|
|
|
|
|
|
|
|
|
|
|
|
5 | Methodology and policy |
|
|
|
|
|
|
|
|
|
| 244 | 244 |
| 621 | 150 | 771 |
5a | of which: regulatory add-ons |
|
|
|
|
|
|
|
|
|
|
|
|
| 450 | 150 | 600 |
6 | Acquisitions and disposals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Foreign exchange movements |
| 194 | 79 | 273 |
| (170) | (53) | (223) |
| 26 | 9 | 35 |
| (36) | (8) | (44) |
8 | Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | RWA as of the end of the quarter |
| 20,275 | 5,502 | 25,777 |
| 19,309 | 5,426 | 24,736 |
| 20,133 | 5,453 | 25,587 |
| 19,371 | 5,889 | 25,260 |
| |||||||||||||||||
p
58
Counterparty credit exposure
Semiannual | This sub-section provides information about our CCR exposures, credit valuation adjustment (CVA) capital charge and
credit derivatives exposures. This sub-section excludes CCR exposures to central counterparties; CVA is separately covered in
the CCR2 table.
Exposure at default (EAD) post credit-risk mitigation (CRM) related to CCR increased by USD 2.2 billion to USD 104.2 billion and RWA decreased by USD 1.0 billion to USD 34.5 billion as of 31 December 2019. EAD post-CRM on derivative exposures increased by USD 1.8 billion to USD 56.7 billion, mainly driven by higher client activity levels in the Investment Bank increasing the exposures under IMM, partly offset by lower exposure of certain equity options after a change in measurement method from the CEM to the EPE measurement method. RWA on derivative exposures decreased by USD 0.9 billion to USD 23.7 billion due to reduced exposures in the Investment Bank’s Foreign Exchange, Rates and Credit business, partly offset by higher RWA from the aforementioned increase in client activity levels in the Investment Bank. 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 | |
|
|
|
|
|
|
|
|
|
31.12.19 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 5,2762 | 5,947 |
| 1.0 | 11,224 | 3,376 |
2 | Internal model method (for derivatives) |
|
|
| 28,391 | 1.6 | 45,426 | 19,896 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 17,572 | 5,858 |
5 | VaR (for SFTs) |
|
|
|
|
| 29,971 | 5,333 |
6 | Total |
|
|
|
|
| 104,192 | 34,463 |
|
|
|
|
|
|
|
|
|
30.6.19 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 5,7672 | 6,723 |
| 1.0 | 12,490 | 4,297 |
2 | Internal model method (for derivatives) |
|
|
| 26,468 | 1.6 | 42,349 | 19,874 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 21,048 | 5,982 |
5 | VaR (for SFTs) |
|
|
|
|
| 26,091 | 5,317 |
6 | Total |
|
|
|
|
| 101,978 | 35,470 |
| ||||||||
31.12.18 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 8,6702 | 8,168 |
| 1.0 | 16,838 | 3,664 |
2 | Internal model method (for derivatives) |
|
|
| 25,889 | 1.6 | 41,423 | 17,375 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 17,202 | 6,163 |
5 | VaR (for SFTs) |
|
|
|
|
| 25,149 | 4,939 |
6 | Total |
|
|
|
|
| 100,612 | 32,140 |
1 Calculated in accordance with the current exposure method (CEM), as presented in this table. From 1 January 2020 onwards, the “SA-CCR (for derivatives)” row will be calculated based on the standardized approach for counterparty credit risk (SA-CCR). 2 Replacement costs include collateral mitigation for on- and off-balance sheet exposures related to CCR for derivative transactions. | ||||||||
p
Semiannual | In addition to the default risk capital requirements for CCR based on the advanced internal ratings-based or standardized approach, we are required to add a capital charge to derivatives to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality, referred to as the CVA. The advanced CVA value-at-risk (VaR) approach has been used to calculate the CVA capital charge where we apply IMM. Where this is not the case, the standardized CVA approach has been applied. More information about our portfolios subject to the CVA capital charge as of 31 December 2019 is provided in the CCR2 table below. p
Semiannual |
CCR2: Credit valuation adjustment (CVA) capital charge | ||||||||||
|
|
| 31.12.19 |
| 30.6.19 |
| 31.12.18 | |||
USD million |
| EAD post-CRM1 | RWA |
| EAD post-CRM1 | RWA |
| EAD post-CRM1 | RWA | |
| Total portfolios subject to the advanced CVA capital charge |
| 21,662 | 974 |
| 22,052 | 1,106 |
| 26,680 | 1,479 |
1 | (i) VaR component (including the 3× multiplier) |
|
| 180 |
|
| 205 |
|
| 271 |
2 | (ii) Stressed VaR component (including the 3× multiplier) |
|
| 794 |
|
| 900 |
|
| 1,208 |
3 | All portfolios subject to the standardized CVA capital charge |
| 4,630 | 926 |
| 4,842 | 1,447 |
| 4,946 | 1,338 |
4 | Total subject to the CVA capital charge |
| 26,292 | 1,900 |
| 26,894 | 2,553 |
| 31,626 | 2,816 |
1 Includes EAD of the underlying portfolio subject to the respective CVA charge. | ||||||||||
p
59
UBS Group AG consolidated
Semiannual | The CCR3 table below provides information about our CCR under the standardized approach. Total CCR exposures decreased by USD 0.4 billion to USD 6.3 billion, primarily driven by exposure decreases in the Investment Bank’s Corporate Client Solutions business. 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 31.12.19 |
|
| ||||||||
1 | Central governments and central banks |
| 207 |
|
|
|
|
|
|
| 207 |
2 | Banks and securities dealers |
|
|
| 63 | 72 |
| 4 |
|
| 140 |
3 | Public-sector entities and multilateral development banks |
|
|
| 31 | 446 |
| 11 |
|
| 488 |
4 | Corporates |
|
|
| 9 | 101 | 3,952 | 1,302 | 26 |
| 5,389 |
5 | Retail |
|
|
|
|
| 1 | 123 |
|
| 124 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 207 |
| 102 | 620 | 3,954 | 1,439 | 26 |
| 6,348 |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 30.6.19 |
|
| ||||||||
1 | Central governments and central banks |
| 169 |
|
|
|
| 3 |
|
| 172 |
2 | Banks and securities dealers |
|
|
| 112 | 117 |
| 3 |
|
| 232 |
3 | Public-sector entities and multilateral development banks |
|
|
| 99 | 228 |
| 71 |
|
| 398 |
4 | Corporates |
|
|
| 22 | 105 | 4,213 | 1,472 | 2 |
| 5,813 |
5 | Retail |
|
|
|
|
| 5 | 117 |
|
| 123 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 169 |
| 232 | 450 | 4,218 | 1,666 | 2 |
| 6,737 |
| |||||||||||
| Regulatory portfolio as of 31.12.18 |
|
| ||||||||
1 | Central governments and central banks |
| 202 |
|
|
|
| 0 |
|
| 202 |
2 | Banks and securities dealers |
|
|
| 31 | 176 | 0 | 4 | 0 |
| 210 |
3 | Public-sector entities and multilateral development banks |
|
|
| 0 |
|
|
|
|
| 1 |
4 | Corporates |
|
|
|
| 99 | 4,974 | 1,045 | 0 |
| 6,119 |
5 | Retail |
|
|
|
|
| 18 | 128 |
|
| 147 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 202 |
| 32 | 275 | 4,993 | 1,177 | 0 |
| 6,679 |
p
60
Semiannual | Information about RWA, including details of movements in CCR RWA, is provided on pages 6–9 of our 30 September 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors, and on page 58 of this report.
The CCR4 table below and on the following pages provides a breakdown of the key parameters used for the calculation of capital requirements under the advanced internal ratings-based (A-IRB) approach, by PD range across FINMA-defined asset classes. As of 31 December 2019, EAD post-CRM increased by USD 2.6 billion to USD 97.8 billion, while RWA decreased by USD 0.7 billion, resulting in a decrease in RWA density. The net increase in EAD post-CRM was mainly driven by new transactions from clients of the Investment Bank’s Equities business with favorable credit ratings, especially in the “Corporates: including specialized lending” asset class. The corresponding increase in RWA due to the aforementioned increase in EAD post-CRM was completely offset by lower RWA from corporate clients with a PD scale of 0.5 to <0.75, due to reduced exposure in the Investment Bank’s Foreign Exchange, Rates and Credit business after parameter updates for EPE measurement and lower exposures in Corporate Center and the Investment Bank’s Equities business. p
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 years3 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.19 |
|
| ||||||
0.00 to <0.15 |
| 8,443 | 0.0 | 0.1 | 35.4 | 0.4 | 490 | 5.8 |
0.15 to <0.25 |
| 129 | 0.2 | <0.1 | 50.3 | 0.6 | 37 | 28.6 |
0.25 to <0.50 |
| 261 | 0.3 | <0.1 | 53.1 | 0.7 | 149 | 57.3 |
0.50 to <0.75 |
| 108 | 0.7 | <0.1 | 55.0 | 1.0 | 87 | 80.4 |
0.75 to <2.50 |
| 13 | 1.0 | <0.1 | 44.7 | 0.8 | 11 | 87.2 |
2.50 to <10.00 |
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,954 | 0.1 | 0.1 | 36.3 | 0.4 | 774 | 8.6 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.19 |
|
| ||||||
0.00 to <0.15 |
| 9,795 | 0.0 | 0.1 | 33.4 | 0.3 | 489 | 5.0 |
0.15 to <0.25 |
| 200 | 0.2 | <0.1 | 44.8 | 1.0 | 64 | 32.3 |
0.25 to <0.50 |
| 213 | 0.3 | <0.1 | 55.0 | 1.0 | 116 | 54.5 |
0.50 to <0.75 |
| 195 | 0.7 | <0.1 | 54.2 | 1.0 | 151 | 77.4 |
0.75 to <2.50 |
| 23 | 0.9 | <0.1 | 53.3 | 0.5 | 20 | 85.2 |
2.50 to <10.00 |
| 5 | 2.6 | <0.1 | 80.0 | 1.0 | 11 | 198.1 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 10,432 | 0.1 | 0.2 | 34.5 | 0.3 | 851 | 8.2 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.18 |
|
| ||||||
0.00 to <0.15 |
| 8,415 | 0.0 | 0.1 | 44.0 | 0.3 | 740 | 8.8 |
0.15 to <0.25 |
| 197 | 0.2 | <0.1 | 65.3 | 0.9 | 93 | 47.0 |
0.25 to <0.50 |
| 128 | 0.3 | <0.1 | 84.3 | 1.0 | 106 | 83.4 |
0.50 to <0.75 |
| 100 | 0.7 | <0.1 | 45.0 | 1.0 | 85 | 85.1 |
0.75 to <2.50 |
| 23 | 1.0 | <0.1 | 53.8 | 0.8 | 21 | 90.2 |
2.50 to <10.00 |
| 0 | 2.6 | <0.1 | 88.8 | 1.0 | 0 | 229.2 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,864 | 0.1 | 0.2 | 45.1 | 0.5 | 1,046 | 11.8 |
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 years3 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.19 |
|
| ||||||
0.00 to <0.15 |
| 13,108 | 0.1 | 0.4 | 48.9 | 0.8 | 2,539 | 19.4 |
0.15 to <0.25 |
| 4,287 | 0.2 | 0.2 | 48.7 | 0.8 | 1,568 | 36.6 |
0.25 to <0.50 |
| 1,615 | 0.4 | 0.2 | 46.6 | 0.7 | 766 | 47.4 |
0.50 to <0.75 |
| 650 | 0.7 | 0.1 | 63.1 | 0.8 | 632 | 97.3 |
0.75 to <2.50 |
| 573 | 1.1 | 0.1 | 38.6 | 0.9 | 404 | 70.5 |
2.50 to <10.00 |
| 33 | 3.2 | <0.1 | 73.5 | 1.0 | 71 | 217.8 |
10.00 to <100.00 |
| 1 | 14.9 | <0.1 | 90.0 | 1.0 | 6 | 431.9 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 20,267 | 0.2 | 1.1 | 48.9 | 0.8 | 5,985 | 29.5 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.19 |
|
| ||||||
0.00 to <0.15 |
| 13,548 | 0.1 | 0.4 | 49.3 | 0.8 | 2,706 | 20.0 |
0.15 to <0.25 |
| 3,892 | 0.2 | 0.2 | 48.9 | 0.9 | 1,422 | 36.5 |
0.25 to <0.50 |
| 1,490 | 0.4 | 0.2 | 43.4 | 0.7 | 651 | 43.7 |
0.50 to <0.75 |
| 559 | 0.7 | 0.1 | 60.3 | 1.1 | 545 | 97.5 |
0.75 to <2.50 |
| 303 | 1.3 | 0.2 | 63.4 | 0.7 | 370 | 122.2 |
2.50 to <10.00 |
| 57 | 3.7 | 0.1 | 74.0 | 1.0 | 132 | 233.9 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 19,849 | 0.2 | 1.1 | 49.4 | 0.8 | 5,827 | 29.4 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.18 |
|
| ||||||
0.00 to <0.15 |
| 13,103 | 0.1 | 0.4 | 50.5 | 0.8 | 2,672 | 20.4 |
0.15 to <0.25 |
| 3,927 | 0.2 | 0.2 | 48.3 | 0.8 | 1,415 | 36.0 |
0.25 to <0.50 |
| 1,458 | 0.4 | 0.2 | 49.9 | 0.8 | 764 | 52.4 |
0.50 to <0.75 |
| 636 | 0.7 | 0.1 | 58.8 | 0.8 | 551 | 86.7 |
0.75 to <2.50 |
| 352 | 1.2 | 0.2 | 63.7 | 0.8 | 432 | 122.8 |
2.50 to <10.00 |
| 320 | 7.5 | 0.1 | 12.0 | 0.2 | 132 | 41.2 |
10.00 to <100.00 |
|
| 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 |
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 years3 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.19 |
|
| ||||||
0.00 to <0.15 |
| 2,102 |
| 0.1 | 36.1 | 1.1 | 133 | 6.3 |
0.15 to <0.25 |
| 58 | 0.2 | <0.1 | 86.5 | 1.0 | 27 | 46.7 |
0.25 to <0.50 |
| 4 | 0.4 | <0.1 | 86.9 | 1.0 | 4 | 114.7 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 0 | 1.0 | <0.1 | 35.0 | 1.0 | 0 | 60.4 |
2.50 to <10.00 |
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 22 | 100.0 | <0.1 |
| 3.4 | 23 | 106.0 |
Subtotal |
| 2,185 | 1.0 | 0.1 | 37.2 | 1.1 | 187 | 8.6 |
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 30.6.19 |
|
| ||||||
0.00 to <0.15 |
| 1,886 | 0.0 | 0.1 | 37.0 | 1.1 | 122 | 6.5 |
0.15 to <0.25 |
| 31 | 0.2 | <0.1 | 58.4 | 1.1 | 10 | 33.4 |
0.25 to <0.50 |
| 7 | 0.3 | <0.1 | 73.8 | 1.0 | 6 | 90.9 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 1 | 1.0 | <0.1 | 75.5 | 1.0 | 1 | 168.4 |
2.50 to <10.00 |
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 22 | 100.0 | <0.1 |
|
| 23 | 106.0 |
Subtotal |
| 1,946 | 1.2 | 0.1 | 37.2 | 1.1 | 163 | 8.4 |
|
|
|
|
|
|
|
|
|
Public-sector entities, multilateral development banks as of 31.12.18 |
|
| ||||||
0.00 to <0.15 |
| 2,519 | 0.0 | 0.1 | 43.7 | 1.1 | 223 | 8.8 |
0.15 to <0.25 |
| 86 | 0.2 | <0.1 | 53.2 | 1.1 | 28 | 32.3 |
0.25 to <0.50 |
| 39 | 0.4 | <0.1 | 61.3 | 1.0 | 24 | 62.6 |
0.50 to <0.75 |
|
|
| <0.1 | 0.0 | 0.0 |
| 0.0 |
0.75 to <2.50 |
| 0 | 1.0 | <0.1 | 35.0 | 1.0 | 0 | 60.4 |
2.50 to <10.00 |
| 0 | 2.7 | <0.1 | 35.0 | 1.0 | 0 | 87.4 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 12 | 100.0 | <0.1 |
|
| 13 | 106.0 |
Subtotal |
| 2,657 | 0.5 | 0.1 | 44.1 | 1.1 | 288 | 10.8 |
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 years3 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.191 |
|
| ||||||
0.00 to <0.15 |
| 40,175 | 0.0 | 11.6 | 35.7 | 0.5 | 5,807 | 14.5 |
0.15 to <0.25 |
| 6,620 | 0.2 | 1.7 | 57.5 | 0.7 | 4,217 | 63.7 |
0.25 to <0.50 |
| 2,305 | 0.4 | 0.8 | 83.7 | 0.9 | 3,494 | 151.6 |
0.50 to <0.75 |
| 3,351 | 0.6 | 0.9 | 36.9 | 0.6 | 3,000 | 89.5 |
0.75 to <2.50 |
| 5,708 | 1.2 | 1.5 | 28.9 | 0.5 | 4,655 | 81.5 |
2.50 to <10.00 |
| 2,182 | 3.2 | 0.2 | 10.1 | 0.2 | 940 | 43.1 |
10.00 to <100.00 |
| 2 | 14.9 | <0.1 | 90.0 | 1.0 | 10 | 431.9 |
100.00 (default) |
| 1 | 100.0 | <0.1 |
| 1.0 | 1 | 106.0 |
Subtotal |
| 60,344 | 0.3 | 16.7 | 38.4 | 0.6 | 22,125 | 36.7 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 30.6.191 |
|
| ||||||
0.00 to <0.15 |
| 36,389 | 0.0 | 12.7 | 35.2 | 0.6 | 5,205 | 14.3 |
0.15 to <0.25 |
| 7,062 | 0.2 | 1.7 | 53.2 | 0.7 | 4,116 | 58.3 |
0.25 to <0.50 |
| 2,222 | 0.4 | 0.9 | 82.1 | 0.9 | 3,312 | 149.1 |
0.50 to <0.75 |
| 3,661 | 0.6 | 1.0 | 57.1 | 0.6 | 4,879 | 133.3 |
0.75 to <2.50 |
| 5,367 | 1.2 | 1.7 | 28.0 | 0.5 | 4,388 | 81.8 |
2.50 to <10.00 |
| 2,219 | 3.2 | 0.4 | 12.2 | 0.2 | 1,190 | 53.6 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 1 | 100.0 | <0.1 |
|
| 1 | 106.0 |
Subtotal |
| 56,921 | 0.3 | 18.5 | 39.1 | 0.6 | 23,092 | 40.6 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.181 |
|
| ||||||
0.00 to <0.15 |
| 35,475 | 0.0 | 12.0 | 35.0 | 0.6 | 4,717 | 13.3 |
0.15 to <0.25 |
| 6,761 | 0.2 | 1.6 | 51.0 | 0.6 | 3,688 | 54.6 |
0.25 to <0.50 |
| 2,194 | 0.4 | 0.9 | 78.3 | 1.0 | 2,815 | 128.3 |
0.50 to <0.75 |
| 2,351 | 0.6 | 1.0 | 68.2 | 0.6 | 3,668 | 156.0 |
0.75 to <2.50 |
| 4,311 | 1.2 | 1.6 | 28.2 | 0.7 | 3,569 | 82.8 |
2.50 to <10.00 |
| 1,311 | 3.2 | 0.3 | 13.8 | 0.4 | 819 | 62.4 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 5.0 | 1.0 | 0 | 36.7 |
100.00 (default) |
| 1 | 100.0 | <0.1 |
|
| 1 | 106.0 |
Subtotal |
| 52,403 | 0.3 | 17.3 | 39.3 | 0.6 | 19,276 | 36.8 |
64
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 years3 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.19 |
|
| ||||||
0.00 to <0.15 |
| 5,355 | 0.0 | 13.1 | 31.1 |
| 223 | 4.2 |
0.15 to <0.25 |
| 31 | 0.2 | 0.1 | 27.0 |
| 3 | 10.4 |
0.25 to <0.50 |
| 32 | 0.4 | 0.1 | 31.5 |
| 6 | 19.5 |
0.50 to <0.75 |
| 44 | 0.6 | 0.1 | 44.5 |
| 17 | 38.5 |
0.75 to <2.50 |
| 591 | 1.0 | 10.7 | 29.9 |
| 312 | 52.7 |
2.50 to <10.00 |
| 40 | 3.4 | 0.1 | 28.8 |
| 17 | 43.2 |
10.00 to <100.00 |
| 2 | 21.5 | <0.1 | 28.9 |
| 1 | 70.1 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 6,095 | 0.2 | 24.1 | 31.1 |
| 579 | 9.5 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.19 |
|
| ||||||
0.00 to <0.15 |
| 5,299 | 0.0 | 16.9 | 28.9 |
| 205 | 3.9 |
0.15 to <0.25 |
| 83 | 0.2 | 0.3 | 27.3 |
| 9 | 10.5 |
0.25 to <0.50 |
| 38 | 0.4 | 0.2 | 29.8 |
| 7 | 18.4 |
0.50 to <0.75 |
| 57 | 0.6 | 0.1 | 42.4 |
| 21 | 36.7 |
0.75 to <2.50 |
| 603 | 1.0 | 11.6 | 29.6 |
| 186 | 30.8 |
2.50 to <10.00 |
| 12 | 2.9 | 0.4 | 28.7 |
| 5 | 42.3 |
10.00 to <100.00 |
| 2 | 21.8 | <0.1 | 37.0 |
| 2 | 90.4 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 6,093 | 0.2 | 29.5 | 29.1 |
| 433 | 7.1 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.18 |
|
| ||||||
0.00 to <0.15 |
| 9,749 | 0.0 | 15.1 | 28.0 |
| 362 | 3.7 |
0.15 to <0.25 |
| 19 | 0.2 | 0.3 | 28.2 |
| 2 | 10.8 |
0.25 to <0.50 |
| 126 | 0.4 | 0.1 | 29.5 |
| 23 | 18.2 |
0.50 to <0.75 |
| 30 | 0.6 | 0.1 | 28.0 |
| 7 | 24.2 |
0.75 to <2.50 |
| 271 | 1.1 | 9.0 | 29.6 |
| 87 | 32.1 |
2.50 to <10.00 |
| 11 | 2.9 | 0.1 | 27.9 |
| 5 | 42.0 |
10.00 to <100.00 |
| 4 | 21.3 | <0.1 | 30.1 |
| 3 | 70.4 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 10,211 | 0.1 | 24.6 | 28.1 |
| 489 | 4.8 |
|
|
|
|
|
|
|
|
|
Total 31.12.19 |
| 97,845 | 0.3 | 42.1 | 39.9 | 0.62 | 29,651 | 30.3 |
Total 30.6.19 |
| 95,241 | 0.3 | 49.4 | 40.1 | 0.72 | 30,366 | 31.9 |
Total 31.12.18 |
| 93,933 | 0.2 | 43.4 | 41.0 | 0.72 | 27,075 | 28.8 |
1 Includes exposures to managed funds. 2 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. 3 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. | ||||||||
p
65
UBS Group AG consolidated
Semiannual |
The fair value of collateral posted for securities financing transactions decreased by USD 12.5 billion to USD 466.8 billion, resulting from client activities in the Investment Bank and Corporate Center.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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
| ||||||||||
Cash – domestic currency |
| 2,369 | 18,398 | 20,767 |
| 1,179 | 7,736 | 8,915 |
| 30,621 |
| 76,209 |
Cash – other currencies |
|
| 18,735 | 18,735 |
| 1,429 | 12,308 | 13,736 |
| 8,955 |
| 31,899 |
Sovereign debt |
| 6,432 | 6,150 | 12,582 |
| 8,373 | 5,243 | 13,616 |
| 232,051 |
| 162,091 |
Other debt securities |
|
| 2,231 | 2,231 |
| 1,643 | 409 | 2,052 |
| 78,903 |
| 28,532 |
Equity securities |
| 4,391 | 18 | 4,409 |
| 4,138 | 180 | 4,317 |
| 290,369 |
| 168,088 |
Total |
| 13,192 | 45,532 | 58,725 |
| 16,761 | 25,874 | 42,635 |
| 640,899 |
| 466,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 |
|
| ||||||||||
Cash – domestic currency |
| 2,492 | 17,321 | 19,813 |
| 1,584 | 6,508 | 8,093 |
| 30,459 |
| 78,118 |
Cash – other currencies |
|
| 20,106 | 20,106 |
| 1,658 | 13,742 | 15,400 |
| 10,467 |
| 41,381 |
Sovereign debt |
| 6,569 | 6,780 | 13,349 |
| 8,301 | 6,009 | 14,310 |
| 229,076 |
| 169,360 |
Other debt securities |
|
| 3,177 | 3,177 |
| 1,441 | 1,026 | 2,467 |
| 99,247 |
| 40,954 |
Equity securities |
| 3,776 | 28 | 3,804 |
| 999 | 566 | 1,565 |
| 266,468 |
| 149,513 |
Total |
| 12,837 | 47,412 | 60,249 |
| 13,983 | 27,852 | 41,835 |
| 635,717 |
| 479,327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 |
|
| ||||||||||
Cash – domestic currency |
| 2,042 | 16,958 | 19,000 |
| 1,221 | 6,980 | 8,200 |
| 33,134 |
| 72,932 |
Cash – other currencies |
|
| 19,784 | 19,285 |
| 1,591 | 13,808 | 15,399 |
| 12,987 |
| 49,636 |
Sovereign debt |
| 5,552 | 8,656 | 14,208 |
| 7,995 | 5,444 | 13,439 |
| 252,257 |
| 176,260 |
Other debt securities |
|
| 2,277 | 2,277 |
| 812 | 135 | 946 |
| 79,359 |
| 32,851 |
Equity securities |
| 4,778 | 23 | 4,801 |
| 1,570 | 1,465 | 3,035 |
| 243,027 |
| 145,939 |
Total |
| 12,372 | 47,698 | 59,571 |
| 13,190 | 27,831 | 41,020 |
| 620,764 |
| 477,617 |
1 This table includes collateral received and posted with and without the right of rehypothecation, but excludes securities placed with central banks related to undrawn credit lines and for payment, clearing and settlement purposes for which there were no associated liabilities or contingent liabilities. 2 Includes collateral received in derivative transactions, primarily initial margins, that is placed with a third-party custodian and to which UBS has access only in the case of counterparty default. 3 Includes collateral posted to central counterparties, where we apply a 0% risk weight for trades that we have entered into on behalf of a client and where the client has signed a legally enforceable agreement stipulating that the default risk of that central counterparty is carried by the client. | ||||||||||||
p
Semiannual | Notionals for credit derivatives decreased by USD 6.2 billion for protection bought and by USD 5.2 billion for protection sold, primarily due to compression activities in the Investment Bank’s Foreign Exchange, Rates and Credit business and Equities business. In addition, certain credit options in the Investment Bank’s Corporate Client Solutions business were unwound. p
Semiannual |
CCR6: Credit derivatives exposures | |||||||||
|
| 31.12.19 |
| 30.6.19 |
| 31.12.18 | |||
USD million |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
Notionals1 |
|
|
|
|
|
|
|
|
|
Single-name credit default swaps |
| 37,578 | 38,687 |
| 37,191 | 42,151 |
| 43,265 | 44,875 |
Index credit default swaps |
| 32,426 | 27,887 |
| 36,410 | 29,482 |
| 37,006 | 32,309 |
Total return swaps |
| 3,692 | 1,606 |
| 4,236 | 1,697 |
| 4,726 | 1,976 |
Credit options |
| 3,757 | 56 |
| 5,861 | 57 |
| 4,065 | 57 |
Other credit derivatives |
|
|
|
|
|
|
|
|
|
Total notionals |
| 77,452 | 68,236 |
| 83,698 | 73,388 |
| 89,063 | 79,218 |
Fair values |
|
|
|
|
|
|
|
|
|
Positive fair value (asset) |
| 682 | 1,338 |
| 947 | 1,314 |
| 1,117 | 815 |
Negative fair value (liability) |
| 2,050 | 916 |
| 2,059 | 1,260 |
| 1,612 | 1,232 |
1 Includes notional amounts for client-cleared transactions. | |||||||||
p
66
Background
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 the majority of our credit risk exposures.
The principal differences between the standardized approach (the 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 (the BCBS) in December 2017.
We believe that advanced approaches which 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, setting the right incentives to prudently manage risks.
Refer to the “Introduction and basis for preparation” section of this report for information about FINMA-defined asset classes.p
Key methodological differences between the A-IRB approach and current SA
Annual | In line with the BCBS objective, the aim of the A-IRB approach is 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 and the A-IRB approach 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, risk-weighted assets (RWA) and capital requirements under the current SA 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 approach than under the current SA.
Methodological differences primarily arise due to the measurement of exposure at default (EAD) and 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 methodological differences relate to derivatives, driven by the differences between the internal model method (the IMM) and the regulatory prescribed current exposure method (the 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. The modeling 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, EADs 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, 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 covered under the same legally enforceable netting agreement. 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 our internal model-based approaches.
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 (the PD) and loss given default (the LGD).
The PD is an estimate of the likelihood of a counterparty defaulting on its contractual obligations over the next 12 months. 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 low-default portfolios, where available, we take into account relevant external default data in the rating tool development. For Lombard loans, Merton-type historical return-based model simulations taking into account potential changes in the value of securities collateral are used in our rating approach. 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.
67
UBS Group AG consolidated
The LGD is 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 the likely recovery rate of claims against defaulted counterparties, which depends on the type of counterparty and any credit mitigation by way of collateral or guarantees, with our 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%, 75% and 100% are used for mortgages and retail exposures not in default, 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, for example, 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 for all asset classes except Retail, with the A-IRB approach producing a higher capital requirement for longer maturity exposures than for shorter maturity exposures.
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, RWA and leverage ratio denominator (LRD) for the asset classes Central governments and central banks; Multi-lateral development banks (MDBs) and Public-sector entities (PSEs); 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 disclosed below. p
Annual |
Comparison of A-IRB approach EAD and leverage ratio denominator by asset class | ||||||
31.12.19 |
| A-IRB, credit and counterparty credit risk |
| LRD | ||
in USD billion, except where indicated |
| Net EAD | Average RW % | RWA |
|
|
Central governments and central banks |
| 148 | 2 | 3 |
| 162 |
Multilateral development banks |
| 4 | 2 | 0 |
| 4 |
Public-sector entities |
| 6 | 16 | 1 |
| 7 |
Banks and securities dealers |
| 38 | 32 | 12 |
| 66 |
Corporates |
| 136 | 48 | 65 |
| 222 |
Retail |
| 317 | 13 | 41 |
| 284 |
of which: Residential mortgages |
| 149 | 20 | 29 |
| 154 |
of which: Lombard lending |
| 166 | 6 | 11 |
| 124 |
Total |
| 650 | 19 | 123 |
| 744 |
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, and Public sector entities, multi-lateral development banks
The regulatory net EAD for Central governments and central banks, MDBs and PSEs as of 31 December 2019 was USD 158 billion under the A-IRB approach. Since the vast majority of our exposure is driven by exposures to banking products, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.
The charts on this page provide comparisons of risk weights for exposures to the asset class Central governments and central banks and the sub-asset classes (i) highly rated MDBs and (ii) 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 131 of our Annual Report 2019.
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 to even the highest-quality sovereign counterparties.
For other MDB and PSE counterparties rated AA– and better, the risk weight applied under the SA is 20%.
Despite the zero risk weights under the SA for central governments and central banks rated AA– and better, and for highly rated MDB counterparties, we would expect an increase in average risk weight under the SA. Counterparties contributing to higher risk weights under the SA include sovereign wealth funds, which attract a 100% risk weight despite being generally considered very low risk, and short-term repurchase agreement transactions with central banks rated below AA–.
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 the asset class Banks and securities dealers as of 31 December 2019 was USD 38 billion under the A-IRB approach. The A-IRB net EAD is lower than the LRD, as a result of collateral mitigation on derivatives and securities financing transactions. We would expect the net EAD to increase under the SA 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.
69
UBS Group AG consolidated
The chart below provides a comparison of risk weights for Banks and securities dealers exposures calculated under the A‑IRB approach and the SA.
The vast majority of our exposure with 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.
Asset class Corporates
The regulatory net EAD for the asset class Corporates as of 31 December 2019 was USD 136 billion under the A-IRB approach. The A-IRB net EAD is lower than the LRD, as a result of collateral mitigation on derivatives and securities financing transactions. We would expect the EAD 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 account for 44% of the EAD for this asset class as of 31 December 2019.
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 corporate clients and small and medium-sized enterprises within Switzerland. The comparison does not include the FINMA-required multiplier applied to the Investment Bank’s Corporates exposures under the A-IRB approach.
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 such funds. Under A-IRB, these funds are considered very low risk and as of 31 December 2019 had an average risk weight of 15%. 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 assignments.
Interest | Total debt /EBITDA | 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 as of 31 December 2019 was USD 149 billion under the A-IRB approach. Since the vast majority of our exposures is driven by banking products, 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, among 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 the aforementioned asset classes, the SA is less complex and only differentiates the risk weights based on loan-to-value (LTV) ranges, as shown in the chart below.
The vast majority of our exposures would attract the minimum 35% risk weight under the SA, compared with an average of 20% as of 31 December 2019, 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 123 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors.
Sub-asset class Lombard lending
Annual | The regulatory net EAD for the sub-asset class Lombard loans as of 31 December 2019 was USD 166 billion under the A‑IRB approach and mainly arises in our wealth management business.
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
Introduction
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.
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 advise on securitization programs. In line with the Basel III framework, sponsoring includes underwriting activities. In all other cases, we act as an 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 Non-core and Legacy Portfolio within Corporate Center. In 2019, for the majority of securitization carrying amounts on the balance sheet, we acted as an originator or investor. Securitization and re-securitization 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 re-securitization 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 securitization transactions, 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.
Refer to “Note 31 Interests in subsidiaries and other entities” on pages 458-463 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors for further information about interests in structured entities. p
Managing and monitoring of the credit and market risk of securitization positions
Annual | The banking book securitization and re-securitization 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 us 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 312–313 in “Note 1 Summary of significant accounting policies” in the “Consolidated financial statements” section of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors, for information about accounting policies that relate to securitization activities. p
72
Regulatory capital treatment of securitization exposures
Annual | In line with the revised securitization framework for banking book securitization exposures, we apply the following approaches to calculate the associated risk-weighted assets (RWA):
– 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 both critically challenging and reviewing the external ratings; or
– if we cannot apply the ERBA method, 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%. Re-securitization positions are either treated under the standardized approach or with a 1,250% risk weight.
The selection of the external credit assessment institutions (ECAIs) 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 apply the lower of the two credit ratings. If all three rating agencies have issued a rating for a particular exposure, we apply the middle of the three credit ratings. As of 31 December 2019, 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 SEC1 and SEC2 tables outline the carrying amounts on the balance sheet in the banking and trading books as of 31 December 2019, 30 June 2019 and 31 December 2018. 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 amounts of the securitized exposures at issuance.
The SEC3 and SEC4 tables provide the regulatory capital requirements associated with the securitization exposure differentiated by our role in the securitization process.
Development of securitization exposures in the second half of 2019
In the second half of 2019, securitization exposures in the banking book decreased from USD 203 million to USD 188 million, reflecting amortization of exposure. The securitization exposures in the trading book decreased from USD 390 million to USD 352 million, mainly arising from secondary trading in commercial mortgage-backed securities in the Investment Bank.
For information about the development of exposures in the first half of 2019, refer to our 30 June 2019 Pillar 3 report, available 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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 81 |
| 81 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 82 |
2 | of which: residential mortgage |
| 81 |
| 81 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 82 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
| 106 |
| 106 |
| 106 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
|
|
|
|
| 0 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 106 |
| 106 |
| 106 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 81 |
| 81 |
| 0 |
| 0 |
|
|
|
|
| 107 |
| 107 |
| 188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 84 |
| 84 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 85 |
2 | of which: residential mortgage |
| 84 |
| 84 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 85 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
| 118 |
| 118 |
| 118 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
|
|
|
|
| 0 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 118 |
| 118 |
| 118 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 84 |
| 84 |
| 0 |
| 0 |
|
|
|
|
| 119 |
| 119 |
| 203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 87 |
| 87 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 88 |
2 | of which: residential mortgage |
| 87 |
| 87 |
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 88 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
| 125 |
| 125 |
| 126 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
|
|
|
|
| 0 |
| 0 |
|
|
|
|
|
|
|
|
| 0 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 126 |
| 126 |
| 126 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 87 |
| 87 |
| 0 |
| 0 |
|
|
|
|
| 126 |
| 126 |
| 213 |
p
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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 2 |
| 2 |
| 6 |
| 6 |
|
|
|
|
| 15 |
| 15 |
| 23 |
2 | of which: residential mortgage |
| 2 |
| 2 |
| 6 |
| 6 |
|
|
|
|
| 15 |
| 15 |
| 23 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
| 26 |
| 26 |
| 43 |
| 43 |
| 171 |
| 171 |
| 77 |
| 77 |
| 316 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
| 26 |
| 26 |
| 43 |
| 43 |
| 171 |
| 171 |
| 77 |
| 77 |
| 316 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | Re-securitization |
|
| 3 | 3 |
|
|
|
|
|
|
|
|
| 10 |
| 10 |
| 13 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 28 | 3 | 31 |
| 49 |
| 49 |
| 171 |
| 171 |
| 102 |
| 102 |
| 352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 | |||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 2 |
| 2 |
| 6 |
| 6 |
|
|
|
|
| 14 |
| 14 |
| 23 |
2 | of which: residential mortgage |
| 2 |
| 2 |
| 6 |
| 6 |
|
|
|
|
| 14 |
| 14 |
| 23 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
| 21 |
| 21 |
| 1 |
| 1 |
| 299 |
| 299 |
| 29 |
| 29 |
| 351 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
| 21 |
| 21 |
| 1 |
| 1 |
| 299 |
| 299 |
| 28 |
| 28 |
| 350 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
| 1 |
| 1 |
13 | Re-securitization |
|
| 6 | 6 |
|
|
|
|
|
|
|
|
| 10 |
| 10 |
| 16 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 24 | 6 | 30 |
| 7 |
| 7 |
| 299 |
| 299 |
| 53 |
| 53 |
| 390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 13 |
| 13 |
| 22 |
2 | of which: residential mortgage |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 13 |
| 13 |
| 22 |
3 | of which: credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | of which: student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | of which: consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
| 1 | 4 | 5 |
| 1 |
| 1 |
| 222 |
| 222 |
| 16 |
| 16 |
| 244 |
8 | of which: loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | of which: commercial mortgage |
| 1 |
| 1 |
| 1 |
| 1 |
| 222 |
| 222 |
| 14 |
| 14 |
| 238 |
10 | of which: lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: other wholesale |
|
| 4 | 4 |
|
|
|
|
|
|
|
|
| 3 |
| 3 |
| 6 |
13 | Re-securitization |
|
| 3 | 3 |
|
|
|
|
| 1 |
| 1 |
| 10 |
| 10 |
| 13 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 4 | 6 | 10 |
| 8 |
| 8 |
| 223 |
| 223 |
| 39 |
| 39 |
| 280 |
p
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% | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 81 |
|
|
|
| 61 | 21 |
|
| 74 | 7 |
|
|
| 557 |
|
| 529 |
| 28 |
|
|
| 45 |
|
| 42 | 2 |
|
2 | Traditional securitization |
| 81 |
|
|
|
| 61 | 21 |
|
| 74 | 7 |
|
|
| 557 |
|
| 529 |
| 28 |
|
|
| 45 |
|
| 42 | 2 |
|
3 | of which: securitization |
| 81 |
|
|
|
| 61 | 21 |
|
| 74 | 7 |
|
|
| 557 |
|
| 529 |
| 28 |
|
|
| 45 |
|
| 42 | 2 |
|
4 | of which: retail underlying |
| 81 |
|
|
|
| 61 | 21 |
|
| 74 | 7 |
|
|
| 556 |
|
| 529 |
| 28 |
|
|
| 45 |
|
| 42 | 2 |
|
5 | of which: wholesale |
| 0 |
|
|
|
| 0 | 0 |
|
|
|
|
|
|
| 0 |
|
|
|
| 0 |
|
|
| 0 |
|
|
| 0 |
|
6 | of which: re-securitization |
| 0 |
|
|
|
|
| 0 |
|
|
|
|
|
|
| 0 |
|
|
|
|
|
|
|
| 0 |
|
|
|
|
|
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Synthetic securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | of which: securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 | |||||||||||||||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 84 |
|
|
|
| 64 | 21 |
|
| 84 | 0 |
|
|
| 580 |
|
| 580 |
| 0 |
|
|
| 46 |
|
| 46 | 0 |
|
2 | Traditional securitization |
| 84 |
|
|
|
| 64 | 21 |
|
| 84 | 0 |
|
|
| 580 |
|
| 580 |
| 0 |
|
|
| 46 |
|
| 46 | 0 |
|
3 | of which: securitization |
| 84 |
|
|
|
| 64 | 21 |
|
| 84 | 0 |
|
|
| 580 |
|
| 580 |
| 0 |
|
|
| 46 |
|
| 46 | 0 |
|
4 | of which: retail underlying |
| 84 |
|
|
|
| 64 | 21 |
|
| 84 |
|
|
|
| 580 |
|
| 580 |
|
|
|
|
| 46 |
|
| 46 |
|
|
5 | of which: wholesale |
| 0 |
|
|
|
| 0 | 0 |
|
|
| 0 |
|
|
| 0 |
|
|
|
| 0 |
|
|
| 0 |
|
|
| 0 |
|
6 | of which: re-securitization |
| 0 |
|
|
|
|
| 0 |
|
|
|
|
|
|
| 0 |
|
|
|
|
|
|
|
| 0 |
|
|
|
|
|
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Synthetic securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | of which: securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (continue) |
|
|
| ||||||||||||||||||||||||||||
|
|
| 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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% | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 107 |
|
|
| 106 |
| 1 |
|
| 106 |
|
| 1 |
| 76 |
|
| 69 |
|
|
| 7 |
| 6 |
|
| 6 |
| 1 |
2 | Traditional securitization |
| 107 |
|
|
| 106 |
| 1 |
|
| 106 |
|
| 1 |
| 76 |
|
| 69 |
|
|
| 7 |
| 6 |
|
| 6 |
| 1 |
3 | of which: securitization |
| 107 |
|
|
| 106 |
| 1 |
|
| 106 |
|
| 1 |
| 76 |
|
| 69 |
|
|
| 7 |
| 6 |
|
| 6 |
| 1 |
4 | of which: retail underlying |
| 1 |
|
|
|
|
| 1 |
|
|
|
|
| 1 |
| 7 |
|
|
|
|
|
| 7 |
| 1 |
|
|
|
| 1 |
5 | of which: wholesale |
| 106 |
|
|
| 106 |
|
|
|
| 106 |
|
|
|
| 69 |
|
| 69 |
|
|
|
|
| 6 |
|
| 6 |
|
|
6 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Synthetic securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | of which: securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.19 | |||||||||||||||||||||||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 119 |
|
|
| 118 |
| 1 |
|
| 118 |
|
| 1 |
| 84 |
|
| 77 |
|
|
| 7 |
| 7 |
|
| 6 |
| 1 |
2 | Traditional securitization |
| 119 |
|
|
| 118 |
| 1 |
|
| 118 |
|
| 1 |
| 84 |
|
| 77 |
|
|
| 7 |
| 7 |
|
| 6 |
| 1 |
3 | of which: securitization |
| 119 |
|
|
| 118 |
| 1 |
|
| 118 |
|
| 1 |
| 84 |
|
| 77 |
|
|
| 7 |
| 7 |
|
| 6 |
| 1 |
4 | of which: retail underlying |
| 1 |
|
|
|
|
| 1 |
|
|
|
|
| 1 |
| 7 |
|
|
|
|
|
| 7 |
| 1 |
|
| 0 |
| 1 |
5 | of which: wholesale |
| 118 |
|
|
| 118 |
|
|
|
| 118 |
|
|
|
| 77 |
|
| 77 |
|
|
|
|
| 6 |
|
| 6 |
|
|
6 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Synthetic securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | of which: securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (continue) |
|
|
| ||||||||||||||||||||||||||||
|
|
| 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 |
|
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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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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 about each of these components is detailed on the following pages.
The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2019.
Annual |
MRA – Market risk | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Strategies and processes of the bank for market risk |
| Risk, treasury and capital management |
| – | Risk appetite framework |
| 111–114 |
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 138 | ||
|
| – | Market risk stress loss, Value-at-risk |
| 139–142 | ||
| Consolidated financial statements |
| – | Note 11 Derivative instruments |
| 365–370 | |
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 |
| 106 |
|
| – | Risk governance |
| 109–110 | ||
Scope and nature of risk reporting and measurement systems |
| Risk, treasury and capital management |
| – | Internal risk reporting |
| 115 |
|
|
| – | Main sources of market risk, Overview of measurement, monitoring and management techniques |
| 138 | |
p
80
Market risk risk-weighted assets
Market risk RWA development in the fourth quarter of 2019
Quarterly | The three main components that contribute to market risk RWA are VaR, SVaR and IRC. VaR and SVaR components include the RWA charge for RniV. From 30 June 2019 onward, the comprehensive risk measure (CRM)-based capital requirement has no longer been applicable to us, as we no longer hold eligible correlation trading positions.
The MR2 table on the next page provides a breakdown of the market risk RWA under an internal models approach movement in the fourth quarter of 2019 across these components, according to the movement categories defined by the Basel Committee on Banking Supervision. 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 decreased by USD 2.6 billion to USD 6.1 billion in the fourth quarter of 2019, driven by lower average regulatory value-at-risk (VaR) and stressed VaR levels observed in the Investment Bank’s Equities business and, to a lesser extent, from model updates, primarily related to the ongoing parameter update of the VaR model. This was partly offset by an increase from regulatory add-ons which reflect updates from the monthly risks-not-in-VaR (RniV) assessment.
The VaR multiplier remained unchanged, at 3, compared with the third quarter of 2019. 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 31.12.18 | 5,085 | 12,149 | 2,299 | 7 |
| 19,541 |
1a | Regulatory adjustment | (2,167) | (8,470) | (1,059) | (7) |
| (11,702) |
1b | RWA at previous quarter-end (end of day) | 2,918 | 3,680 | 1,240 | 0 |
| 7,838 |
2 | Movement in risk levels | (1,771) | (831) | (26) |
|
| (2,628) |
3 | Model updates / changes | (12) | 41 |
|
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| 29 |
4 | Methodology and policy |
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5 | Acquisitions and disposals |
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6 | Foreign exchange movements |
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7 | Other | (205) | (495) |
| 0 |
| (700) |
8a | RWA at the end of the reporting period (end of day) | 929 | 2,395 | 1,214 | 0 |
| 4,539 |
8b | Regulatory adjustment | 2,298 | 5,506 |
| 0 |
| 7,804 |
8c | RWA as of 31.3.19 | 3,227 | 7,901 | 1,214 | 0 |
| 12,343 |
1 | RWA as of 31.3.19 | 3,227 | 7,901 | 1,214 | 0 |
| 12,343 |
1a | Regulatory adjustment | (2,298) | (5,506) |
| 0 |
| (7,804) |
1b | RWA at previous quarter-end (end of day) | 929 | 2,395 | 1,214 | 0 |
| 4,539 |
2 | Movement in risk levels | (163) | (442) | 168 |
|
| (438) |
3 | Model updates / changes | (27) | (32) | (70) |
|
| (128) |
4 | Methodology and policy |
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5 | Acquisitions and disposals |
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6 | Foreign exchange movements |
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7 | Other | (53) | (71) |
| 0 |
| (124) |
8a | RWA at the end of the reporting period (end of day) | 687 | 1,850 | 1,312 |
|
| 3,849 |
8b | Regulatory adjustment | 1,874 | 4,591 | 212 |
|
| 6,677 |
8c | RWA as of 30.6.19 | 2,561 | 6,441 | 1,524 |
|
| 10,526 |
1 | RWA as of 30.6.19 | 2,561 | 6,441 | 1,524 |
|
| 10,526 |
1a | Regulatory adjustment | (1,874) | (4,591) | (212) |
|
| (6,677) |
1b | RWA at previous quarter-end (end of day) | 687 | 1,850 | 1,312 |
|
| 3,849 |
2 | Movement in risk levels | 987 | 1,295 | (61) |
|
| 2,222 |
3 | Model updates / changes | (909) | (1,749) | 136 |
|
| (2,522) |
4 | Methodology and policy |
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5 | Acquisitions and disposals |
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6 | Foreign exchange movements |
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7 | Other | (49) | (127) |
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| (176) |
8a | RWA at the end of the reporting period (end of day) | 716 | 1,270 | 1,388 |
|
| 3,374 |
8b | Regulatory adjustment | 1,481 | 3,837 | 23 |
|
| 5,341 |
8c | RWA as of 30.9.19 | 2,197 | 5,107 | 1,411 |
|
| 8,714 |
1 | RWA as of 30.9.19 | 2,197 | 5,107 | 1,411 |
|
| 8,714 |
1a | Regulatory adjustment | (1,481) | (3,837) | (23) |
|
| (5,341) |
1b | RWA at previous quarter-end (end of day) | 716 | 1,270 | 1,388 |
|
| 3,374 |
2 | Movement in risk levels | (166) | 49 | (164) |
|
| (280) |
3 | Model updates / changes | (126) | (92) |
|
|
| (218) |
4 | Methodology and policy |
|
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5 | Acquisitions and disposals |
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6 | Foreign exchange movements |
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7 | Other | 95 | 285 |
|
|
| 380 |
8a | RWA at the end of the reporting period (end of day) | 519 | 1,512 | 1,224 |
|
| 3,255 |
8b | Regulatory adjustment | 382 | 2,500 |
|
|
| 2,882 |
8c | RWA as of 31.12.19 | 901 | 4,012 | 1,224 |
|
| 6,137 |
1 Components that describe movements in RWA are presented in italics. | |||||||
p
82
Securitization positions in the trading book
Semiannual | Our exposure to securitization positions in the trading book includes exposures arising from secondary trading in commercial mortgage-backed securities in the Investment Bank, and limited positions in Non-core and Legacy Portfolio within Corporate Center that we continue to wind down. Refer to the “Regulatory exposures and risk-weighted assets” table on pages 20–22 of this report and to the “Securitizations” section of this report for more information.
The table below provides information about market risk RWA from securitization exposures in the trading book. p
Semiannual |
MR1: Market risk under standardized approach | ||||
| RWA | |||
USD million | 31.12.19 | 30.6.19 | 31.12.18 | |
| Outright products |
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1 | Interest rate risk (general and specific) |
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|
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2 | Equity risk (general and specific) |
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3 | Foreign exchange risk |
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4 | Commodity risk |
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| Options |
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5 | Simplified approach |
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6 | Delta-plus method |
|
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7 | Scenario approach |
|
|
|
8 | Securitization | 419 | 452 | 452 |
9 | Total | 419 | 452 | 452 |
| ||||
p
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2019. p
Annual |
MRB – Internal models approach | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Description of activities and risks covered by the VaR models and stressed VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 139–142 |
|
| – | Main sources of market risk |
| 138 | ||
VaR models applied by different entities within the Group |
| Risk, treasury and capital management |
| – | Main sources of market risk |
| 138 |
|
| – | Value-at-risk |
| 139–142 | ||
General description of VaR and stressed VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 139–142 |
|
|
|
|
|
| ||
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 |
| 139–142 |
|
|
|
|
|
| ||
Further information on VaR models |
| Risk, treasury and capital management |
| – | Value-at-risk |
| 139–142 |
|
|
|
| – | Market risk stress loss |
| 139 |
|
|
|
| – | Market risk – Overview of measurement, monitoring and management techniques |
| 138 |
|
| Consolidated financial statements |
| – | Note 24 Fair value measurement |
| 404–423 |
Description of stress testing applied to modeling parameters |
| Consolidated financial statements |
| – | Note 24 Fair value measurement |
| 404–423 |
Description of backtesting approach |
| Risk, treasury and capital management |
| – | Backtesting of VaR |
| 141–142 |
|
| – | VaR model confirmation |
| 142 | ||
p
83
UBS Group AG consolidated
Regulatory calculation of market risk
Semiannual | The MR3 table below shows minimum, maximum, average and period-end regulatory VaR, stressed VaR, the IRC and the comprehensive risk capital charge. Since the second
quarter of 2019, we have not held eligible correlation trading positions.
During the second half of 2019, average 10-day 99% regulatory and stressed VaR decreased due to our continued focus on managing tail risks. p
Semiannual |
MR3: IMA values for trading portfolios | ||||
| For the six-month period ended 31.12.19 | For the six-month period ended 30.6.19 | For the six-month period ended 31.12.18 | |
USD million |
|
|
| |
| VaR (10-day 99%) |
|
|
|
1 | Maximum value | 78 | 88 | 107 |
2 | Average value | 19 | 31 | 38 |
3 | Minimum value | 0 | 17 | 6 |
4 | Period end | 16 | 24 | 79 |
| Stressed VaR (10-day 99%) |
|
|
|
5 | Maximum value | 96 | 143 | 202 |
6 | Average value | 51 | 74 | 93 |
7 | Minimum value | 22 | 45 | 35 |
8 | Period end | 45 | 61 | 98 |
| Incremental risk charge (99.9%) |
|
|
|
9 | Maximum value | 139 | 141 | 247 |
10 | Average value | 104 | 107 | 193 |
11 | Minimum value | 76 | 87 | 99 |
12 | Period end | 98 | 105 | 99 |
| Comprehensive risk capital charge (99.9%) |
|
|
|
13 | Maximum value |
|
| 5 |
14 | Average value |
|
| 1 |
15 | Minimum value |
|
| 0 |
16 | Period end |
|
| 0 |
17 | Floor (standardized measurement method) |
|
| 0 |
| ||||
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 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 20–22 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 2019, 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 2019 | |||||||
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%) | 16 | 10 | 3.00 | 1.3 | 39 | 1,250% | 487 |
Stressed VaR (10-day 99%) | 45 | 43 | 3.00 | 1.3 | 167 | 1,250% | 2,082 |
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 or 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 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 under “VaR limitations” in the “Risk management and control” section of our Annual Report 2019, 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 Group Chief Market & Treasury Risk Officer. 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 below shows the 12-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for 2019. The chart shows both the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is a result of the long gamma risk profile that has been run historically in the Investment Bank.
The actual trading revenues include, in addition to backtesting revenues, intraday revenues.
There were no new Group VaR backtesting exceptions in the second half of 2019. The total number of backtesting exceptions within the most recent 250-business-day window decreased from 1 to 0. Correspondingly, the FINMA VaR multiplier used to compute regulatory and stressed VaR RWA remained unchanged at 3 throughout the period. p
Semiannual |
p
86
Risks-not-in-VaR definition
Annual | We have a framework to identify and quantify potential risks that are not entirely 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 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 is subject to recalibration at least once a quarter. As 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 as of 31 December 2019 were 85% and 93%, respectively.
FINMA continues to require that RniV stressed VaR capital is floored at RniV VaR capital. p
Annual |
Calculation of RniV-based RWA as of 31 December 2019 | |||
USD million | Period-end RWA (A) | RniV add-on (B) | RniV RWA (A x B) |
Regulatory VaR | 487 | 85% | 414 |
Stressed VaR | 2,082 | 93% | 1,930 |
Total RniV RWA |
|
| 2,344 |
| |||
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 99.9th 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 a 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 FIS 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 resulting from 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 20–22 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 2019 | |||||
| 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 | |||||
| 98 | 93 | 98 | 1,250% | 1,224 |
p
88
Comprehensive risk measure
Annual | The comprehensive risk measure (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. 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 default (LGD) rates
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 LGD rates. 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.
Since the second quarter of 2019, we have not held eligible correlation trading positions and therefore the CRM-based capital requirement has not been applicable to us. p
89
UBS Group AG consolidated
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2019. p
Annual |
ORA: Operational risk | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Details of the approach for operational risk capital assessment for which the bank qualifies |
| Risk, treasury and capital management |
| – | Operational risk framework |
| 154 |
Description of the advanced measurement approaches (AMA) for operational risk |
| Risk, treasury and capital management |
| – | Advanced measurement approach model |
| 155 |
p
90
Annual | The disclosures in this section take into account FINMA Circular 2019/2, which sets out minimum standards for the measurement, management, monitoring and control of interest rate risks in the banking book. p
Annual |
Interest rate risk in the banking book | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 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
|
| 143–146 |
p
Annual | Sources of interest rate risk in the banking book
Interest rate risk in the banking book (IRRBB) arises from balance sheet positions such as Loans and advances to banks, Loans and advances to customers, Financial assets at fair value not held for trading, Financial assets measured at amortized cost, Customer deposits, Debt issued measured at amortized cost, and derivatives, including those used for cash flow hedge accounting purposes. These positions may affect other comprehensive income (OCI) or the income statement, depending on their accounting treatment.
Our largest banking book interest rate exposures arise from customer deposits and lending products in Global Wealth Management and Personal & Corporate Banking. The inherent interest rate risks are generally transferred from Global Wealth Management and Personal & Corporate Banking to Group Treasury, to manage them centrally within Corporate Center. This allows for the netting of interest rate risks across different sources, while leaving the originating businesses with commercial margin and volume management. The residual interest rate risk is mainly hedged with interest rate swaps, to the vast majority of which we apply hedge accounting. Short-term exposures and high-quality liquid assets classified as Financial assets at fair value not held for trading are hedged with derivatives accounted for on a mark-to-market basis. Long-term fixed-rate debt issued is hedged with interest rate swaps designated in fair value hedge accounting relationships.
Risk management and governance
IRRBB is measured using a number of metrics, the most relevant of which are the following:
– Interest rate sensitivities to parallel shifts in yield curves, calculated as changes in the present value of future cash flows irrespective of accounting treatment. These are also the key risk factors for statistical and stress-based measures, such as value-at-risk and stress scenarios (including Economic Value of Equity (EVE) sensitivity), and are measured and reported with a daily frequency. EVE sensitivity is the exposure arising from the most adverse regulatory interest rate scenario after netting across currencies. In addition to the regulatory measure, we apply an internal EVE sensitivity metric that includes equity, goodwill, real estate and additional tier 1 (AT1) capital instruments.
– Net interest income (NII) sensitivity assesses the change in NII over a set time horizon compared with the baseline NII, which we internally calculate by assuming that interest rates in all currencies develop according to their market-implied forward rates and under the assumption of constant business volumes and no specific management actions. The internal NII sensitivity, which includes the contribution from cash held at central banks, unlike the Pillar 3 disclosure requirements, is measured and reported on a monthly basis.
We actively manage IRRBB, with the objective of reducing the volatility of NII, while keeping the EVE sensitivity within set internal risk limits.
EVE and NII sensitivity are monitored against limits and triggers, both at consolidated and at significant legal entity levels. We also assess the sensitivity of EVE and NII under stressed market conditions by applying a suite of parallel and non-parallel interest rate scenarios, as well as specific economic scenarios.
The Interest Rate Risk in the Banking Book Strategy Committee, which is a sub-committee of the Group Asset and Liability Committee (ALCO), and, where relevant, ALCOs at a legal entity level, perform independent oversight over the management of IRRBB. IRRBB is also subject to Group Internal Audit and model governance.
® Refer to “Group Internal Audit” in the “Corporate governance” section of this report and to “Risk measurement” in this section for more information
Key modeling assumptions
The cash flows from customer deposits and lending products used in the calculation of EVE sensitivity exclude commercial margins and other spread components, are aggregated for each business day and are discounted using risk-free rates. Our external issuances are discounted using UBS’s senior debt curve, and capital instruments are modeled to the first call date. NII sensitivity is calculated over a one-year time horizon, assuming constant balance sheet structure and volumes, and considers the flooring effect of embedded interest rate options.
The average repricing maturity of non-maturing deposits and loans is determined via replication portfolio strategies that are designed to protect product margin. Optimal replicating portfolios are determined at a granular currency- and product-specific level by simulating and applying a real-world market rate model to historically calibrated client rate and volume models.
91
UBS Group AG consolidated
We use an econometric prepayment model to forecast prepayment rates on US mortgage loans in UBS Bank USA, as well as agency mortgage-backed securities (MBSs) held in various liquidity portfolios of UBS Americas Holding LLC consolidated. These prepayment rates are used to forecast both mortgage loan and MBS balances under various macroeconomic scenarios. The prepayment model is used for a variety of purposes, including risk management and regulatory stress testing. Mortgages in Switzerland and fixed-term deposits generally do not carry similar optionality, due to prepayment and early redemption penalties.
Economic value and net interest income sensitivity
The interest rate risk sensitivity figures presented in the IRRBB1 table below represent the effect of six interest rate scenarios defined by FINMA on the theoretical present value of the banking book as well as the effect of the two parallel shock scenarios on the net interest income of the banking book. EVE sensitivity excludes equity, goodwill, real estate and additional tier 1 (AT1) capital instruments.
As of 31 December 2019, the most adverse of the six FINMA interest rate scenarios with regard to EVE was the “Parallel up” scenario, resulting in a change of the economic value of equity of negative USD 5.0 billion, representing a pro forma reduction of 9.6% of tier 1 capital, which is well below the regulatory outlier test of 15% of tier 1 capital. The immediate effect of the “Parallel up” scenario on tier 1 capital as of 31 December 2019 would be a reduction of 1.3%, or USD 0.7 billion, arising from the part of our banking book that is measured at fair value through profit or loss and from the financial assets measured at fair value through other comprehensive income.
The more adverse of the two parallel interest rate scenarios with regard to NII over the next 12 months was the “Parallel up” scenario, resulting in a potential change of negative USD 0.6 billion. This excludes the contribution from cash held at central banks as per FINMA Pillar 3 disclosure requirements. With the inclusion of the cash held at central banks, the NII would increase by USD 0.6 billion under the “Parallel up” scenario. p
Annual |
IRRBB1: Quantitative information about IRRBB | ||||||
As of 31.12.19 |
| Delta EVE – Change of economic value of equity |
| Delta NII – Change of Net interest income1 | ||
USD million |
| 31.12.19 | 30.6.19 |
| 31.12.19 | 30.6.19 |
Parallel up2 |
| (5,003) | (4,504) |
| (608) | (355) |
Parallel down2 |
| 4,316 | 3,807 |
| 48 | 204 |
Steepener3 |
| (816) | (749) |
|
|
|
Flattener4 |
| (337) | (298) |
|
|
|
Short-term up5 |
| (2,166) | (1,908) |
|
|
|
Short-term down6 |
| 2,292 | 2,048 |
|
|
|
Maximum7 |
| (5,003) | (4,504) |
| (608) | (355) |
|
|
|
|
|
|
|
Period |
| 31.12.19 |
| 30.6.19 | ||
Tier 1 capital |
| 51,888 |
| 49,993 | ||
1 Disclosure of the NII sensitivity is only required for the two parallel shock scenarios. The NII sensitivity estimates reflect the impact of immediate changes in interest rates, relative to constant rates, and assume no change to balance sheet size and structure, constant foreign exchange rates and no specific management action. Furthermore, the change in NII does not include the contribution from cash held at central banks. 2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps for pound sterling. 3 Short-term rates decrease and long-term rates increase. 4 Short-term rates increase and long-term rates decrease. 5 Short-term rates increase more than long-term rates. 6 Short-term rates decrease more than long-term rates. 7 “Maximum” indicates the most adverse interest rate scenario as shown in the table. | ||||||
92
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk | ||||||||||||
As of 31.12.19 |
|
| Volume1 |
| Average interest rate repricing period (in years) |
| Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates | |||||
USD million, except where indicated |
| Total | of which: CHF | of which: EUR | of which: USD |
| Total | of which: CHF |
| Total | of which: CHF | |
Determined repricing period2 | Loans and advances to banks |
| 11,913 | 4,969 | 3,705 | 3,199 |
| 0.73 | 0.94 |
|
|
|
Loans and advances to customers |
| 145,829 | 36,282 | 12,071 | 79,396 |
| 0.73 | 1.48 |
|
|
| |
Money market mortgages |
| 41,311 | 41,311 |
|
|
| 0.14 | 0.14 |
|
|
| |
Fixed-rate mortgages |
| 84,164 | 84,164 |
|
|
| 4.11 | 4.11 |
|
|
| |
Financial investments |
| 47,022 | 1,182 | 5,259 | 32,279 |
| 1.73 | 3.15 |
|
|
| |
Other receivables |
| 182,792 | 0 | 14,691 | 125,810 |
| 0.11 | 0.09 |
|
|
| |
Receivables from interest rate derivatives |
| 635,141 | 86,494 | 107,881 | 356,096 |
| 1.26 | 1.12 |
|
|
| |
Amounts due to banks |
| (4,752) | (3,388) | 0 | (1,201) |
| 1.12 | 1.13 |
|
|
| |
Customer deposits |
| (52,106) | (130) | (354) | (41,316) |
| 0.39 | 1.55 |
|
|
| |
Medium-term notes |
| (88) | (88) | 0 |
|
| 1.27 | 2.57 |
|
|
| |
Bonds and covered bonds |
| (87,075) | (9,854) | (22,935) | (46,310) |
| 2.27 | 4.77 |
|
|
| |
Other liabilities |
| (84,427) | 0 | (12,054) | (48,968) |
| 0.06 | 0.01 |
|
|
| |
Liabilities from interest rate derivatives |
| (635,931) | (109,901) | (79,752) | (335,227) |
| 0.64 | 0.90 |
|
|
| |
Undetermined repricing period3 | Loans and advances to banks |
|
|
|
|
|
|
|
|
|
|
|
Loans and advances to customers |
| 19,202 | 1,997 | 2,785 | 12,843 |
| 1.34 | 0.88 |
|
|
| |
Variable-rate mortgages |
| 19,817 |
|
| 16,383 |
| 2.98 |
|
|
|
| |
Other receivables on sight |
| 2,105 | 2,105 |
|
|
| 1.32 | 1.32 |
|
|
| |
Liabilities on sight in personal and current accounts |
| (277,888) | (90,043) | (52,891) | (113,900) |
| 1.19 | 1.23 |
|
|
| |
Other liabilities on sight |
|
|
|
|
|
|
|
|
|
|
| |
Liabilities from customer deposits, callable but not transferable |
| (109,018) | (109,018) |
|
|
| 2.23 | 2.23 |
|
|
| |
Total |
| 428,030 | 203,163 | 55,677 | 143,125 |
| 1.14 | 1.72 |
| 10 | 10 | |
1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Subordinated liabilities are excluded. 3 Swiss franc variable-rate mortgages and balances associated to loans and advances to banks with a combined volume below USD 1 billion are reported under loans and advances to customers, consistent with our interest rate risk management and monitoring process.
| ||||||||||||
p
93
UBS Group AG consolidated
Annual |
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk | ||||||||||||
As of 30.6.19 |
|
| Volume1 |
| Average interest rate repricing period (in years) |
| Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates | |||||
USD million, except where indicated |
| Total | of which: CHF | of which: EUR | of which: USD |
| Total | of which: CHF |
| Total | of which: CHF | |
Determined repricing period 2 | Loans and advances to banks |
| 12,193 | 4,459 | 3,628 | 4,086 |
| 0.69 | 0.91 |
|
|
|
Loans and advances to customers |
| 144,803 | 35,569 | 12,117 | 73,908 |
| 0.64 | 1.38 |
|
|
| |
Money market mortgages |
| 39,551 | 39,551 |
|
|
| 0.15 | 0.15 |
|
|
| |
Fixed-rate mortgages |
| 83,709 | 83,709 | 0 | 0 |
| 4.13 | 4.13 |
|
|
| |
Financial investments |
| 50,450 | 1,231 | 4,974 | 31,685 |
| 1.80 | 3.72 |
|
|
| |
Other receivables |
| 172,358 |
| 26,125 | 95,684 |
| 0.13 | 0.10 |
|
|
| |
Receivables from interest rate derivatives |
| 687,361 | 104,235 | 145,253 | 353,448 |
| 1.29 | 0.98 |
|
|
| |
Amounts due to banks |
| (12,816) | (3,360) | (11) | (9,269) |
| 1.37 | 1.46 |
|
|
| |
Customer deposits |
| (52,696) | (195) | (1,284) | (39,129) |
| 0.40 | 0.49 |
|
|
| |
Medium-term notes |
| (75) | (73) | (1) |
|
| 2.73 | 2.72 |
|
|
| |
Bonds and covered bonds |
| (97,060) | (9,984) | (32,653) | (46,605) |
| 1.81 | 5.05 |
|
|
| |
Other liabilities |
| (117,535) | 0 | (22,200) | (64,966) |
| 0.11 | 0.01 |
|
|
| |
Liabilities from interest rate derivatives |
| (687,321) | (127,566) | (93,615) | (341,800) |
| 0.68 | 0.86 |
|
|
| |
Undetermined repricing period3 | Loans and advances to banks |
|
|
|
|
|
|
|
|
|
|
|
Loans and advances to customers |
| 15,739 | 2,030 | 3,114 | 9,186 |
| 1.17 | 0.91 |
|
|
| |
Variable-rate mortgages |
| 17,921 |
|
| 14,482 |
| 3.92 |
|
|
|
| |
Other receivables on sight |
| 2,173 | 2,173 |
|
|
| 1.31 | 1.31 |
|
|
| |
Liabilities on sight in personal and current accounts |
| (261,637) | (83,101) | (55,465) | (101,572) |
| 1.30 | 1.32 |
|
|
| |
Other liabilities on sight |
|
|
|
|
|
|
|
|
|
|
| |
Liabilities from customer deposits, callable but not transferable |
| (112,048) | (112,048) |
|
|
| 2.16 | 2.16 |
|
|
| |
Total |
| 409,519 | 199,352 | 58,579 | 125,241 |
| 1.20 | 1.74 |
| 10 | 10 | |
1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Subordinated liabilities are excluded. 3 Swiss franc variable-rate mortgages and balances associated to loans and advances to banks with a combined volume below USD 1 billion are reported under loans and advances to customers, consistent with our interest rate risk management and monitoring process. | ||||||||||||
p
94
The table below provides details regarding the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by FINMA. More information about capital management is provided on pages 175–189 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors.
Quarterly |
Swiss SRB going and gone concern requirements and information | ||||||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||
As of 31.12.19 |
| RWA | LRD |
| RWA | LRD | ||||
USD million, except where indicated |
| in % |
| in % |
|
| in % |
| in % |
|
Required going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 13.71 | 35,543 | 4.50 | 41,010 |
| 14.251 | 36,943 | 4.881 | 44,427 |
Common equity tier 1 capital |
| 9.81 | 25,434 | 3.20 | 29,162 |
| 9.95 | 25,797 | 3.38 | 30,757 |
of which: minimum capital |
| 4.90 | 12,701 | 1.70 | 15,493 |
| 4.50 | 11,664 | 1.50 | 13,670 |
of which: buffer capital |
| 4.60 | 11,924 | 1.50 | 13,670 |
| 5.14 | 13,323 | 1.88 | 17,087 |
of which: countercyclical buffer |
| 0.31 | 810 |
|
|
| 0.31 | 810 |
|
|
Maximum additional tier 1 capital |
| 3.90 | 10,109 | 1.30 | 11,847 |
| 4.30 | 11,146 | 1.50 | 13,670 |
of which: additional tier 1 capital |
| 3.10 | 8,035 | 1.30 | 11,847 |
| 3.50 | 9,072 | 1.50 | 13,670 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,074 |
|
|
| 0.80 | 2,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 22.01 | 57,056 | 6.26 | 57,056 |
| 20.02 | 51,888 | 5.69 | 51,888 |
Common equity tier 1 capital |
| 13.73 | 35,582 | 3.90 | 35,582 |
| 13.73 | 35,582 | 3.90 | 35,582 |
Total loss-absorbing additional tier 1 capital |
| 8.28 | 21,474 | 2.36 | 21,474 |
| 6.29 | 16,306 | 1.79 | 16,306 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5.36 | 13,892 | 1.52 | 13,892 |
| 5.36 | 13,892 | 1.52 | 13,892 |
of which: low-trigger loss-absorbing additional tier 1 capital2 |
| 0.93 | 2,414 | 0.26 | 2,414 |
| 0.93 | 2,414 | 0.26 | 2,414 |
of which: low-trigger loss-absorbing tier 2 capital3 |
| 1.99 | 5,168 | 0.57 | 5,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Required gone concern capital |
|
|
|
|
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 9.51 | 24,662 | 3.27 | 29,789 |
| 10.34 | 26,805 | 3.70 | 33,719 |
of which: base requirement |
| 10.52 | 27,269 | 3.63 | 33,036 |
| 12.86 | 33,334 | 4.50 | 41,010 |
of which: additional requirement for market share and LRD4 |
| 0.81 | 2,100 | 0.28 | 2,563 |
| 1.08 | 2,799 | 0.38 | 3,417 |
of which: applicable reduction on requirements |
| (1.82) | (4,706) | (0.64) | (5,810) |
| (3.60) | (9,329) | (1.17) | (10,708) |
of which: rebate granted (equivalent to 42.5% of maximum rebate) |
| (1.82) | (4,706) | (0.64) | (5,810) |
| (2.27) | (5,883) | (0.80) | (7,262) |
of which: reduction for usage of low-trigger tier 2 capital instruments |
|
|
|
|
|
| (1.33) | (3,446) | (0.38) | (3,446) |
|
|
|
|
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 12.57 | 32,585 | 3.58 | 32,585 |
| 14.56 | 37,753 | 4.14 | 37,753 |
Total tier 2 capital |
| 0.87 | 2,263 | 0.25 | 2,263 |
| 2.87 | 7,431 | 0.82 | 7,431 |
of which: low-trigger loss-absorbing tier 2 capital |
| 0.67 | 1,724 | 0.19 | 1,724 |
| 2.66 | 6,892 | 0.76 | 6,892 |
of which: non-Basel III-compliant tier 2 capital |
| 0.21 | 540 | 0.06 | 540 |
| 0.21 | 540 | 0.06 | 540 |
TLAC-eligible senior unsecured debt |
| 11.70 | 30,322 | 3.33 | 30,322 |
| 11.70 | 30,322 | 3.33 | 30,322 |
|
|
|
|
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 23.23 | 60,205 | 7.77 | 70,799 |
| 24.59 | 63,748 | 8.58 | 78,146 |
Eligible total loss-absorbing capacity |
| 34.58 | 89,641 | 9.84 | 89,641 |
| 34.58 | 89,641 | 9.84 | 89,641 |
1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 2 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until their first call date, even if the first call date is after 31 December 2019. As of their first call date, these instruments are eligible to meet the gone concern requirements. 3 Includes outstanding low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and to meet gone concern requirements thereafter. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity, with the amortized portion qualifying as gone concern loss-absorbing capacity. Instruments available to meet gone concern requirements are eligible until one year before maturity, with a haircut of 50% applied in the last year of eligibility, as reflected in this table. Under the revised Capital Adequacy Ordinance issued in November 2019, effective 1 January 2020, the 50% haircut is no longer applied; refer to “Revised gone concern capital requirements in Switzerland” in the “Introduction and basis for preparation” section of this report for more information. 4 A lower add-on requirement for market share was applied in the fourth quarter of 2019, of which 0.27% was applied for RWA and 0.09% for LRD under the transitional rules, 0.36% was applied for RWA and 0.125% for LRD under the final rules as of 1 January 2020. | ||||||||||
p
95
UBS Group AG consolidated
Semiannual | The CCyB1 table below provides details of the underlying exposures and risk-weighted assets (RWA) used in the computation of the countercyclical buffer requirement of UBS Group AG. Further information about the methodology of geographical allocation used is provided on page 149 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors. The countercyclical capital buffer for Sweden increased from 2% to 2.5%, effective from 19 September 2019, whereas the rate for Hong Kong decreased from 2.5% to 2% on 14 October 2019. France introduced a countercyclical buffer requirement of 0.25%, effective from 1 July 2019. 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 | 2.00 | 6,302 |
| 1,753 |
|
|
Sweden | 2.50 | 1,115 |
| 314 |
|
|
United Kingdom | 1.00 | 38,495 |
| 8,846 |
|
|
France | 0.25 | 6,148 |
| 1,118 |
|
|
Sum |
| 52,060 |
| 12,031 |
|
|
Total |
| 548,846 |
| 159,407 | 0.08 | 218 |
1 Includes private sector exposures in the countries that are Basel Committee on Banking Supervision member jurisdictions under categories “Credit risk,” “Counterparty credit risk,” “Equity positions in the banking book,” “Settlement risk,” “Securitization exposures in the banking book” and “Amounts below thresholds for deduction” as shown in the “Regulatory exposures and risk-weighted assets” table in section 2 of this report. | ||||||
p
96
Semiannual | The CC2 table below and on the following page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the BCBS and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “CC1: Composition of regulatory capital” table. Refer to the “Linkage between financial statements and regulatory exposures” section of this report for more information about 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 31.12.19 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | Ref1 |
USD million |
|
|
|
|
|
Assets |
|
|
|
|
|
Cash and balances at central banks | 107,068 | 0 |
| 107,068 |
|
Loans and advances to banks | 12,447 | (236) |
| 12,211 |
|
Receivables from securities financing transactions | 84,245 |
|
| 84,245 |
|
Cash collateral receivables on derivative instruments | 23,289 |
|
| 23,289 |
|
Loans and advances to customers | 326,786 | 56 |
| 326,842 |
|
Other financial assets measured at amortized cost | 22,980 | (438) |
| 22,542 |
|
Total financial assets measured at amortized cost | 576,815 | (618) |
| 576,197 |
|
Financial assets at fair value held for trading | 127,514 | (27) |
| 127,488 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties | 41,285 |
|
| 41,285 |
|
Derivative financial instruments | 121,841 | 11 |
| 121,852 |
|
Brokerage receivables | 18,007 |
|
| 18,007 |
|
Financial assets at fair value not held for trading | 83,944 | (27,689) |
| 56,255 |
|
Total financial assets measured at fair value through profit or loss | 351,307 | (27,705) |
| 323,602 |
|
Financial assets measured at fair value through other comprehensive income | 6,345 | 0 |
| 6,345 |
|
Consolidated participations | 0 | 96 |
| 96 |
|
Investments in associates | 1,051 |
|
| 1,051 |
|
of which: goodwill | 178 |
|
| 178 | 4 |
Property, equipment and software | 12,804 | (48) |
| 12,756 |
|
Goodwill and intangible assets | 6,469 |
|
| 6,469 |
|
of which: goodwill | 6,272 |
|
| 6,272 | 4 |
of which: intangible assets | 197 |
|
| 197 | 5 |
Deferred tax assets | 9,537 | 0 |
| 9,537 |
|
of which: deferred tax assets recognized for tax loss carry-forwards | 5,965 |
|
| 5,965 | 6 |
of which: deferred tax assets on temporary differences | 3,572 | 0 |
| 3,572 | 10 |
Other non-financial assets | 7,856 | (6) |
| 7,850 |
|
of which: net defined benefit pension and other post-employment assets | 9 |
|
| 9 | 8 |
Total assets | 972,183 | (28,281) |
| 943,902 |
|
|
|
|
|
|
|
97
UBS Group AG consolidated
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
As of 31.12.19 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | Ref1 |
USD million |
|
|
|
|
|
Liabilities |
|
|
|
|
|
Amounts due to banks | 6,570 |
|
| 6,570 |
|
Payables from securities financing transactions | 7,778 |
|
| 7,778 |
|
Cash collateral payables on derivative instruments | 31,415 | 0 |
| 31,415 |
|
Customer deposits | 448,284 | 7 |
| 448,291 |
|
Debt issued measured at amortized cost | 110,497 | (4) |
| 110,492 |
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital | 11,931 |
|
| 11,931 | 9 |
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital | 2,414 |
|
| 2,414 | 9 |
of which: amount eligible for low-trigger loss-absorbing tier 2 capital | 6,892 |
|
| 6,892 | 11 |
of which: amount eligible for capital instruments subject to phase-out from tier 2 capital | 540 |
|
| 540 | 12 |
Other financial liabilities measured at amortized cost | 9,712 | (155) |
| 9,557 |
|
Total financial liabilities measured at amortized cost | 614,256 | (153) |
| 614,103 |
|
Financial liabilities at fair value held for trading | 30,591 | 0 |
| 30,591 |
|
Derivative financial instruments | 120,880 | 3 |
| 120,883 |
|
Brokerage payables designated at fair value | 37,233 |
|
| 37,233 |
|
Debt issued designated at fair value | 66,809 | 13 |
| 66,822 |
|
Other financial liabilities designated at fair value | 35,940 | (28,145) |
| 7,795 |
|
Total financial liabilities measured at fair value through profit or loss | 291,452 | (28,128) |
| 263,324 |
|
Provisions | 2,974 | 0 |
| 2,974 |
|
Other non-financial liabilities | 8,794 | (2) |
| 8,792 |
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))2 | 1,595 |
|
| 1,595 | 9 |
of which: deferred tax liabilities related to goodwill | 272 |
|
| 272 | 4 |
of which: deferred tax liabilities related to other intangible assets | 2 |
|
| 2 | 5 |
Total liabilities | 917,476 | (28,283) |
| 889,193 |
|
Equity |
|
|
|
|
|
Share capital | 338 |
|
| 338 | 1 |
Share premium | 18,064 |
|
| 18,064 | 1 |
Treasury shares | (3,326) |
|
| (3,326) | 3 |
Retained earnings | 34,154 | (14) |
| 34,141 | 2 |
Other comprehensive income recognized directly in equity, net of tax | 5,303 | 15 |
| 5,318 | 3 |
of which: unrealized gains / (losses) from cash flow hedges | 1,260 |
|
| 1,260 | 7 |
Equity attributable to shareholders | 54,533 | 2 |
| 54,534 |
|
Equity attributable to non-controlling interests | 174 |
|
| 174 |
|
Total equity | 54,707 | 2 |
| 54,709 |
|
Total liabilities and equity | 972,183 | (28,281) |
| 943,902 |
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC1: Composition of regulatory capital” table in this section. 2 IFRS carrying amount of total DCCP liabilities was USD 1,855 million as of 31 December 2019. Refer to the “Compensation” section of our Annual Report 2019 for more information about the DCCP. | |||||
p
98
Semiannual | The CC1 table below and on the following pages provides the composition of capital in the format prescribed by the BCBS and FINMA, and is based on BCBS Basel III rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table.
Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt” under “Bondholder information” at www.ubs.com/investors for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions. p
Semiannual |
CC1: Composition of regulatory capital | |||
As of 31.12.19 | Amounts | References1 | |
USD million except where indicated |
|
| |
| Common Equity Tier 1 capital: instruments and reserves |
|
|
1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | 18,402 | 1 |
2 | Retained earnings | 34,141 | 2 |
3 | Accumulated other comprehensive income (and other reserves) | 1,992 | 3 |
4 | Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies) |
|
|
5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) |
|
|
6 | Common Equity Tier 1 capital before regulatory adjustments | 54,534 |
|
| Common Equity Tier 1 capital: regulatory adjustments |
|
|
7 | Prudent valuation adjustments | (104) |
|
8 | Goodwill (net of related tax liability) | (6,178) | 4 |
9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | (195) | 5 |
10 | Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)2 | (6,121) | 6 |
11 | Cash flow hedge reserve | (1,260) | 7 |
12 | Shortfall of provisions to expected losses | (495) |
|
13 | Securitization gain on sale |
|
|
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 48 |
|
15 | Defined benefit pension fund net assets | (9) | 8 |
16 | Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet)3 | (1,767) | 9 |
17 | Reciprocal cross-holdings in common equity |
|
|
17a | Qualified holdings where a significant influence is exercised with other owners (CET1 instruments) |
|
|
17b | Immaterial investments (CET1 items) |
|
|
18 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) |
|
|
19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold) |
|
|
20 | Mortgage servicing rights (amount above 10% threshold) |
|
|
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) | (221) | 10 |
22 | Amount exceeding the 15% threshold |
|
|
23 | of which: significant investments in the common stock of financials |
|
|
24 | of which: mortgage servicing rights |
|
|
25 | of which: deferred tax assets arising from temporary differences |
|
|
26 | Expected losses on equity investment under the PD / LGD approach |
|
|
26a | Further adjustments to financial statements in accordance with a recognized international accounting standard | (32) |
|
26b | Other adjustments | (2,620) |
|
27 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions |
|
|
28 | Total regulatory adjustments to Common Equity Tier 1 | (18,953) |
|
29 | Common Equity Tier 1 capital (CET1) | 35,582 |
|
99
UBS Group AG consolidated
CC1: Composition of regulatory capital (Continued) | |||
As of 31.12.19 | Amounts | References1 | |
USD million except where indicated |
|
| |
| Additional Tier 1 capital: instruments |
|
|
30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | 16,317 |
|
31 | of which: classified as equity under applicable accounting standards |
|
|
32 | of which: classified as liabilities under applicable accounting standards | 16,317 |
|
33 | Directly issued capital instruments subject to phase-out from additional Tier 1 |
|
|
34 | Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) |
|
|
35 | of which: instruments issued by subsidiaries subject to phase-out |
|
|
36 | Additional Tier 1 capital before regulatory adjustments4 | 16,317 |
|
| Additional Tier 1 capital: regulatory adjustments |
|
|
37 | Investments in own additional Tier 1 instruments | (11) |
|
38 | Reciprocal cross-holdings in additional Tier 1 instruments |
|
|
38a | Qualified holdings where a significant influence is exercised with other owners (AT1 instruments) |
|
|
38b | Immaterial investments (AT1 instruments) |
|
|
39 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) |
|
|
40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation |
|
|
41 | Other adjustments |
|
|
42 | Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions |
|
|
42a | Regulatory adjustments applied to CET1 capital due to insufficient additional Tier 1 to cover deductions |
|
|
43 | Total regulatory adjustments to additional Tier 1 capital | (11) |
|
44 | Additional Tier 1 capital (AT1) | 16,306 | 9 |
45 | Tier 1 capital (T1 = CET1 + AT1) | 51,888 |
|
| Tier 2 capital: instruments and provisions |
|
|
46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | 5,1875 | 11 |
47 | Directly issued capital instruments subject to phase-out from Tier 2 | 557 | 12 |
48 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) |
|
|
49 | of which: instruments issued by subsidiaries subject to phase-out |
|
|
50 | Provisions |
|
|
51 | Tier 2 capital before regulatory adjustments | 5,744 |
|
| Tier 2 capital: regulatory adjustments |
|
|
52 | Investments in own Tier 2 instruments6 | (18) | 12 |
53 | Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities |
|
|
53a | Qualified holdings where a significant influence is exercised with other owners (T2 instruments and other TLAC instruments) |
|
|
53b | Immaterial investments (T2 instruments and other TLAC instruments) |
|
|
54 | Investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) |
|
|
55 | Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
56 | Other adjustments |
|
|
56a | Excess of the adjustments, which are allocated to the AT1 capital |
|
|
57 | Total regulatory adjustments to Tier 2 capital | (18) |
|
58 | Tier 2 capital (T2) | 5,726 |
|
59 | Total regulatory capital (TC = T1 + T2) | 57,614 |
|
60 | Total risk-weighted assets | 259,208 |
|
100
CC1: Composition of regulatory capital (Continued) | |||
As of 31.12.19 | Amounts | References1 | |
USD million except where indicated |
|
| |
| Capital ratios and buffers |
|
|
61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 13.73 |
|
62 | Tier 1 (as a percentage of risk-weighted assets) | 20.02 |
|
63 | Total capital (as a percentage of risk-weighted assets) | 22.23 |
|
64 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)7 | 3.58 |
|
65 | of which: capital conservation buffer requirement | 2.50 |
|
66 | of which: bank-specific countercyclical buffer requirement | 0.08 |
|
67 | of which: higher loss absorbency requirement | 1.00 |
|
68 | Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements | 9.23 |
|
| Amounts below the thresholds for deduction (before risk weighting) |
|
|
72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 1,698 |
|
73 | Significant investments in the common stock of financial entities | 904 |
|
74 | Mortgage servicing rights (net of related tax liability) |
|
|
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 3,580 |
|
| Applicable caps on the inclusion of provisions in Tier 2 |
|
|
76 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) |
|
|
77 | Cap on inclusion of provisions in Tier 2 under standardized approach |
|
|
78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) |
|
|
79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach |
|
|
| Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022) according to CAO Art. 141 |
|
|
80 | Current cap on CET1 instruments subject to phase-out arrangements |
|
|
81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) |
|
|
82 | Current cap on AT1 instruments subject to phase-out arrangements |
|
|
83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) |
|
|
84 | Current cap on T2 instruments subject to phase-out arrangements | 1,730 |
|
85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) |
|
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section. 2 IFRS netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital. 3 Includes USD 367 million in DCCP-related charge for regulatory capital purposes. 4 Includes an AT1 instrument in the amount of USD 1.25 billion, the call of which was announced on 10 January 2020 (call date 19 February 2020). 5 Consists of instruments with a IFRS carrying amount of USD 6.9 billion less amortization of instruments where remaining maturity is more than one year, and 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income, which are measured at the lower of cost or market value for regulatory capital purposes. 6 Consists of own instruments for phase-out tier 2 capital of USD 17.7 million. 7 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital management“ section of our Annual Report 2019 for more information about the Swiss SRB requirements. | |||
p
101
UBS Group AG consolidated
Prudent valuation
Annual | The PV1 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 412–414 of our Annual Report 2019, available under ”Annual reporting” at www.ubs.com/investors.
As of 31 December 2019, there have been no significant changes in the prudent valuation adjustments compared with the prior year. p
Annual |
PV1: Prudent valuation adjustments (PVA) |
|
|
|
| |||||
As of 31.12.19 |
|
|
|
|
|
|
|
| |
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: | (9) | (70) | 0 | (25) | 0 | (104) | (25) | (79) |
2 | Mid-market value |
|
|
|
|
|
|
|
|
3 | Closeout cost |
|
|
|
|
|
|
|
|
4 | Concentration | (9) | (70) | 0 | (25) | 0 | (104) | (25) | (79) |
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 adjustment | (9) | (70) | 0 | (25) | 0 | (104) | (25) | (79) |
|
|
|
|
|
|
|
|
|
|
As of 31.12.18 | |||||||||
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 663 million as of 31 December 2019 (31 December 2018: USD 890 million), of which valuation adjustments account for an estimated life-to-date loss of USD 300 million (31 December 2018: USD 388 million) for liquidity and of USD 266 million (31 December 2018: USD 327 million) for model uncertainty. Further details are provided in “Note 24 Fair value measurement” in the “Consolidated financial statements” section of our Annual Report 2019. | |||||||||
p
102
Resolution group – composition of total loss-absorbing capacity (TLAC)
Semiannual |
The TLAC1 table below is based on Basel Committee on Banking Supervision (BCBS) phase-in rules, and only applicable for UBS Group AG as the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g., a bail-in) are expected to be applied.
In the second half of 2019, we issued three high-trigger loss absorbing additional tier 1 (AT1) capital instruments totaling
USD 1.3 billion denominated in Australian dollars, Singapore dollars and Swiss francs, which contributed to the total eligible AT1 instruments of USD 16.3 billion. Non-regulatory capital instruments increased by USD 0.6 billion to USD 30.3 billion as of 31 December 2019, mainly driven by three issuances amounting to USD 1.7 billion denominated in US dollars and Australian dollars, partly offset by a USD 0.9 billion decrease in the eligibility of two total loss-absorbing capacity (TLAC) instruments and foreign currency and other effects of USD 0.2 billion. p
Semiannual |
TLAC1: TLAC composition for G-SIBs (at resolution group level) |
| |||
|
| 31.12.19 | 30.6.19 | |
USD million, except where indicated |
|
|
| |
| Regulatory capital elements of TLAC and adjustments |
|
|
|
1 | Common Equity Tier 1 capital (CET1) |
| 35,582 | 34,948 |
2 | Additional Tier 1 capital (AT1) before TLAC adjustments |
| 16,306 | 15,045 |
3 | AT1 ineligible as TLAC as issued out of subsidiaries to third parties |
|
|
|
4 | Other adjustments |
|
|
|
5 | Total AT1 instruments eligible under the TLAC framework |
| 16,306 | 15,045 |
6 | Tier 2 capital (T2) before TLAC adjustments |
| 5,726 | 6,353 |
7 | Amortized portion of T2 instruments where remaining maturity > 1 year |
| 1,724 | 1,322 |
8 | T2 capital ineligible as TLAC as issued out of subsidiaries to third parties |
|
|
|
9 | Other adjustments |
|
|
|
10 | Total T2 instruments eligible under the TLAC framework |
| 7,450 | 7,675 |
11 | TLAC arising from regulatory capital |
| 59,338 | 57,668 |
| Non-regulatory capital elements of TLAC |
|
|
|
12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities |
|
|
|
13 | External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements1 |
| 30,322 |
|
14 | of which: amount eligible as TLAC after application of the caps |
|
|
|
15 | External TLAC instruments issued by funding vehicles prior to 1 January 20221 |
|
| 29,721 |
16 | Eligible ex ante commitments to recapitalize a G-SIB in resolution |
|
|
|
17 | TLAC arising from non-regulatory capital instruments before adjustments |
| 30,322 | 29,721 |
| Non-regulatory capital elements of TLAC: adjustments |
|
|
|
18 | TLAC before deductions |
| 89,660 | 87,388 |
19 | Deductions of exposures between multiple-point-of-entry (MPE) resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs) |
|
|
|
20 | Deduction of investments in own other TLAC liabilities |
|
|
|
21 | Other adjustments to TLAC |
|
|
|
22 | TLAC after deductions |
| 89,660 | 87,388 |
| Risk-weighted assets and leverage exposure measure for TLAC purposes |
|
|
|
23 | Total risk-weighted assets adjusted as permitted under the TLAC regime |
| 259,208 | 262,135 |
24 | Leverage exposure measure |
| 911,325 | 911,379 |
| TLAC ratios and buffers |
|
|
|
25 | TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime) |
| 34.59 | 33.34 |
26 | TLAC (as a percentage of leverage exposure) |
| 9.84 | 9.59 |
27 | CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements |
| 9.23 | 8.83 |
28 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) |
| 3.58 | 3.59 |
29 | of which: capital conservation buffer requirement |
| 2.50 | 2.50 |
30 | of which: bank-specific countercyclical buffer requirement |
| 0.08 | 0.09 |
31 | of which: higher loss absorbency requirement |
| 1.00 | 1.00 |
1 TLAC instruments issued by UBS Group Funding (Switzerland) AG were transferred to UBS Group AG as the issuer on 11 October 2019. | ||||
p
103
UBS Group AG consolidated
Resolution entity – creditor ranking at legal entity level
Semiannual | The TLAC3 table below provides an overview of the creditor ranking structure of the resolution entity, UBS Group AG, on a standalone basis.
UBS Group AG issues loss-absorbing additional tier 1 capital instruments and TLAC-eligible senior unsecured debt. In the fourth quarter of 2019, UBS Group AG assumed all outstanding capital and debt instruments that were previously issued by UBS Group Funding (Switzerland) AG.
® Refer to “Note 1 Corporate information” of the financial statements for UBS Group AG standalone as of 31 December 2019 for more information about the issuer substitution
UBS Group AG grants Deferred Contingent Capital Plan (DCCP) awards to UBS Group employees. Awards granted since February 2015 qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,962 million as of 31 December 2019 (30 June 2019: USD 2,014 million). The related liabilities of UBS Group AG on a standalone basis of USD 1,583 million (30 June 2019: USD 1,493 million) are not included in the table below, as these do not give rise to a current claim until the awards are legally vested.
As of 31 December 2019, the TLAC available on a UBS Group AG consolidated basis amounted to USD 89,660 million (30 June 2019: USD 87,388 million).
® Refer to “Bondholder information” at www.ubs.com/investors for more information
® Refer to the “TLAC1: TLAC composition for G-SIBs (at resolution group level)” table in this section for more information about TLAC for UBS Group AG consolidated
The financial statements for UBS Group AG standalone as of 31 December 2019 are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors. p
Semiannual |
TLAC3 – creditor ranking at legal entity level for the resolution entity, UBS Group AG
| |||||||
As of 31.12.19 |
| Creditor ranking |
| Total | |||
USD million |
| 1 | 2 | 3 |
|
| |
1 | Description of creditor ranking |
| Common shares (most junior)2 | Additional Tier 1 | Bail-in debt and pari passu liabilities (most senior) |
|
|
2 | Total capital and liabilities net of credit risk mitigation1 |
| 39,452 | 14,699 | 34,668 |
| 88,818 |
3 | Subset of row 2 that are excluded liabilities |
|
|
|
|
|
|
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) |
| 39,452 | 14,6993 | 34,6685 |
| 88,818 |
5 | Subset of row 4 that are potentially eligible as TLAC |
| 39,452 | 14,150 | 31,603 |
| 85,204 |
6 | Subset of row 5 with 1 year ≤ residual maturity < 2 years |
|
|
| 3,000 |
| 3,000 |
7 | Subset of row 5 with 2 years ≤ residual maturity < 5 years |
|
|
| 16,276 |
| 16,276 |
8 | Subset of row 5 with 5 years ≤ residual maturity < 10 years |
|
|
| 10,616 |
| 10,616 |
9 | Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities |
|
|
| 1,711 |
| 1,711 |
10 | Subset of row 5 that is perpetual securities |
| 39,452 | 14,1504 |
|
| 53,602 |
1 No credit risk mitigation is applied to capital and liabilities for UBS Group AG standalone. 2 Common shares including the associated reserves are equal to equity attributable to shareholders as disclosed in the UBS Group AG standalone financial statements as of 31 December 2019, which were prepared in accordance with the principles of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations). 3 Includes interest expense accrued on AT1 capital instruments which does not qualify as TLAC. 4 Includes an AT1 instrument in the amount of USD 1.25 billion, the call of which was announced on 10 January 2020 (call date 19 February 2020). 5 Includes interest expense accrued on bail-in debt, interest-bearing liabilities which comprise loans from UBS AG and UBS Switzerland AG, negative replacement values as well tax liabilities which are not excluded liabilities under Swiss law that rank pari passu to bail-in debt. | |||||||
p
104
Section 13 Leverage ratio
Quarterly | The Basel Committee on Banking Supervision (the BCBS) leverage ratio is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD), as summarized in the table below. p
Quarterly |
BCBS Basel III leverage ratio | |||||
USD million, except where indicated |
|
|
|
|
|
| 31.12.19 | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
Total tier 1 capital | 51,888 | 50,702 | 49,993 | 49,436 | 46,279 |
BCBS total exposures (leverage ratio denominator) | 911,325 | 901,914 | 911,379 | 910,993 | 904,598 |
BCBS Basel III leverage ratio (%) | 5.7 | 5.6 | 5.5 | 5.4 | 5.1 |
p
Quarterly | The LRD consists of IFRS on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement value and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).
The “Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions” table on the next page shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD as shown in the “LR2: BCBS Basel III leverage ratio common disclosure” table in this section. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table. 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
105
UBS Group AG consolidated
Quarterly |
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions | |||
USD million | 31.12.19 | 30.9.19 | 31.12.18 |
On-balance sheet exposures |
|
|
|
IFRS total assets | 972,183 | 973,118 | 958,351 |
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | (28,281) | (25,850) | (22,277) |
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 |
|
|
|
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
|
|
|
Less carrying amount of derivative financial instruments in IFRS total assets1 | (145,141) | (159,917) | (149,821) |
Less carrying amount of securities financing transactions in IFRS total assets2 | (108,471) | (119,727) | (123,154) |
Adjustments to accounting values |
|
|
|
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 690,291 | 667,624 | 663,099 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (13,284) | (15,562) | (13,831) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 677,007 | 652,062 | 649,268 |
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 |
LR1: BCBS Basel III leverage ratio summary comparison |
|
|
| |
USD million | 31.12.19 | 30.9.19 | 31.12.18 | |
1 | Total consolidated assets as per published financial statements | 972,183 | 973,118 | 958,351 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1 | (41,565) | (41,412) | (36,108) |
3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
|
|
|
4 | Adjustments for derivative financial instruments | (56,179) | (64,266) | (54,454) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 8,984 | 9,260 | 7,774 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 27,902 | 25,214 | 29,035 |
7 | Other adjustments |
|
|
|
8 | Leverage ratio exposure (leverage ratio denominator) | 911,325 | 901,914 | 904,598 |
1 Includes assets that are deducted from tier 1 capital. | ||||
p
106
Quarterly | During the fourth quarter of 2019, LRD increased by USD 9 billion to USD 911 billion. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 25 billion, mainly due to currency effects of USD 13 billion as well as higher trading portfolio assets and cash and balances with central banks. Other off-balance sheet exposures increased by USD 3 billion, reflecting guarantees issued in Personal & Corporate Banking. Derivative exposures decreased by USD 7 billion as a result of compression activities and market-driven movements, as well as trade expiries. SFTs decreased by USD 12 billion due to trade roll-offs and lower levels of client demand. p
® Refer to "Leverage ratio denominator" in the "Capital management" section of our Annual Report 2019, available under "Annual reporting" at www.ubs.com/investors for more information
Quarterly |
LR2: BCBS Basel III leverage ratio common disclosure |
|
|
| |
USD million, except where indicated | 31.12.19 | 30.9.19 | 31.12.18 | |
|
|
|
|
|
| On-balance sheet exposures |
|
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 690,291 | 667,624 | 663,099 |
2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (13,284) | (15,562) | (13,831) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 677,007 | 652,062 | 649,268 |
|
|
|
|
|
| Derivative exposures |
|
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 38,253 | 42,484 | 43,007 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 81,484 | 84,565 | 85,503 |
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) | (14,700) | (15,236) | (13,717) |
8 | (Exempted CCP leg of client-cleared trade exposures) | (18,401) | (17,895) | (21,556) |
9 | Adjusted effective notional amount of all written credit derivatives1 | 66,707 | 70,968 | 76,901 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)2 | (64,382) | (69,236) | (74,771) |
11 | Total derivative exposures | 88,961 | 95,651 | 95,366 |
|
|
|
|
|
| Securities financing transaction exposures |
|
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 200,010 | 240,069 | 213,710 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (91,539) | (120,342) | (90,555) |
14 | CCR exposure for SFT assets | 8,984 | 9,260 | 7,774 |
15 | Agent transaction exposures |
|
| 0 |
16 | Total securities financing transaction exposures | 117,455 | 128,987 | 130,928 |
|
|
|
|
|
| Other off-balance sheet exposures |
|
|
|
17 | Off-balance sheet exposure at gross notional amount | 86,627 | 81,600 | 88,075 |
18 | (Adjustments for conversion to credit equivalent amounts) | (58,725) | (56,386) | (59,039) |
19 | Total off-balance sheet items | 27,902 | 25,214 | 29,035 |
| Total exposures (leverage ratio denominator) | 911,325 | 901,914 | 904,598 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator) |
|
|
|
20 | Tier 1 capital | 51,888 | 50,702 | 46,279 |
21 | Total exposures (leverage ratio denominator) | 911,325 | 901,914 | 904,598 |
|
|
|
|
|
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio (%) | 5.7 | 5.6 | 5.1 |
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
107
UBS Group AG consolidated
Quarterly | We monitor the Liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress. p
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 page number | |
|
|
|
|
|
|
|
|
Concentration of funding sources |
| Treasury management |
| – | Liabilities by product and currency |
| 166 |
Currency mismatch in the LCR |
| Treasury management |
| – | Liquidity coverage ratio |
| 159 |
High-quality liquid assets
Quarterly | HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing on a developed and recognized exchange, existence of an active and 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 4Q191 |
| Average 3Q191 |
| Average 4Q181 | ||||||
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 |
| 100 |
| 100 |
| 99 |
| 99 |
| 96 |
| 96 |
Securities |
| 52 | 14 | 66 |
| 53 | 16 | 69 |
| 65 | 12 | 78 |
Total high-quality liquid assets4 |
| 152 | 14 | 166 |
| 152 | 16 | 168 |
| 161 | 12 | 173 |
1 Calculated based on an average of 64 data points in the fourth quarter of 2019, 66 data points in the third quarter of 2019 and 64 data points in the fourth quarter of 2018. 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
108
LCR development during the fourth quarter of 2019
Quarterly | In the fourth quarter of 2019, the UBS Group LCR decreased by 4 percentage points to 134%, remaining above the 110% Group LCR minimum communicated by the Swiss Financial Market Supervisory Authority (FINMA). The LCR decrease was primarily driven by lower average HQLA balances reflecting higher funding consumption by the business divisions and reductions in issued debt, partly offset by higher deposit balances. Additionally, average net cash outflows increased following a reduction in inflows from secured financing transaction investments, partly offset by higher average inflows from loans. p
Quarterly |
LIQ1: Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
|
|
| Average 4Q191 |
| Average 3Q191 |
| Average 4Q181 | |||
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 |
| 169 | 166 |
| 171 | 168 |
| 176 | 173 |
| ||||||||||
Cash outflows | ||||||||||
2 | Retail deposits and deposits from small business customers |
| 243 | 28 |
| 241 | 28 |
| 234 | 26 |
3 | of which: stable deposits |
| 32 | 1 |
| 31 | 1 |
| 35 | 1 |
4 | of which: less stable deposits |
| 211 | 27 |
| 210 | 27 |
| 199 | 25 |
5 | Unsecured wholesale funding |
| 190 | 106 |
| 188 | 106 |
| 182 | 102 |
6 | of which: operational deposits (all counterparties) |
| 41 | 10 |
| 41 | 10 |
| 42 | 10 |
7 | of which: non-operational deposits (all counterparties) |
| 136 | 83 |
| 135 | 83 |
| 129 | 80 |
8 | of which: unsecured debt |
| 13 | 13 |
| 12 | 12 |
| 12 | 12 |
9 | Secured wholesale funding |
|
| 74 |
|
| 75 |
|
| 76 |
10 | Additional requirements: |
| 63 | 22 |
| 71 | 22 |
| 76 | 24 |
11 | of which: outflows related to derivatives and other transactions |
| 32 | 14 |
| 37 | 15 |
| 40 | 16 |
12 | of which: outflows related to loss of funding on debt products3 |
| 1 | 1 |
| 0 | 0 |
| 1 | 1 |
13 | of which: committed credit and liquidity facilities |
| 31 | 7 |
| 34 | 7 |
| 35 | 7 |
14 | Other contractual funding obligations |
| 14 | 12 |
| 14 | 12 |
| 14 | 12 |
15 | Other contingent funding obligations |
| 238 | 6 |
| 238 | 6 |
| 247 | 5 |
16 | Total cash outflows |
|
| 248 |
|
| 249 |
|
| 246 |
| ||||||||||
Cash inflows | ||||||||||
17 | Secured lending |
| 307 | 81 |
| 304 | 87 |
| 295 | 79 |
18 | Inflows from fully performing exposures |
| 65 | 29 |
| 62 | 28 |
| 66 | 29 |
19 | Other cash inflows |
| 13 | 13 |
| 12 | 12 |
| 10 | 10 |
20 | Total cash inflows |
| 385 | 123 |
| 379 | 127 |
| 370 | 119 |
| ||||||||||
|
|
| Average 4Q191 |
| Average 3Q191 |
| Average 4Q181 | |||
USD billion, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
|
|
|
Liquidity coverage ratio | ||||||||||
21 | High-quality liquid assets |
|
| 166 |
|
| 168 |
|
| 173 |
22 | Net cash outflows |
|
| 124 |
|
| 122 |
|
| 127 |
23 | Liquidity coverage ratio (%) |
|
| 134 |
|
| 138 |
|
| 136 |
1 Calculated based on an average of 64 data points in the fourth quarter of 2019, 66 data points in the third quarter of 2019 and 64 data points in the fourth quarter of 2018. 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
109
UBS Group AG consolidated
Liquidity risk management
Annual | 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 2019. p
Annual |
LIQA – Liquidity risk management | |||||||
Pillar 3 disclosure requirement |
| Annual Report 2019 section |
| Disclosure |
| Annual Report 2019 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 |
| 156 |
Funding risk strategy and management: objective, diversification of funding sources, limits and targets approach |
| Treasury management |
| – | Liabilities and funding management |
| 164–168 |
Liquidity risk management and strategy: objective, diversification of liquid assets, limits and targets approach |
| Treasury management |
| – | Assets and liquidity management |
| 157–163 |
Stress testing approach and stress scenario description |
| Treasury management |
| – | Stress testing |
| 163 |
Contingency funding plan |
| Treasury management |
| – | Contingency funding plan |
| 163 |
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) |
| 160–163
158 |
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 |
| 168–169 |
p
110
Annual | Pillar 3 disclosures on remuneration are separately provided on pages 218 and 236–282 in our Annual Report 2019, available under “Annual reporting” at www.ubs.com/investors. p
111
UBS Group AG consolidated
Annual | The Financial Stability Board (the 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 (the BCBS). Banks that qualify as G-SIBs are required to disclose the 12 indicators for assessing the systemic importance of G-SIBs as defined by the BCBS. These indicators are used for the G-SIB score calculation and cover five categories: size, cross-jurisdictional activity, interconnectedness, substitutability / financial institution infrastructure, and complexity.
Based on the published indicators, G-SIBs are subject to additional CET1 capital buffer requirements in a range from 1.0% to 3.5%. In November 2019, the FSB determined that the requirement for UBS continues to be 1.0%. As our Swiss SRB Basel III capital requirements exceed the BCBS requirements including the G-SIB buffer, we are not affected by these additional G-SIB requirements.
In July 2018, the BCBS published a revised assessment methodology and higher loss absorbency requirements. These will come into effect in 2021, with the corresponding surcharge applied as of January 2023. We do not expect these changes to result in an increase of our additional CET1 capital buffer requirement.
We provide our G-SIB indicators as of 31 December 2018 under “Pillar 3 disclosures” at www.ubs.com/investors. Our G-SIB indicators as of 31 December 2019 will be published in July 2020 under “Pillar 3 disclosures” at www.ubs.com/investors. p
112
Significant regulated subsidiaries and sub-groups
The sections below include capital and other regulatory information as of 31 December 2019 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.
Capital information in this section is based on Pillar 1 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 2019
Quarterly | The table below is based on the Basel Committee on Banking Supervision (BCBS) Basel III rules. During the fourth quarter of 2019, common equity tier 1 (CET1) capital decreased by USD 0.9 billion to USD 49.5 billion, mainly due to accruals for capital returns, partly offset by operating profit. Tier 1 capital decreased by USD 0.7 billion to USD 63.9 billion as the aforementioned decrease in CET1 was partly offset by an additional USD 0.3 billion of high-trigger loss-absorbing AT1 capital instruments. Risk-weighted assets (RWA) decreased by
USD 9.2 billion to USD 288.0 during the fourth quarter of 2019, primarily driven by decreases in credit and counterparty credit risk RWA related to third parties and Group entities. Leverage ratio exposure decreased by USD 21 billion, mainly due to a decrease in on-balance sheet exposures from securities financing transactions and derivatives. Average high-quality liquid assets decreased by USD 2.5 billion driven by lower average cash balances reflecting higher funding consumption by the business divisions and decreases in issued debt. Average total net cash outflows decreased by USD 1.6 billion, reflecting lower average outflows from intercompany transactions. p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
| |
USD million, except where indicated | ||||||||||
|
|
| 31.12.19 | 30.9.19 |
| 30.6.19 |
| 31.3.19 |
| 31.12.18 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 49,521 | 50,458 |
| 51,261 |
| 49,024 |
| 49,411 |
1a | Fully loaded ECL accounting model CET11 |
| 49,518 | 50,456 |
| 51,258 |
| 49,021 |
| 49,411 |
2 | Tier 1 |
| 63,893 | 64,545 |
| 64,315 |
| 61,839 |
| 59,595 |
2a | Fully loaded ECL accounting model tier 11 |
| 63,891 | 64,543 |
| 64,312 |
| 61,836 |
| 59,595 |
3 | Total capital |
| 69,576 | 70,194 |
| 70,612 |
| 68,542 |
| 66,295 |
3a | Fully loaded ECL accounting model total capital1 |
| 69,574 | 70,191 |
| 70,609 |
| 68,539 |
| 66,295 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 287,999 | 297,200 |
| 294,348 |
| 300,734 |
| 292,888 |
4a | Minimum capital requirement2 |
| 23,040 | 23,776 |
| 23,548 |
| 24,059 |
| 23,431 |
4b | Total risk-weighted assets (pre-floor) |
| 287,999 | 297,200 |
| 294,348 |
| 300,734 |
| 292,888 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 17.19 | 16.98 |
| 17.41 |
| 16.30 |
| 16.87 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 17.19 | 16.98 |
| 17.41 |
| 16.30 |
| 16.87 |
6 | Tier 1 ratio (%) |
| 22.19 | 21.72 |
| 21.85 |
| 20.56 |
| 20.35 |
6a | Fully loaded ECL accounting model tier 1 ratio (%)1 |
| 22.18 | 21.72 |
| 21.85 |
| 20.56 |
| 20.35 |
7 | Total capital ratio (%) |
| 24.16 | 23.62 |
| 23.99 |
| 22.79 |
| 22.63 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 24.16 | 23.62 |
| 23.99 |
| 22.79 |
| 22.63 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 2.50 | 2.50 |
| 2.50 |
| 2.50 |
| 1.88 |
9 | Countercyclical buffer requirement (%) |
| 0.07 | 0.08 |
| 0.08 |
| 0.09 |
| 0.07 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.00 | 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
10 | Bank G-SIB and/or D-SIB additional requirements (%)3 |
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1-specific buffer requirements (%) |
| 2.57 | 2.58 |
| 2.58 |
| 2.59 |
| 1.95 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 12.69 | 12.48 |
| 12.91 |
| 11.80 |
| 12.37 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 589,127 | 609,656 |
| 618,704 |
| 617,329 |
| 601,013 |
14 | Basel III leverage ratio (%) |
| 10.85 | 10.59 |
| 10.40 |
| 10.02 |
| 9.92 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 10.84 | 10.59 |
| 10.39 |
| 10.02 |
| 9.92 |
Liquidity coverage ratio4 |
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 73,805 | 76,330 |
| 82,201 |
| 86,690 |
| 76,456 |
16 | Total net cash outflow |
| 53,960 | 55,607 |
| 56,626 |
| 51,434 |
| 55,032 |
17 | LCR (%) |
| 137 | 137 |
| 145 |
| 169 |
| 139 |
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going concern requirements and information for UBS AG standalone is provided on the following pages in this section. 4 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information. | ||||||||||
p
114
Swiss SRB going concern requirements and information
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 remained eligible to meet high-trigger AT1 requirements until the earlier of
(i) their maturity or the first call date or (ii) 31 December 2019.
Capital requirements based on RWA and the leverage ratio denominator (the 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 9.64% plus the effects from countercyclical buffers (CCyBs), and a total going concern capital requirement of 13.94% plus the effects from CCyBs. The capital requirements based on LRD include a minimum CET1 capital requirement of 3.375% and a total going concern leverage ratio requirement of 4.875%. 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 from 1 July 2017, these investments have been risk weighted at 200%. From 1 January 2019, the risk weights are being gradually raised 5 percentage points per year for Switzerland-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights are 250% and 400%, respectively.
® Refer to the “Introduction and basis of preparation” section of this report for more information about the revised gone concern requirements
Quarterly |
Swiss SRB going concern requirements and information | ||||||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20, after transition arrangements | ||||||
As of 31.12.19 |
| RWA | LRD |
| RWA | LRD | ||||
USD million, except where indicated |
| in %1 |
| in %1 |
|
| in % |
| in % |
|
Required going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 14.012 | 40,353 | 4.882 | 28,720 |
| 14.012 | 52,453 | 4.882 | 28,720 |
Common equity tier 1 capital |
| 9.71 | 27,970 | 3.38 | 19,883 |
| 9.71 | 36,356 | 3.38 | 19,883 |
of which: minimum capital |
| 4.50 | 12,960 | 1.50 | 8,837 |
| 4.50 | 16,846 | 1.50 | 8,837 |
of which: buffer capital |
| 5.14 | 14,803 | 1.88 | 11,046 |
| 5.14 | 19,242 | 1.88 | 11,046 |
of which: countercyclical buffer |
| 0.07 | 206 |
|
|
| 0.07 | 268 |
|
|
Maximum additional tier 1 capital |
| 4.30 | 12,384 | 1.50 | 8,837 |
| 4.30 | 16,097 | 1.50 | 8,837 |
of which: additional tier 1 capital |
| 3.50 | 10,080 | 1.50 | 8,837 |
| 3.50 | 13,102 | 1.50 | 8,837 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,304 |
|
|
| 0.80 | 2,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 23.14 | 66,632 | 11.31 | 66,632 |
| 16.42 | 61,479 | 10.44 | 61,479 |
Common equity tier 1 capital |
| 17.19 | 49,521 | 8.41 | 49,521 |
| 13.23 | 49,521 | 8.41 | 49,521 |
Total loss-absorbing additional tier 1 capital3 |
| 5.94 | 17,111 | 2.90 | 17,111 |
| 3.19 | 11,958 | 2.03 | 11,958 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.15 | 11,958 | 2.03 | 11,958 |
| 3.19 | 11,958 | 2.03 | 11,958 |
of which: low-trigger loss-absorbing tier 2 capital |
| 1.79 | 5,153 | 0.87 | 5,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total loss-absorbing capacity | ||||||||||
Required total loss-absorbing capacity |
| 14.01 | 40,353 | 4.88 | 28,720 |
| 14.01 | 40,353 | 4.88 | 28,720 |
Eligible total loss-absorbing capacity |
| 23.14 | 66,632 | 11.31 | 66,632 |
| 16.42 | 61,479 | 10.44 | 61,479 |
1 Requirements as stipulated by FINMA decree. These exceed the requirements according to the transitional arrangements of the Swiss Capital Adequacy Ordinance (the CAO), which require a minimum total going concern capital ratio of 13.4% plus the effect of the countercyclical buffer (CCyB) of 0.07%, of which 9.5% plus the effect of CCyB of 0.07% must be satisfied with CET1 capital, as well as a minimum total going concern leverage ratio of 4.5%, of which 3.2% must be satisfied with CET1 capital. As of 1 January 2020, the capital requirements as per the revised CAO will apply. 2 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 3 Includes outstanding low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity. | ||||||||||
p
115
Significant regulated subsidiaries and sub-groups
Quarterly |
Swiss SRB going concern information |
| |||||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20, after transition arrangements | ||||||
USD million, except where indicated |
| 31.12.19 |
| 30.9.19 | 31.12.18 |
| 31.12.19 |
| 30.9.19 | 31.12.18 |
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 66,632 |
| 67,267 | 63,225 |
| 61,479 |
| 62,142 | 57,217 |
Total tier 1 capital |
| 61,479 |
| 62,142 | 57,217 |
| 61,479 |
| 62,142 | 57,217 |
Common equity tier 1 capital |
| 49,521 |
| 50,458 | 49,411 |
| 49,521 |
| 50,458 | 49,411 |
Total loss-absorbing additional tier 1 capital |
| 11,958 |
| 11,684 | 7,805 |
| 11,958 |
| 11,684 | 7,805 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 11,958 |
| 11,684 | 7,805 |
| 11,958 |
| 11,684 | 7,805 |
Total tier 2 capital |
| 5,153 |
| 5,125 | 6,008 |
|
|
|
|
|
of which: low-trigger loss-absorbing tier 2 capital1 |
| 5,153 |
| 5,125 | 6,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
| 287,999 |
| 297,200 | 292,888 |
| 374,351 |
| 382,770 | 383,578 |
of which: direct and indirect investments in Swiss-domiciled subsidiaries2 |
| 34,418 |
| 32,803 | 31,711 |
| 41,973 |
| 40,004 | 39,639 |
of which: direct and indirect investments in foreign-domiciled subsidiaries2 |
| 96,307 |
| 95,784 | 82,762 |
| 175,104 |
| 174,153 | 165,525 |
Leverage ratio denominator |
| 589,127 |
| 609,656 | 601,013 |
| 589,127 |
| 609,656 | 601,013 |
|
|
|
|
|
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
|
|
|
|
|
Going concern capital ratio |
| 23.1 |
| 22.6 | 21.6 |
| 16.4 |
| 16.2 | 14.9 |
of which: common equity tier 1 capital ratio |
| 17.2 |
| 17.0 | 16.9 |
| 13.2 |
| 13.2 | 12.9 |
|
|
|
|
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
|
|
|
|
Going concern leverage ratio |
| 11.3 |
| 11.0 | 10.5 |
| 10.4 |
| 10.2 | 9.5 |
of which: common equity tier 1 leverage ratio |
| 8.4 |
| 8.3 | 8.2 |
| 8.4 |
| 8.3 | 8.2 |
1 Outstanding low-trigger loss-absorbing tier 2 capital instruments qualify as going concern capital until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and are subject to amortization starting five years prior to their maturity. 2 Carrying amount for direct and indirect investments including holding of regulatory capital instruments in Swiss-domiciled subsidiaries (31 December 2019: USD 16,789 million; 31 December 2018: USD 15,856 million), and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 December 2019: USD 43,776 million; 31 December 2018: USD 41,381 million), is risk weighted at 205% and 220%, respectively, for the current year (31 December 2018: the applicable risk weight was 200% for both Swiss-domiciled and foreign-domiciled investments). Risk weights will gradually increase by 5 percentage points per year for Swiss-domiciled investments and 20 percentage points per year for foreign-domiciled investments 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 | 31.12.19 | 31.12.18 |
Equity – Swiss banking law1 | 51.7 | 51.1 |
Deferred tax assets | 0.2 | 0.5 |
Valuation differences for investments in subsidiaries | 1.7 | 1.6 |
Accruals for proposed dividends to UBS Group AG | (3.9) | (3.3) |
Other | (0.2) | (0.5) |
Common equity tier 1 capital | 49.5 | 49.4 |
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. | ||
116
Leverage ratio information
Quarterly |
Swiss SRB leverage ratio denominator | |||
|
|
|
|
USD billion |
| 31.12.19 | 31.12.18 |
|
|
|
|
Leverage ratio denominator |
|
|
|
Swiss GAAP total assets |
| 478.9 | 480.0 |
Difference between Swiss GAAP and IFRS total assets |
| 122.3 | 118.6 |
Less: derivative exposures and SFTs1 |
| (220.4) | (236.7) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 380.8 | 361.9 |
Derivative exposures |
| 94.8 | 99.3 |
Securities financing transactions |
| 92.6 | 114.2 |
Off-balance sheet items |
| 21.7 | 26.1 |
Items deducted from Swiss SRB tier 1 capital |
| (0.8) | (0.5) |
Total exposures (leverage ratio denominator) |
| 589.1 | 601.0 |
1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.
| |||
p
Quarterly |
BCBS Basel III leverage ratio | ||||||
USD million, except where indicated |
| 31.12.19 | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
Total tier 1 capital |
| 63,893 | 64,545 | 64,315 | 61,839 | 59,595 |
Total exposures (leverage ratio denominator) |
| 589,127 | 609,656 | 618,704 | 617,329 | 601,013 |
BCBS Basel III leverage ratio (%) |
| 10.8 | 10.6 | 10.4 | 10.0 | 9.9 |
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 4Q192 | Average 4Q182 |
High-quality liquid assets |
| 74 | 76 |
Total net cash outflows |
| 54 | 55 |
of which: cash outflows |
| 160 | 169 |
of which: cash inflows |
| 106 | 114 |
Liquidity coverage ratio (%) |
| 137 | 139 |
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 2019 and 64 data points in the fourth quarter of 2018. | |||
p
117
Significant regulated subsidiaries and sub-groups
Section 3 UBS Switzerland AG standalone
Key metrics of the fourth quarter of 2019
Quarterly | The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.
During the fourth quarter of 2019, common equity tier 1 (CET1) capital remained stable. Risk-weighted assets (RWA) increased by CHF 1.7 billion to CHF 99.7 billion, primarily due to an increase in the Basel I RWA floor. Leverage ratio exposure decreased by CHF 7 billion, mainly due to a decrease of on-balance sheet exposures from securities financing transactions.
Average high-quality liquid assets increased by CHF 2.3 billion as a result of greater average cash balances, reflecting a reduction in secured financing transactions, partly offset by decreased customer deposits. Average total net cash outflows increased by CHF 2.3 billion, reflecting greater average outflows from intercompany transactions. p
Quarterly |
KM1: Key metrics |
|
|
|
|
|
|
|
|
|
| |
CHF million, except where indicated | |||||||||||
|
|
| 31.12.19 |
| 30.9.19 |
| 30.6.19 |
| 31.3.19 |
| 31.12.18 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 10,895 |
| 10,875 |
| 10,654 |
| 10,463 |
| 10,225 |
1a | Fully loaded ECL accounting model CET11 |
| 10,890 |
| 10,871 |
| 10,649 | �� | 10,457 |
| 10,225 |
2 | Tier 1 |
| 15,606 |
| 15,124 |
| 14,894 |
| 14,712 |
| 14,468 |
2a | Fully loaded ECL accounting model tier 11 |
| 15,601 |
| 15,120 |
| 14,889 |
| 14,706 |
| 14,468 |
3 | Total capital |
| 15,606 |
| 15,124 |
| 14,894 |
| 14,712 |
| 14,468 |
3a | Fully loaded ECL accounting model total capital1 |
| 15,601 |
| 15,120 |
| 14,889 |
| 14,706 |
| 14,468 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 99,667 |
| 97,927 |
| 96,640 |
| 96,067 |
| 95,646 |
4a | Minimum capital requirement2 |
| 7,973 |
| 7,834 |
| 7,731 |
| 7,685 |
| 7,652 |
4b | Total risk-weighted assets (pre-floor) |
| 89,234 |
| 90,338 |
| 91,013 |
| 90,068 |
| 91,457 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 10.93 |
| 11.10 |
| 11.02 |
| 10.89 |
| 10.69 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 10.93 |
| 11.10 |
| 11.02 |
| 10.89 |
| 10.69 |
6 | Tier 1 ratio (%) |
| 15.66 |
| 15.44 |
| 15.41 |
| 15.31 |
| 15.13 |
6a | Fully loaded ECL accounting model tier 1 ratio (%)1 |
| 15.65 |
| 15.44 |
| 15.41 |
| 15.31 |
| 15.13 |
7 | Total capital ratio (%) |
| 15.66 |
| 15.44 |
| 15.41 |
| 15.31 |
| 15.13 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 15.65 |
| 15.44 |
| 15.41 |
| 15.31 |
| 15.13 |
Additional CET1 buffer requirements as a percentage of RWA3 |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 2.50 |
| 2.50 |
| 2.50 |
| 2.50 |
| 1.88 |
9 | Countercyclical buffer requirement (%) |
| 0.01 |
| 0.01 |
| 0.01 |
| 0.01 |
| 0.01 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
| 0.57 |
| 0.57 |
| 0.57 |
| 0.58 |
| 0.56 |
10 | Bank G-SIB and/or D-SIB additional requirements (%)4 |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1-specific buffer requirements (%) |
| 2.51 |
| 2.51 |
| 2.51 |
| 2.51 |
| 1.88 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 6.43 |
| 6.60 |
| 6.52 |
| 6.39 |
| 6.19 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 302,304 |
| 309,750 |
| 311,212 |
| 310,545 |
| 306,487 |
14 | Basel III leverage ratio (%) |
| 5.16 |
| 4.88 |
| 4.79 |
| 4.74 |
| 4.72 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.16 |
| 4.88 |
| 4.78 |
| 4.74 |
| 4.72 |
Liquidity coverage ratio5 |
|
|
|
|
|
|
|
|
|
| |
15 | Total HQLA |
| 67,105 |
| 64,835 |
| 67,160 |
| 71,392 |
| 67,427 |
16 | Total net cash outflow |
| 51,561 |
| 49,242 |
| 48,761 |
| 51,945 |
| 52,846 |
17 | LCR (%) |
| 130 |
| 132 |
| 138 |
| 137 |
| 128 |
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 As Annex 8 of the Swiss Capital Adequacy Ordinance (the CAO) does not apply to the systemically relevant banks, we can abstain from disclosing the information required in lines 12a–12e. We nevertheless provides information about the Swiss sector-specific countercyclical buffer in row 9a pursuant to Art. 44 CAO. 4 Swiss SRB going concern requirements and information for UBS Switzerland AG are provided on the next page. 5 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information. | |||||||||||
p
118
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 2019, the transitional going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.98%, including a countercyclical buffer of 0.58%, and 4.5%, respectively. The gone concern requirements under transitional arrangements were 9.51% for the RWA-based requirement and 3.27% 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 our Annual Report 2019, available under “Annual reporting” at www.ubs.com/investors.
® Refer to “Regulatory framework” in the “Capital Management” section of our Annual Report 2019 for more information about loss-absorbing capacity, leverage ratio requirements and gone concern rebate
® Refer to “Additional information” in the “Capital Management” section of our Annual Report 2019 for more information about the joint liability of UBS AG and UBS Switzerland AG
Quarterly |
Swiss SRB going and gone concern requirements and information | ||||||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||
As of 31.12.19 |
| RWA | LRD |
| RWA | LRD | ||||
CHF million, except where indicated |
| in %1 |
| in % |
|
| in % |
| in % |
|
Required going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 13.98 | 13,937 | 4.50 | 13,604 |
| 14.522 | 14,475 | 4.882 | 14,737 |
Common equity tier 1 capital |
| 10.08 | 10,050 | 3.20 | 9,674 |
| 10.22 | 10,189 | 3.38 | 10,203 |
of which: minimum capital |
| 4.90 | 4,884 | 1.70 | 5,139 |
| 4.50 | 4,485 | 1.50 | 4,535 |
of which: buffer capital |
| 4.60 | 4,585 | 1.50 | 4,535 |
| 5.14 | 5,123 | 1.88 | 5,668 |
of which: countercyclical buffer |
| 0.58 | 582 |
|
|
| 0.58 | 582 |
|
|
Maximum additional tier 1 capital |
| 3.90 | 3,887 | 1.30 | 3,930 |
| 4.30 | 4,286 | 1.50 | 4,535 |
of which: additional tier 1 capital |
| 3.10 | 3,090 | 1.30 | 3,930 |
| 3.50 | 3,488 | 1.50 | 4,535 |
of which: additional tier 1 buffer capital |
| 0.80 | 797 |
|
|
| 0.80 | 797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 15.66 | 15,606 | 5.16 | 15,606 |
| 15.66 | 15,606 | 5.16 | 15,606 |
Common equity tier 1 capital |
| 10.93 | 10,895 | 3.60 | 10,895 |
| 10.93 | 10,895 | 3.60 | 10,895 |
Total loss-absorbing additional tier 1 capital |
| 4.73 | 4,711 | 1.56 | 4,711 |
| 4.73 | 4,711 | 1.56 | 4,711 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.73 | 4,711 | 1.56 | 4,711 |
| 4.73 | 4,711 | 1.56 | 4,711 |
|
|
|
|
|
|
|
|
|
|
|
Required gone concern capital |
|
|
|
|
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 9.51 | 9,483 | 3.27 | 9,882 |
| 8.64 | 8,614 | 3.02 | 9,137 |
of which: base requirement |
| 10.52 | 10,485 | 3.63 | 10,959 |
| 12.86 | 12,817 | 4.50 | 13,604 |
of which: additional requirement for market share and LRD |
| 0.81 | 807 | 0.28 | 850 |
| 1.08 | 1,076 | 0.38 | 1,134 |
of which: applicable reduction on requirements3 |
| (1.82) | (1,810) | (0.64) | (1,927) |
| (5.30) | (5,280) | (1.85) | (5,600) |
|
|
|
|
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 10.95 | 10,915 | 3.61 | 10,915 |
| 10.95 | 10,915 | 3.61 | 10,915 |
TLAC-eligible debt |
| 10.95 | 10,915 | 3.61 | 10,915 |
| 10.95 | 10,915 | 3.61 | 10,915 |
|
|
|
|
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 23.50 | 23,420 | 7.77 | 23,485 |
| 23.17 | 23,089 | 7.90 | 23,874 |
Eligible total loss-absorbing capacity |
| 26.61 | 26,521 | 8.77 | 26,521 |
| 26.61 | 26,521 | 8.77 | 26,521 |
1 The total loss-absorbing capacity ratio requirement of 23.50% is the current requirement based on the transitional rules of the Swiss Capital Adequacy Ordinance including the 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 (CCyB) requirements of 0.58%, of which 10% plus the effect of CCyB requirements must be satisfied with CET1 capital. 2 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 3 The rebate granted for Swiss SRBs including transitional arrangements was 42.5% of the maximum rebate, whereas the rebate granted for Swiss SRBs as of 1 January 2020 is 38% of UBS Group AG’s gone concern requirement before applicable reductions. | ||||||||||
119
Significant regulated subsidiaries and sub-groups
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information1 | |||||
CHF million, except where indicated |
| 31.12.19 |
| 30.9.19 | 31.12.18 |
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
Total going concern capital |
| 15,606 |
| 15,124 | 14,468 |
Total tier 1 capital |
| 15,606 |
| 15,124 | 14,468 |
Common equity tier 1 capital |
| 10,895 |
| 10,875 | 10,225 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4,711 |
| 4,249 | 4,243 |
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 10,915 |
| 10,948 | 10,932 |
TLAC-eligible debt |
| 10,915 |
| 10,948 | 10,932 |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
Total loss-absorbing capacity |
| 26,521 |
| 26,072 | 25,400 |
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
Risk-weighted assets |
| 99,667 |
| 97,927 | 95,646 |
Leverage ratio denominator |
| 302,304 |
| 309,750 | 306,487 |
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
Going concern capital ratio |
| 15.7 |
| 15.4 | 15.1 |
of which: common equity tier 1 capital ratio |
| 10.9 |
| 11.1 | 10.7 |
Gone concern loss-absorbing capacity ratio |
| 11.0 |
| 11.2 | 11.4 |
Total loss-absorbing capacity ratio |
| 26.6 |
| 26.6 | 26.6 |
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
Going concern leverage ratio |
| 5.2 |
| 4.9 | 4.7 |
of which: common equity tier 1 leverage ratio |
| 3.6 |
| 3.5 | 3.3 |
Gone concern leverage ratio |
| 3.6 |
| 3.5 | 3.6 |
Total loss-absorbing capacity leverage ratio |
| 8.8 |
| 8.4 | 8.3 |
1 The numbers disclosed in the table are identical for Swiss SRB (including transitional arrangement) requirements and Swiss SRB requirements applicable as of 1 January 2020. | |||||
p
Reconciliation of Swiss banking law equity to Swiss SRB common equity tier 1 capital | ||
CHF billion | 31.12.19 | 31.12.18 |
Equity – Swiss banking law1 | 12.7 | 13.8 |
Deferred tax assets | 0.1 | 0.2 |
Goodwill and intangible assets | (0.3) | (1.3) |
Accruals for proposed dividends to shareholders | (1.3) | (2.2) |
Other | (0.3) | (0.3) |
Common equity tier 1 capital | 10.9 | 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. | ||
120
Leverage ratio information
Swiss SRB leverage ratio denominator | |||
CHF billion |
| 31.12.19 | 31.12.18 |
Leverage ratio denominator |
|
|
|
Swiss GAAP total assets |
| 285.0 | 293.0 |
Difference between Swiss GAAP and IFRS total assets |
| 3.6 | 1.8 |
Less: derivative exposures and SFTs1 |
| (17.3) | (32.5) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 271.3 | 262.3 |
Derivative exposures |
| 4.4 | 3.7 |
Securities financing transactions |
| 12.7 | 28.5 |
Off-balance sheet items |
| 14.2 | 12.4 |
Items deducted from Swiss SRB tier 1 capital |
| (0.3) | (0.5) |
Total exposures (leverage ratio denominator) |
| 302.3 | 306.5 |
1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table. | |||
p
Quarterly |
BCBS Basel III leverage ratio | ||||||
CHF million, except where indicated |
| 31.12.19 | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
Total tier 1 capital |
| 15,606 | 15,124 | 14,894 | 14,712 | 14,468 |
Total exposures (leverage ratio denominator) |
| 302,304 | 309,750 | 311,212 | 310,545 | 306,487 |
BCBS Basel III leverage ratio (%) |
| 5.2 | 4.9 | 4.8 | 4.7 | 4.7 |
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 4Q192 | Average 4Q182 |
High-quality liquid assets |
| 67 | 67 |
Total net cash outflows |
| 52 | 53 |
of which: cash outflows |
| 84 | 86 |
of which: cash inflows |
| 33 | 34 |
Liquidity coverage ratio (%) |
| 130 | 128 |
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 2019 and 64 data points in the fourth quarter of 2018. | |||
p
121
Significant regulated subsidiaries and sub-groups
Capital instruments
Quarterly |
Capital instruments of UBS Switzerland AG – key features |
|
|
| |||||||
Presented according to issuance date. |
| |||||||||
|
|
| Share capital |
| Additional tier 1 capital |
| ||||
1 | Issuer |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland | 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 | 7 |
2 | Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement) |
| - |
| - | |||||
3 | Governing law(s) of the instrument |
| Swiss |
| Swiss | |||||
3a | Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law) |
| n/a |
| n/a | |||||
| Regulatory treatment |
|
|
|
|
|
|
|
|
|
4 | Transitional Basel III rules1 |
| CET1 – Going concern capital |
| Additional tier 1 capital | |||||
5 | Post-transitional Basel III rules2 |
| CET1 – Going concern capital |
| Additional tier 1 capital | |||||
6 | Eligible at solo / group / group and solo |
| UBS Switzerland AG consolidated and standalone |
| UBS Switzerland AG consolidated and standalone | |||||
7 | Instrument type (types to be specified by each jurisdiction) |
| Ordinary shares |
| Loan4 | |||||
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 | CHF 475 |
9 | Par value of instrument |
| CHF 10.0 |
| CHF 1,500 | CHF 500 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 |
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 | 11 December 2019 |
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
| First optional repayment date: 11 December 2024
|
| 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
122
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 | 3-month CHF Libor + 433 bps per annum quarterly |
19 | Existence of a dividend stopper |
| – |
| No | |||||
20 | Fully discretionary, partially discretionary or mandatory |
| Fully discretionary |
| Fully discretionary | |||||
21 | Existence of step-up or other incentive to redeem |
| – |
| No | |||||
22 | Non-cumulative or cumulative |
| Non-cumulative |
| Non-cumulative | |||||
23 | Convertible or non-convertible |
| – |
| Non-convertible | |||||
24 | If convertible, conversion trigger(s) |
| – |
| – | |||||
25 | If convertible, fully or partially |
| – |
| – | |||||
26 | If convertible, conversion rate |
| – |
| – | |||||
27 | If convertible, mandatory or optional conversion |
| – |
| – | |||||
28 | If convertible, specify instrument type convertible into |
| – |
| – | |||||
29 | If convertible, specify issuer of instrument it converts into |
| – |
| – | |||||
30 | Write-down feature |
| – |
| Yes | |||||
31 | If write-down, write-down trigger(s) |
| – |
| Trigger: CET1 ratio is less than 7% | |||||
|
| FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support that FINMA determines necessary to ensure UBS Switzerland AG‘s viability. Subject to applicable conditions | ||||||||
32 | If write-down, fully or partially |
| – |
| Fully | |||||
33 | If write-down, permanent or temporary |
| – |
| Permanent | |||||
34 | If temporary write-down, description of write-up mechanism |
| – |
| – | |||||
34a | Type of subordination |
| Statutory |
| Contractual | |||||
35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument in the insolvency creditor hierarchy of the legal entity concerned). |
| Unless otherwise stated in the articles of association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (Art. 745, Swiss Code of Obligations) |
| Subject to any obligations that are mandatorily preferred by law, all obligations of UBS Switzerland AG that are unsubordinated or that are subordinated and do not rank junior, such as all classes of share capital, or at par, such as tier 1 instruments | |||||
36 | Non-compliant transitioned features |
| – |
| – | |||||
37 | If yes, specify non-compliant features |
| – |
| – | |||||
1 Based on Swiss SRB (including transitional arrangement) requirements. 2 Based on Swiss SRB requirements applicable as of 1 January 2020. 3 As applied in UBS Switzerland AG‘s financial statements under Swiss GAAP. 4 Loans granted by UBS AG, Switzerland. | ||||||||||
p
123
Significant regulated subsidiaries and sub-groups
Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements.
During the fourth quarter of 2019, common equity tier 1 (CET1) capital was stable. Risk-weighted assets (RWA) increased by EUR 0.7 billion to EUR 15.1 billion, mainly as a result of an increase in credit risk RWA. Leverage ratio exposure decreased by EUR 8.3 billion, reflecting a decrease in securities financing transactions, derivative exposures and cash held at central banks. Average high-quality liquid assets remained stable. Average total net cash outflows increased by EUR 0.4 billion, mainly due to treasury activities.
Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities. p
Quarterly |
KM1: Key metrics1,2,3 |
|
| ||||
EUR million, except where indicated |
|
| ||||
|
|
| 31.12.19 | 30.9.19 | 30.6.19 | 31.3.19 |
Available capital (amounts) |
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 3,486 | 3,528 | 3,543 | 3,568 |
2 | Tier 1 |
| 3,776 | 3,818 | 3,833 | 3,858 |
3 | Total capital |
| 3,776 | 3,818 | 3,833 | 3,858 |
Risk-weighted assets (amounts) |
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 15,146 | 14,407 | 13,725 | 14,432 |
4a | Minimum capital requirement4 |
| 1,212 | 1,153 | 1,098 | 1,155 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 23.0 | 24.5 | 25.8 | 24.7 |
6 | Tier 1 ratio (%) |
| 24.9 | 26.5 | 27.9 | 26.7 |
7 | Total capital ratio (%) |
| 24.9 | 26.5 | 27.9 | 26.7 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 2.5 | 2.5 | 2.5 | 2.5 |
9 | Countercyclical buffer requirement (%) |
| 0.3 | 0.3 | 0.2 | 0.2 |
10 | Bank G-SIB and/or D-SIB additional requirements (%) |
|
|
|
|
|
11 | Total of bank CET1-specific buffer requirements (%) |
| 2.8 | 2.8 | 2.7 | 2.7 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)5 |
| 16.9 | 18.5 | 19.9 | 18.7 |
Basel III leverage ratio |
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 41,924 | 50,199 | 52,291 | 51,060 |
14 | Basel III leverage ratio (%)6 |
| 9.0 | 7.6 | 7.3 | 7.6 |
Liquidity coverage ratio7 |
|
|
|
|
| |
15 | Total HQLA |
| 14,393 | 14,309 | 14,367 | 14,770 |
16 | Total net cash outflow8 |
| 9,976 | 9,624 | 8,773 | 7,465 |
17 | LCR (%)8 |
| 147 | 151 | 165 | 198 |
1 Based on applicable EU Basel III rules. 2 As a result of the cross-border merger of UBS Limited into UBS Europe SE effective 1 March 2019, UBS Europe SE became a significant regulated subsidiary of UBS Group AG. The size, scope and business model of the merged entity is now materially different. Comparatives for 31 December 2018 have not been provided in the table because data produced on the same basis is not available. 3 There is no local disclosure requirement for the net stable funding ratio as at 31 December 2019. 4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 5. This represents the CET1 ratio which is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital which has been used to meet tier 1 and/or total capital ratio requirements under Pillar 1. Comparative figures have been adjusted to adhere to this presentation. 6 On the basis of tier 1 capital. 7 Figures as of 31 December 2019 are based on a ten-month average, as of 30 September 2019 on a seven-month average and as of 30 June 2019 on a four-month average, rather than a twelve-month average, as data produced on the same basis is only available for the period since the cross-border merger. For 31 March 2019, month-end reporting date values are disclosed. 8 Revised calculation excludes inflows from overdrafts which we cannot demand repayment of within 30 days. Comparative figures and ratios have been adjusted accordingly. | ||||||
p
124
Quarterly | The table below provides information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements (i.e., US Basel III standardized rules).
During the fourth quarter of 2019, common equity tier 1 (CET1) capital was stable. Risk-weighted assets (RWA) increased by USD 1.1 billion to USD 54.1 billion, mainly driven by higher credit risk RWA. Leverage ratio exposure increased by USD 3.7 billion during the quarter, primarily driven by higher average assets.
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 | |||||||||||
|
|
| 31.12.19 |
| 30.9.19 |
| 30.6.19 |
| 31.3.19 |
| 31.12.183 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common equity tier 1 (CET1) |
| 11,939 |
| 11,868 |
| 12,900 |
| 12,028 |
| 11,746 |
2 | Tier 1 |
| 14,987 |
| 14,923 |
| 15,055 |
| 14,170 |
| 13,887 |
3 | Total capital |
| 15,702 |
| 15,640 |
| 15,772 |
| 14,882 |
| 14,601 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 54,058 |
| 52,947 |
| 53,892 |
| 55,313 |
| 54,063 |
4a | Minimum capital requirement4 |
| 4,325 |
| 4,236 |
| 4,311 |
| 4,425 |
| 4,325 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | Common equity tier 1 ratio (%) |
| 22.1 |
| 22.4 |
| 23.9 |
| 21.7 |
| 21.7 |
6 | Tier 1 ratio (%) |
| 27.7 |
| 28.2 |
| 27.9 |
| 25.6 |
| 25.7 |
7 | Total capital ratio (%) |
| 29.0 |
| 29.5 |
| 29.3 |
| 26.9 |
| 27.0 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (2.5% from 2019) (%) |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
| 1.9 |
9 | Countercyclical buffer requirement (%)5 |
|
|
|
|
|
|
|
|
|
|
10 | Bank G-SIB and/or D-SIB additional requirements (%)6 |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1-specific buffer requirements (%) |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
| 1.9 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)7 |
| 17.6 |
| 17.9 |
| 19.4 |
| 17.2 |
| 17.2 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 127,290 |
| 123,632 |
| 123,008 |
| 124,981 |
| 122,829 |
14 | Basel III leverage ratio (%)8 |
| 11.8 |
| 12.1 |
| 12.2 |
| 11.3 |
| 11.3 |
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 2019. 3 Figures as of or for the quarter ended 31 December 2018 have been adjusted for consistency with the full-year audited financial statements and / or local regulatory reporting, which were finalized after the publication of our Annual Report 2018 and our 31 December 2018 Pillar 3 report on 15 March 2019. 4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 5 UBS Americas Holding LLC is currently not subject to the countercyclical buffer requirement. 6 Not applicable as requirements have not been proposed. 7 This represents the CET1 ratio which is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital which has been used to meet tier 1 and/or total capital ratio requirements. Figures as of 30 June 2019, 31 March 2019 and 31 December 2018 have been adjusted to adhere to this presentation. 8 On the basis of tier 1 capital. | |||||||||||
p
125
Significant regulated subsidiaries and sub-groups
Material sub-group entity – creditor ranking at legal entity level
Semiannual | The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on a standalone basis.
As of 31 December 2019, UBS Americas Holding LLC had a total loss-absorbing capacity of USD 20,487 million after regulatory capital deductions and adjustments. This amount included Tier 1 capital of USD 14,987 million and USD 5,500 million of internal long-term debt which is eligible as internal TLAC issued to UBS AG, a wholly owned subsidiary of the UBS Group AG resolution entity. p
Semiannual |
TLAC2 – Material sub-group entity – creditor ranking at legal entity level | ||||||||
As of 31.12.19 |
| Creditor ranking |
| Total | ||||
USD million |
| 1 | 2 | 3 | 4 |
|
| |
1 | Is the resolution entity the creditor / investor? |
| No | No | No | No |
|
|
2 | Description of creditor ranking |
| Common Equity (most junior)1 | Preferred Shares (Additional tier 1) | Subordinated debt | Unsecured loans and other pari passu liabilities (most senior) |
|
|
3 | Total capital and liabilities net of credit risk mitigation |
| 25,127 | 3,150 | 600 | 21,891 |
| 50,768 |
4 | Subset of row 3 that are excluded liabilities |
|
|
|
| 944 |
| 944 |
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) |
| 25,127 | 3,150 | 600 | 20,947 |
| 49,824 |
6 | Subset of row 5 that are eligible as TLAC |
| 25,127 | 3,150 |
| 5,500 |
| 33,777 |
7 | Subset of row 6 with 1 year ≤ residual maturity < 2 years |
|
|
|
|
|
|
|
8 | Subset of row 6 with 2 years ≤ residual maturity < 5 years |
|
|
|
| 2,200 |
| 2,200 |
9 | Subset of row 6 with 5 years ≤ residual maturity < 10 years |
|
|
|
| 3,300 |
| 3,300 |
10 | Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual securities |
|
|
|
|
|
|
|
11 | Subset of row 6 that is perpetual securities |
| 25,127 | 3,150 |
|
|
| 28,277 |
1 Equity attributable to shareholders, which includes share premium and reserves. | ||||||||
p
126
A
ABS asset-backed securities
AEI automatic exchange of information
AGM Annual General Meeting of shareholders
A-IRB advanced internal
ratings-based
AIV alternative investment vehicle
ALCO Asset and Liability Committee
AMA advanced measurement approach
AML anti-money laundering
AoA Articles of Association
APAC Asia Pacific
APM alternative performance measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BEAT base erosion and anti-abuse tax
BIS Bank for International Settlements
BoD Board of Directors
BVG Swiss occupational
pension plan
C
CAO Capital Adequacy Ordinance
CCAR Comprehensive Capital Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CCyB countercyclical buffer
CDO collateralized debt
obligation
CDS credit default swap
CEA Commodity Exchange Act
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
CLS Continuous Linked Settlement
CMBS commercial mortgage-backed security
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)
CST combined stress test
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DJSI Dow Jones Sustainability Indices
DM discount margin
DOJ US Department of Justice
D-SIB domestic systemically important bank
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EBA European Banking Authority
EC European Commission
ECB European Central Bank
ECL expected credit loss
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
ESG environmental, social and governance
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young (Ltd)
F
FA financial advisor
FCA UK Financial Conduct
Authority
FCT foreign currency translation
FINMA Swiss Financial Market Supervisory Authority
FMIA Swiss Financial Market Infrastructure Act
Abbreviations frequently used in our financial reports (continued)
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GDP gross domestic product
GEB Group Executive Board
GIA Group Internal Audit
GIIPS Greece, Italy, Ireland,
Portugal and Spain
GMD Group Managing Director
GRI Global Reporting Initiative
GSE government sponsored entities
G-SIB global systemically important bank
H
HQLA high-quality liquid assets
HR human resources
I
IAA internal assessment approach
IAS International Accounting Standards
IASB International Accounting Standards Board
IBOR interbank offered rate
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IHC intermediate holding company
IMA internal models approach
IMM internal model method
IRB internal ratings-based
IRC incremental risk charge
IRRBB interest rate risk in the banking book
ISDA International Swaps and Derivatives Association
K
KRT Key Risk Taker
L
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
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MiFID II Markets in Financial Instruments Directive II
MRT Material Risk Taker
N
NAV net asset value
NCL Non-core and Legacy Portfolio
NII net interest income
NRV negative replacement value
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
OTC over-the-counter
P
PD probability of default
PFE potential future exposure
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
PRA UK Prudential Regulation Authority
PRV positive replacement value
Q
QRRE qualifying revolving retail exposures
R
RBA role-based allowances
RBC risk-based capital
RbM risk-based monitoring
RMBS residential mortgage-backed securities
RniV risks not in VaR
RoAE return on attributed equity
RoCET1 return on CET1 capital
RoTE return on tangible equity
RoU right-of-use
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 or Special Administrative Region
SBC Swiss Bank Corporation
SDG Sustainable Development Goal
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SFT securities financing transaction
SI sustainable investing
SICR significant increase in credit risk
SIX SIX Swiss Exchange
SME small and medium-sized corporate clients
SMF Senior Management Function
SNB Swiss National Bank
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and Jobs Act
TLAC total loss-absorbing capacity
TTC through-the-cycle
U
UoM units of measure
USD US dollar
V
VaR value-at-risk
VAT value added tax
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 2019, available at www.ubs.com/investors, for additional information.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages, percent changes, and adjusted results are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and which can be derived from figures displayed in the tables, is calculated on a rounded basis.
Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.
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: February 28, 2020