SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: August 7, 2018
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 Basel III Pillar 3 disclosure for UBS Group AG and significant regulated subsidiaries and sub-groups as of 30 June 2018, which appears immediately following this page.
30 June 2018 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
Table of contents | |||
| |||
UBS Group AG consolidated | |||
6 | Section 1 | ||
10 | Section 2 | ||
24 | Section 3 | ||
30 | Section 4 | ||
35 | Section 5 | ||
39 | Section 6 | ||
46 | Section 7 | ||
49 | Section 8 | ||
51 | Section 9 | Requirements for global systemically important banks and related indicators | |
|
|
| |
| Significant regulated subsidiaries and sub-groups | ||
54 | Section 1 | ||
54 | Section 2 | ||
57 | Section 3 | ||
62 | Section 4 | ||
63 | Section 5 | ||
|
|
| |
|
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Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com
Language: English
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Introduction and basis for preparation
Scope and location of Basel III Pillar 3 disclosures
The Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for UBS Group AG on a consolidated basis, as well as prudential key figures and regulatory information for our significant regulated subsidiaries and sub-groups. These Pillar 3 disclosures are supplemented by specific additional requirements of the Swiss Financial Market Supervisory Authority (FINMA) and voluntary disclosures on our part.
As UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital information as of 30 June 2018 for UBS Group AG consolidated is provided in the “Capital management” section of our second quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors. Capital and other regulatory information as of 30 June 2018 for UBS AG consolidated is provided in the UBS AG second quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors.
We are also required to disclose certain regulatory information for our significant regulated subsidiaries and sub-groups, including UBS AG, UBS Switzerland AG and UBS Limited, each on a standalone basis, as well as UBS Americas Holding LLC on a consolidated basis. This information is provided under “Significant regulated subsidiaries and sub-groups” in this report.
Local regulators may also require publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors.
Significant BCBS and FINMA capital adequacy, liquidity and funding and related disclosure requirements
This report has been prepared in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016 / 01 “Disclosure – banks”), the underlying Basel Committee on Banking Supervision (BCBS) guidance (“Revised Pillar 3 disclosure requirements”) issued in January 2015 and related “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016. The legal entities UBS AG and UBS Switzerland AG are subject to standalone capital adequacy, liquidity and funding and disclosure requirements defined by FINMA. This information is provided under “Significant regulated subsidiaries and sub-groups” in this report.
Changes to significant BCBS and FINMA capital adequacy, liquidity and funding and related disclosure requirements
Changes to Pillar 1 requirements
Effective 1 January 2018, we became subject to the revised Basel III securitization framework for securitization exposures in the banking book, which had an immaterial effect on our risk-weighted assets (RWA). Related changes to Pillar 3 disclosure requirements are described below.
Changes to IFRS impacting Pillar 1
Effective 1 January 2018, we adopted IFRS 9, Financial Instruments for UBS Group AG and UBS AG on a consolidated basis.
The related FINMA guidance for the regulatory treatment of accounting provisions was issued on 16 July 2018, with an effective date of 1 January 2019. Our calculations as of 30 June 2018 are based on the FINMA consultation paper. We expect to implement any changes related to the final FINMA guidance by the effective date of 1 January 2019. The implementation of IFRS9 resulted in a reduction of Basel III common equity tier 1 (CET1) capital as of 1 January 2018 by approximately CHF 0.3 billion and an increase of RWA by approximately CHF 0.7 billion.
® Refer to the “Recent developments” section starting on page 4 and “Note 1 Basis of accounting” in the “Consolidated financial statements” section starting on page 76 of our first quarter 2018 report and “Note 19 Transition to IFRS 9 as of 1 January 2018” in the “Consolidated financial statements” section starting on page 113 of our second quarter 2018 report available under “Quarterly reporting” at www.ubs.com/investors for more information on the adoption of IFRS 9
In addition, the implementation of IFRS 9, Financial Instruments resulted in the following design and calculation changes to our semi-annual Pillar 3 disclosures, which are also outlined in footnotes or narrative text to the relevant tables:
(a) Allowances and impairments included in “CR1: Credit quality of assets” and Provisions included in “CR6: IRB – Credit risk exposures by portfolio and PD range” as of 30 June 2018 reflect expected credit loss allowances and provisions related to stages 1–3. Comparative numbers as of 31 December 2017 are based on the incurred loss model of IAS 39, Financial Instruments: Recognition and Measurement and are largely comparable to the IFRS 9 stage 3 allowances and provisions;
(b) the definitions of the FINMA-defined Pillar 3 credit risk exposure categories “Loans” and “Debt securities” have been updated to reflect the new IFRS balance sheet structure under IFRS 9; and
(c) RWA included in “CR10: IRB (equities under the simple risk weight method)” increased primarily due to the transition effect of IFRS 9, as a result of the reclassification of equity instruments from the IAS 39 category financial assets available for sale to the IFRS 9 category fair value through
2
profit or loss, as unrealized gains on such instruments (previously deducted from Basel III CET1 capital) were added back to the exposure at default for the purpose of the RWA calculation.
Changes to Pillar 3 disclosure requirements
The tables “SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor” and “SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor” have been modified to reflect changes to the revised securitization framework.
Significant BCBS and FINMA requirements to be adopted in the second half of 2018 or later
Information on BCBS and FINMA requirements to be adopted in the second half of 2018 or later is provided the “Introduction and basis for preparation” section on pages 2–3 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors. Outlined below are significant developments related to BCBS and FINMA requirements, which are to be adopted by UBS or are applicable to UBS, that have occurred in the first half of 2018 on either new requirements, or on requirements described in previous Pillar 3 reports.
Changes to Pillar 1 requirements
On 16 July 2018, FINMA issued revised circulars mainly on
– credit risk (FINMA Circular 2017/07 “Credit risk – banks”) to incorporate Frequently asked questions (FAQ) on the standardized approach for counterparty credit risk (SA-CCR), and
– leverage ratio (FINMA Circular 2015/03 “Leverage ratio – banks”) to allow early adoption of modified SA-CCR rules in line with the BCBS Basel III finalization of the capital framework issued in December 2017 before 1 January 2020.
Changes to Pillar 3 disclosure requirements
In March 2017, the BCBS issued the “Pillar 3 disclosure requirements – consolidated and enhanced framework,” which represents the second phase of the BCBS review of the Pillar 3 disclosure framework and builds on the revisions to the Pillar 3 disclosure requirements published in January 2015. On 16 July 2018, FINMA issued a revised Circular 2016 / 01 “Disclosure – banks” including the aforementioned second phase revisions, which requires banks to gradually implement the requirements from 31 December 2018 onwards.
Significant BCBS and FINMA consultation papers
A consultation on the BCBS’s market risk standard (Fundamental Review of the Trading Book (FRTB)), previously finalized in 2016 but not yet in effect, ended in June 2018. Certain elements of the 2016 FRTB rules are likely to be revised by the BCBS based on the consultation. The probable revisions, while they may provide some relief compared with the 2016 version, would likely continue to lead to an increase in market risk RWA as previously highlighted.
The final standard is expected to be announced by the end of 2018 and expected to be in effect starting 1 January 2022.
® Refer to the “Capital Management” section on pages 183–198 of our Annual Report 2017 for more information on estimated RWA increases
Further to the finalization of the Basel III reforms, BCBS issued a consultation paper on its updated Pillar 3 disclosure requirements in February 2018. This consultation complements the first and second phases of the revised Pillar 3 disclosure requirements published earlier. The implementation deadline is expected to be in line with the overall finalization of the Basel III reforms, which will take effect from 1 January 2022.
2018 CCAR results on UBS Americas Holding LLC
In June 2018, the Federal Reserve Board released the results of its Comprehensive Capital Analysis and Review (CCAR) and did not object to UBS Americas Holding LLC’s capital plan.
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 4–5 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups. We generally provide 31 December 2017 quantitative comparative information for all disclosures. Depending on the FINMA-specified disclosure frequency, we provide additional quantitative prior period information:
– For quarterly disclosures on movements related to RWA for credit risk, counterparty credit risk and market risk, we provide additional comparative information for the first quarter of 2018.
– For all other quarterly disclosures where movement explanation is required by FINMA in case of material changes, we provide 31 March 2018 comparative information, in addition to the 31 December 2017 information.
– For disclosures on significant regulated subsidiaries and sub-groups, we provide 31 March 2018 comparative information, in addition to the 31 December 2017 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 – Semiannual | Quarterly | – indicating whether the disclosure is provided semiannually or quarterly. A triangle symbol – p p – indicates the end of the signpost.
® Refer to the 31 March 2018 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors for more information on previously published quarterly movement commentary
3
UBS Group AG consolidated
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 risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).
For information on the measurement of risk exposures and RWA, refer to pages 8–10 of the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors.
Effective 1 January 2018, we became subject to the revised Basel III securitization framework, which changed the calculation method for securitization exposures in the banking book, as outlined below.
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
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 4 Securitizations. | The IFRS carrying value post eligible regulatory credit risk mitigation and credit conversion factor is the basis for measuring securitization exposure. | We apply the following approaches to measure securitization exposure RWA: – Internal ratings-based approach (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 (ERBA), in case the IRB approach cannot be applied, risk weights are applied based on external ratings, provided that we are able to demonstrate our expertise in critically reviewing and challenging the external ratings. – Standardized approach (SA) or 1,250% risk weight factor, in case none of the aforementioned approaches can be applied, we would apply the standardized approach where the delinquency status of a significant portion of the underlying exposure can be determined or a risk weight of 1,250%.
For re-securitization exposures we apply either the standardized approach or a risk weight factor of 1,250%. |
6
RWA development in the second quarter of 2018
Quarterly | The “OV1: Overview of RWA” table below provides an overview of RWA and the related minimum capital requirements by risk type. It was enhanced in the first quarter of 2018 to early adopt the new template introduced with the second phase of revised Pillar 3 disclosure requirements to reflect changes to the securitization framework. The template includes rows that are currently not applicable to UBS and therefore have been left empty.
During the second quarter of 2018, RWA decreased by CHF 1.4 billion, mainly driven by lower market risk RWA in the amount of CHF 10.0 billion, partly offset by an increase of CHF 7.7 billion in credit and counterparty credit risk RWA and further increases in the lines Amounts below thresholds for deduction (250% risk weight) of CHF 0.3 billion and Equity positions under the simple risk weight approach of CHF 0.3 billion, as well as other increases totaling CHF 0.3 billion.
The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details on the movements in RWA in the second quarter of 2018. More information on capital management and RWA, including details on movements in RWA during the second and first quarter of 2018, is provided on pages 60–62 of our second quarter 2018 report and on pages 57–59 of our first quarter 2018 report, both available under “Quarterly reporting” at www.ubs.com/investors.p
Quarterly |
OV1: Overview of RWA | |||||||
CHF million |
| RWA |
| Minimum capital requirements2 | |||
|
| 30.6.18 | 31.3.18 | 31.12.171 |
| 30.6.18 | |
1 | Credit risk (excluding counterparty credit risk) |
| 108,308 | 101,165 | 97,678 |
| 8,665 |
2 | of which: standardized approach (SA)3 |
| 24,096 | 23,956 | 23,987 |
| 1,928 |
3 | of which: foundation internal rating-based (F-IRB) approach |
|
|
|
|
|
|
4 | of which: supervisory slotting approach |
|
|
|
|
|
|
5 | of which: advanced internal ratings-based (A-IRB) approach |
| 84,212 | 77,210 | 73,691 |
| 6,737 |
6 | Counterparty credit risk4 |
| 32,824 | 32,259 | 30,279 |
| 2,626 |
7 | of which: SA for counterparty credit risk (SA-CCR)5 |
| 6,257 | 6,083 | 5,575 |
| 501 |
8 | of which: internal model method (IMM) |
| 18,386 | 18,556 | 17,274 |
| 1,471 |
8a | of which: value-at-risk (VaR) |
| 4,419 | 4,288 | 3,999 |
| 354 |
9 | of which: other CCR |
| 3,763 | 3,331 | 3,432 |
| 301 |
10 | Credit valuation adjustment (CVA) |
| 3,465 | 3,260 | 3,084 |
| 277 |
11 | Equity positions under the simple risk weight approach6 |
| 3,644 | 3,388 | 2,368 |
| 292 |
12 | Equity investments in funds – look-through approach7 |
|
|
|
|
|
|
13 | Equity investments in funds – mandate-based approach7 |
|
|
|
|
|
|
14 | Equity investments in funds – fall-back approach7 |
|
|
|
|
|
|
15 | Settlement risk |
| 527 | 469 | 369 |
| 42 |
16 | Securitization exposure in banking book |
| 1,264 | 1,141 | 1,6968 |
| 101 |
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) |
| 1,263 | 1,062 |
|
| 101 |
19 | of which securitization standardized approach (SEC-SA) |
| 1 | 79 |
|
| 0 |
20 | Market Risk |
| 12,391 | 22,396 | 12,281 |
| 991 |
21 | of which: standardized approach (SA) |
| 361 | 401 | 400 |
| 29 |
22 | of which: internal model approaches (IMM) |
| 12,030 | 21,996 | 11,881 |
| 962 |
23 | Capital charge for switch between trading book and banking book |
|
|
|
|
|
|
24 | Operational risk |
| 79,422 | 79,422 | 79,422 |
| 6,354 |
25 | Amounts below thresholds for deduction (250% risk weight)9 |
| 10,528 | 10,253 | 11,218 |
| 842 |
26 | Floor adjustment10 |
| 0 | 0 | 0 |
| 0 |
27 | Total |
| 252,373 | 253,753 | 238,394 |
| 20,190 |
1 Based on phase-in rules. 2 Calculated based on 8% of RWA. 3 Includes non-counterparty-related risk not subject to the threshold deduction treatment (30 June 2018: RWA CHF 9,264 million; 31 March 2018: RWA CHF 9,015 million; 31 December 2017: RWA CHF 8,949 million). Non-counterparty-related risk (30 June 2018: RWA CHF 8,526 million; 31 March 2018: RWA CHF 8,374 million; 31 December 2017: RWA CHF 9,310 million), which is subject to the threshold treatment, is reported in line 25 “Amounts below thresholds for deduction (250% risk weight).” 4 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. New regulation for the calculation of RWA for exposure to central counterparties will be implemented by 1 January 2020. The split between the subcomponents of counterparty credit risk refers to the calculation of the exposure measure. 5 Calculated in accordance with the current exposure method (CEM), until SA-CCR is implemented by 1 January 2020. 6 Includes investments in funds. Items subject to threshold deduction treatments that do not exceed their respective threshold are risk weighted at 250% (30 June 2018: RWA CHF 2,002 million; 31 March 2018: RWA CHF 1,879 million; 31 December 2017: RWA CHF 1,908 million) and are separately included in line 25 “Amounts below thresholds for deduction (250% risk weight).” 7 New regulation for the calculation of RWA for investments in funds will be implemented by 1 January 2020. 8 Calculated on the basis of the former securitization rules applicable until 31 December 2017. 9 Includes items subject to threshold deduction treatments that do not exceed their respective threshold and risk weighted at 250%. Items subject to threshold deduction treatments are significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences, both of which are measured against their respective threshold. 10 No floor effect, as 80% of our Basel I RWA including the RWA equivalent of the Basel I capital deductions do not exceed our Basel III RWA including the RWA equivalent of the Basel III capital deductions. For the status of the finalization of the Basel III capital framework, refer to the “Regulatory and legal developments” section of our Annual Report 2017, available under “Annual reporting” at www.ubs.com/investors, which outlines how the proposed floor calculation would differ in significant aspects from the current approach. | |||||||
p
7
UBS Group AG consolidated
The table below is disclosed on a voluntary basis and is aligned with the principles applied in “OV1: Overview of RWA,” and presents the net exposure at default (EAD) and RWA by risk type and FINMA-defined asset class, which forms the basis for the calculation of RWA. These exposures are then grouped into the advanced internal ratings-based (A-IRB) / model-based approaches and standardized approach. For credit risk, this defines the method used to derive the risk weight factors, through either internal ratings (A-IRB) or external ratings (standardized approach). The split between A-IRB / model-based
approaches and the standardized approach for counterparty credit risk refers to the exposure measure, whereas the split in templates CCR3 and CCR4 refers to the risk-weighting approach. Market and operational risk RWA, excluding securitization / re-securitization in the trading book, are derived using model calculations and are therefore included in the model-based approach columns.
The table below provides references to sections in this report containing more information on the specific topics.
Regulatory exposures and risk-weighted assets | |||||||||||
30.6.18 | |||||||||||
|
| A-IRB / model-based approaches |
| Standardized approaches |
| Total | |||||
CHF million |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA |
Credit risk (excluding counterparty credit risk) |
| 541,313 | 84,212 | 2 |
| 50,899 | 24,096 | 2 |
| 592,212 | 108,308 |
Central governments and central banks |
| 143,150 | 2,723 | CR6, CR7 |
| 14,168 | 494 | CR4, CR5 |
| 157,318 | 3,217 |
Banks and securities dealers |
| 16,233 | 4,619 | CR6, CR7 |
| 6,667 | 1,585 | CR4, CR5 |
| 22,900 | 6,204 |
Public sector entities, multilateral development banks |
| 11,555 | 866 | CR6, CR7 |
| 1,588 | 443 | CR4, CR5 |
| 13,143 | 1,308 |
Corporates: specialized lending |
| 22,337 | 11,070 | CR6, CR7 |
|
|
| CR4, CR5 |
| 22,337 | 11,070 |
Corporates: other lending |
| 59,606 | 30,846 | CR6, CR7 |
| 5,328 | 4,142 | CR4, CR5 |
| 64,934 | 34,987 |
Central counterparties |
|
|
|
|
| 506 | 26 |
|
| 506 | 26 |
Retail |
| 288,434 | 34,088 | CR6, CR7 |
| 12,508 | 8,143 | CR4, CR5 |
| 300,942 | 42,231 |
Residential mortgages |
| 137,956 | 24,719 |
|
| 6,584 | 2,603 |
|
| 144,539 | 27,322 |
Qualifying revolving retail exposures (QRRE) |
| 1,640 | 577 |
|
|
|
|
|
| 1,640 | 577 |
Other retail1 |
| 148,838 | 8,792 |
|
| 5,925 | 5,540 |
|
| 154,762 | 14,332 |
Non-counterparty-related risk |
|
|
|
|
| 10,133 | 9,264 | CR4, CR5 |
| 10,133 | 9,264 |
Property, equipment and software |
|
|
|
|
| 9,028 | 9,028 |
|
| 9,028 | 9,028 |
Other |
|
|
|
|
| 1,105 | 236 |
|
| 1,105 | 236 |
Counterparty credit risk2 |
| 92,044 | 22,805 | 3 |
| 89,864 | 10,019 | 3 |
| 181,908 | 32,824 |
Central governments and central banks |
| 7,133 | 871 | CCR3, CCR4 |
| 2,285 | 231 | CCR3, CCR4 |
| 9,418 | 1,102 |
Banks and securities dealers |
| 18,597 | 5,220 | CCR3, CCR4 |
| 6,461 | 1,452 | CCR3, CCR4 |
| 25,058 | 6,672 |
Public sector entities, multilateral development banks |
| 2,567 | 292 | CCR3, CCR4 |
| 824 | 34 | CCR3, CCR4 |
| 3,392 | 326 |
Corporates incl. specialized lending |
| 45,892 | 16,083 | CCR3, CCR4 |
| 17,934 | 5,827 | CCR3, CCR4 |
| 63,826 | 21,910 |
Central counterparties |
| 17,855 | 338 |
|
| 53,195 | 1,454 |
|
| 71,050 | 1,792 |
Retail |
|
|
|
|
| 9,165 | 1,022 | CCR3, CCR4 |
| 9,165 | 1,022 |
Credit valuation adjustment (CVA) |
|
| 1,783 | 3, CCR2 |
|
| 1,682 | 3, CCR2 |
|
| 3,465 |
Equity positions in the banking book (CR) |
| 874 | 3,644 | 2, CR10 |
|
|
|
|
| 874 | 3,644 |
Settlement risk |
| 47 | 214 |
|
| 218 | 313 |
|
| 265 | 527 |
Securitization exposure in the banking book |
|
|
|
|
| 232 | 1,264 | 4 |
| 232 | 1,264 |
Market risk |
|
| 12,030 | 5 |
| 387 | 361 | 4, 5 |
| 387 | 12,391 |
Value-at-risk (VaR) |
|
| 1,638 | MR3 |
|
|
|
|
|
| 1,638 |
Stressed value-at risk (SVaR) |
|
| 3,420 | MR3 |
|
|
|
|
|
| 3,420 |
Add-on for risks-not-in-VaR (RniV) |
|
| 4,538 | MR4 |
|
|
|
|
|
| 4,538 |
Incremental risk charge (IRC) |
|
| 2,378 | MR4 |
|
|
|
|
|
| 2,378 |
Comprehensive risk measure (CRM) |
|
| 56 | MR4 |
|
|
|
|
|
| 56 |
Securitization / re-securitization in the trading book |
|
|
|
|
| 387 | 361 | SEC2, MR1 |
| 387 | 361 |
Operational risk |
|
| 79,422 |
|
|
|
|
|
|
| 79,422 |
Amounts below thresholds for deduction (250% risk weight) |
| 755 | 2,002 |
|
| 3,410 | 8,526 |
|
| 4,166 | 10,528 |
Deferred tax assets |
|
|
|
|
| 3,410 | 8,526 |
|
| 3,410 | 8,526 |
Significant investments in non-consolidated financial institutions |
| 755 | 2,002 |
|
|
|
|
|
| 755 | 2,002 |
Total |
| 635,034 | 206,112 |
|
| 145,011 | 46,260 |
|
| 780,044 | 252,373 |
8
Regulatory exposures and risk-weighted assets (continued) | |||||||||||
31.12.17 | |||||||||||
|
| A-IRB / model-based approaches |
| Standardized approaches |
| Total | |||||
CHF million |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA | Section or table reference |
| Net EAD | RWA |
Credit risk (excluding counterparty credit risk) |
| 507,294 | 73,691 | 2 |
| 49,527 | 23,987 | 2 |
| 556,821 | 97,678 |
Central governments and central banks |
| 128,785 | 2,836 | CR6, CR7 |
| 12,777 | 500 | CR4, CR5 |
| 141,562 | 3,336 |
Banks and securities dealers |
| 12,160 | 2,881 | CR6, CR7 |
| 6,217 | 1,460 | CR4, CR5 |
| 18,377 | 4,341 |
Public sector entities, multilateral development banks |
| 11,401 | 820 | CR6, CR7 |
| 2,016 | 636 | CR4, CR5 |
| 13,416 | 1,456 |
Corporates: specialized lending |
| 22,708 | 9,950 | CR6, CR7 |
|
|
|
|
| 22,708 | 9,950 |
Corporates: other lending |
| 55,542 | 25,136 | CR6, CR7 |
| 5,727 | 4,409 | CR4, CR5 |
| 61,269 | 29,545 |
Central counterparties |
|
|
|
|
| 446 | 24 | CR4, CR5 |
| 446 | 24 |
Retail |
| 276,698 | 32,068 | CR6, CR7 |
| 12,367 | 8,009 | CR4, CR5 |
| 289,065 | 40,076 |
Residential mortgages |
| 135,212 | 23,095 |
|
| 6,714 | 2,706 |
|
| 141,926 | 25,801 |
Qualifying revolving retail exposures (QRRE) |
| 1,617 | 564 |
|
|
|
|
|
| 1,617 | 564 |
Other retail1 |
| 139,869 | 8,409 |
|
| 5,653 | 5,303 |
|
| 145,522 | 13,712 |
Non-counterparty-related risk3 |
|
|
|
|
| 9,978 | 8,949 | CR4, CR5 |
| 9,978 | 8,949 |
Property, equipment and software |
|
|
|
|
| 8,772 | 8,772 |
|
| 8,772 | 8,772 |
Other |
|
|
|
|
| 1,206 | 177 |
|
| 1,206 | 177 |
Counterparty credit risk2 |
| 104,023 | 21,273 | 3 |
| 88,589 | 9,007 | 3 |
| 192,612 | 30,280 |
Central governments and central banks |
| 5,992 | 674 | CCR3, CCR4 |
| 2,056 | 272 | CCR3, CCR4 |
| 8,048 | 946 |
Banks and securities dealers |
| 17,207 | 4,867 | CCR3, CCR4 |
| 6,707 | 1,417 | CCR3, CCR4 |
| 23,913 | 6,284 |
Public sector entities, multilateral development banks |
| 2,920 | 397 | CCR3, CCR4 |
| 790 | 27 | CCR3, CCR4 |
| 3,710 | 424 |
Corporates incl. specialized lending |
| 41,786 | 14,753 | CCR3, CCR4 |
| 16,849 | 4,992 | CCR3, CCR4 |
| 58,635 | 19,744 |
Central counterparties |
| 36,118 | 582 |
|
| 54,545 | 1,784 |
|
| 90,663 | 2,366 |
Retail |
|
|
|
|
| 7,643 | 515 | CCR3, CCR4 |
| 7,643 | 515 |
Credit valuation adjustment (CVA) |
|
| 1,966 | 3, CCR2 |
|
| 1,117 | 3, CCR2 |
|
| 3,084 |
Equity positions in the banking book (CR) |
| 572 | 2,368 | 2, CR10 |
|
|
|
|
| 572 | 2,368 |
Settlement risk |
| 69 | 77 |
|
| 356 | 293 |
|
| 425 | 369 |
Securitization exposure in the banking book |
| 2,293 | 1,696 | 4 |
|
|
|
|
| 2,293 | 1,696 |
Market risk |
|
| 11,881 | 5 |
| 284 | 400 | 4, 5 |
| 284 | 12,281 |
Value-at-risk (VaR) |
|
| 1,614 | MR3 |
|
|
|
|
|
| 1,614 |
Stressed value-at risk (SVaR) |
|
| 3,529 | MR3 |
|
|
|
|
|
| 3,529 |
Add-on for risks-not-in-VaR (RniV) |
|
| 3,201 | MR3 |
|
|
|
|
|
| 3,201 |
Incremental risk charge (IRC) |
|
| 3,457 | MR3 |
|
|
|
|
|
| 3,457 |
Comprehensive risk measure (CRM) |
|
| 79 | MR3 |
|
|
|
|
|
| 79 |
Securitization / re-securitization in the trading book |
|
|
|
|
| 284 | 400 | SEC2, MR1 |
| 284 | 400 |
Operational risk |
|
| 79,422 |
|
|
|
|
|
|
| 79,422 |
Amounts below thresholds for deduction (250% risk weight) |
| 720 | 1,908 |
|
| 3,724 | 9,310 |
|
| 4,444 | 11,218 |
Deferred tax assets |
|
|
|
|
| 3,724 | 9,310 |
|
| 3,724 | 9,310 |
Significant investments in non-consolidated financial institutions |
| 720 | 1,908 |
|
|
|
|
|
| 720 | 1,908 |
Total |
| 614,970 | 194,281 |
|
| 142,481 | 44,113 |
|
| 757,451 | 238,394 |
1 Consists primarily of Lombard lending, which represents loans made against the pledge of eligible marketable securities or cash, as well as exposures to small businesses, private clients and other retail customers without mortgage financing. 2 The split between A-IRB / model-based approaches and Standardized approaches for counterparty credit risk refers to the exposure measure, whereas the split in CCR3 and CCR4 refers to the risk weighting approach. As of 30 June 2018, CHF 108,463 million of EAD (31 December 2017: CHF 100,439) was subject to the advanced risk weighting approach, and CHF 2,395 million of EAD (31 December 2017: CHF 1,510 million) was subject to the standardized risk weighting approach. 3 Excludes EAD for deferred tax assets on net operating losses of CHF 1,160 million, which is not subject to credit risk RWA calculation. | |||||||||||
9
UBS Group AG consolidated
Section 2 Credit risk
This section provides information on the exposures subject to the Basel III credit risk framework, as presented in the “Regulatory exposures and risk-weighted assets” table on pages 8–9 of this report. Information on counterparty credit risk is reflected in the “Counterparty credit risk” section starting on page 24 of this report. Securitization positions are reported in the “Securitizations” section starting on page 30 of this report.
The tables in this section provide details on the exposures used to determine the firm’s credit risk-related regulatory capital requirement. The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section may therefore differ from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from that which is defined under International Financial Reporting Standards (IFRS).
This section is structured into four sub-sections:
– Credit quality of assets
– Credit risk mitigation
– Credit risk under the standardized approach
– Credit risk under internal ratings-based approaches
Credit risk exposure categories
The definitions of the FINMA-defined Pillar 3 credit risk exposure categories “Loans” and “Debt securities” as referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section have been updated to reflect the new IFRS balance sheet structure under IFRS 9.
The Pillar 3 category “Loans” comprises financial instruments held with the intent to collect the contractual payments and includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– balances at central banks
– loans and advances to banks
– loans and advances to customers
– other financial assets measured at amortized cost, excluding money market instruments, checks and bills and other debt instruments
– traded loans in the banking book that are included within financial assets at fair value held for trading
– brokerage receivables
– loans including structured loans that are included within financial assets at fair value not held for trading
– other non-financial assets
The Pillar 3 category “Debt securities” includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– money market instruments, checks and bills and other debt instruments that are included within other financial assets measured at amortized cost
– financial assets at fair value held for trading, excluding traded loans
– financial assets at fair value not held for trading, excluding loans
– financial assets measured at fair value through other comprehensive income
Refer to pages 20–22 and to pages 28–30 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, available under “Pillar 3 disclosures” at www.ubs.com/investors for more information on credit risk exposure categories, credit risk management and credit risk mitigation.
Credit quality of assets
Definition of default and credit impairment
The definition of default is based on quantitative and qualitative criteria. A counterparty is classified as in default no later than when material payments of interest, principal or fees are overdue for more than 90 days, or more than 180 days for the Personal & Corporate Banking and Swiss wealth management portfolios. Counterparties are also classified as in default when bankruptcy, insolvency proceedings or enforced liquidation have commenced, obligations have been restructured on preferential terms 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 all contractual payments have been made when due. If a counterparty is in default on one claim, then the counterparty is generally considered as in default on all claims.
An instrument is classified as credit-impaired if the counterparty is in default or it is a purchased or originated financial asset that satisfies our definition of in default at initial recognition. An instrument is purchased or originated credit impaired (POCI) if it has been purchased with a material discount to its carrying amount following a risk event of the issuer or originated with a defaulted counterparty. Once a financial asset is classified as defaulted / credit-impaired (except POCIs), it 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 minimum period of three months is applied whereby most instruments remain in stage 3 for a longer period.
® Refer to “Note 19 Transition to IFRS9 as of 1 January 2018” in the “Consolidated financial statements” section on page 113 of our second quarter 2018 report available under “Quarterly reporting” at www.ubs.com/investors for information on the adoption of IFRS 9
10
Semiannual | The table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. With the implementation of IFRS 9, the “Allowances / impairments” columns were enhanced to reflect expected credit loss (ECL) allowances and provisions related to stages 1–3 as of 30 June 2018. Comparative numbers as of 31 December 2017 are based on the incurred loss model of IAS 39, Financial Instruments: Recognition and Measurement and were largely comparable to the IFRS 9 stage 3 allowances and provisions.
More information on the net value movements related to Loans and Debt securities shown in the table below is provided on page 12 in the “CR3: Credit risk mitigation techniques – overview” table.
Off-balance sheet exposures increased by CHF 110.8 billion to CHF 313.1 billion as of 30 June 2018, primarily due to a model update for Lombard loan facilities effective in the second quarter of 2018 in Global Wealth Management, as required by FINMA. Under the Pillar 1 framework, credit conversion factors have been implemented for facilities that are entirely undrawn, resulting in increased exposures to be disclosed under Pillar 3. p
Semiannual |
CR1: Credit quality of assets |
|
|
|
|
|
|
|
| |||||||
|
|
| Gross carrying values of: |
| Allowances / impairments |
| Net values | ||||||||
CHF million |
| Defaulted exposures |
| Non-defaulted exposures |
| Stage 3 (credit-impaired) | Stage 1 & 2 | Total |
|
|
| ||||
|
| 30.6.181 | 31.12.17 |
| 30.6.18 | 31.12.17 |
| 30.6.18 | 31.12.17 |
| 30.6.18 | 31.12.17 | |||
1 | Loans2 |
| 2,887 | 2,7843 |
| 453,106 | 428,5234 |
| (746) | (274)5 | (1,019) | (680)3 |
| 454,973 | 430,628 |
2 | Debt securities |
| 0 | 0 |
| 77,247 | 72,409 |
| 0 | 0 | 0 | 0 |
| 77,247 | 72,409 |
3 | Off-balance sheet exposures |
| 300 | 274 |
| 312,908 | 202,078 |
| (26) | (85) | (111) | (33) |
| 313,096 | 202,318 |
4 | Total |
| 3,186 | 3,0573 |
| 843,260 | 703,0104 |
| (772) | (359) | (1,130) | (713)3 |
| 845,316 | 705,354 |
1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to “Note 9 Expected credit loss measurement“ and “Note 19 Transition to IFRS 9 as of 1 January 2018” of our second quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors for more information on IFRS 9. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section, for more information on the classification of Loans and Debt securities. 3 Includes exposures presented within “Note 12 a) Other financial assets measured at amortized cost“ of our second quarter 2018 report of CHF 352 million, with associated allowances of CHF 19 million. 4 Excludes exposures within “Note 12 a) Other financial assets measured at amortized cost“ of our second quarter 2018 report of CHF 352 million, with associated allowances of CHF 19 million. 5 Excludes ECL of CHF 2 million on exposures subject to counterparty credit risk. | |||||||||||||||
p
Semiannual |
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | ||
|
|
|
CHF million | For the half year ended 30.06.18 | |
1 | Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | 3,0571 |
2 | Loans and debt securities that have defaulted since the last reporting period | 411 |
3 | Returned to non-defaulted status | (146) |
4 | Amounts written off | (37) |
5 | Other changes | (99) |
6 | Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | 3,186 |
1 Includes exposures presented within “Note 12 a) Other financial assets measured at amortized cost“ of our second quarter 2018 report of CHF 352 million. | ||
p
11
UBS Group AG consolidated
Credit risk mitigation
Semiannual | The table below provides a breakdown of unsecured and partially or fully secured exposures, including security type, for the categories “Loans” and “Debt securities.”
The total carrying amount of loans increased by CHF 24.3 billion in the first half of 2018. This was mainly driven by an increase of CHF 14.6 billion in cash and balances at central banks, mainly resulting from client-driven activity that affected funding consumption by the business divisions, contributing to unsecured exposures. In addition, loans increased by CHF 6.7 billion, primarily due to higher lending in Global Wealth Management, contributing to both secured and unsecured exposures. The residual increase of CHF 3.0 billion was primarily driven by asset size movements related to various balance sheet lines. p
Semiannual |
CR3: Credit risk mitigation techniques – overview1 | |||||||||
|
|
|
|
|
| Secured portion of exposures partially or fully secured: | |||
CHF million |
| Exposures fully unsecured: carrying amount | Exposures partially or fully secured: carrying amount | Total: carrying amount |
| Exposures secured by collateral | Exposures secured by financial guarantees | Exposures secured by credit derivatives | |
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 137,349 | 317,624 | 454,973 |
| 305,634 | 1,337 | 19 |
2 | Debt securities |
| 77,247 | 0 | 77,247 |
| 0 | 0 | 0 |
3 | Total |
| 214,596 | 317,624 | 532,220 |
| 305,634 | 1,337 | 19 |
4 | of which: defaulted |
| 661 | 1,480 | 2,141 |
| 1,046 | 253 | 0 |
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 118,517 | 312,111 | 430,628 |
| 300,637 | 1,347 | 44 |
2 | Debt securities |
| 72,409 | 0 | 72,409 |
| 0 | 0 | 0 |
3 | Total |
| 190,926 | 312,111 | 503,036 |
| 300,637 | 1,347 | 44 |
4 | of which: defaulted |
| 7183 | 1,386 | 2,1043 |
| 870 | 288 | 0 |
1 Exposures in this table represent carrying values in accordance with the regulatory scope of consolidation. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section, for more information on the classification of Loans and Debt securities. 3 Includes exposures presented within “Note 12 a) Other financial assets measured at amortized cost“ of our second quarter 2018 report of CHF 352 million, with associated allowances of CHF 19 million. | |||||||||
p
12
Standardized approach – credit risk mitigation
Semiannual | The table below illustrates the effect of credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach. p
Semiannual |
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects | ||||||||||||
|
|
| Exposures before CCF and CRM |
| Exposures post CCF and CRM |
| RWA and RWA density | |||||
CHF million, except where indicated |
| On-balance sheet amount | Off-balance sheet amount | Total |
| On-balance sheet amount | Off-balance sheet amount | Total |
| RWA | RWA density in % | |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
|
|
|
| |
Asset classes1 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 14,162 |
| 14,162 |
| 14,160 |
| 14,160 |
| 490 | 3.5 |
2 | Banks and securities dealers |
| 6,230 | 895 | 7,125 |
| 6,229 | 438 | 6,666 |
| 1,585 | 23.8 |
3 | Public sector entities and multilateral development banks |
| 1,542 | 276 | 1,818 |
| 1,539 | 55 | 1,594 |
| 446 | 28.0 |
4 | Corporates |
| 5,506 | 3,711 | 9,217 |
| 5,488 | 435 | 5,923 |
| 4,199 | 70.9 |
5 | Retail |
| 14,138 | 3,358 | 17,495 |
| 12,172 | 250 | 12,422 |
| 8,113 | 65.3 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 10,133 |
| 10,133 |
| 10,133 |
| 10,133 |
| 9,264 | 91.4 |
8 | Total |
| 51,710 | 8,241 | 59,950 |
| 49,721 | 1,178 | 50,899 |
| 24,096 | 47.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
| |
Asset classes1 |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 12,746 | 0 | 12,746 |
| 12,745 | 0 | 12,745 |
| 471 | 3.7 |
2 | Banks and securities dealers |
| 5,689 | 1,031 | 6,720 |
| 5,687 | 541 | 6,228 |
| 1,476 | 23.7 |
3 | Public sector entities and multilateral development banks |
| 1,883 | 282 | 2,165 |
| 1,881 | 140 | 2,020 |
| 639 | 31.6 |
4 | Corporates |
| 6,255 | 3,712 | 9,967 |
| 5,814 | 467 | 6,281 |
| 4,475 | 71.3 |
5 | Retail |
| 14,018 | 3,002 | 17,020 |
| 12,109 | 167 | 12,275 |
| 7,976 | 65.0 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 9,978 |
| 9,978 |
| 9,978 |
| 9,978 |
| 8,949 | 89.7 |
8 | Total |
| 50,568 | 8,027 | 58,595 |
| 48,212 | 1,314 | 49,527 |
| 23,987 | 48.4 |
1 The CRM effect is reflected on the original asset class. | ||||||||||||
p
13
UBS Group AG consolidated
IRB approach – credit derivatives used as credit risk mitigation
Semiannual | We actively manage the credit risk in our corporate loan portfolios by utilizing credit derivatives. Single-name credit derivatives that fulfill the operational requirements prescribed by FINMA are recognized in the RWA calculation using the probability of default (PD) or rating (and asset class) assigned to the hedge provider. The PD (or rating) substitution is only applied in the RWA calculation when the PD (or rating) of the hedge provider is lower than the PD (or rating) of the obligor. In addition, default correlation between the obligor and hedge provider is taken into account through the double default approach. Credit derivatives with tranched cover or first-loss protection are recognized through the securitization framework. Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section on page 29 of this report for notional and fair value information on credit derivatives used as credit risk mitigation. p
Semiannual |
CR7: IRB – effect on RWA of credit derivatives used as CRM techniques1 | |||||||
|
| 30.6.18 |
| 31.12.17 | |||
CHF million |
| Pre-credit derivatives RWA | Actual RWA |
| Pre-credit derivatives RWA | Actual RWA | |
1 | Central governments and central banks – FIRB |
|
|
|
|
|
|
2 | Central governments and central banks – AIRB |
| 2,705 | 2,698 |
| 2,716 | 2,705 |
3 | Banks and securities dealers – FIRB |
|
|
|
|
|
|
4 | Banks and securities dealers – AIRB |
| 4,521 | 4,521 |
| 2,653 | 2,653 |
5 | Public sector entities, multilateral development banks – FIRB |
|
|
|
|
|
|
6 | Public sector entities, multilateral development banks – AIRB |
| 894 | 894 |
| 852 | 852 |
7 | Corporates: Specialized lending – FIRB |
|
|
|
|
|
|
8 | Corporates: Specialized lending – AIRB |
| 11,220 | 11,220 |
| 10,014 | 10,014 |
9 | Corporates: Other lending – FIRB |
|
|
|
|
|
|
10 | Corporates: Other lending – AIRB |
| 31,680 | 31,211 |
| 26,156 | 25,398 |
11 | Retail: mortgage loans |
| 24,745 | 24,745 |
| 23,095 | 23,095 |
12 | Retail exposures: qualifying revolving retail (QRRE) |
| 577 | 577 |
| 564 | 564 |
13 | Retail: other |
| 8,346 | 8,346 |
| 8,409 | 8,409 |
14 | Equity positions (PD/LGD approach) |
|
|
|
|
|
|
15 | Total |
| 84,688 | 84,212 |
| 74,459 | 73,691 |
1 The CRM effect is reflected on the original asset class. | |||||||
p
14
Credit risk under the standardized approach
Semiannual | The standardized approach is generally applied where it is not possible to use the A-IRB approach. p
Semiannual |
CR5: Standardized approach – exposures by asset classes and risk weights | ||||||||||||
CHF million |
|
|
|
|
|
|
|
|
|
|
| |
Risk weight |
| 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and CRM) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 13,596 |
| 85 |
| 20 |
| 467 |
|
| 14,168 |
2 | Banks and securities dealers |
|
|
| 5,838 |
| 824 |
| 6 |
|
| 6,667 |
3 | Public sector entities and multilateral development banks |
| 174 |
| 963 |
| 402 |
| 48 |
|
| 1,588 |
4 | Corporates |
|
|
| 1,857 |
| 180 |
| 3,797 |
|
| 5,835 |
5 | Retail |
|
|
|
| 6,079 |
| 1,942 | 4,344 | 143 |
| 12,508 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 869 |
|
|
|
|
| 9,264 |
|
| 10,133 |
8 | Total |
| 14,640 |
| 8,742 | 6,079 | 1,427 | 1,942 | 17,926 | 143 | 0 | 50,899 |
9 | of which: mortgage loans |
|
|
|
| 6,079 |
| 115 | 389 |
|
| 6,584 |
10 | of which: past due1 |
|
|
|
|
|
|
| 108 |
|
| 108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 12,173 |
| 119 |
| 20 |
| 466 | 0 |
| 12,777 |
2 | Banks and securities dealers |
|
|
| 5,533 |
| 659 |
| 24 |
|
| 6,217 |
3 | Public sector entities and multilateral development banks |
| 210 |
| 1,153 |
| 494 |
| 158 | 0 |
| 2,016 |
4 | Corporates |
| 67 |
| 1,909 |
| 173 |
| 4,014 | 11 |
| 6,173 |
5 | Retail |
|
|
|
| 6,108 |
| 1,771 | 4,377 | 110 |
| 12,367 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 1,030 |
|
|
|
|
| 8,948 |
|
| 9,978 |
8 | Total |
| 13,481 |
| 8,713 | 6,108 | 1,346 | 1,771 | 17,988 | 121 | 0 | 49,527 |
9 | of which: mortgage loans |
|
|
|
| 6,108 |
| 152 | 453 |
|
| 6,714 |
10 | of which: past due1 |
|
|
|
| 2 |
| 2 | 57 | 16 |
| 77 |
1 Includes mortgage loans. | ||||||||||||
p
15
UBS Group AG consolidated
Credit risk under internal ratings-based approaches
Semiannual | The tables in this sub-section provide information on credit risk exposures under the A-IRB approach, including the main parameters used in A-IRB models for the calculation of capital requirements, presented by portfolio and PD range.
Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the PD, loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The proportion of EAD covered by either the standardized or the
A-IRB approach is provided in the “Regulatory exposures and risk-weighted assets” table in section 1 on pages 8–9 of this report.
The “CR6: IRB – Credit risk exposures by portfolio and PD range” table on the following pages provides a breakdown of the key parameters used for calculation of capital requirements under the A-IRB approach, shown by PD range across FINMA-defined asset classes. The key movements related to this table are described below:
– As of 30 June 2018, exposures before the application of credit conversion factors (CCFs) increased by CHF 148.7 billion to CHF 789.3 billion and exposures post-CCF and post-credit risk mitigation (CRM) increased by CHF 34.0 billion to CHF 541.3 billion. This increase was primarily related to a model update in the asset class Retail: other retail for Lombard loan facilities effective in the second quarter of 2018 in Global Wealth Management, as required by FINMA. Under the Pillar 1 framework, CCFs have been implemented for facilities that are entirely undrawn, resulting in disclosures under Pillar 3 of increased exposures before the application of CCFs of CHF 118.6 billion. The effect from this change on exposures post-CCF and post-CRM is CHF 6.8 billion, because of low CCFs. In addition, exposures before the application of CCFs and post-CCF and post-CRM increased by CHF 14.4 billion in the asset class Central governments and central banks, primarily due to an increase in cash and balances at central banks, mainly resulting from client-driven activity that affected funding consumption by the business divisions. The implementation of a methodology and policy change resulted in a change in the regulatory portfolio segmentation of our structured margin lending portfolio in Global Wealth Management, which was previously captured within the Retail: other retail asset class, and is now subject to the Corporate treatment. Exposures before the application of CCFs and post-CCF and post-CRM increased by CHF 2.9 billion in the asset class Corporates: other lending with a corresponding decrease in Retail: other retail. Further increases among the asset classes Retail: other retail, Corporates: other lending, Banks and securities dealers and Retail: residential mortgages of CHF 16.6 billion in exposures before the application of CCFs and CHF 13.1 billion in exposures post-CCF and post-CRM are due to asset size movements in the first half of 2018. These are mainly driven by higher lending in Global Wealth Management, as well as temporary increases in unutilized credit facilities in the Investment Bank’s Corporate Client Solutions business.
– Average CCFs decreased 9 percentage points to 21% as of 30 June 2018, which was primarily driven by the aforementioned model update for Lombard loan facilities that are entirely undrawn in Global Wealth Management.
– Expected loss (EL) increased by CHF 0.1 billion to CHF 1.2 billion as of 30 June 2018, primarily reflecting the aforementioned increases in EAD post-CCF and post-CRM.
– Provisions increased by CHF 227 million to CHF 940 million as of 30 June 2018. With the implementation of IFRS 9, the “Provisions” column was enhanced to reflect expected credit loss allowances and provisions related to stages 1–3 as of 30 June 2018, contributing to the majority of the increase. Comparative numbers as of 31 December 2017 are based on the incurred loss model of IAS 39, Financial Instruments: Recognition and Measurement and were largely comparable to the IFRS 9 stage 3 allowances and provisions.
– Information on credit risk risk-weighted assets (RWA) for the first quarter of 2018, including details on movements in RWA, is provided on pages 5–6 in our 31 March 2018 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, available under “Pillar 3 disclosures” at www.ubs.com/investors and for the second quarter of 2018 on page 22 of this report. p
16
Semiannual |
CR6: IRB – Credit risk exposures by portfolio and PD range |
|
|
|
|
|
|
|
| ||||||
CHF million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post CCF and post CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 142,985 | 125 | 143,111 | 58 | 143,058 | 0.0 | 0.1 | 35.3 | 1.0 | 2,658 | 1.9 | 3 |
|
0.15 to <0.25 |
| 0 | 0 | 0 | 0 | 0 | 0.2 | <0.1 | 61.0 | 1.2 | 0 | 38.9 | 0 |
|
0.25 to <0.50 |
| 4 | 0 | 4 | 10 | 4 | 0.3 | <0.1 | 69.3 | 1.3 | 3 | 73.8 | 0 |
|
0.50 to <0.75 |
| 5 | 0 | 5 | 0 | 5 | 0.7 | <0.1 | 95.7 | 1.2 | 7 | 140.1 | 0 |
|
0.75 to <2.50 |
| 1 | 3 | 4 | 1 | 1 | 1.1 | <0.1 | 36.4 | 2.7 | 1 | 99.8 | 0 |
|
2.50 to <10.00 |
| 4 | 3 | 7 | 57 | 6 | 2.7 | <0.1 | 9.7 | 4.0 | 2 | 32.5 | 0 |
|
10.00 to <100.00 |
| 37 | 0 | 37 | 50 | 37 | 13.9 | <0.1 | 5.0 | 1.0 | 10 | 27.2 | 0 |
|
100.00 (default) |
| 22 | 52 | 73 | 55 | 40 |
| <0.1 |
|
| 42 | 106.0 | 10 |
|
Subtotal |
| 143,058 | 183 | 143,241 | 56 | 143,150 | 0.0 | 0.1 | 35.3 | 1.0 | 2,723 | 1.9 | 14 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 128,670 | 125 | 128,796 | 49 | 128,731 | 0.0 | 0.1 | 39.0 | 1.0 | 2,783 | 2.2 | 4 |
|
0.15 to <0.25 |
| 0 | 0 | 0 | 0 | 0 | 0.2 | <0.1 | 61.8 | 1.0 | 0 | 39.4 | 0 |
|
0.25 to <0.50 |
| 5 | 0 | 5 | 19 | 5 | 0.3 | <0.1 | 70.0 | 1.8 | 4 | 83.3 | 0 |
|
0.50 to <0.75 |
| 4 | 0 | 4 | 0 | 4 | 0.7 | <0.1 | 65.9 | 1.2 | 4 | 96.9 | 0 |
|
0.75 to <2.50 |
| 1 | 50 | 50 | 54 | 27 | 1.2 | <0.1 | 6.9 | 4.6 | 28 | 100.6 | 0 |
|
2.50 to <10.00 |
| 0 | 3 | 3 | 36 | 1 | 2.7 | <0.1 | 8.0 | 3.8 | 0 | 26.2 | 0 |
|
10.00 to <100.00 |
| 0 | 0 | 0 | 0 | 0 | 13.3 | <0.1 | 10.0 | 1.0 | 0 | 46.4 | 0 |
|
100.00 (default) |
| 26 | 1 | 27 | 55 | 16 |
| <0.1 |
|
| 17 | 106.0 | 10 |
|
Subtotal |
| 128,707 | 178 | 128,885 | 50 | 128,785 | 0.0 | 0.1 | 39.0 | 1.0 | 2,836 | 2.2 | 14 | 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 11,718 | 1,897 | 13,615 | 52 | 12,774 | 0.1 | 0.5 | 42.3 | 1.1 | 2,098 | 16.4 | 3 |
|
0.15 to <0.25 |
| 1,087 | 687 | 1,774 | 52 | 1,384 | 0.2 | 0.3 | 48.4 | 1.2 | 527 | 38.1 | 1 |
|
0.25 to <0.50 |
| 334 | 523 | 858 | 53 | 564 | 0.4 | 0.2 | 56.3 | 1.1 | 341 | 60.4 | 1 |
|
0.50 to <0.75 |
| 115 | 304 | 419 | 44 | 180 | 0.5 | 0.1 | 56.1 | 1.1 | 285 | 158.2 | 3 |
|
0.75 to <2.50 |
| 1,183 | 594 | 1,777 | 37 | 1,050 | 1.5 | 0.2 | 48.1 | 1.6 | 1,009 | 96.1 | 6 |
|
2.50 to <10.00 |
| 207 | 289 | 495 | 46 | 275 | 5.3 | 0.2 | 52.4 | 1.2 | 357 | 129.9 | 7 |
|
10.00 to <100.00 |
| 1 | 16 | 17 | 26 | 5 | 15.7 | <0.1 | 16.2 | 0.8 | 2 | 38.8 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 14,645 | 4,310 | 18,955 | 49 | 16,233 | 0.2 | 1.5 | 44.0 | 1.1 | 4,619 | 28.5 | 22 | 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 8,148 | 3,123 | 11,271 | 47 | 9,584 | 0.0 | 0.5 | 40.6 | 1.1 | 1,379 | 14.4 | 2 |
|
0.15 to <0.25 |
| 781 | 663 | 1,444 | 46 | 928 | 0.2 | 0.3 | 46.9 | 1.3 | 328 | 35.3 | 2 |
|
0.25 to <0.50 |
| 361 | 286 | 647 | 37 | 487 | 0.4 | 0.2 | 66.8 | 1.1 | 291 | 59.8 | 1 |
|
0.50 to <0.75 |
| 225 | 240 | 464 | 34 | 264 | 0.6 | 0.1 | 64.3 | 1.0 | 159 | 60.3 | 1 |
|
0.75 to <2.50 |
| 698 | 554 | 1,252 | 40 | 648 | 1.2 | 0.2 | 61.4 | 1.2 | 488 | 75.2 | 5 |
|
2.50 to <10.00 |
| 224 | 223 | 447 | 20 | 215 | 4.4 | 0.2 | 65.1 | 1.0 | 227 | 105.4 | 6 |
|
10.00 to <100.00 |
| 32 | 6 | 39 | 39 | 34 | 12.3 | <0.1 | 7.6 | 1.3 | 10 | 29.8 | 0 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 10,469 | 5,095 | 15,564 | 43 | 12,160 | 0.3 | 1.4 | 44.1 | 1.1 | 2,881 | 23.7 | 17 | 5 |
17
UBS Group AG consolidated
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
CHF million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post CCF and post CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities, multilateral development banks as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 10,343 | 925 | 11,268 | 19 | 10,520 | 0.0 | 0.4 | 36.3 | 1.1 | 545 | 5.2 | 1 |
|
0.15 to <0.25 |
| 331 | 99 | 430 | 14 | 345 | 0.2 | 0.2 | 32.0 | 2.9 | 102 | 29.7 | 0 |
|
0.25 to <0.50 |
| 555 | 310 | 864 | 26 | 635 | 0.3 | 0.2 | 26.4 | 2.5 | 195 | 30.7 | 1 |
|
0.50 to <0.75 |
| 45 | 4 | 49 | 11 | 45 | 0.6 | <0.1 | 27.0 | 2.6 | 20 | 44.4 | 0 |
|
0.75 to <2.50 |
| 5 | 3 | 8 | 81 | 7 | 1.6 | <0.1 | 10.5 | 2.8 | 2 | 22.8 | 0 |
|
2.50 to <10.00 |
| 1 | 4 | 6 | 31 | 2 | 2.8 | <0.1 | 22.9 | 3.0 | 1 | 60.2 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 11,280 | 1,345 | 12,624 | 20 | 11,555 | 0.0 | 0.8 | 35.6 | 1.2 | 866 | 7.5 | 2 | 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities, multilateral development banks as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 10,089 | 1,004 | 11,093 | 19 | 10,277 | 0.0 | 0.3 | 36.4 | 1.1 | 563 | 5.5 | 1 |
|
0.15 to <0.25 |
| 353 | 253 | 606 | 11 | 381 | 0.2 | 0.1 | 30.8 | 2.8 | 107 | 28.2 | 0 |
|
0.25 to <0.50 |
| 557 | 331 | 889 | 28 | 649 | 0.3 | 0.2 | 17.2 | 2.4 | 127 | 19.6 | 0 |
|
0.50 to <0.75 |
| 48 | 3 | 51 | 12 | 49 | 0.6 | <0.1 | 17.8 | 2.7 | 15 | 30.3 | 0 |
|
0.75 to <2.50 |
| 2 | 3 | 4 | 99 | 4 | 1.3 | <0.1 | 11.8 | 2.2 | 1 | 22.1 | 0 |
|
2.50 to <10.00 |
| 3 | 38 | 41 | 98 | 40 | 2.7 | <0.1 | 8.8 | 1.0 | 7 | 17.9 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 11,052 | 1,632 | 12,684 | 21 | 11,401 | 0.1 | 0.7 | 34.9 | 1.3 | 820 | 7.2 | 1 | 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,147 | 397 | 1,545 | 57 | 1,373 | 0.1 | 0.3 | 14.2 | 1.9 | 93 | 6.8 | 0 |
|
0.15 to <0.25 |
| 1,052 | 205 | 1,258 | 76 | 1,209 | 0.2 | 0.3 | 18.6 | 2.1 | 186 | 15.4 | 0 |
|
0.25 to <0.50 |
| 3,980 | 2,508 | 6,488 | 46 | 5,105 | 0.4 | 0.6 | 30.5 | 1.6 | 1,661 | 32.5 | 6 |
|
0.50 to <0.75 |
| 3,703 | 2,181 | 5,883 | 37 | 4,444 | 0.6 | 0.6 | 33.8 | 1.5 | 2,113 | 47.5 | 10 |
|
0.75 to <2.50 |
| 7,655 | 2,179 | 9,834 | 39 | 8,495 | 1.4 | 1.7 | 32.9 | 1.7 | 5,299 | 62.4 | 39 |
|
2.50 to <10.00 |
| 1,414 | 323 | 1,737 | 56 | 1,594 | 3.5 | 0.4 | 38.6 | 1.7 | 1,595 | 100.1 | 21 |
|
10.00 to <100.00 |
| 2 | 0 | 2 | 25 | 2 | 11.0 | <0.1 | 10.0 | 1.0 | 1 | 38.1 | 0 |
|
100.00 (default) |
| 238 | 25 | 263 | 54 | 114 |
| <0.1 |
|
| 121 | 106.0 | 137 |
|
Subtotal |
| 19,191 | 7,819 | 27,010 | 43 | 22,337 | 1.5 | 3.9 | 31.0 | 1.7 | 11,070 | 49.6 | 214 | 148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 1,128 | 446 | 1,573 | 62 | 1,402 | 0.1 | 0.3 | 16.7 | 1.9 | 88 | 6.3 | 0 |
|
0.15 to <0.25 |
| 864 | 347 | 1,211 | 72 | 1,115 | 0.2 | 0.3 | 19.6 | 2.0 | 154 | 13.8 | 0 |
|
0.25 to <0.50 |
| 3,847 | 2,878 | 6,725 | 35 | 4,856 | 0.4 | 0.6 | 28.1 | 1.7 | 1,395 | 28.7 | 5 |
|
0.50 to <0.75 |
| 4,280 | 2,087 | 6,367 | 33 | 4,892 | 0.6 | 0.6 | 31.5 | 1.5 | 2,116 | 43.2 | 10 |
|
0.75 to <2.50 |
| 7,813 | 2,214 | 10,027 | 40 | 8,660 | 1.4 | 1.7 | 30.8 | 1.7 | 4,711 | 54.4 | 38 |
|
2.50 to <10.00 |
| 1,427 | 323 | 1,750 | 70 | 1,643 | 3.2 | 0.4 | 35.8 | 1.6 | 1,342 | 81.6 | 19 |
|
10.00 to <100.00 |
| 6 | 0 | 6 | 43 | 6 | 11.7 | <0.1 | 16.0 | 1.0 | 4 | 57.1 | 0 |
|
100.00 (default) |
| 222 | 19 | 242 | 67 | 133 |
| <0.1 |
|
| 142 | 106.0 | 101 |
|
Subtotal |
| 19,588 | 8,315 | 27,902 | 40 | 22,708 | 1.6 | 3.9 | 29.4 | 1.7 | 9,950 | 43.8 | 174 | 95 |
18
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
CHF million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post CCF and post CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 17,615 | 21,383 | 38,998 | 37 | 19,605 | 0.0 | 3.9 | 34.5 | 1.9 | 4,569 | 23.3 | 21 |
|
0.15 to <0.25 |
| 4,968 | 6,609 | 11,577 | 39 | 6,343 | 0.2 | 1.7 | 34.3 | 2.2 | 2,401 | 37.9 | 4 |
|
0.25 to <0.50 |
| 3,238 | 4,119 | 7,357 | 41 | 4,769 | 0.4 | 2.6 | 30.3 | 2.1 | 2,137 | 44.8 | 6 |
|
0.50 to <0.75 |
| 3,308 | 2,720 | 6,027 | 33 | 4,184 | 0.6 | 2.7 | 38.8 | 1.8 | 2,887 | 69.0 | 10 |
|
0.75 to <2.50 |
| 7,412 | 5,679 | 13,091 | 41 | 9,059 | 1.4 | 11.5 | 28.6 | 2.0 | 5,810 | 64.1 | 35 |
|
2.50 to <10.00 |
| 9,977 | 11,815 | 21,793 | 34 | 14,047 | 3.4 | 4.9 | 19.2 | 2.1 | 11,320 | 80.6 | 103 |
|
10.00 to <100.00 |
| 343 | 423 | 766 | 47 | 548 | 16.1 | 0.1 | 15.1 | 2.1 | 607 | 110.8 | 12 |
|
100.00 (default) |
| 1,250 | 253 | 1,504 | 41 | 1,051 |
| 0.6 |
|
| 1,114 | 106.0 | 318 |
|
Subtotal |
| 48,111 | 53,001 | 101,113 | 37 | 59,606 | 3.0 | 28.0 | 29.8 | 2.0 | 30,846 | 51.7 | 510 | 501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 13,891 | 21,403 | 35,294 | 36 | 16,381 | 0.1 | 2.2 | 33.5 | 2.1 | 3,975 | 24.3 | 6 |
|
0.15 to <0.25 |
| 5,247 | 6,516 | 11,762 | 38 | 5,480 | 0.2 | 1.1 | 33.3 | 2.1 | 1,867 | 34.1 | 4 |
|
0.25 to <0.50 |
| 3,406 | 4,516 | 7,922 | 39 | 4,958 | 0.4 | 1.8 | 28.1 | 2.0 | 2,093 | 42.2 | 5 |
|
0.50 to <0.75 |
| 3,115 | 3,069 | 6,184 | 35 | 4,332 | 0.6 | 1.7 | 27.1 | 2.0 | 2,232 | 51.5 | 7 |
|
0.75 to <2.50 |
| 6,970 | 6,262 | 13,232 | 40 | 9,513 | 1.4 | 8.0 | 23.0 | 2.0 | 5,274 | 55.4 | 31 |
|
2.50 to <10.00 |
| 10,425 | 7,385 | 17,810 | 42 | 13,268 | 3.4 | 4.3 | 13.9 | 2.3 | 7,931 | 59.8 | 77 |
|
10.00 to <100.00 |
| 343 | 426 | 769 | 54 | 547 | 14.8 | 0.1 | 16.5 | 2.1 | 636 | 116.4 | 13 |
|
100.00 (default) |
| 1,280 | 231 | 1,512 | 46 | 1,064 |
| 0.5 |
|
| 1,127 | 106.0 | 340 |
|
Subtotal |
| 44,678 | 49,808 | 94,486 | 38 | 55,542 | 3.2 | 19.8 | 25.9 | 2.1 | 25,136 | 45.3 | 483 | 4253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 59,270 | 1,267 | 60,537 | 56 | 59,975 | 0.1 | 127.3 | 18.7 |
| 2,128 | 3.5 | 10 |
|
0.15 to <0.25 |
| 13,076 | 286 | 13,363 | 73 | 13,246 | 0.2 | 20.8 | 22.6 |
| 1,049 | 7.9 | 6 |
|
0.25 to <0.50 |
| 19,169 | 464 | 19,634 | 75 | 19,471 | 0.4 | 27.9 | 23.6 |
| 2,516 | 12.9 | 16 |
|
0.50 to <0.75 |
| 13,241 | 390 | 13,631 | 78 | 13,502 | 0.6 | 15.2 | 24.2 |
| 2,742 | 20.3 | 21 |
|
0.75 to <2.50 |
| 21,349 | 1,249 | 22,597 | 76 | 22,239 | 1.3 | 27.4 | 28.3 |
| 8,633 | 38.8 | 86 |
|
2.50 to <10.00 |
| 7,583 | 404 | 7,987 | 81 | 7,873 | 4.3 | 9.9 | 27.1 |
| 5,729 | 72.8 | 91 |
|
10.00 to <100.00 |
| 934 | 17 | 951 | 75 | 943 | 15.7 | 1.2 | 26.2 |
| 1,173 | 124.3 | 38 |
|
100.00 (default) |
| 730 | 3 | 733 | 60 | 706 |
| 1.1 |
|
| 749 | 106.0 | 25 |
|
Subtotal |
| 135,351 | 4,080 | 139,431 | 70 | 137,956 | 1.2 | 230.8 | 22.4 |
| 24,719 | 17.9 | 292 | 150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 51,907 | 739 | 52,646 | 75 | 52,461 | 0.1 | 127.4 | 17.5 |
| 1,629 | 3.1 | 8 |
|
0.15 to <0.25 |
| 13,756 | 237 | 13,994 | 83 | 13,917 | 0.2 | 21.1 | 22.1 |
| 1,007 | 7.2 | 6 |
|
0.25 to <0.50 |
| 21,324 | 378 | 21,702 | 87 | 21,608 | 0.4 | 25.4 | 23.7 |
| 2,613 | 12.1 | 18 |
|
0.50 to <0.75 |
| 14,547 | 330 | 14,877 | 89 | 14,795 | 0.6 | 14.1 | 24.5 |
| 2,809 | 19.0 | 23 |
|
0.75 to <2.50 |
| 23,025 | 1,202 | 24,227 | 77 | 23,886 | 1.3 | 27.5 | 29.2 |
| 8,819 | 36.9 | 95 |
|
2.50 to <10.00 |
| 7,094 | 219 | 7,313 | 87 | 7,238 | 4.3 | 10.7 | 26.7 |
| 4,850 | 67.0 | 82 |
|
10.00 to <100.00 |
| 616 | 16 | 632 | 91 | 628 | 15.9 | 0.8 | 22.7 |
| 648 | 103.2 | 23 |
|
100.00 (default) |
| 701 | 4 | 705 | 83 | 679 |
| 1.0 |
|
| 719 | 106.0 | 25 |
|
Subtotal |
| 132,970 | 3,125 | 136,096 | 80 | 135,212 | 1.2 | 228.1 | 22.4 |
| 23,095 | 17.1 | 280 | 28 |
19
UBS Group AG consolidated
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
CHF million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post CCF and post CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.184 |
|
| ||||||||||||
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 |
| 109 | 326 | 434 |
| 151 | 1.7 | 35.8 | 47.0 |
| 42 | 27.9 | 1 |
|
2.50 to <10.00 |
| 1,064 | 4,836 | 5,901 |
| 1,474 | 2.7 | 827.2 | 42.0 |
| 518 | 35.2 | 16 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 34 | 0 | 34 |
| 15 |
| 25.3 |
|
| 16 | 106.0 | 19 |
|
Subtotal |
| 1,207 | 5,162 | 6,369 |
| 1,640 | 3.5 | 888.3 | 42.1 |
| 577 | 35.2 | 36 | 32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.174 |
|
| ||||||||||||
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 |
| 96 | 330 | 426 |
| 135 | 1.7 | 34.1 | 47.0 |
| 38 | 28.0 | 1 |
|
2.50 to <10.00 |
| 1,054 | 4,804 | 5,858 |
| 1,476 | 2.7 | 818.5 | 42.0 |
| 519 | 35.2 | 16 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 25 | 0 | 25 |
| 7 |
| 21.8 |
|
| 7 | 106.0 | 0 |
|
Subtotal |
| 1,175 | 5,133 | 6,309 |
| 1,617 | 3.0 | 874.4 | 42.2 |
| 564 | 34.9 | 17 | 16 |
20
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
CHF million, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post CCF and post CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.18 |
|
| ||||||||||||
0.00 to <0.15 |
| 106,975 | 206,081 | 313,056 | 15 | 137,803 | 0.0 | 189.2 | 31.0 |
| 5,643 | 4.1 | 15 |
|
0.15 to <0.25 |
| 2,938 | 5,703 | 8,641 | 13 | 3,652 | 0.2 | 4.7 | 29.8 |
| 418 | 11.5 | 2 |
|
0.25 to <0.50 |
| 1,340 | 3,085 | 4,425 | 11 | 1,689 | 0.4 | 3.1 | 31.9 |
| 333 | 19.7 | 2 |
|
0.50 to <0.75 |
| 1,049 | 2,302 | 3,350 | 11 | 1,297 | 0.6 | 1.7 | 32.2 |
| 534 | 41.2 | 3 |
|
0.75 to <2.50 |
| 2,276 | 4,106 | 6,382 | 20 | 3,109 | 1.2 | 45.2 | 31.7 |
| 1,218 | 39.2 | 12 |
|
2.50 to <10.00 |
| 615 | 3,145 | 3,761 | 11 | 968 | 4.3 | 2.1 | 30.4 |
| 476 | 49.2 | 13 |
|
10.00 to <100.00 |
| 173 | 690 | 863 | 20 | 309 | 16.9 | 3.1 | 23.9 |
| 158 | 51.1 | 12 |
|
100.00 (default) |
| 95 | 7 | 102 | 0 | 11 |
| <0.1 |
|
| 12 | 106.0 | 84 |
|
Subtotal |
| 115,462 | 225,119 | 340,580 | 15 | 148,838 | 0.1 | 249.05 | 31.0 |
| 8,792 | 5.9 | 142 | 89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.17 |
|
| ||||||||||||
0.00 to <0.15 |
| 104,827 | 95,987 | 200,814 | 25 | 129,164 | 0.0 | 206.2 | 30.5 |
| 5,265 | 4.1 | 17 |
|
0.15 to <0.25 |
| 2,010 | 2,260 | 4,270 | 26 | 2,603 | 0.2 | 5.5 | 27.4 |
| 273 | 10.5 | 1 |
|
0.25 to <0.50 |
| 1,717 | 1,652 | 3,369 | 19 | 2,031 | 0.4 | 3.6 | 29.7 |
| 372 | 18.3 | 2 |
|
0.50 to <0.75 |
| 760 | 856 | 1,616 | 27 | 992 | 0.6 | 2.0 | 35.9 |
| 308 | 31.0 | 2 |
|
0.75 to <2.506 |
| 3,042 | 3,153 | 6,195 | 25 | 3,834 | 1.1 | 55.9 | 34.3 |
| 1,501 | 39.4 | 16 |
|
2.50 to <10.00 |
| 744 | 878 | 1,622 | 22 | 939 | 3.7 | 2.5 | 35.7 |
| 500 | 53.3 | 12 |
|
10.00 to <100.00 |
| 172 | 594 | 766 | 20 | 290 | 16.8 | 3.6 | 27.5 |
| 170 | 58.7 | 13 |
|
100.00 (default)6 |
| 89 | 8 | 97 | 5 | 17 |
| <0.1 |
|
| 18 | 106.0 | 726 |
|
Subtotal |
| 113,361 | 105,387 | 218,749 | 25 | 139,869 | 0.1 | 279.3 | 30.6 |
| 8,409 | 6.0 | 1346 | 136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.18 |
| 488,306 | 301,019 | 789,325 | 21 | 541,313 | 0.8 | 1,402.65 | 30.3 | 1.3 | 84,212 | 15.6 | 1,231 | 940 |
Total 31.12.17 |
| 462,000 | 178,674 | 640,674 | 30 | 507,294 | 0.8 | 1,407.7 | 30.4 | 1.4 | 73,691 | 14.5 | 1,1216 | 7133 |
1 CRM through financial collateral is considered in the EAD post CCF and post CRM, but not in the calculation of average CCF. 2 In line with the Pillar 3 guidance, provisions are only provided for the subtotals by asset class. With the implementation of IFRS 9 effective from 1 January 2018, this column includes expected credit loss allowances related to stages 1 – 3 for exposures subject to the advanced internal ratings-based approaches. 3 Includes allowances of CHF 19 million associated with exposures presented within “Note 12 a) Other financial assets measured at amortized cost” of our second quarter 2018 report. 4 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. 5 Does not include obligors for Lombard loan facilities in the region Americas that are entirely undrawn. 6 Total EL as of 31 December 2017 was restated from CHF 1,049 million as disclosed in the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups to CHF 1,121 million to include EL related to a margin loan to a single client originated by Wealth Management, risk-managed by the Investment Bank, included in the asset class Retail: other retail. The underlying exposure has been reclassified from the PD range “0.75 to < 2.5” to the PD range “100.00 (default)”. This restatement to our disclosure in table “CR6: IRB – Credit risk exposures by portfolio and PD range” did not have an impact on the CET1 capital and ratios as of 31 December 2017. | ||||||||||||||
p
21
UBS Group AG consolidated
Credit risk RWA development in the second quarter 2018
Quarterly | The “CR8: RWA flow statements of credit risk exposures under IRB” table below provides a breakdown of the credit risk RWA movements in the second quarter of 2018 across Basel Committee on Banking Supervision (BCBS)-defined movement categories. These categories are described on page 42 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, which is available under “Pillar 3 disclosures” at www.ubs.com/investors.
Credit risk RWA under the advanced internal ratings-based
(A-IRB) approach increased by CHF 7.0 billion to CHF 84.2 billion as of 30 June 2018.
The RWA increase of CHF 3.6 billion from asset size movements was mainly due to a CHF 2.7 billion increase in the Investment Bank, primarily in the Corporate Client Solutions business, mainly reflecting temporary increases in unutilized credit facilities. In addition, a CHF 0.6 billion increase resulted from higher lending business activity in Global Wealth Management.
Model updates resulted in an increase in RWA of CHF 2.4 billion and was primarily driven by the continued phase-in of RWA increases related to probability of default (PD) and loss given default (LGD) changes from the implementation of revised models for Swiss residential mortgages and income-producing real estate, as well as from the new LGD model for unsecured financing and commercial self-used real estate resulting in an increase of CHF 2.1 billion. In addition, RWA increased by CHF 0.3 billion due to the implementation of credit conversion factors for Lombard loan facilities that are entirely undrawn in Global Wealth Management.
An increase of CHF 0.9 billion was driven by foreign exchange movements.
The RWA increase from methodology and policy changes of CHF 0.6 billion was due to a change in the regulatory portfolio segmentation of our structured margin lending portfolio in Global Wealth Management, which was previously captured within the Other Retail asset class, and is now subject to the Corporate treatment, as well as an increase from a higher IRB multiplier on Investment Bank exposures to corporates.
These increases were partly offset by changes to asset quality, primarily in the Investment Bank, Global Wealth Management and Personal & Corporate Banking. p
Quarterly |
CR8: RWA flow statements of credit risk exposures under IRB | |||
CHF million | For the quarter ended 30.6.18 | For the quarter ended 31.3.18 | |
1 | RWA as of the beginning of the quarter | 77,210 | 73,691 |
2 | Asset size | 3,582 | 1,057 |
3 | Asset quality | (843) | 1,100 |
4 | Model updates | 2,430 | 9,810 |
5 | Methodology and policy | 620 | (7,915) |
5a | of which: regulatory add-ons | 303 | (7,848) |
6 | Acquisitions and disposals | 0 | 0 |
7 | Foreign exchange movements | 913 | (533) |
8 | Other | 300 | 0 |
9 | RWA as of the end of the quarter | 84,212 | 77,210 |
p
22
Equity exposures
Semiannual | The table below provides information on our equity exposures under the simple risk weight method. The increase of CHF 1.3 billion in RWA was mainly due to the transition effect of IFRS 9, as a result of the reclassification of equity instruments from the IAS 39 category financial assets available for sale to the IFRS 9 category fair value through profit or loss as unrealized gains on such instruments (previously deducted from Basel III CET1 capital) were added back to the exposure at default for the purpose of the RWA calculation, resulting in an increase in RWA of CHF 0.7 billion. The residual increase of CHF 0.6 billion in RWA was due to asset size movements, as well as fair value changes in the portfolio. p
Semiannual |
CR10: IRB (equities under the simple risk weight method)1 | ||||||
CHF million, except where indicated |
| On-balance sheet amount | Off-balance sheet amount | Risk weight in %2 | Exposure amount3 | RWA2 |
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
Exchange-traded equity exposures |
| 58 |
| 300 | 58 | 184 |
Other equity exposures |
| 1,102 |
| 400 | 816 | 3,460 |
Total |
| 1,160 | 0 |
| 874 | 3,644 |
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
Exchange-traded equity exposures |
| 58 |
| 300 | 58 | 183 |
Other equity exposures |
| 851 |
| 400 | 516 | 2,185 |
Total |
| 908 | 0 |
| 572 | 2,368 |
1 This table excludes significant investments in the common shares of non-consolidated financial institutions (banks, insurance and other financial entities) that are subject to the threshold treatment and risk weighted at 250%. 2 RWA are calculated post application of the A-IRB multiplier of 6%, therefore the respective risk weight is higher than 300% and 400%. 3 The exposure amount for equities in the banking book is based on the net position. | ||||||
p
23
UBS Group AG consolidated
Section 3 Counterparty credit risk
Counterparty credit risk (CCR) includes over-the-counter and exchange-traded derivatives, securities financing transactions (SFTs) and long settlement transactions. Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EPE) and stressed expected positive exposure (stressed EPE) methods as defined in the Basel III framework. For the rest of the portfolio, we apply the current exposure method (CEM) based on the replacement value of derivatives in combination with a regulatory prescribed add-on. For the majority of SFTs (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.
This section is structured into two sub-sections:
Counterparty credit risk risk-weighted assets
Quarterly | Comprises disclosures on the quarterly credit risk risk-weighted assets (RWA) development. p
Counterparty credit risk exposure
Semiannual | Provides information on our counterparty credit risk exposures, credit valuation adjustment (CVA) capital charge and credit derivatives exposures. This section excludes counterparty credit risk exposures to central counterparties and CVA is separately covered in the “CCR2: Credit valuation adjustment (CVA) capital charge” table. p
Counterparty credit risk risk-weighted assets
Counterparty credit risk RWA development in the second quarter 2018
Quarterly | The “CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” table below provides a breakdown of the CCR RWA movements in the second quarter of 2018 across categories defined by the Basel Committee on Banking Supervision. These categories are described on page 42 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, which is available under “Pillar 3 disclosures” at www.ubs.com/investors.
CCR RWA under the IMM and VaR remained stable at CHF 22.8 billion, as the increases from methodology and policy changes, driven by a higher internal ratings-based (IRB) multiplier on Investment Bank exposures to corporates, and currency effects, were offset by asset size and asset quality movements. p
Quarterly |
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR) | |||||||||||
|
| For the quarter ended 30.6.18 |
| For the quarter ended 31.3.18 | |||||||
|
| Derivatives |
| SFTs |
| Total |
| Derivatives | SFTs | Total | |
CHF million |
| Subject to IMM |
| Subject to VaR |
|
|
| Subject to IMM | Subject to VaR |
| |
1 | RWA as of the beginning of the quarter |
| 18,556 |
| 4,288 |
| 22,845 |
| 17,274 | 3,999 | 21,273 |
2 | Asset size |
| (433) |
| 62 |
| (371) |
| 1,067 | 333 | 1,400 |
3 | Credit quality of counterparties |
| (236) |
| (48) |
| (284) |
| 148 | (71) | 77 |
4 | Model updates |
| 0 |
| 0 |
| 0 |
| 0 | 0 | 0 |
5 | Methodology and policy |
| 227 |
| 64 |
| 291 |
| 225 | 54 | 279 |
5a | of which: regulatory add-ons |
| 227 |
| 64 |
| 291 |
| 225 | 54 | 279 |
6 | Acquisitions and disposals |
| 0 |
| 0 |
| 0 |
| 0 | 0 | 0 |
7 | Foreign exchange movements |
| 271 |
| 53 |
| 324 |
| (158) | (26) | (184) |
8 | Other |
| 0 |
| 0 |
| 0 |
| 0 | 0 | 0 |
9 | RWA as of the end of the quarter |
| 18,386 |
| 4,419 |
| 22,805 |
| 18,556 | 4,288 | 22,845 |
p
24
Counterparty credit risk exposure
Semiannual | Exposure at default (EAD) post-credit risk mitigation (CRM) related to counterparty credit risk increased by CHF 8.9 billion to CHF 110.9 billion and RWA increased by CHF 3.1 billion to CHF 31.0 billion as of 30 June 2018. This was mainly driven by an increase in derivative exposures of CHF 5.7 billion with an effect on RWA of CHF 2.4 billion, primarily in our Foreign Exchange, Rates and Credit and Equities businesses within the Investment Bank, mainly reflecting client-driven increases and fair value changes, as well as the effect from the higher IRB multiplier on Investment Bank exposures to corporates. A further increase of CHF 3.2 billion EAD post-CRM is related to securities financing transactions in the Investment Bank’s Equities business, with an effect on RWA of CHF 0.7 billion. p
Semiannual |
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach | ||||||||
CHF million, except where indicated |
| Replacement cost | Potential future exposure | EEPE | Alpha used for computing regulatory EAD | EAD post-CRM | RWA | |
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
| |
1 | SA-CCR (for derivatives)1 |
| 11,2792 | 9,197 |
| 1.01 | 20,476 | 4,819 |
2 | Internal model method (for derivatives) |
|
|
| 30,408 | 1.6 | 48,653 | 18,188 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 16,194 | 3,746 |
5 | VaR (for SFTs) |
|
|
|
|
| 25,536 | 4,278 |
6 | Total |
|
|
|
|
| 110,859 | 31,032 |
|
|
|
|
|
|
|
|
|
31.12.17 |
|
| ||||||
1 | SA-CCR (for derivatives)1 |
| 10,6652 | 7,647 |
| 1.01 | 18,313 | 3,803 |
2 | Internal model method (for derivatives) |
|
|
| 28,193 | 1.6 | 45,109 | 16,832 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 15,732 | 3,420 |
5 | VaR (for SFTs) |
|
|
|
|
| 22,796 | 3,859 |
6 | Total |
|
|
|
|
| 101,950 | 27,913 |
1 Standardized approach for CCR. Calculated in accordance with the current exposure method (CEM) until the implementation of SA-CCR with expected effective date of 1 January 2020, when an alpha factor of 1.4 will be used for calculating regulatory EAD. 2 Replacement costs include collateral mitigation for on- and off-balance sheet exposures related to CCR for derivative transactions. | ||||||||
p
Semiannual | In addition to the default risk capital requirements for CCR based on the advanced internal ratings-based or standardized approach, we are required to add a capital charge to derivatives to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality, referred to as the credit valuation adjustment (CVA). The advanced CVA VaR approach has been used to calculate the CVA capital charge where we apply the IMM. Where this is not the case, the standardized CVA approach has been applied. More information on our portfolios subject to the CVA capital charge as of 30 June 2018 is provided in the table below. p
Semiannual |
CCR2: Credit valuation adjustment (CVA) capital charge | |||||||
|
|
| 30.6.18 |
| 31.12.17 | ||
CHF million |
| EAD post CRM1 | RWA |
| EAD post CRM1 | RWA | |
| Total portfolios subject to the advanced CVA capital charge |
| 27,702 | 1,783 |
| 24,062 | 1,966 |
1 | (i) VaR component (including the 3× multiplier) |
|
| 343 |
|
| 461 |
2 | (ii) Stressed VaR component (including the 3× multiplier) |
|
| 1,440 |
|
| 1,505 |
3 | All portfolios subject to the standardized CVA capital charge |
| 8,468 | 1,682 |
| 8,019 | 1,117 |
4 | Total subject to the CVA capital charge |
| 36,170 | 3,465 |
| 32,081 | 3,084 |
1 Includes EAD of the underlying portfolio subject to the respective CVA charge. | |||||||
p
25
UBS Group AG consolidated
Semiannual | More information on the EAD post-CRM movements shown in the table below is provided on page 25 in the table “CCR1: Analysis of counterparty credit risk (CCR) exposure by approach.” p
Semiannual |
CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights | |||||||||||
CHF million |
|
|
|
|
|
|
|
|
|
| |
Risk weight |
| 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | Total credit exposure | |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 30.6.18 |
|
| ||||||||
1 | Central governments and central banks |
| 201 |
|
|
|
|
|
|
| 202 |
2 | Banks and securities dealers |
|
|
| 104 | 100 |
| 50 | 3 |
| 257 |
3 | Public sector entities and multilateral development banks |
|
|
|
|
|
| 1 |
|
| 1 |
4 | Corporates |
|
|
| 1 | 168 |
| 1,244 |
|
| 1,414 |
5 | Retail |
|
|
|
|
| 18 | 504 |
|
| 522 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 201 |
| 105 | 269 | 18 | 1,800 | 3 | 0 | 2,395 |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 31.12.17 |
|
| ||||||||
1 | Central governments and central banks |
| 202 |
|
|
|
|
|
|
| 202 |
2 | Banks and securities dealers |
|
|
| 99 | 236 |
| 1 |
|
| 337 |
3 | Public sector entities and multilateral development banks |
|
|
|
|
|
| 4 |
|
| 4 |
4 | Corporates |
|
|
|
| 60 |
| 806 |
|
| 867 |
5 | Retail |
|
|
|
|
| 4 | 97 |
|
| 101 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
| 202 |
| 99 | 296 | 4 | 908 | 0 | 0 | 1,510 |
p
Semiannual | More information on the EAD post-CRM movements shown in the table below is provided on page 25 in the table “CCR1: Analysis of counterparty credit risk (CCR) exposure by approach.” Information on RWA for the first quarter of 2018, including details on movements in counterparty credit risk RWA, is provided on pages 5–6 in our 31 March 2018 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, available under “Pillar 3 disclosures” at www.ubs.com/investors and for the second quarter of 2018 on page 24 of this report. p
Semiannual |
CCR4: IRB – CCR exposures by portfolio and PD scale | ||||||||
CHF million, except where indicated |
| EAD post CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 8,747 | 0.0 | 0.1 | 49.1 | 0.4 | 797 | 9.1 |
0.15 to <0.25 |
| 277 | 0.2 | <0.1 | 66.2 | 0.9 | 128 | 46.2 |
0.25 to <0.50 |
| 168 | 0.3 | <0.1 | 90.7 | 1.0 | 151 | 89.9 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 25 | 0.9 | <0.1 | 59.8 | 0.6 | 24 | 99.7 |
2.50 to <10.00 |
| 0 | 5.2 | <0.1 | 67.2 | 1.0 | 1 | 253.9 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 9,217 | 0.1 | 0.2 | 50.4 | 0.5 | 1,102 | 12.0 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 7,551 | 0.0 | 0.1 | 47.3 | 0.6 | 770 | 10.2 |
0.15 to <0.25 |
| 218 | 0.2 | <0.1 | 68.1 | 0.9 | 105 | 48.2 |
0.25 to <0.50 |
| 26 | 0.3 | <0.1 | 79.2 | 1.0 | 20 | 79.1 |
0.50 to <0.75 |
| 19 | 0.7 | <0.1 | 70.0 | 0.1 | 17 | 87.8 |
0.75 to <2.50 |
| 31 | 1.0 | <0.1 | 60.0 | 0.5 | 29 | 95.2 |
2.50 to <10.00 |
| 2 | 6.2 | <0.1 | 70.0 | 1.0 | 5 | 281.5 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 7,847 | 0.1 | 0.2 | 48.1 | 0.6 | 946 | 12.1 |
26
CCR4: IRB – CCR exposures by portfolio and PD scale (continued) | ||||||||
CHF million, except where indicated |
| EAD post CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 18,295 | 0.1 | 0.4 | 49.7 | 0.7 | 3,340 | 18.3 |
0.15 to <0.25 |
| 4,066 | 0.2 | 0.3 | 48.9 | 0.8 | 1,438 | 35.4 |
0.25 to <0.50 |
| 1,322 | 0.4 | 0.2 | 50.2 | 1.0 | 711 | 53.8 |
0.50 to <0.75 |
| 503 | 0.6 | 0.1 | 61.9 | 1.1 | 492 | 98.0 |
0.75 to <2.50 |
| 487 | 1.1 | 0.2 | 60.5 | 0.7 | 422 | 86.6 |
2.50 to <10.00 |
| 128 | 7.2 | 0.1 | 31.0 | 0.3 | 142 | 110.4 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 66.0 | 1.0 | 1 | 249.1 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 24,801 | 0.2 | 1.2 | 50.0 | 0.7 | 6,546 | 26.4 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 17,970 | 0.1 | 0.4 | 50.0 | 0.7 | 3,076 | 17.1 |
0.15 to <0.25 |
| 3,121 | 0.2 | 0.3 | 49.2 | 0.9 | 1,177 | 37.7 |
0.25 to <0.50 |
| 1,364 | 0.4 | 0.2 | 47.6 | 1.0 | 716 | 52.5 |
0.50 to <0.75 |
| 418 | 0.6 | 0.1 | 63.6 | 1.0 | 421 | 100.7 |
0.75 to <2.50 |
| 588 | 1.1 | 0.2 | 61.6 | 0.7 | 603 | 102.6 |
2.50 to <10.00 |
| 84 | 4.7 | 0.1 | 42.7 | 0.4 | 117 | 139.5 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 66.0 | 1.0 | 1 | 350.0 |
100.00 (default) |
| 32 |
| <0.1 |
|
| 34 | 106.0 |
Subtotal |
| 23,577 | 0.3 | 1.2 | 50.3 | 0.7 | 6,145 | 26.1 |
|
|
|
|
|
|
|
|
|
Public sector entities, multilateral development banks as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 3,238 | 0.0 | 0.1 | 42.8 | 1.4 | 249 | 7.7 |
0.15 to <0.25 |
| 83 | 0.2 | <0.1 | 58.9 | 1.0 | 31 | 36.7 |
0.25 to <0.50 |
| 44 | 0.3 | <0.1 | 56.6 | 1.0 | 25 | 57.6 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 14 | 1.0 | <0.1 | 35.0 | 1.0 | 8 | 60.4 |
2.50 to <10.00 |
| 0 | 2.7 | <0.1 | 35.0 | 1.0 | 0 | 87.4 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 12 |
| <0.1 |
|
| 13 | 106.0 |
Subtotal |
| 3,391 | 0.4 | 0.1 | 43.3 | 1.4 | 326 | 9.6 |
|
|
|
|
|
|
|
|
|
Public sector entities, multilateral development banks as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 3,505 | 0.0 | 0.1 | 43.5 | 1.5 | 325 | 9.3 |
0.15 to <0.25 |
| 116 | 0.2 | <0.1 | 49.3 | 1.2 | 35 | 30.6 |
0.25 to <0.50 |
| 41 | 0.3 | <0.1 | 58.7 | 1.0 | 24 | 59.2 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 22 | 1.0 | <0.1 | 35.0 | 0.0 | 11 | 50.0 |
2.50 to <10.00 |
| 0 | 2.7 | <0.1 | 35.0 | 1.0 | 0 | 87.4 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
| 23 |
| <0.1 |
|
| 24 | 106.0 |
Subtotal |
| 3,706 | 0.6 | 0.1 | 43.6 | 1.5 | 420 | 11.3 |
27
UBS Group AG consolidated
CCR4: IRB – CCR exposures by portfolio and PD scale (continued) | ||||||||
CHF million, except where indicated |
| EAD post CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 30.6.181 |
|
| ||||||
0.00 to <0.15 |
| 41,586 | 0.0 | 12.2 | 35.9 | 0.6 | 5,246 | 12.6 |
0.15 to <0.25 |
| 8,801 | 0.2 | 1.5 | 46.6 | 0.5 | 4,159 | 47.3 |
0.25 to <0.50 |
| 2,478 | 0.4 | 0.9 | 73.8 | 1.0 | 3,032 | 122.3 |
0.50 to <0.75 |
| 2,270 | 0.6 | 0.9 | 62.9 | 0.7 | 3,390 | 149.4 |
0.75 to <2.50 |
| 5,482 | 1.2 | 1.9 | 25.2 | 0.8 | 3,801 | 69.3 |
2.50 to <10.00 |
| 1,790 | 3.1 | 0.3 | 12.6 | 0.4 | 938 | 52.4 |
10.00 to <100.00 |
| 4 | 13.1 | <0.1 | 46.2 | 1.0 | 14 | 317.5 |
100.00 (default) |
| 1 |
| <0.1 |
|
| 1 | 106.0 |
Subtotal |
| 62,412 | 0.3 | 17.7 | 38.3 | 0.6 | 20,582 | 33.0 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.171 |
|
| ||||||
0.00 to <0.15 |
| 37,903 | 0.0 | 12.0 | 37.7 | 0.6 | 4,862 | 12.8 |
0.15 to <0.25 |
| 7,472 | 0.2 | 1.5 | 46.9 | 0.5 | 3,403 | 45.5 |
0.25 to <0.50 |
| 2,592 | 0.4 | 1.0 | 68.8 | 1.0 | 3,061 | 118.1 |
0.50 to <0.75 |
| 1,921 | 0.6 | 0.9 | 64.7 | 0.7 | 2,828 | 147.2 |
0.75 to <2.50 |
| 6,084 | 1.2 | 1.9 | 22.3 | 0.8 | 3,807 | 62.6 |
2.50 to <10.00 |
| 1,781 | 3.2 | 0.3 | 12.8 | 0.4 | 928 | 52.1 |
10.00 to <100.00 |
| 2 | 13.5 | <0.1 | 48.6 | 1.0 | 5 | 307.1 |
100.00 (default) |
| 14 |
| <0.1 |
|
| 15 | 106.0 |
Subtotal |
| 57,768 | 0.3 | 17.6 | 38.8 | 0.6 | 18,908 | 32.7 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.18 |
|
| ||||||
0.00 to <0.15 |
| 7,907 | 0.0 | 17.1 | 27.8 |
| 292 | 3.7 |
0.15 to <0.25 |
| 308 | 0.2 | 0.2 | 61.1 |
| 72 | 23.5 |
0.25 to <0.50 |
| 61 | 0.3 | 0.1 | 27.2 |
| 10 | 16.8 |
0.50 to <0.75 |
| 11 | 0.6 | 0.1 | 27.0 |
| 3 | 23.4 |
0.75 to <2.50 |
| 337 | 1.0 | 11.2 | 29.8 |
| 117 | 34.7 |
2.50 to <10.00 |
| 15 | 3.8 | 0.1 | 29.1 |
| 7 | 44.7 |
10.00 to <100.00 |
| 5 | 21.4 | 0.1 | 29.4 |
| 3 | 69.7 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,643 | 0.1 | 29.0 | 29.0 |
| 504 | 5.8 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.17 |
|
| ||||||
0.00 to <0.15 |
| 6,931 | 0.0 | 13.9 | 27.2 |
| 250 | 3.6 |
0.15 to <0.25 |
| 193 | 0.2 | 0.1 | 28.9 |
| 21 | 11.1 |
0.25 to <0.50 |
| 43 | 0.4 | 0.1 | 29.3 |
| 8 | 18.1 |
0.50 to <0.75 |
| 13 | 0.6 | 0.1 | 28.8 |
| 3 | 24.9 |
0.75 to <2.50 |
| 316 | 1.0 | 10.4 | 29.7 |
| 111 | 35.3 |
2.50 to <10.00 |
| 42 | 3.9 | 0.2 | 29.4 |
| 19 | 45.2 |
10.00 to <100.00 |
| 4 | 20.2 | 0.1 | 32.1 |
| 3 | 74.5 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 7,542 | 0.1 | 24.8 | 27.4 |
| 415 | 5.5 |
|
|
|
|
|
|
|
|
|
Total 30.6.18 |
| 108,463 | 0.2 | 48.3 | 41.4 | 0.7 | 29,059 | 26.8 |
Total 31.12.17 |
| 100,439 | 0.3 | 43.9 | 41.6 | 0.8 | 26,834 | 26.7 |
1 Includes exposures to managed funds. | ||||||||
p
28
Semiannual | Fair value of collateral received from securities financing transactions decreased by CHF 9.7 billion to CHF 615.2 billion as of 30 June 2018. This decrease was primarily driven by lower securities financing transactions in Corporate Center – Group Asset and Liability Management (Group ALM), mainly reflecting reduced asset sourcing for central bank pledges and rebalancing within our high-quality liquid asset (HQLA) portfolio. In addition, fair value of collateral received from securities financing transactions decreased in the Investment Bank’s Corporate Client Solutions business, due to client-driven movements, mainly in margin lending transactions. These decreases were partly offset by a client-driven increase in the Investment Bank’s Equities business. 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 | ||||
CHF million |
| Segregated2 | Unsegregated | Total |
| Segregated3 | Unsegregated | Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
|
|
|
|
|
Cash – domestic currency |
|
| 1,393 | 1,393 |
| 27 | 936 | 963 |
| 570 |
| 4,903 |
Cash – other currencies |
| 2,839 | 37,386 | 40,224 |
| 3,198 | 20,730 | 23,928 |
| 42,148 |
| 97,594 |
Sovereign debt |
| 1,580 | 8,851 | 10,431 |
| 3,740 | 8,374 | 12,114 |
| 201,894 |
| 142,269 |
Other debt securities |
|
| 1,415 | 1,415 |
| 5 | 1,096 | 1,101 |
| 79,883 |
| 36,364 |
Equity securities |
| 4,385 | 36 | 4,421 |
| 1,597 | 1,579 | 3,175 |
| 290,718 |
| 173,878 |
Total |
| 8,804 | 49,079 | 57,883 |
| 8,567 | 32,715 | 41,282 |
| 615,213 |
| 455,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
Cash – domestic currency |
|
| 1,340 | 1,340 |
| 22 | 912 | 934 |
| 284 |
| 2,400 |
Cash – other currencies |
| 2,397 | 34,554 | 36,951 |
| 2,847 | 19,819 | 22,667 |
| 40,759 |
| 111,745 |
Sovereign debt |
| 1,679 | 10,129 | 11,809 |
| 3,465 | 7,556 | 11,021 |
| 214,003 |
| 149,897 |
Other debt securities |
|
| 1,181 | 1,181 |
| 5 | 1,334 | 1,338 |
| 71,659 |
| 30,043 |
Equity securities |
| 2,825 | 44 | 2,869 |
| 1,782 | 1,119 | 2,900 |
| 298,179 |
| 158,348 |
Total |
| 6,902 | 47,247 | 54,149 |
| 8,121 | 30,739 | 38,860 |
| 624,885 |
| 452,433 |
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 only access 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 CHF 15.6 billion for protection bought and by CHF 13.2 billion for protection sold, primarily driven by a decrease in Corporate Center – Group Asset and Liability Management following trade compression with central counterparties, as well as continuous reductions in Corporate Center – Non-core and Legacy Portfolio. p
Semiannual |
CCR6: Credit derivatives exposures | ||||||
|
| 30.6.18 |
| 31.12.17 | ||
CHF million |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
Notionals1 |
|
|
|
|
|
|
Single-name credit default swaps |
| 48,183 | 47,732 |
| 61,299 | 55,677 |
Index credit default swaps |
| 33,988 | 33,145 |
| 38,268 | 38,372 |
Total return swaps |
| 4,458 | 1,651 |
| 4,436 | 1,660 |
Credit options |
| 6,034 | 58 |
| 4,289 | 58 |
Total notionals |
| 92,662 | 82,586 |
| 108,292 | 95,767 |
Fair values |
|
|
|
|
|
|
Positive fair value (asset) |
| 932 | 1,206 |
| 793 | 2,035 |
Negative fair value (liability) |
| 1,926 | 1,316 |
| 2,921 | 887 |
1 Includes notional amounts for client-cleared transactions. | ||||||
p
29
UBS Group AG consolidated
Section 4 Securitizations
This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the revised Basel III securitization framework, applicable since 1 January 2018, which incorporated changes to the treatment of banking book securitization positions.
In a traditional securitization, a pool of loans (or other debt obligations) is typically transferred to structured entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of loans. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained, but associated credit risk is transferred to structured entities typically through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.
We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which are
then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party investors. As sponsor, we manage, provide financing for or advice on securitization programs. In line with the Basel III framework, sponsoring includes underwriting activities. In all other cases, we act in the role of investor by taking securitization positions.
Regulatory capital treatment of securitization exposures
With the implementation of the revised securitization framework as of 1 January 2018 for banking book securitization exposures, the following approaches to calculate the associated risk-weighted assets (RWA) have become available, each with specific preconditions that must be met:
– we use internal ratings (internal ratings-based approach (IRBA)) if the securitized pool largely consists of IRB positions and internal ratings are available;
– if the IRBA approach cannot be applied, we use external ratings (external ratings-based approach (ERBA)), if available, from Standard & Poor’s, Moody’s Investors Service and Fitch Ratings for securitization exposures, provided that we are able to demonstrate our expertise in critically challenging and reviewing the external ratings; or
– if we cannot apply the IRBA or ERBA methods, we apply the standardized approach (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 (ECAI) is based on the primary rating agency concept. This concept is applied, in principle, to avoid having the credit assessment by one ECAI applied to one or more tranches and by another ECAI to the other tranches, unless this is the result of the application of the specific rules for multiple assessments. If any two of the aforementioned rating agencies have issued a rating for a particular exposure, we would apply the lower of the two credit ratings. If all three rating agencies have issued a rating for a particular exposure, we would apply the middle of the three credit ratings. As of 30 June 2018, UBS did not use internal ratings for the purpose of the RWA calculation for securitization positions in the banking book.
Securitization exposures in the banking and trading book
Semiannual | The tables “SEC1: Securitization exposures in the banking book” and “SEC2: Securitization exposures in the trading book” outline the carrying values on the balance sheet in the banking and trading books as of 30 June 2018 and 31 December 2017. The activity is further broken down by our role (originator, sponsor or investor) and by securitization type (traditional or synthetic). Amounts disclosed under the “Traditional” column of these tables reflect the total outstanding notes at par value issued by the securitization vehicle at issuance. For synthetic securitization transactions, the amounts disclosed generally reflect the balance sheet carrying values of the securitized exposures at issuance.
The tables “SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor” and “SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor” have been modified to reflect changes to the revised securitization framework.
Development in RWA related to securitization exposures in the banking book in the first half of 2018
Securitization exposures in the banking book decreased by CHF 2.1 billion to CHF 0.2 billion as of 30 June 2018, with a corresponding decrease in RWA of CHF 0.4 billion. This was primarily driven by the termination of certain hedges in our Investment Bank’s Corporate Client Solutions business. p
30
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 | |||||||||
CHF million |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 91 |
| 91 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 91 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 91 |
| 91 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 91 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
|
|
|
|
|
|
|
|
| 141 |
| 141 |
| 141 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 0 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 141 |
| 141 |
| 141 |
13 | Re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | Total securitization / re-securitization (including retail and wholesale) |
| 91 |
| 91 |
|
|
|
|
|
|
|
|
| 141 |
| 141 |
| 232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 95 |
| 95 |
| 134 |
| 134 |
|
|
|
|
| 0 |
| 0 |
| 229 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 95 |
| 95 |
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 95 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
| 134 |
| 134 |
|
|
|
|
|
|
|
|
| 134 |
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
| 1,926 | 1,926 |
|
|
|
|
|
|
|
|
| 138 |
| 138 |
| 2,065 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
| 1,926 | 1,926 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1,926 |
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
|
|
|
|
| 0 |
| 0 |
| 0 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
| 138 |
| 138 |
| 138 |
13 | Re-securitization |
| 0 |
| 0 |
| 0 |
| 0 |
|
|
|
|
| 0 |
| 0 |
| 0 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 95 | 1,926 | 2,021 |
| 134 |
| 134 |
|
|
|
|
| 138 |
| 138 |
| 2,293 |
p
31
UBS Group AG consolidated
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 | |||||||||
CHF million |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
| Traditional | Synthetic | Subtotal |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 14 |
| 14 |
| 24 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 3 |
| 3 |
| 7 |
| 7 |
|
|
|
|
| 14 |
| 14 |
| 24 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 4 |
| 4 |
| 99 |
| 99 |
| 7 |
| 7 |
| 111 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
| 99 |
| 99 |
| 7 |
| 7 |
| 107 |
10 | Lease and receivables |
|
|
|
|
| 4 |
| 4 |
|
|
|
|
|
|
|
|
| 4 |
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | Re-securitization |
|
| 6 | 6 |
| 3 |
| 3 |
|
|
|
|
| 10 |
| 10 |
| 19 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 3 | 6 | 9 |
| 14 |
| 14 |
| 99 |
| 99 |
| 31 |
| 31 |
| 153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Retail (total) |
| 3 |
| 3 |
| 10 |
| 10 |
|
|
|
|
| 26 |
| 26 |
| 39 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 | Residential mortgage |
| 3 |
| 3 |
| 10 |
| 10 |
|
|
|
|
| 26 |
| 26 |
| 39 |
3 | Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 | Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 | Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | Other retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | Wholesale (total) |
|
|
|
|
| 2 |
| 2 |
| 18 |
| 18 |
| 7 |
| 7 |
| 26 |
| of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | Loans to corporates or SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Commercial mortgage |
|
|
|
|
|
|
|
|
| 18 |
| 18 |
| 7 |
| 7 |
| 25 |
10 | Lease and receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | Other wholesale |
|
|
|
|
| 2 |
| 2 |
|
|
|
|
|
|
|
|
|
|
13 | Re-securitization |
|
| 6 | 6 |
| 2 |
| 2 |
|
|
|
|
| 9 |
| 9 |
| 17 |
14 | Total securitization / re-securitization (including retail and wholesale) |
| 3 | 6 | 9 |
| 13 |
| 13 |
| 18 |
| 18 |
| 43 |
| 43 |
| 83 |
| |||||||||||||||||||
p
32
Semiannual |
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor | ||||||||||||||||||||||||||||
CHF million |
| Total exposure values |
| Exposure values (by RW bands) |
| Exposure values (by regulatory approach) |
| Total RWA |
| RWA (by regulatory approach) |
| Total capital charge after cap |
| Capital charge after cap | ||||||||||||||
30.6.18 |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% |
|
|
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% |
|
|
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% | |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 91 |
|
|
|
| 0 | 91 |
|
| 91 | 0 |
|
| 1,140 |
|
| 1,140 | 1 |
|
| 91 |
|
| 91 | 0 |
|
2 | Traditional securitization |
| 91 |
|
|
|
| 0 | 91 |
|
| 91 | 0 |
|
| 1,140 |
|
| 1,140 | 1 |
|
| 91 |
|
| 91 | 0 |
|
3 | of which: securitization |
| 91 |
|
|
|
| 0 | 91 |
|
| 91 | 0 |
|
| 1,140 |
|
| 1,140 | 1 |
|
| 91 |
|
| 91 | 0 |
|
4 | of which: retail underlying |
| 91 |
|
|
|
| 0 | 91 |
|
| 91 | 0 |
|
| 1,140 |
|
| 1,140 | 1 |
|
| 91 |
|
| 91 | 0 |
|
5 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | Synthetic securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | of which: securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 | |||||||||||
31.12.17 |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA | IRB SFA | 1250% | |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 2,154 |
| 134 | 1,926 |
| 0 | 94 |
| 134 | 1,926 | 94 |
| 1,634 |
| 17 | 441 | 1,176 |
| 131 |
| 1 | 35 | 94 |
2 | Traditional securitization |
| 228 |
| 134 |
|
| 0 | 94 |
| 134 |
| 94 |
| 1,193 |
| 17 |
| 1,176 |
| 95 |
| 1 |
| 94 |
3 | of which: securitization |
| 228 |
| 134 |
|
|
| 94 |
| 134 |
| 94 |
| 1,193 |
| 17 |
| 1,176 |
| 95 |
| 1 |
| 94 |
4 | of which: retail underlying |
| 228 |
| 134 |
|
|
| 94 |
| 134 |
| 94 |
| 1,193 |
| 17 |
| 1,176 |
| 95 |
| 1 |
| 94 |
5 | of which: wholesale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | of which: re-securitization |
| 0 |
|
|
|
| 0 | 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
7 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | of which: non-senior |
| 0 |
|
|
|
| 0 | 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
9 | Synthetic securitization |
| 1,926 |
|
| 1,926 |
|
|
|
|
| 1,926 |
|
| 441 |
|
| 441 |
|
| 35 |
|
| 35 |
|
10 | of which: securitization |
| 1,926 |
|
| 1,926 |
|
|
|
|
| 1,926 |
|
| 441 |
|
| 441 |
|
| 35 |
|
| 35 |
|
11 | of which: retail underlying |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | of which: wholesale |
| 1,926 |
|
| 1,926 |
|
|
|
|
| 1,926 |
|
| 441 |
|
| 441 |
|
| 35 |
|
| 35 |
|
13 | of which: re-securitization |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | of which: senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 | of which: non-senior |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
p
33
UBS Group AG consolidated
Semiannual |
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor | ||||||||||||||||||||||||||||
CHF million |
| Total exposure values |
| Exposure values (by RW bands) |
| Exposure values (by regulatory approach) |
| Total RWA |
| RWA (by regulatory approach) |
| Total capital charge after cap |
| Capital charge after cap | ||||||||||||||
30.6.18 |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% |
|
|
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% |
|
|
| SEC-IRBA | SEC-ERBA | SEC-SA | 1250% | |
Asset classes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Total exposures |
| 141 |
|
|
| 62 | 79 | 0 |
|
| 141 | 0 |
|
| 123 |
|
| 123 | 0 |
|
| 10 |
|
| 10 | 0 |
|
2 | Traditional securitization |
| 141 |
|
|
| 62 | 79 | 0 |
|
| 141 | 0 |
|
| 123 |
|
| 123 | 0 |
|
| 10 |
|
| 10 | 0 |
|
3 | of which: securitization |
| 141 |
|
|
| 62 | 79 | 0 |
|
| 141 | 0 |
|
| 123 |
|
| 123 | 0 |
|
| 10 |
|
| 10 | 0 |
|
4 | of which: retail underlying |
| 0 |
|
|
|
|
| 0 |
|
|
| 0 |
|
| 0 |
|
|
| 0 |
|
| 0 |
|
|
| 0 |
|
5 | of which: wholesale |
| 141 |
|
|
| 62 | 79 |
|
|
| 141 |
|
|
| 123 |
|
| 123 |
|
|
| 10 |
|
| 10 |
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
12 | of which: wholesale |
|
|
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|
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|
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|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
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|
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13 | of which: re-securitization |
|
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|
|
|
|
|
|
|
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|
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|
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14 | of which: senior |
|
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|
|
|
|
|
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|
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|
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|
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15 | of which: non-senior |
|
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|
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|
|
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| 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 | |||||||||||
31.12.17 |
|
|
| ≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to <1250% RW | 1250% RW |
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA | IRB SFA | 1250% |
|
|
| IRB RBA | IRB SFA | 1250% | |
Asset classes |
|
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| |
1 | Total exposures |
| 138 |
| 64 | 0 | 74 | 0 | 0 |
| 138 |
| 0 |
| 62 |
| 61 |
| 1 |
| 5 |
| 5 |
| 0 |
2 | Traditional securitization |
| 138 |
| 64 | 0 | 74 | 0 | 0 |
| 138 |
| 0 |
| 62 |
| 61 |
| 1 |
| 5 |
| 5 |
| 0 |
3 | of which: securitization |
| 138 |
| 64 | 0 | 74 | 0 | 0 |
| 138 |
| 0 |
| 62 |
| 61 |
| 1 |
| 5 |
| 5 |
| 0 |
4 | of which: retail underlying |
| 0 |
|
|
|
|
| 0 |
|
|
| 0 |
| 1 |
|
|
| 1 |
| 0 |
|
|
| 0 |
5 | of which: wholesale |
| 138 |
| 64 | 0 | 74 |
| 0 |
| 138 |
| 0 |
| 61 |
| 61 |
| 0 |
| 5 |
| 5 |
| 0 |
6 | of which: re-securitization |
| 0 |
|
| 0 |
|
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
7 | of which: senior |
|
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|
|
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|
|
|
|
|
|
|
8 | of which: non-senior |
| 0 |
|
| 0 |
|
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
| 0 |
9 | Synthetic securitization |
|
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10 | of which: securitization |
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11 | of which: retail underlying |
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12 | of which: wholesale |
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13 | of which: re-securitization |
|
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14 | of which: senior |
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15 | of which: non-senior |
|
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p
34
Section 5 Market risk
The amount of capital required to underpin market risk in the regulatory trading book is calculated using a variety of methods approved by FINMA. The components of market risk risk-weighted assets (RWA) are value-at-risk (VaR), stressed VaR (SVaR), an add-on for risks that are potentially not fully modeled in VaR, the incremental risk charge (IRC), the comprehensive risk measure (CRM) for the correlation portfolio and the securitization framework for securitization positions in the trading book. Refer to pages 65–66, 79 and 81–83 in the 31 December 2017 Pillar 3 report – UBS Group AG and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors for more information on each of these components.
Market risk risk-weighted assets
Market risk RWA development in the second quarter 2018
Quarterly | The four main components that contribute to market risk RWA are VaR, SVaR, IRC and CRM. VaR and SVaR components include the RWA charge for risks-not-in-VaR. The “MR2: RWA flow statements of market risk exposures under an internal models approach” table below provides a breakdown of the market risk RWA movement in the second quarter of 2018 across these components, according to Basel Committee on Banking Supervision-defined movement categories. These categories are described on page 75 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, which is available under “Pillar 3 disclosures” at www.ubs.com/investors.
Market risk RWA decreased by CHF 10.0 billion in the second quarter of 2018, primarily due to asset size and other movements resulting from lower average regulatory VaR and SVaR levels observed in the Investment Bank, mainly due to risk management actions taken during the quarter. The VaR multiplier remained unchanged at 3.0. p
Quarterly |
MR2: RWA flow statements of market risk exposures under an internal models approach1 | |||||||
CHF million | VaR | Stressed VaR | IRC | CRM | Other | Total RWA | |
1 | RWA as of 31.12.17 | 3,077 | 5,267 | 3,457 | 79 |
| 11,881 |
1a | Regulatory adjustment | (2,392) | (4,518) | 0 | (26) |
| (6,936) |
1b | RWA at previous quarter-end (end of day) | 685 | 749 | 3,457 | 53 |
| 4,944 |
2 | Movement in risk levels | 379 | 1,453 | (1,181) |
|
| 650 |
3 | Model updates / changes | 69 | (3) |
|
|
| 66 |
4 | Methodology and policy |
|
|
|
|
|
|
5 | Acquisitions and disposals |
|
|
|
|
|
|
6 | Foreign exchange movements |
|
|
|
|
|
|
7 | Other | 18 | 269 |
| (16) |
| 271 |
8a | RWA at the end of the reporting period (end of day) | 1,150 | 2,468 | 2,276 | 37 |
| 5,932 |
8b | Regulatory adjustment | 5,740 | 9,503 | 807 | 13 |
| 16,064 |
8c | RWA as of 31.3.18 | 6,891 | 11,971 | 3,083 | 50 |
| 21,996 |
1 | RWA as of 31.3.18 | 6,891 | 11,971 | 3,083 | 50 |
| 21,996 |
1a | Regulatory adjustment | (5,740) | (9,503) | (807) | (13) |
| (16,064) |
1b | RWA at previous quarter-end (end of day) | 1,150 | 2,468 | 2,276 | 37 |
| 5,932�� |
2 | Movement in risk levels | 1,069 | 908 | 102 |
|
| 2,080 |
3 | Model updates / changes | (142) | 13 |
|
|
| (129) |
4 | Methodology and policy |
|
|
|
|
|
|
5 | Acquisitions and disposals |
|
|
|
|
|
|
6 | Foreign exchange movements |
|
|
|
|
|
|
7 | Other | (106) | 26 |
| 19 |
| (61) |
8a | RWA at the end of the reporting period (end of day) | 1,972 | 3,416 | 2,378 | 56 |
| 7,822 |
8b | Regulatory adjustment | 1,300 | 2,908 | 0 | 0 |
| 4,208 |
8c | RWA as of 30.6.18 | 3,272 | 6,324 | 2,378 | 56 |
| 12,030 |
1 Components that describe movements in RWA are presented in italic. | |||||||
p
35
UBS Group AG consolidated
Securitization positions in the trading book
Semiannual | Our exposure to securitization positions in the trading book is limited and relates primarily to positions in Corporate Center – Non-core and Legacy Portfolio that we continue to wind down. A small amount of exposure also arises from secondary trading in commercial mortgage-backed securities in the Investment Bank. Refer to the “Regulatory exposures and risk-weighted assets” table on pages 8–9 and to the “Securitizations” section of this report for more information.
The table below provides information on market risk RWA from securitization exposures in the trading book. p
Semiannual |
MR1: Market risk under standardized approach | |||
CHF million | 30.6.18 | 31.12.17 | |
| Outright products |
|
|
1 | Interest rate risk (general and specific) |
|
|
2 | Equity risk (general and specific) |
|
|
3 | Foreign exchange risk |
|
|
4 | Commodity risk |
|
|
| Options |
|
|
5 | Simplified approach |
|
|
6 | Delta-plus method |
|
|
7 | Scenario approach |
|
|
8 | Securitization | 361 | 400 |
9 | Total | 361 | 400 |
| |||
p
36
Regulatory calculation of market risk
Semiannual | The table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the IRC and the comprehensive risk capital charge.
During the first half of 2018, 10-day 99% regulatory VaR and SVaR increased, driven primarily by our Equities, Rates and Credit businesses. p
Semiannual |
MR3: IMA values for trading portfolios | |||
CHF million | For the six-month period ended 30.6.18 | For the six-month period ended 31.12.17 | |
| VaR (10-day 99%) |
|
|
1 | Maximum value | 172 | 89 |
2 | Average value | 50 | 35 |
3 | Minimum value | 2 | 12 |
4 | Period end | 64 | 21 |
| Stressed VaR (10-day 99%) |
|
|
5 | Maximum value | 313 | 315 |
6 | Average value | 102 | 84 |
7 | Minimum value | 22 | 26 |
8 | Period end | 121 | 30 |
| Incremental risk charge (99.9%) |
|
|
9 | Maximum value | 331 | 303 |
10 | Average value | 214 | 265 |
11 | Minimum value | 147 | 208 |
12 | Period end | 190 | 277 |
| Comprehensive risk capital charge (99.9%) |
|
|
13 | Maximum value | 5 | 9 |
14 | Average value | 4 | 6 |
15 | Minimum value | 3 | 4 |
16 | Period end | 4 | 4 |
17 | Floor (standardized measurement method) | 1 | 1 |
| |||
p
37
UBS Group AG consolidated
MR4: Comparison of VaR estimates with gains/losses
Semiannual | The “Group: development of backtesting revenues and actual trading revenues against backtesting VaR (1-day, 99% confidence)” chart below shows the six-month development of backtesting VaR against the Group’s backtesting revenues for the first half of 2018. The chart shows the negative and the positive tails of the backtesting VaR distribution at 99% confidence intervals representing the losses and gains, respectively, that could potentially be realized over a one-day period at that level of confidence.
The asymmetry between the negative and positive tails is due to the long gamma risk profile that is run historically in the Investment Bank. This long gamma position profits from increases in volatility, which therefore benefits the positive tail of the VaR simulated profit or loss distribution.
There was one new Group VaR negative backtesting exception in the first half of 2018. The total number of negative backtesting exceptions within a 250-business-day window increased to 2. The FINMA VaR multiplier for market risk RWA remained unchanged at 3.0.
More information on the backtesting exceptions that occurred during 2017 is provided on page 151 of our Annual Report 2017, available under “Annual reporting” at www.ubs.com/investors, and on page 80 of our 31 December 2017 Pillar 3 report – UBS Group AG and significant regulated subsidiaries and sub-groups, available under “Pillar 3 disclosures” at www.ubs.com/investors. p
Semiannual |
p
38
Section 6 Going and gone concern requirements and eligible capital
The table below provides details on the Swiss systemically relevant bank going and gone concern requirements as required by FINMA. More information on capital management is provided on pages 54–64 of our second quarter 2018 report, available under “Quarterly reporting” at www.ubs.com/investors.
Quarterly |
Swiss SRB going and gone concern requirements and information1 | ||||||||||
As of 30.6.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||
CHF million, except where indicated |
| RWA | LRD |
| RWA | LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing capacity |
| in % |
| in % |
|
| in % |
| in % |
|
Common equity tier 1 capital |
| 9.72 | 24,528 | 2.90 | 26,170 |
| 10.26 | 25,891 | 3.50 | 31,584 |
of which: minimum capital |
| 5.40 | 13,628 | 1.90 | 17,146 |
| 4.50 | 11,357 | 1.50 | 13,536 |
of which: buffer capital |
| 4.06 | 10,246 | 1.00 | 9,024 |
| 5.50 | 13,880 | 2.00 | 18,048 |
of which: countercyclical buffer2 |
| 0.26 | 654 |
|
|
| 0.26 | 654 |
|
|
Maximum additional tier 1 capital |
| 3.40 | 8,581 | 1.10 | 9,926 |
| 4.30 | 10,852 | 1.50 | 13,536 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 2.60 | 6,562 | 1.10 | 9,926 |
| 3.50 | 8,833 | 1.50 | 13,536 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 2,019 |
|
|
| 0.80 | 2,019 |
|
|
Total going concern capital |
| 13.12 | 33,109 | 4.00 | 36,096 |
| 14.563 | 36,743 | 5.003 | 45,120 |
Base gone concern loss-absorbing capacity, including applicable add-ons and rebate |
| 7.654 | 19,317 | 2.584 | 23,282 |
| 12.305 | 31,037 | 4.305 | 38,804 |
Total gone concern loss-absorbing capacity |
| 7.65 | 19,317 | 2.58 | 23,282 |
| 12.30 | 31,037 | 4.30 | 38,804 |
Total loss-absorbing capacity |
| 20.77 | 52,425 | 6.58 | 59,378 |
| 26.86 | 67,780 | 9.30 | 83,924 |
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 13.40 | 33,817 | 3.75 | 33,817 |
| 13.40 | 33,817 | 3.75 | 33,817 |
High-trigger loss-absorbing additional tier 1 capital6,7 |
| 7.10 | 17,912 | 1.98 | 17,912 |
| 4.41 | 11,139 | 1.23 | 11,139 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.48 | 8,780 | 0.97 | 8,780 |
| 3.48 | 8,780 | 0.97 | 8,780 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.93 | 2,359 | 0.26 | 2,359 |
| 0.93 | 2,359 | 0.26 | 2,359 |
of which: high-trigger loss-absorbing tier 2 capital |
| 0.17 | 434 | 0.05 | 434 |
|
|
|
|
|
of which: low-trigger loss-absorbing tier 2 capital |
| 2.51 | 6,339 | 0.70 | 6,339 |
|
|
|
|
|
Total going concern capital |
| 20.50 | 51,729 | 5.73 | 51,729 |
| 17.81 | 44,956 | 4.98 | 44,956 |
Gone concern loss-absorbing capacity |
| 11.96 | 30,195 | 3.35 | 30,195 |
| 14.48 | 36,535 | 4.05 | 36,535 |
of which: TLAC-eligible senior unsecured debt |
| 11.54 | 29,123 | 3.23 | 29,123 |
| 11.54 | 29,123 | 3.23 | 29,123 |
Total gone concern loss-absorbing capacity |
| 11.96 | 30,195 | 3.35 | 30,195 |
| 14.48 | 36,535 | 4.05 | 36,535 |
Total loss-absorbing capacity |
| 32.46 | 81,924 | 9.08 | 81,924 |
| 32.29 | 81,491 | 9.03 | 81,491 |
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 252,373 |
|
|
|
| 252,373 |
|
|
Leverage ratio denominator |
|
|
|
| 902,408 |
|
|
|
| 902,408 |
1 This table includes a rebate equal to 35% of the maximum rebate on the gone concern requirements, which was granted by FINMA and will be phased in until 1 January 2020. This table does not include a rebate for the usage of low-trigger loss-absorbing additional tier 1 or tier 2 capital instruments to meet the gone concern requirements. 2 Going concern capital ratio requirements include countercyclical buffer requirements of 0.26%. 3 Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio denominator (LRD). 4 Includes applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.25% for RWA and 0.42% for LRD. 5 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2% for RWA and 0.7% for LRD. 6 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until their first call date, even if the first call date is after 31 December 2019. As of their first call date, these instruments are eligible to meet the gone concern requirements. 7 Includes outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and to meet gone concern requirements thereafter. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity, with the amortized portion qualifying as gone concern loss-absorbing capacity. Instruments available to meet gone concern requirements are eligible until one year before maturity, with a haircut of 50% applied in the last year of eligibility. | ||||||||||
p
39
UBS Group AG consolidated
Explanation of the difference between the IFRS and regulatory scope of consolidation
Quarterly | The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under International Financial Reporting Standards (IFRS) and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation.
The key difference between the IFRS and regulatory capital scope of consolidation as of 30 June 2018 relates to investments in insurance, real estate and commercial companies as well as investment vehicles that are consolidated under IFRS, but not for regulatory capital purposes, where they are subject to risk-weighting.
The table below provides a list of the most significant entities that were included in the IFRS scope of consolidation, but not in the regulatory capital scope of consolidation. These entities account for most of the difference between the “Balance sheet in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table and such difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 30 June 2018, entities consolidated under either the IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.
In the banking book, certain equity investments are consolidated neither under IFRS nor under the regulatory scope. As of 30 June 2018, these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, stock and financial futures exchanges) and included our participation in the SIX Group. These investments were risk-weighted based on applicable threshold rules.
More information on the legal structure of the UBS Group and on the IFRS scope of consolidation is provided on pages 12–13 and 325–326, respectively, of our Annual Report 2017, available under “Annual reporting” at www.ubs.com/investors.
® Refer to “Financial and regulatory key figures for our significant regulated subsidiaries and sub-groups” on page 142 of our second quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors for more information on transfer of funds or capital within the Group p
Quarterly |
Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation | ||||||
|
| 30.6.18 |
|
| ||
CHF million |
| Total assets1 | Total equity1 |
|
| Purpose |
UBS Asset Management Life Limited |
| 24,959 | 41 |
|
| Life Insurance |
A&Q Alternative Solution Master Limited |
| 307 | 3072 |
|
| Investment vehicle for multiple investors |
A&Q Alternative Solution Limited |
| 307 | 3012 |
|
| Investment vehicle for multiple investors |
UBS Life Insurance Company USA |
| 167 | 43 |
|
| Life Insurance |
A&Q Alpha Select Hedge Fund Limited |
| 167 | 1562 |
|
| Investment vehicle for multiple investors |
A&Q Global Alpha Strategies XL Limited |
| 138 | 692 |
|
| Investment vehicle for multiple investors |
A&Q Alpha Select Hedge Fund XL |
| 115 | 582 |
|
| Investment vehicle for multiple investors |
1 Total assets and total equity on a standalone basis. 2 Represents the net asset value of issued fund units. These fund units are subject to liability treatment in the consolidated financial statements in accordance with IFRS. | ||||||
p
40
Quarterly | The table below and on the next page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “Composition of capital” table. p
Quarterly |
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation | |||||
As of 30.6.18 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | References1 |
CHF million |
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
Cash and balances at central banks | 102,262 |
|
| 102,262 |
|
Loans and advances to banks | 15,577 | (247) |
| 15,331 |
|
Receivables from securities financing transactions | 76,450 |
|
| 76,450 |
|
Cash collateral receivables on derivative instruments | 24,937 |
|
| 24,937 |
|
Loans and advances to customers | 318,278 | 19 |
| 318,297 |
|
Other financial assets measured at amortized cost | 20,996 | (272) |
| 20,723 |
|
Total financial assets measured at amortized cost | 558,500 | (501) |
| 557,999 |
|
Financial assets at fair value held for trading | 112,121 | (403) |
| 111,718 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties | 36,580 |
|
| 36,580 |
|
Derivative financial instruments | 121,604 | 11 |
| 121,615 |
|
Brokerage receivables | 18,415 |
|
| 18,415 |
|
Financial assets at fair value not held for trading | 93,217 | (24,571) |
| 68,646 |
|
Total financial assets measured at fair value through profit or loss | 345,357 | (24,962) |
| 320,395 |
|
Financial assets measured at fair value through other comprehensive income | 6,941 |
|
| 6,941 |
|
Consolidated participations | 0 | 102 |
| 102 |
|
Investments in associates | 1,026 |
|
| 1,026 |
|
of which: goodwill | 350 |
|
| 350 | 4 |
Property, equipment and software | 9,083 | (55) |
| 9,028 |
|
Goodwill and intangible assets | 6,391 |
|
| 6,391 |
|
of which: goodwill | 6,212 |
|
| 6,212 | 4 |
of which: intangible assets | 179 |
|
| 179 | 5 |
Deferred tax assets | 9,859 |
|
| 9,859 |
|
of which: deferred tax assets recognized for tax loss carry-forwards | 6,092 |
|
| 6,092 | 6 |
of which: deferred tax assets on temporary differences | 3,767 |
|
| 3,767 | 10 |
Other non-financial assets | 7,324 | (18) |
| 7,306 |
|
of which: net defined benefit pension and other post-employment assets | 61 |
|
| 61 | 8 |
Total assets | 944,482 | (25,433) |
| 919,049 |
|
41
UBS Group AG consolidated
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
As of 30.6.18 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | References1 |
CHF million |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
Amounts due to banks | 10,242 |
|
| 10,242 |
|
Payables from securities financing transactions | 10,130 |
|
| 10,130 |
|
Cash collateral payables on derivative instruments | 31,843 |
|
| 31,843 |
|
Customer deposits | 403,430 | (59) |
| 403,371 |
|
Debt issued measured at amortized cost | 137,530 | (8) |
| 137,521 |
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital2 | 7,119 |
|
| 7,119 | 9 |
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital2 | 2,359 |
|
| 2,359 | 9 |
of which: amount eligible for low-trigger loss-absorbing tier 2 capital3 | 6,339 |
|
| 6,339 | 11 |
of which: amount eligible for capital instruments subject to phase-out from tier 2 capital4 | 696 |
|
| 696 | 12 |
Other financial liabilities measured at amortized cost | 6,909 | (437) |
| 6,472 |
|
Total financial liabilities measured at amortized cost | 600,084 | (505) |
| 599,579 |
|
Financial liabilities at fair value held for trading | 31,416 |
|
| 31,416 |
|
Derivative financial instruments | 119,223 | 3 |
| 119,226 |
|
Brokerage payables designated at fair value | 37,904 |
|
| 37,904 |
|
Debt issued designated at fair value | 56,849 |
|
| 56,849 |
|
Other financial liabilities designated at fair value | 37,342 | (24,913) |
| 12,429 |
|
Total financial liabilities measured at fair value through profit or loss | 282,734 | (24,910) |
| 257,824 |
|
Provisions | 3,123 |
|
| 3,123 |
|
Other non-financial liabilities | 7,708 | (16) |
| 7,692 |
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))5 | 1,156 |
|
| 1,156 | 9 |
of which: deferred tax liabilities related to goodwill | 54 |
|
| 54 | 4 |
of which: deferred tax liabilities related to other intangible assets | 3 |
|
| 3 | 5 |
Total liabilities | 893,649 | (25,431) |
| 868,218 |
|
|
|
|
|
|
|
Equity |
|
|
|
|
|
Share capital | 385 |
|
| 385 | 1 |
Share premium | 22,961 |
|
| 22,961 | 1 |
Treasury shares | (2,032) |
|
| (2,032) | 3 |
Retained earnings | 35,584 | (22) |
| 35,562 | 2 |
Other comprehensive income recognized directly in equity, net of tax | (6,124) | 20 |
| (6,104) | 3 |
of which: unrealized gains / (losses) from cash flow hedges | (264) |
|
| (264) | 7 |
Equity attributable to shareholders | 50,774 | (3) |
| 50,771 |
|
Equity attributable to non-controlling interests | 60 |
|
| 60 |
|
Total equity | 50,834 | (3) |
| 50,832 |
|
Total liabilities and equity | 944,482 | (25,433) |
| 919,049 |
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “Composition of capital” table. 2 Represents IFRS carrying value. 3 IFRS carrying value is CHF 6,748 million. 4 IFRS carrying value is CHF 705 million. 5 IFRS carrying value is CHF 1,770 million. Refer to the “Compensation” section of our Annual Report 2017 for more information on the DCCP. | |||||
p
42
Composition of capital
Quarterly | The table below and on the following pages provides the “Composition of capital” as defined by the BCBS and FINMA. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table.
Refer to the documents “Capital instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt” under “Bondholder information” at www.ubs.com/investors for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions. p
Quarterly |
Composition of capital |
|
|
| |
As of 30.6.18 | Numbers phase-in | Effect of the transition phase | References1 | |
CHF million, except where indicated |
|
|
| |
1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | 23,346 |
| 1 |
2 | Retained earnings | 35,562 |
| 2 |
3 | Accumulated other comprehensive income (and other reserves) | (8,136) |
| 3 |
4 | Directly issued capital subject to phase-out from common equity tier 1 (CET1) capital (only applicable to non-joint stock companies) |
|
|
|
5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in Group CET1 capital) |
|
|
|
6 | Common equity tier 1 capital before regulatory adjustments | 50,771 |
|
|
7 | Prudential valuation adjustments | (120) |
|
|
8 | Goodwill, net of tax | (6,508) |
| 4 |
9 | Intangible assets, net of tax | (176) |
| 5 |
10 | Deferred tax assets recognized for tax loss carry-forwards2 | (6,113) |
| 6 |
11 | Unrealized (gains) / losses from cash flow hedges, net of tax | 264 |
| 7 |
12 | Expected losses on advanced internal ratings-based portfolio less provisions | (397) |
|
|
13 | Securitization gain on sale |
|
|
|
14 | Own credit related to financial liabilities designated at fair value, net of tax, and replacement values | (319) |
|
|
15 | Defined benefit plans | (61) |
| 8 |
16 | Compensation and own shares-related capital components (not recognized in net profit)3 | (1,805) |
| 9 |
17 | Reciprocal crossholdings in common equity |
|
|
|
17a | Qualifying interest where a controlling influence is exercised together with other owners (CET1 instruments) |
|
|
|
17b | Consolidated investments (CET1 instruments) |
|
|
|
18 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, 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, net of eligible short positions (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) | (289) |
| 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 investments treated according to the PD / LGD approach |
|
|
|
26a | Other adjustments relating to the application of an internationally accepted accounting standard |
|
|
|
26b | Other deductions | (1,429) |
|
|
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 | (16,954) |
|
|
43
UBS Group AG consolidated
Composition of capital (continued)
As of 30.6.18 | Numbers phase-in | Effect of the transition phase | References 1 | |
CHF million, except where indicated |
|
|
| |
29 | Common equity tier 1 capital (CET1) | 33,817 |
|
|
30 | Directly issued qualifying additional tier 1 instruments plus related stock surplus | 11,139 |
|
|
31 | of which: classified as equity under applicable accounting standards |
|
|
|
32 | of which: classified as liabilities under applicable accounting standards | 11,139 |
| 9 |
33 | Directly issued capital instruments subject to phase-out from additional tier 1 |
|
|
|
34 | Additional tier 1 instruments (and CET1 instruments not included in line 5) issued by subsidiaries and held by third parties (amount allowed in Group AT1) |
|
|
|
35 | of which: instruments issued by subsidiaries subject to phase-out |
|
|
|
36 | Additional tier 1 capital before regulatory adjustments | 11,139 |
|
|
37 | Investments in own additional tier 1 instruments |
|
|
|
38 | Reciprocal crossholdings in additional tier 1 instruments |
|
|
|
38a | Qualifying interest where a controlling influence is exercised together with other owner (AT1 instruments) |
|
|
|
38b | Holdings in companies which are to be consolidated (AT1 instruments) |
|
|
|
39 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, 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 (net of eligible short positions) |
|
|
|
41 | National specific regulatory adjustments |
|
|
|
42 | Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions |
|
|
|
| Tier 1 adjustments on impact of transitional arrangements |
|
|
|
42a | Excess of the adjustments, which are allocated to the common equity tier 1 capital |
|
|
|
43 | Total regulatory adjustments to additional tier 1 capital |
|
|
|
44 | Additional tier 1 capital (AT1) | 11,139 |
|
|
45 | Tier 1 capital (T1 = CET1 + AT1) | 44,956 |
|
|
46 | Directly issued qualifying tier 2 instruments plus related stock surplus | 6,340 |
| 11 |
47 | Directly issued capital instruments subject to phase-out from tier 2 | 712 | (712) | 12 |
48 | Tier 2 instruments (and CET1 and AT1 instruments not included in lines 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 | 7,051 |
|
|
52 | Investments in own tier 2 instruments4 | (16) | 16 | 11, 12 |
53 | Reciprocal crossholdings in tier 2 instruments |
|
|
|
53a | Qualifying interest where a controlling influence is exercised together with other owner (tier 2 instruments) |
|
|
|
53b | Investments to be consolidated (tier 2 instruments) |
|
|
|
54 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above the 10% threshold) |
|
|
|
55 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
|
56 | National specific regulatory adjustments |
|
|
|
56a | Excess of the adjustments, which are allocated to the AT1 capital |
|
|
|
57 | Total regulatory adjustments to tier 2 capital | (16) | 16 |
|
44
Composition of capital (continued)
As of 30.6.18 | Numbers phase-in | Effect of the transition phase | References1 | |
CHF million, except where indicated |
|
|
| |
58 | Tier 2 capital (T2) | 7,035 | (696) |
|
| of which: low-trigger loss-absorbing capital | 6,339 |
| 11 |
59 | Total capital (TC = T1 + T2) | 51,991 | (696) |
|
60 | Total risk-weighted assets | 252,373 |
|
|
| Capital ratios and buffers |
|
|
|
61 | Common equity tier 1 (as a percentage of risk-weighted assets) | 13.4 |
|
|
62 | Tier 1 (pos 45 as a percentage of risk-weighted assets) | 17.8 |
|
|
63 | Total capital (pos 59 as a percentage of risk-weighted assets) | 20.6 |
|
|
64 | CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of risk-weighted assets5 | 7.4 |
|
|
65 | of which: capital buffer requirement | 1.9 |
|
|
66 | of which: bank-specific countercyclical buffer requirement | 0.3 |
|
|
67 | of which: G-SIB buffer requirement | 0.8 |
|
|
68 | Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets) | 13.4 |
|
|
68a–f | Not applicable for systemically relevant banks according to FINMA Circular 11/2 |
|
|
|
72 | Non-significant investments in the capital of other financials | 1,629 |
|
|
73 | Significant investments in the common stock of financials | 743 |
|
|
74 | Mortgage servicing rights, net of tax |
|
|
|
75 | Deferred tax assets arising from temporary differences, net of tax | 3,700 |
|
|
| 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 |
|
|
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table. 2 IFRS netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital. 3 Includes CHF 505 million in DCCP-related charge for regulatory capital purposes. 4 Consists of own instruments for loss-absorbing tier 2 capital of CHF 0.1 million and for phase-out tier 2 capital of CHF 16.2 million. 5 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital management“ section of our Annual Report 2017 for more information on the Swiss SRB requirements. | ||||
p
45
UBS Group AG consolidated
Section 7 Leverage ratio
Quarterly | The Basel Committee on Banking Supervision (BCBS) leverage ratio is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD). The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement value and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions. In addition, balance sheet assets deducted from our tier 1 capital are excluded from LRD.
The “Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions” table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures, which are the starting point for calculating the BCBS LRD as shown in the “BCBS Basel III leverage ratio common disclosure” table on the next page. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying values for derivative financial instruments and securities financing transactions are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the “BCBS Basel III leverage ratio common disclosure” table on the next page.
As of 30 June 2018, our BCBS Basel III leverage ratio was 5.0% and the BCBS Basel III LRD was CHF 902 billion. Information on our Swiss systemically relevant bank (SRB) leverage ratio and the movement in our LRD compared with the prior quarter is provided on pages 63–64 of our second quarter 2018 report, available under “Quarterly reporting” at www.ubs.com/investors. 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 rules, we are required to meet going as well as gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt. p
Quarterly |
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions | |||
CHF million | 30.6.18 | 31.3.18 | 31.12.17 |
On-balance sheet exposures |
|
|
|
IFRS total assets | 944,482 | 919,361 | 915,642 |
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | (25,433) | (24,805) | (12,142) |
Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes | 0 | 0 | 0 |
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | 0 | 0 | 0 |
Less carrying value of derivative financial instruments in IFRS total assets1 | (146,553) | (137,616) | (141,673) |
Less carrying value of securities financing transactions in IFRS total assets2 | (103,361) | (106,485) | (114,895) |
Adjustments to accounting values | 0 | 0 | 0 |
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 669,135 | 650,455 | 646,933 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (13,545) | (13,250) | (12,624) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 655,591 | 637,205 | 634,309 |
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, 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. | |||
p
46
Quarterly |
BCBS Basel III leverage ratio common disclosure |
|
|
| |
CHF million, except where indicated | 30.6.18 | 31.3.18 | 31.12.17 | |
|
|
|
|
|
| On-balance sheet exposures |
|
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 669,135 | 650,455 | 646,933 |
2 | (Asset amounts deducted in determining Basel III tier 1 capital)1 | (13,545) | (13,250) | (12,624) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 655,591 | 637,205 | 634,309 |
|
|
|
|
|
| Derivative exposures |
|
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 43,788 | 42,546 | 42,135 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 92,317 | 91,207 | 89,205 |
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 0 | 0 | 0 |
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (13,662) | (13,266) | (12,481) |
8 | (Exempted CCP leg of client-cleared trade exposures) | (22,182) | (22,550) | (22,836) |
9 | Adjusted effective notional amount of all written credit derivatives2 | 79,933 | 87,252 | 94,031 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)3 | (78,132) | (85,134) | (91,951) |
11 | Total derivative exposures | 102,062 | 100,055 | 98,103 |
|
|
|
|
|
| Securities financing transaction exposures |
|
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 176,637 | 177,346 | 191,696 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (73,276) | (70,861) | (76,802) |
14 | CCR exposure for SFT assets | 9,787 | 9,406 | 9,269 |
15 | Agent transaction exposures | 0 | 0 | 0 |
16 | Total securities financing transaction exposures | 113,148 | 115,891 | 124,164 |
|
|
|
|
|
| Other off-balance sheet exposures |
|
|
|
17 | Off-balance sheet exposure at gross notional amount | 93,440 | 88,553 | 93,090 |
18 | (Adjustments for conversion to credit equivalent amounts) | (61,833) | (59,235) | (62,031) |
19 | Total off-balance sheet items | 31,607 | 29,318 | 31,059 |
| Total exposures (leverage ratio denominator), phase-in |
|
| 887,635 |
| (Additional asset amounts deducted in determining Basel III tier 1 capital fully applied) |
|
| (1,519) |
| Total exposures (leverage ratio denominator), fully applied | 902,408 | 882,469 | 886,116 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator), phase-in |
|
|
|
20 | Tier 1 capital |
|
| 43,438 |
21 | Total exposures (leverage ratio denominator) |
|
| 887,635 |
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio phase-in (%) |
|
| 4.9 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator), fully applied |
|
|
|
20 | Tier 1 capital | 44,956 | 44,026 | 41,911 |
21 | Total exposures (leverage ratio denominator) | 902,408 | 882,469 | 886,116 |
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio fully applied (%) | 5.0 | 5.0 | 4.7 |
1 As of 31 December 2017, the phase-in deduction applied for the purpose of the CET1 capital calculation was 80%. These effects are fully phased in from 1 January 2018. Associated prudential filters applied to LRD are also fully phased in from 1 January 2018. 2 Includes protection sold, including agency transactions. 3 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
47
UBS Group AG consolidated
Quarterly |
BCBS Basel III leverage ratio summary comparison |
|
|
| |
CHF million | 30.6.18 | 31.3.18 | 31.12.17 | |
1 | Total consolidated assets as per published financial statements | 944,482 | 919,361 | 915,642 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1 | (38,978) | (38,055) | (24,765) |
3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | 0 | 0 | 0 |
4 | Adjustments for derivative financial instruments | (44,491) | (37,561) | (43,570) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 9,787 | 9,406 | 9,269 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 31,607 | 29,318 | 31,059 |
7 | Other adjustments | 0 | 0 | 0 |
8 | Leverage ratio exposure (leverage ratio denominator)2 | 902,408 | 882,469 | 887,635 |
1 This item includes assets that are deducted from CET1 capital. 2 As of 31 December 2017, the phase-in deduction applied for the purpose of the CET1 capital calculation was 80%. These effects are fully phased in from 1 January 2018. Associated prudential filters applied to LRD are also fully phased in from 1 January 2018. | ||||
p
Quarterly |
BCBS Basel III leverage ratio |
|
|
|
|
CHF million, except where indicated |
|
|
|
|
Phase-in | 30.6.18 | 31.3.18 | 31.12.17 | 30.9.17 |
Total tier 1 capital |
|
| 43,438 | 44,315 |
BCBS total exposures (leverage ratio denominator) |
|
| 887,635 | 886,969 |
BCBS Basel III leverage ratio (%) |
|
| 4.9 | 5.0 |
|
|
|
|
|
Fully applied | 30.6.18 | 31.3.18 | 31.12.17 | 30.9.17 |
Total tier 1 capital | 44,956 | 44,026 | 41,911 | 41,493 |
BCBS total exposures (leverage ratio denominator) | 902,408 | 882,469 | 886,116 | 884,834 |
BCBS Basel III leverage ratio (%) | 5.0 | 5.0 | 4.7 | 4.7 |
p
48
Section 8 Liquidity coverage ratio
Quarterly | High-quality liquid assets (HQLA) must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing on a developed and recognized exchange, an active and sizable market and low volatility. Based on these characteristics, HQLA are categorized as Level 1 (primarily central bank reserves and government bonds) or Level 2 (primarily US and European agency bonds as well as non-financial corporate covered bonds). Level 2 assets are subject to regulatory haircuts and caps. p
Quarterly |
High-quality liquid assets |
|
|
|
|
|
|
|
| ||||
|
| Average 2Q181 |
| Average 1Q181 |
| Average 4Q171 | ||||||
CHF 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 |
| 102 | 0 | 102 |
| 101 | 0 | 101 |
| 103 | 0 | 103 |
Securities (on- and off-balance sheet) |
| 70 | 9 | 79 |
| 74 | 9 | 82 |
| 63 | 17 | 80 |
Total high-quality liquid assets4 |
| 172 | 9 | 181 |
| 174 | 9 | 183 |
| 166 | 17 | 183 |
1 Calculated based on an average of 65 data points in the second quarter of 2018, 64 data points in the first quarter of 2018 and 63 data points in the fourth quarter of 2017. 2 Calculated after the application of haircuts. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements. | ||||||||||||
p
49
UBS Group AG consolidated
Liquidity coverage ratio
Quarterly | In the second quarter of 2018, our liquidity coverage ratio (LCR) increased 8 percentage points to 144%, remaining above the 110% Group LCR minimum communicated by FINMA. The increase in LCR was mainly driven by lower net cash outflows primarily related to secured financing transactions, deposits and loans. These effects were partly offset by a reduction in eligible HQLA mainly due to an increase in assets subject to transfer restrictions in the US branches of UBS AG due to regulatory requirements for US liquidity stress testing. p
® Refer to the “Significant regulated subsidiaries and sub-groups” section in this report starting on page 54 for information on requirements applicable to UBS AG standalone and UBS Switzerland AG standalone
Quarterly |
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
|
|
| Average 2Q181 |
| Average 1Q181 |
| Average 4Q171 | |||
CHF 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 |
| 182 | 181 |
| 184 | 183 |
| 186 | 183 |
|
|
|
|
|
|
|
|
|
|
|
Cash outflows |
|
|
|
|
|
|
|
|
| |
2 | Retail deposits and deposits from small business customers |
| 234 | 26 |
| 231 | 26 |
| 237 | 26 |
3 | of which: stable deposits |
| 35 | 1 |
| 35 | 1 |
| 35 | 1 |
4 | of which: less stable deposits |
| 199 | 25 |
| 196 | 24 |
| 201 | 25 |
5 | Unsecured wholesale funding |
| 183 | 104 |
| 184 | 106 |
| 184 | 104 |
6 | of which: operational deposits (all counterparties) |
| 40 | 10 |
| 37 | 9 |
| 36 | 9 |
7 | of which: non-operational deposits (all counterparties) |
| 130 | 81 |
| 134 | 84 |
| 137 | 84 |
8 | of which: unsecured debt |
| 13 | 13 |
| 13 | 13 |
| 11 | 11 |
9 | Secured wholesale funding |
|
| 80 |
|
| 78 |
|
| 79 |
10 | Additional requirements: |
| 85 | 28 |
| 82 | 26 |
| 84 | 26 |
11 | of which: outflows related to derivatives and other transactions |
| 45 | 19 |
| 42 | 17 |
| 42 | 17 |
12 | of which: outflows related to loss of funding on debt products3 |
| 1 | 1 |
| 1 | 1 |
| 0 | 0 |
13 | of which: committed credit and liquidity facilities |
| 40 | 9 |
| 39 | 8 |
| 42 | 9 |
14 | Other contractual funding obligations |
| 13 | 11 |
| 12 | 12 |
| 14 | 13 |
15 | Other contingent funding obligations |
| 252 | 5 |
| 243 | 5 |
| 248 | 6 |
16 | Total cash outflows |
|
| 255 |
|
| 252 |
|
| 254 |
|
|
|
|
|
|
|
|
|
|
|
Cash inflows |
|
|
|
|
|
|
|
|
| |
17 | Secured lending |
| 311 | 86 |
| 295 | 80 |
| 293 | 83 |
18 | Inflows from fully performing exposures |
| 70 | 32 |
| 67 | 30 |
| 64 | 33 |
19 | Other cash inflows |
| 11 | 11 |
| 7 | 7 |
| 10 | 10 |
20 | Total cash inflows |
| 393 | 129 |
| 369 | 118 |
| 367 | 126 |
|
|
|
|
|
|
|
|
|
|
|
| Average 2Q181 |
|
| Average 1Q181 |
|
| Average 4Q171 | |||
CHF billion, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
|
|
|
Liquidity coverage ratio |
|
|
|
|
|
|
|
|
| |
21 | High-quality liquid assets |
|
| 181 |
|
| 183 |
|
| 183 |
22 | Net cash outflows |
|
| 126 |
|
| 135 |
|
| 128 |
23 | Liquidity coverage ratio (%) |
|
| 144 |
|
| 136 |
|
| 143 |
1 Calculated based on an average of 65 data points in the second quarter of 2018, 64 data points in the first quarter of 2018 and 63 data points in the fourth quarter of 2017. 2 Calculated after the application of 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
50
Section 9 Requirements for global systemically important banks and related indicators
Annual | The Financial Stability Board (FSB) determined that UBS is a global systemically important bank (G-SIB) using an indicator-based methodology adopted by the Basel Committee on Banking Supervision (BCBS). Banks that qualify as G-SIBs are required to disclose the 12 indicators for assessing the systemic importance of G-SIBs as defined by the BCBS. These indicators are used for the G-SIB score calculation and cover the following five categories: size, cross-jurisdictional activity, interconnectedness, substitutability / financial institution infrastructure and complexity.
Based on the published indicators, G-SIBs are subject to additional common equity tier 1 capital buffer requirements in the range of 1.0% to 3.5%. These requirements are being phased in from 1 January 2016 to 31 December 2018 and become fully effective on 1 January 2019. In November 2017, the FSB determined that, based on the year-end 2016 indicators, the requirement for UBS is 1.0%. As our Swiss systemically relevant bank Basel III capital requirements exceed the BCBS requirements, including the G-SIB buffer, UBS is not subject to any additional requirements as a result of the above.
Our G-SIB indicators as of 31 December 2017 were published in July 2018 under “Pillar 3 disclosures” at www.ubs.com/investors. p
51
|
Significant regulated subsidiaries and sub-groups
Section 1 Introduction
The sections below include capital and other regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Limited standalone and UBS Americas Holding LLC consolidated. UBS AG consolidated capital and other regulatory information is provided in the UBS AG second quarter 2018 report, which is available under “Quarterly reporting” at www.ubs.com/investors.
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.
Swiss SRB going concern requirements and information
Quarterly | Under Swiss systemically relevant bank (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.
More information is provided in “Section 2 UBS AG standalone” of the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors. p
Quarterly |
Swiss SRB going concern requirements and information | ||||||||||
As of 30.6.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB after transition | ||||||
CHF million, except where indicated |
| RWA | LRD |
| RWA | LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
Required going concern capital |
| in %1 |
| in %1 |
|
| in % |
| in % |
|
Common equity tier 1 capital |
| 10.08 | 28,623 | 3.50 | 21,512 |
| 10.08 | 37,618 | 3.50 | 21,512 |
of which: minimum capital |
| 4.50 | 12,778 | 1.50 | 9,220 |
| 4.50 | 16,793 | 1.50 | 9,220 |
of which: buffer capital |
| 5.50 | 15,617 | 2.00 | 12,293 |
| 5.50 | 20,525 | 2.00 | 12,293 |
of which: countercyclical buffer2 |
| 0.08 | 228 |
|
|
| 0.08 | 300 |
|
|
Maximum additional tier 1 capital |
| 4.30 | 12,210 | 1.50 | 9,220 |
| 4.30 | 16,047 | 1.50 | 9,220 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 3.50 | 9,938 | 1.50 | 9,220 |
| 3.50 | 13,062 | 1.50 | 9,220 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 2,272 |
|
|
| 0.80 | 2,985 |
|
|
Total going concern capital |
| 14.383 | 40,832 | 5.003 | 30,732 |
| 14.383 | 53,665 | 5.003 | 30,732 |
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 17.31 | 49,148 | 8.00 | 49,148 |
| 13.17 | 49,148 | 8.00 | 49,148 |
High-trigger loss-absorbing additional tier 1 capital4 |
| 4.75 | 13,477 | 2.19 | 13,477 |
| 1.91 | 7,138 | 1.16 | 7,138 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 2.51 | 7,138 | 1.16 | 7,138 |
| 1.91 | 7,138 | 1.16 | 7,138 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2.23 | 6,339 | 1.03 | 6,339 |
|
|
|
|
|
Total going concern capital |
| 22.06 | 62,625 | 10.19 | 62,625 |
| 15.08 | 56,286 | 9.16 | 56,286 |
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 283,948 |
|
|
|
| 373,186 |
|
|
Leverage ratio denominator |
|
|
|
| 614,642 |
|
|
|
| 614,642 |
1 By FINMA decree, requirements exceed those based on the transitional arrangements of the Swiss Capital Adequacy Ordinance, i.e., a total going concern capital ratio requirement of 12.86% plus the effect of countercyclical buffer (CCB) requirements of 0.08%, of which 9.46% plus the effect of CCB requirements of 0.08% must be satisfied with CET1 capital, and a total going concern leverage ratio requirement of 4%, of which 2.9% must be satisfied with CET1 capital. 2 Going concern capital ratio requirements as of 30 June 2018 include CCB requirements of 0.08%. 3 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD. 4 Includes outstanding low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity. | ||||||||||
p
54
Quarterly |
Swiss SRB going concern information | ||||||||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB after transition | ||||||
CHF million, except where indicated |
| 30.6.18 |
| 31.3.18 | 31.12.171 |
| 30.6.18 |
| 31.3.18 | 31.12.17 |
|
|
|
|
|
|
|
|
|
|
|
Going concern capital |
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 49,148 |
| 47,508 | 48,374 |
| 49,148 |
| 47,508 | 48,178 |
High-trigger loss-absorbing additional tier 1 capital |
| 7,138 |
| 6,911 | 3,666 |
| 7,138 |
| 6,911 | 3,666 |
Total loss-absorbing additional tier 1 capital |
| 7,138 |
| 6,911 | 3,666 |
| 7,138 |
| 6,911 | 3,666 |
Total tier 1 capital |
| 56,286 |
| 54,419 | 52,040 |
| 56,286 |
| 54,419 | 51,845 |
Low-trigger loss-absorbing tier 2 capital2 |
| 6,339 |
| 7,698 | 7,874 |
|
|
|
|
|
Total tier 2 capital |
| 6,339 |
| 7,698 | 7,874 |
|
|
|
|
|
Total going concern capital |
| 62,625 |
| 62,118 | 59,914 |
| 56,286 |
| 54,419 | 51,845 |
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
| 283,948 |
| 288,194 | 277,529 |
| 373,186 |
| 376,042 | 365,362 |
of which: direct and indirect investments in Swiss-domiciled subsidiaries3 |
| 28,646 |
| 28,761 | 28,595 |
| 35,808 |
| 35,951 | 35,744 |
of which: direct and indirect investments in foreign-domiciled subsidiaries3 |
| 82,076 |
| 80,658 | 80,684 |
| 164,153 |
| 161,316 | 161,368 |
Leverage ratio denominator |
| 614,642 |
| 591,413 | 599,727 |
| 614,642 |
| 591,413 | 599,532 |
|
|
|
|
|
|
|
|
|
|
|
Capital ratios (%) |
|
|
|
|
|
|
|
|
|
|
Total going concern capital ratio |
| 22.1 |
| 21.6 | 21.6 |
| 15.1 |
| 14.5 | 14.2 |
of which: CET1 capital ratio |
| 17.3 |
| 16.5 | 17.4 |
| 13.2 |
| 12.6 | 13.2 |
|
|
|
|
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
|
|
|
|
Total going concern leverage ratio |
| 10.2 |
| 10.5 | 10.0 |
| 9.2 |
| 9.2 | 8.6 |
of which: CET1 leverage ratio |
| 8.0 |
| 8.0 | 8.1 |
| 8.0 |
| 8.0 | 8.0 |
1 As of 31 December 2017, phase-in deduction applied for the purpose of the CET1 capital calculation was 80%. These effects are fully phased in from 1 January 2018. Prudential filters applied to RWA and LRD are also fully phased in from 1 January 2018. The remaining difference on RWA relates to the treatment of direct and indirect investments. 2 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. 3 Carrying value for direct and indirect investments including holding of regulatory capital instruments in Swiss-domiciled subsidiaries (30 June 2018: CHF 14,323 million; 31 March 2018: CHF 14,380 million; 31 December 2017: CHF 14,298 million), and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (30 June 2018: CHF 41,038 million; 31 March 2018: CHF 40,329 million; 31 December 2017: CHF 40,342 million), is currently risk weighted at 200%. Risk weights are gradually increased by 5% per year for Swiss-domiciled investments and 20% per year for foreign-domiciled investments starting 1 January 2019 until the fully applied risk weights of 250% and 400%, respectively, are applied. | ||||||||||
p
55
Significant regulated subsidiaries and sub-groups
Leverage ratio information
Quarterly |
Swiss SRB leverage ratio denominator | |||||||
|
| LRD (fully applied) |
| LRD (phase-in) | |||
CHF billion |
| 30.6.18 |
| 31.3.18 | 31.12.17 |
| 31.12.17 |
|
|
|
|
|
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
|
Swiss GAAP total assets |
| 488.5 |
| 464.3 | 477.0 |
| 477.0 |
Difference between Swiss GAAP and IFRS total assets |
| 115.0 |
| 107.6 | 112.6 |
| 112.6 |
Less: derivative exposures and SFTs1 |
| (215.7) |
| (205.3) | (216.0) |
| (216.0) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 387.9 |
| 366.6 | 373.6 |
| 373.6 |
Derivative exposures |
| 97.2 |
| 96.6 | 94.6 |
| 94.6 |
Securities financing transactions |
| 99.0 |
| 98.8 | 101.8 |
| 101.8 |
Off-balance sheet items |
| 32.3 |
| 31.3 | 31.6 |
| 31.6 |
Items deducted from Swiss SRB tier 1 capital |
| (1.7) |
| (1.8) | (1.9) |
| (1.7) |
Total exposures (leverage ratio denominator) |
| 614.6 |
| 591.4 | 599.5 |
| 599.7 |
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 ratio1 | |||||
CHF million, except where indicated |
| 30.6.18 | 31.3.18 | 31.12.17 | 30.9.17 |
Total tier 1 capital |
| 58,643 | 56,759 | 53,223 | 54,363 |
Total exposures (leverage ratio denominator) |
| 614,642 | 591,413 | 599,727 | 597,002 |
BCBS Basel III leverage ratio (%) |
| 9.5 | 9.6 | 8.9 | 9.1 |
1 Until 31 December 2017, the phase-in deduction applied for the purpose of the CET1 capital calculation was 80%. These effects are fully phased in from 1 January 2018. Associated prudential filters applied to LRD are also fully phased in from 1 January 2018. | |||||
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 | ||
CHF billion, except where indicated |
| Average 2Q182 | Average 1Q182 | Average 4Q172 |
High-quality liquid assets |
| 82 | 85 | 87 |
Total net cash outflows |
| 60 | 67 | 66 |
of which: cash outflows |
| 183 | 180 | 188 |
of which: cash inflows |
| 123 | 113 | 123 |
Liquidity coverage ratio (%) |
| 137 | 127 | 132 |
1 Calculated after the application of haircuts and inflow and outflow rates. 2 Calculated based on an average of 65 data points in the second quarter of 2018, 64 data points in the first quarter of 2018 and 63 data points in the fourth quarter of 2017. | ||||
p
56
Swiss SRB going and gone concern requirements and information
Quarterly | UBS Switzerland AG is considered a systemically relevant bank (SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 30 June 2018, the transitional going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.40% and 4.0%, respectively. The gone concern requirements under transitional arrangements were 7.65% for the risk-weighted assets (RWA)-based requirement and 2.58% for the leverage ratio denominator (LRD)-based requirement. p
Quarterly |
Swiss SRB going and gone concern requirements and information1 | ||||||||||
As of 30.6.18 |
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||||
CHF million, except where indicated |
| RWA | LRD |
| RWA | LRD | ||||
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing capacity |
| in %2 |
| in % |
|
| in % |
| in % |
|
Common equity tier 1 capital |
| 10.00 | 9,488 | 2.90 | 8,817 |
| 10.54 | 10,001 | 3.50 | 10,642 |
of which: minimum capital |
| 5.40 | 5,124 | 1.90 | 5,777 |
| 4.50 | 4,270 | 1.50 | 4,561 |
of which: buffer capital |
| 4.06 | 3,852 | 1.00 | 3,040 |
| 5.50 | 5,219 | 2.00 | 6,081 |
of which: countercyclical buffer3 |
| 0.54 | 512 |
|
|
| 0.54 | 512 |
|
|
Maximum additional tier 1 capital |
| 3.40 | 3,226 | 1.10 | 3,345 |
| 4.30 | 4,080 | 1.50 | 4,561 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
| 2.60 | 2,467 | 1.10 | 3,345 |
| 3.50 | 3,321 | 1.50 | 4,561 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
| 0.80 | 759 |
|
|
| 0.80 | 759 |
|
|
Total going concern capital |
| 13.40 | 12,715 | 4.00 | 12,162 |
| 14.844 | 14,081 | 5.004 | 15,202 |
Base gone concern loss-absorbing capacity, including applicable add-ons and rebate |
| 7.655 | 7,263 | 2.585 | 7,844 |
| 12.306 | 11,669 | 4.306 | 13,074 |
Total gone concern loss-absorbing capacity |
| 7.65 | 7,263 | 2.58 | 7,844 |
| 12.30 | 11,669 | 4.30 | 13,074 |
Total loss-absorbing capacity |
| 21.05 | 19,977 | 6.58 | 20,006 |
| 27.14 | 25,750 | 9.30 | 28,276 |
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 10.61 | 10,072 | 3.31 | 10,072 |
| 10.61 | 10,072 | 3.31 | 10,072 |
High-trigger loss-absorbing additional tier 1 capital |
| 3.16 | 3,000 | 0.99 | 3,000 |
| 3.16 | 3,000 | 0.99 | 3,000 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.16 | 3,000 | 0.99 | 3,000 |
| 3.16 | 3,000 | 0.99 | 3,000 |
Total going concern capital |
| 13.78 | 13,072 | 4.30 | 13,072 |
| 13.78 | 13,072 | 4.30 | 13,072 |
Gone concern loss-absorbing capacity |
| 8.85 | 8,400 | 2.76 | 8,400 |
| 8.85 | 8,400 | 2.76 | 8,400 |
of which: TLAC-eligible debt |
| 8.85 | 8,400 | 2.76 | 8,400 |
| 8.85 | 8,400 | 2.76 | 8,400 |
Total gone concern loss-absorbing capacity |
| 8.85 | 8,400 | 2.76 | 8,400 |
| 8.85 | 8,400 | 2.76 | 8,400 |
Total loss-absorbing capacity |
| 22.63 | 21,472 | 7.06 | 21,472 |
| 22.63 | 21,472 | 7.06 | 21,472 |
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 94,887 |
|
|
|
| 94,887 |
|
|
Leverage ratio denominator |
|
|
|
| 304,046 |
|
|
|
| 304,046 |
1 This table includes a rebate equal to 35% of the maximum rebate on the gone concern requirements, which was granted by FINMA and will be phased in until 1 January 2020. Refer to the “Capital management” section of our Annual Report 2017 for more information. 2 The total loss-absorbing capacity ratio requirement of 21.05% is the current requirement based on the transitional rules of the Swiss Capital Adequacy Ordinance including the aforementioned rebate on the gone concern requirements. In addition, FINMA has defined a total capital ratio requirement, which is the sum of 14.4% and the effect of countercyclical buffer (CCB) requirements of 0.54%, of which 10% plus the effect of CCB requirements must be satisfied with CET1 capital. These FINMA requirements will be effective until they are exceeded by the Swiss SRB requirements based on the transitional rules. 3 Going concern capital ratio requirements include CCB requirements of 0.54%. 4 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD. 5 Includes applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.25% for RWA and 0.42% for LRD. 6 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2% for RWA and 0.7% for LRD. | ||||||||||
p
57
Significant regulated subsidiaries and sub-groups
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information |
|
|
|
| ||||
|
| Swiss SRB, including transitional arrangements |
| Swiss SRB as of 1.1.20 | ||||
CHF million, except where indicated |
| 30.6.18 | 31.3.18 | 31.12.17 |
| 30.6.18 | 31.3.18 | 31.12.17 |
|
|
|
|
|
|
|
|
|
Going concern capital |
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
| 10,072 | 10,118 | 10,160 |
| 10,072 | 10,118 | 10,160 |
High-trigger loss-absorbing additional tier 1 capital |
| 3,000 | 3,000 | 3,000 |
| 3,000 | 3,000 | 3,000 |
Total tier 1 capital |
| 13,072 | 13,118 | 13,160 |
| 13,072 | 13,118 | 13,160 |
Total going concern capital |
| 13,072 | 13,118 | 13,160 |
| 13,072 | 13,118 | 13,160 |
|
|
|
|
|
|
|
|
|
Gone concern loss-absorbing capacity |
|
|
|
|
|
|
|
|
TLAC-eligible debt |
| 8,400 | 8,400 | 8,400 |
| 8,400 | 8,400 | 8,400 |
Total gone concern loss-absorbing capacity |
| 8,400 | 8,400 | 8,400 |
| 8,400 | 8,400 | 8,400 |
|
|
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
|
|
Total loss-absorbing capacity |
| 21,472 | 21,518 | 21,560 |
| 21,472 | 21,518 | 21,560 |
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
Risk-weighted assets |
| 94,887 | 94,311 | 92,894 |
| 94,887 | 94,311 | 92,894 |
Leverage ratio denominator |
| 304,046 | 301,968 | 302,987 |
| 304,046 | 301,968 | 302,987 |
|
|
|
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
|
|
|
Going concern capital ratio |
| 13.8 | 13.9 | 14.2 |
| 13.8 | 13.9 | 14.2 |
of which: common equity tier 1 capital ratio |
| 10.6 | 10.7 | 10.9 |
| 10.6 | 10.7 | 10.9 |
Gone concern loss-absorbing capacity ratio |
| 8.9 | 8.9 | 9.0 |
| 8.9 | 8.9 | 9.0 |
Total loss-absorbing capacity ratio |
| 22.6 | 22.8 | 23.2 |
| 22.6 | 22.8 | 23.2 |
|
|
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
|
|
Going concern leverage ratio |
| 4.3 | 4.3 | 4.3 |
| 4.3 | 4.3 | 4.3 |
of which: common equity tier 1 leverage ratio |
| 3.3 | 3.4 | 3.4 |
| 3.3 | 3.4 | 3.4 |
Gone concern leverage ratio |
| 2.8 | 2.8 | 2.8 |
| 2.8 | 2.8 | 2.8 |
Total loss-absorbing capacity leverage ratio |
| 7.1 | 7.1 | 7.1 |
| 7.1 | 7.1 | 7.1 |
| ||||||||
p
58
Leverage ratio information
Quarterly |
Swiss SRB leverage ratio denominator |
|
|
|
|
|
|
|
| LRD (fully applied) |
| LRD (phase-in) | ||
CHF billion |
| 30.6.18 | 31.3.18 | 31.12.17 |
| 31.12.17 |
|
|
|
|
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
Swiss GAAP total assets |
| 290.3 | 289.4 | 290.3 |
| 290.3 |
Difference between Swiss GAAP and IFRS total assets |
| 1.7 | 1.5 | 1.3 |
| 1.3 |
Less: derivative exposures and SFTs1 |
| (35.2) | (30.5) | (39.6) |
| (39.6) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 256.9 | 260.4 | 252.0 |
| 252.0 |
Derivative exposures |
| 4.6 | 4.5 | 4.0 |
| 4.0 |
Securities financing transactions |
| 30.4 | 25.8 | 35.3 |
| 35.3 |
Off-balance sheet items |
| 12.7 | 11.8 | 12.2 |
| 12.2 |
Items deducted from Swiss SRB tier 1 capital |
| (0.5) | (0.4) | (0.5) |
| (0.5) |
Total exposures (leverage ratio denominator) |
| 304.0 | 302.0 | 303.0 |
| 303.0 |
1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table. | ||||||
p
Quarterly |
BCBS Basel III leverage ratio1 | |||||
CHF million, except where indicated |
| 30.6.18 | 31.3.18 | 31.12.17 | 30.9.17 |
Total tier 1 capital |
| 13,072 | 13,118 | 13,160 | 12,272 |
Total exposures (leverage ratio denominator) |
| 304,046 | 301,968 | 302,987 | 305,229 |
BCBS Basel III leverage ratio (%) |
| 4.3 | 4.3 | 4.3 | 4.0 |
1 Until 31 December 2017, the phase-in deduction applied for the purpose of the CET1 capital calculation was 80%. These effects are fully phased in from 1 January 2018. Associated prudential filters applied to LRD are also fully phased in from 1 January 2018. | |||||
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 2Q182 | Average 1Q182 | Average 4Q172 |
High-quality liquid assets |
| 69 | 69 | 69 |
Total net cash outflows |
| 54 | 55 | 48 |
of which: cash outflows |
| 88 | 87 | 89 |
of which: cash inflows |
| 34 | 33 | 41 |
Liquidity coverage ratio (%) |
| 128 | 126 | 144 |
1 Calculated after the application of haircuts and inflow and outflow rates. 2 Calculated based on an average of 65 data points in the second quarter of 2018, 64 data points in the first quarter of 2018 and 63 data points in the fourth quarter of 2017. | ||||
p
59
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 (country of incorporation; if applicable, branch) |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland |
1a | Instrument number |
| 1 |
| 2 |
| 3 |
| 4 |
2 | Unique identifier (e.g., ISIN) |
| N/A |
| N/A |
| N/A |
| N/A |
3 | Governing law(s) of the instrument |
| Swiss |
| Swiss |
| Swiss |
| Swiss |
| Regulatory treatment |
|
|
|
|
|
|
|
|
4 | Transitional Basel III rules1 |
| CET1 – Going concern capital |
| Additional tier 1 – Going concern capital | ||||
5 | Post-transitional Basel III rules2 |
| CET1 – Going concern capital |
| Additional tier 1 – Going concern capital | ||||
6 | Eligible at solo / group / group and solo |
| UBS Switzerland AG standalone |
| UBS Switzerland AG standalone | ||||
7 | Instrument type |
| Ordinary shares |
| Loan4 | ||||
8 | Amount recognized in regulatory capital (currency in million, as of most recent reporting date)1 |
| CHF 10.0 |
| CHF 1,500 |
| CHF 500 |
| CHF 1,000 |
9 | Outstanding amount (par value, million) |
| CHF 10.0 |
| CHF 1,500 |
| CHF 500 |
| CHF 1,000 |
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 | Perpetual or dated |
| – |
| Perpetual | ||||
13 | Original maturity date |
| – |
| – | ||||
14 | Issuer call subject to prior supervisory approval |
| – |
| Yes | ||||
15 | Optional call date, subsequent call dates, if applicable, and redemption amount |
| – |
| First optional repayment date: 1 April 2020 |
| First optional repayment date: 11 March 2021 |
| First optional repayment date: 18 December 2022 |
| 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 | Contingent call dates and redemption amount |
| – |
| 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 | ||||
60
Capital instruments of UBS Switzerland AG – key features (continued) | |||||||||
| Coupons / dividend |
|
|
|
|
|
|
|
|
17 | Fixed or floating dividend / coupon |
| – |
| Floating | ||||
18 | Coupon rate and any related index; frequency of payment |
| – |
| 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 |
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, full or partial |
| – |
| Full | ||||
33 | If write-down, permanent or temporary |
| – |
| Permanent | ||||
34 | If temporary write-down, description of write-up mechanism |
| – |
| – | ||||
35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
| Unless otherwise stated in the Articles of Association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (article 745, Swiss Code of Obligations) |
| Subject to any obligations that are mandatorily preferred by law, all obligations of UBS Switzerland AG that are unsubordinated or that are subordinated and do not rank junior, such as all classes of share capital, or at par, such as tier 1 instruments | ||||
36 | Existence of features that prevent full recognition under Basel III |
| – |
| – | ||||
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
61
Significant regulated subsidiaries and sub-groups
Quarterly | The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Limited standalone based on the Pillar 1 capital requirements. Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities. p
Quarterly |
Prudential key figures1 |
|
|
|
| |
GBP million, except where indicated |
| 30.6.18 | 31.3.18 | 31.12.172 | |
1 | Minimum capital requirement (8% of RWA) |
| 927 | 862 | 838 |
2 | Eligible capital |
| 3,447 | 3,427 | 3,449 |
3 | of which: common equity tier 1 (CET1) capital |
| 2,524 | 2,521 | 2,529 |
4 | of which: tier 1 capital |
| 2,759 | 2,756 | 2,764 |
5 | Risk-weighted assets |
| 11,593 | 10,778 | 10,473 |
6 | CET1 capital ratio in % of RWA |
| 21.8 | 23.4 | 24.2 |
7 | Tier 1 capital ratio in % of RWA |
| 23.8 | 25.6 | 26.4 |
8 | Total capital ratio in % of RWA |
| 29.7 | 31.8 | 32.9 |
9 | Countercyclical buffer (CCB) in % of RWA |
| 0.2 | 0.1 | 0.1 |
10 | CET1 capital requirement (including CCB) (%) |
| 6.5 | 6.5 | 5.8 |
11 | Tier 1 capital requirement (including CCB) (%) |
| 8.0 | 8.0 | 7.3 |
12 | Total capital requirement (including CCB) (%) |
| 10.0 | 10.0 | 9.3 |
13 | Basel III leverage ratio (%)3 |
| 7.6 | 7.7 | 7.6 |
14 | Leverage ratio denominator |
| 36,217 | 35,995 | 36,409 |
15 | Liquidity coverage ratio (%)4 |
| 473 | 473 | 454 |
16 | Numerator: High-quality liquid assets |
| 5,712 | 5,744 | 5,758 |
17 | Denominator: Net cash outflows |
| 1,237 | 1,269 | 1,317 |
1 Based on Directive 2013/36/EU and Regulation 575/2013 (together known as “CRD IV”) and their related technical standards, as implemented in the UK by the Prudential Regulation Authority. 2 Figures as of or for the quarter ended 31 December 2017 have been adjusted for consistency with the full year audited financial statements and / or local regulatory reporting, which were finalized after the publication of the UBS Group Annual Report 2017 and the 31 December 2017 Pillar 3 report on 9 March 2018. 3 On the basis of tier 1 capital. 4 The values represent an average of the month-end balances for the twelve months ending 30 June 2018, 31 March 2018 and 31 December 2017 in line with the European Banking Authority guidelines on the liquidity coverage ratio disclosure (EBA/GL/2017/01). Including PRA Pillar 2 requirements, the equivalent average ratios were 192%, 192% and 187% for 30 June 2018, 31 March 2018 and 31 December 2017, respectively. | |||||
p
62
Quarterly | The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Americas Holding LLC consolidated based on Pillar 1 capital requirements. Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities. p
2018 CCAR results
In June 2018, the Federal Reserve Board released the results of its Comprehensive Capital Analysis and Review (CCAR) and did not object to UBS Americas Holding LLC’s capital plan.
Quarterly |
Prudential key figures1,2 |
|
|
|
| |
USD million, except where indicated |
| 30.6.18 | 31.3.18 | 31.12.173 | |
1 | Minimum capital requirement (8% of RWA) |
| 4,091 | 4,039 | 3,967 |
2 | Eligible capital |
| 13,555 | 13,048 | 12,769 |
3 | of which: common equity tier 1 (CET1) capital |
| 10,693 | 10,188 | 10,851 |
4 | of which: tier 1 capital |
| 12,834 | 12,329 | 12,047 |
5 | Risk-weighted assets |
| 51,136 | 50,485 | 49,587 |
6 | CET1 capital ratio in % of RWA |
| 20.9 | 20.2 | 21.9 |
7 | Tier 1 capital ratio in % of RWA |
| 25.1 | 24.4 | 24.3 |
8 | Total capital ratio in % of RWA |
| 26.5 | 25.8 | 25.8 |
9 | Countercyclical buffer (CCB) in % of RWA4 |
|
|
|
|
10 | CET1 capital requirement (including CCB) (%) |
| 6.4 | 6.4 | 5.8 |
11 | Tier 1 capital requirement (including CCB) (%) |
| 7.9 | 7.9 | 7.3 |
12 | Total capital requirement (including CCB) (%) |
| 9.9 | 9.9 | 9.3 |
13 | Basel III leverage ratio (%)5 |
| 9.9 | 9.3 | 8.9 |
14 | Leverage ratio denominator |
| 129,375 | 132,764 | 135,718 |
1 For UBS Americas Holding LLC based on applicable US Basel III rules. 2 There is no local disclosure requirement for liquidity coverage ratio for UBS Americas Holding LLC as of 30 June 2018. 3 Figures as of or for the quarter ended 31 December 2017 have been adjusted for consistency with the full year audited financial statements and / or local regulatory reporting, which were finalized after the publication of the UBS Group Annual Report 2017 and the 31 December 2017 Pillar 3 report on 9 March 2018. 4 Not applicable as the countercyclical buffer requirement applies only to banking organizations subject to the advanced approaches capital rules. 5 On the basis of tier 1 capital. | |||||
p
|
63
|
A
ABS asset-backed security
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 Management Committee
AMA advanced measurement approach
AoA Articles of Association of UBS Group AG
ASFA advanced supervisory formula approach
AT1 additional tier 1
B
BCBS Basel Committee on
Banking Supervision
BD business division
BEAT base erosion and anti-abuse tax
BIS Bank for International Settlements
BoD Board of Directors
BVG Swiss occupational
pension plan
C
CC Corporate Center
CCAR Comprehensive Capital Analysis and Review
CCB countercyclical buffer
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CDO collateralized debt
obligation
CDR constant default rate
CDS credit default swap
CEA Commodity Exchange Act
CECL current expected credit loss
CEM current exposure method
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CFTC US Commodity Futures Trading Commission
CHF Swiss franc
CLN credit-linked note
CLO collateralized loan obligation
CMBS commercial mortgage-backed security
COP close-out period
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
DOJ US Department of Justice
DOL US Department of Labor
D-SIB domestic systemically important bank
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EBA European Banking Authority
EC European Commission
ECAI external credit assessment institution
ECB European Central Bank
ECL expected credit losses
EEPE effective expected positive exposure
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and Africa
EOP Equity Ownership Plan
EPE expected positive exposure
EPS earnings per share
ERISA Employee Retirement Income Security Act of 1974
ETD exchange-traded derivative
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
F
FCA UK Financial Conduct
Authority
FCT foreign currency translation
FDIC US Federal Deposit Insurance Corporation
FINMA Swiss Financial Market Supervisory Authority
FINRA US Financial Industry Regulatory Authority
FMIA Swiss Federal Act on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading
FMIO FINMA Ordinance on Financial Market Infrastructure
FRA forward rate agreement
FSA UK Financial Services Authority
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FTD first to default
FTP funds transfer price
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP British pound
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GIIPS Greece, Italy, Ireland,
Portugal and Spain
GMD Group Managing Director
GRI Global Reporting Initiative
Group ALM Group Asset and Liability Management
G-SIB global systemically important bank
|
|
|
Abbreviations frequently used in our financial reports (continued)
H
HQLA high-quality liquid assets
I
IAA internal assessment approach
IAS International Accounting Standards
IASB International Accounting Standards Board
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IMA internal models approach
IMM internal model method
IRB internal ratings-based
IRC incremental risk charge
ISDA International Swaps and Derivatives Association
K
KPI key performance indicator
KRT Key Risk Taker
L
LAC loss-absorbing capacity
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC Limited liability company
LRD leverage ratio denominator
LTV loan-to-value
M
MiFID II Markets in Financial Instruments Directive II
MiFIR Markets in Financial Instruments associated Regulation
MRT Material Risk Taker
MTN medium-term note
N
NAV net asset value
NII net interest income
NPA non-prosecution agreement
NRV negative replacement value
NSFR net stable funding ratio
O
OCA own credit adjustment
OCI other comprehensive income
OIS overnight index swap
OTC over-the-counter
P
PD probability of default
PFE potential future exposure
PIT point in time
P&L profit or loss
PRA UK Prudential Regulation Authority
PRV positive replacement value
Q
QRRE qualifying revolving retail exposures
R
RBA ratings-based approach
RBC risk-based capital
RLN reference-linked note
RMBS residential mortgage-backed security
RniV risks-not-in-VaR
RoAE return on attributed equity
RoE return on equity
RoTE return on tangible equity
RV replacement value
RW risk weight
RWA risk-weighted assets
S
SA standardized approach
SA-CCR standardized approach for counterparty credit risk
SAR stock appreciation right
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SESTA Swiss Federal Act on Stock Exchanges and Securities Trading
SESTO FINMA Ordinance on Stock Exchanges and Securities Trading
SFA supervisory formula approach
SFT securities financing transaction
SI sustainable investing
SICR significant increase in credit risk
SME small and medium-sized enterprises
SMF Senior Management Function
SNB Swiss National Bank
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SSFA simplified supervisory formula approach
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and Jobs Act
TLAC total loss-absorbing capacity
TRS total return swap
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.
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</BCLPAGE>65
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Cautionary Statement | This report and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s second quarter 2018 report and its Annual Report 2017, available at www.ubs.com/investors, for additional information.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Starting in 2018, percentages, absolute and percent changes, and adjusted results are calculated on the basis of unrounded figures, with the exception of movement information provided in text that can be derived from figures displayed in the tables, which is calculated on a rounded basis. For prior periods, these values are calculated on the basis of rounded figures displayed in the tables and text.
Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.
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</BCLPAGE>67
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi _____________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi _____________
Name: Ella Campi
Title: Executive Director
Date: August 7, 2018