UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: April 26, 2022
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the 31 March 2022 Pillar 3 Report for UBS Group AG and significant regulated subsidiaries and sub-groups, which appears immediately following this page.
Terms used in this report, unless the context requires otherwise
“UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us” and “our” | UBS Group AG and its consolidated subsidiaries |
“UBS AG consolidated” | UBS AG and its consolidated subsidiaries |
“UBS Group AG” and “UBS Group AG standalone” | UBS Group AG on a standalone basis |
“UBS AG” and “UBS AG standalone” | UBS AG on a standalone basis |
“UBS Switzerland AG” and “UBS Switzerland AG standalone” | UBS Switzerland AG on a standalone basis |
“UBS Europe SE consolidated” | UBS Europe SE and its consolidated subsidiaries |
“UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated” | UBS Americas Holding LLC and its consolidated subsidiaries |
Table of contents | |||
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UBS Group | |||
2 | Section 1 | ||
4 | Section 2 | ||
7 | Section 3 | ||
10 | Section 4 | ||
11 | Section 5 | ||
13 | Section 6 | ||
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Significant regulated subsidiaries and sub-groups | |||
16 | Section 1 | ||
17 | Section 2 | ||
21 | Section 3 | ||
27 | Section 4 | ||
28 | Section 5 | ||
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Appendix | |||
29 | |||
31 | |||
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Zurich +41-44-235 6652
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For global registered share-related
inquiries in the US.
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Shareholder online inquiries:
www-us.computershare.com/
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Shareholder website:
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Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2022. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring the 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 the UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”
This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”), as revised on 8 December 2021, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.
As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 31 March 2022 for UBS Group AG consolidated is provided in the “Capital management” section of our first quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, and for UBS AG consolidated in the “Capital management” section of the UBS AG first quarter 2022 report, which will be available as of 29 April 2022 under “Quarterly reporting” at ubs.com/investors.
Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors.
Significant regulatory developments, disclosure requirements and other changes effective in this quarter
FINMA’s annual assessment of recovery and resolution plans
In March 2022, FINMA presented its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. In its report, FINMA acknowledged the further progress that UBS has made with regard to its global resolvability by significantly reducing remaining obstacles to the implementation of its resolution strategy and making further improvements to its recovery plans. FINMA considered UBS’s global recovery plan and Swiss emergency plan to be effective, while identifying areas for further improvement that UBS will address in the course of 2022 and beyond.
Significant regulatory developments, disclosure requirements and other changes to be adopted after this quarter
Revision of the Swiss Liquidity Ordinance and introduction of a Swiss public liquidity backstop
The Swiss Federal Department of Finance (the FDF) launched a consultation on proposed revisions to the Swiss Liquidity Ordinance in September 2021, with the aim of strengthening the resilience of systemically important banks in Switzerland. As proposed, the revisions would increase the regulatory minimum liquidity requirements for systemically important banks, including UBS. The final rule is expected to become effective as of 1 July 2022 with a transition period, based on a review of the published consultation responses.
In conjunction with the revision of the Swiss Liquidity Ordinance, the Swiss Federal Council announced the key parameters for a public liquidity backstop in March 2022. The liquidity backstop would enable the Swiss government and the Swiss National Bank to support the liquidity of a systemically important bank domiciled in Switzerland in the process of resolution. The introduction of the backstop is intended to increase the confidence of market participants in the ability of systemically important banks to become successfully recapitalized and remain solvent in a crisis situation. The FDF is expected to issue a consultation by mid-2023.
Revisions to the Swiss Banking Ordinance
In April 2022, the FDF launched a consultation on proposed revisions to the Swiss Banking Ordinance that follows the amendment to the Banking Act adopted by the Swiss Parliament in December 2021, enacting insolvency provisions for banks into statutory law and strengthening the deposit insurance framework. It also sets out amendments that aim to replace the current resolvability discount on the gone concern capital requirements for systemically important banks with a capital surcharge for obstacles to the firm’s resolvability at the discretion of the authorities. The consultation period is scheduled to end on 15 July 2022. UBS is assessing the implications of the proposed revisions.
2
Other developments effective in this quarter
On 6 April 2022, the shareholders approved a dividend of USD 0.50 per share at the Annual General Meeting. The dividend was paid on 14 April 2022 to shareholders of record on 13 April 2022.
The 2021 share repurchase program was concluded on 29 March 2022. A total of 240.3 million UBS Group AG shares were acquired at an aggregate purchase price of CHF 3,810 million, of which 87.7 million shares were repurchased during the first quarter of 2022.
On 31 March 2022, we commenced a new 2022 share repurchase program of up to USD 6 billion over two years. We expect to execute around USD 5 billion of repurchases in aggregate under these programs in 2022. During the first quarter of 2022, we repurchased USD 1.7 billion of shares, including shares repurchased on 31 March 2022, which settled in April 2022.
› Refer to the “Share information and earnings per share” section of our first quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information
Sale of investment in Mitsubishi Corp.-UBS Realty Inc.
In March 2022, we signed an agreement to sell our investment in our Japanese real estate joint venture Mitsubishi Corp.-UBS Realty Inc. to KKR & Co. Inc. The closing of the transaction is subject to required filings and regulatory approvals and is expected in the second quarter of 2022. Our asset management, wealth management and investment banking businesses operating in Japan are not affected by the sale.
Upon closing of the transaction, we expect to record a gain in Asset Management and an increase in CET1 capital related to the sale of approximately USD 0.9 billion.
Significant model updates
On 13 December 2021, the French Court of Appeal found UBS AG guilty of unlawful solicitation and aggravated laundering of the proceeds of tax fraud. Following a review with FINMA, we will reflect additional operational risk risk-weighted assets (RWA) of USD 4.1 billion related to this matter in the first half of 2022. The additional operational risk RWA are being phased in over two quarters, with USD 2.1 billion reflected in the first quarter of 2022 and USD 2.0 billion to be reflected in the second quarter of 2022.
Since the beginning of the second quarter of 2021 we have begun to phase in an RWA increase related to a new model for structured margin loans and similar products in Global Wealth Management. This RWA increase is being phased in over five quarters until the second quarter of 2022. As a result, credit risk RWA increased by USD 0.7 billion in the first quarter of 2022.
In addition, we have implemented a new model for structured margin loans in the Investment Bank in the first quarter of 2022, resulting in a credit and counterparty credit risk increase of USD 0.4 billion.
The first quarter of 2022 also included a credit risk RWA increase of USD 0.3 billion due to a loss given default (LGD) model update related to leveraged finance clients in the Investment Bank.
› Refer to “Note 14 Provisions and contingent liabilities” in the “Consolidated financial statements” section of our first quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information about the French cross-border matter
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7–9 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 December 2021 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
› Refer to our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about previously published quarterly movement commentary
3
UBS Group AG consolidated
Key metrics of the first quarter of 2022
The KM1 and KM2 tables on the following pages are based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules and International Financial Reporting Standards (IFRS). The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.
Our capital and leverage ratios decreased in the first quarter of 2022, reflecting decreases in capital and increases in risk-weighted assets (RWA) and leverage ratio exposure. Our CET1 capital decreased by USD 0.7 billion to USD 44.6 billion, mainly as operating profit before tax of USD 2.7 billion was more than offset by share repurchases of USD 1.7 billion, dividend accruals of USD 0.4 billion, a USD 0.4 billion negative effect from financial assets at fair value through other comprehensive income (OCI) with a life-to-date OCI loss, current tax expenses of USD 0.4 billion and negative effects from foreign currency translation and defined benefit plans of USD 0.3 billion and USD 0.1 billion, respectively.
Our tier 1 capital decreased by USD 0.4 billion to USD 60.1 billion, primarily reflecting the aforementioned decrease in our CET1 capital, partly offset by a USD 0.3 billion increase in additional tier 1 (AT1) capital. The increase in AT1 capital was mainly driven by two issuances of AT1 capital instruments denominated in US dollars and Swiss francs amounting to USD 1.8 billion equivalent, partly offset by the call of a USD 1.1 billion equivalent AT1 capital instrument denominated in euro and interest rate risk hedge, foreign currency translation and other effects.
The TLAC available as of 31 March 2022 included CET1 capital, AT1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on financial assets measured at fair value through OCI for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 March 2022, but is included as available TLAC in the KM2 table in this section.
Our available TLAC increased by USD 1.8 billion to USD 106.6 billion in the first quarter of 2022, reflecting the aforementioned USD 0.4 billion decrease in our tier 1 capital, more than offset by a USD 2.3 billion increase in non-regulatory capital instruments, which was mainly due to five new issuances of TLAC-eligible senior unsecured debt denominated in US dollars, euro and Australian dollars amounting to USD 4.8 billion equivalent, partly offset by interest rate risk hedge, foreign currency translation and other effects.
RWA increased by USD 9.8 billion to USD 312.0 billion, mainly due to increases in market risk RWA of USD 2.8 billion, credit risk RWA of USD 2.3 billion, operational risk RWA of USD 2.1 billion, and counterparty credit risk RWA of USD 1.7 billion.
The increase in RWA, as well as the decreases in tier 1 and total capital, resulted in decreases in both the tier 1 and total capital ratios of 0.8 percentage points during the first quarter of 2022.
The leverage ratio exposure increased by USD 4.1 billion to USD 1,073.0 billion, mainly driven by higher central bank balances and derivative exposures, partly offset by lower trading portfolio assets and a decrease due to currency effects.
In the first quarter of 2022, the UBS Group quarterly average liquidity coverage ratio (the LCR) increased 5 percentage points to 160%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by an increase in high-quality liquid assets of USD 24.9 billion to USD 252.8 billion, reflecting higher average cash balances driven by a decrease in funding consumption by the business divisions. Average net cash outflows increased by USD 11.6 billion to USD 158.4 billion due to higher cash outflows from securities financing transactions and debt issued.
As of 31 March 2022, our net stable funding ratio (the NSFR) was 122%, an increase of 3 percentage points compared with the NSFR as of 31 December 2021. This reflected USD 20.2 billion lower required stable funding, mainly due to decreases in trading portfolio assets and securities financing transactions, partly offset by USD 9.0 billion lower available stable funding, mainly driven by a decrease in debt issued.
4
KM1: Key metrics |
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USD million, except where indicated |
| |||||||||
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|
| 31.3.22 |
| 31.12.21 |
| 30.9.21 |
| 30.6.21 | 31.3.21 |
Available capital (amounts) |
|
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|
|
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|
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| |
1 | Common Equity Tier 1 (CET1) |
| 44,593 |
| 45,281 |
| 45,022 |
| 42,583 | 40,426 |
1a | Fully loaded ECL accounting model CET11 |
| 44,587 |
| 45,267 |
| 45,008 |
| 42,561 | 40,403 |
2 | Tier 1 |
| 60,053 |
| 60,488 |
| 60,369 |
| 59,188 | 56,288 |
2a | Fully loaded ECL accounting model Tier 11 |
| 60,047 |
| 60,475 |
| 60,355 |
| 59,166 | 56,264 |
3 | Total capital |
| 61,424 |
| 61,928 |
| 61,855 |
| 61,184 | 58,822 |
3a | Fully loaded ECL accounting model total capital1 |
| 61,418 |
| 61,914 |
| 61,841 |
| 61,162 | 58,799 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 312,037 |
| 302,209 |
| 302,426 |
| 293,277 | 287,828 |
4a | Minimum capital requirement2 |
| 24,963 |
| 24,177 |
| 24,194 |
| 23,462 | 23,026 |
4b | Total risk-weighted assets (pre-floor) |
| 312,037 |
| 302,209 |
| 302,426 |
| 293,277 | 287,828 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
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| |
5 | CET1 ratio (%) |
| 14.29 |
| 14.98 |
| 14.89 |
| 14.52 | 14.05 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 14.29 |
| 14.98 |
| 14.88 |
| 14.51 | 14.04 |
6 | Tier 1 ratio (%) |
| 19.25 |
| 20.02 |
| 19.96 |
| 20.18 | 19.56 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 |
| 19.24 |
| 20.01 |
| 19.96 |
| 20.17 | 19.55 |
7 | Total capital ratio (%) |
| 19.68 |
| 20.49 |
| 20.45 |
| 20.86 | 20.44 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 19.68 |
| 20.49 |
| 20.45 |
| 20.85 | 20.43 |
Additional CET1 buffer requirements as a percentage of RWA |
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8 | Capital conservation buffer requirement (%) |
| 2.50 |
| 2.50 |
| 2.50 |
| 2.50 | 2.50 |
9 | Countercyclical buffer requirement (%) |
| 0.02 |
| 0.02 |
| 0.02 |
| 0.02 | 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
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10 | Bank G-SIB and / or D-SIB additional requirements (%) |
| 1.00 |
| 1.00 |
| 1.00 |
| 1.00 | 1.00 |
11 | Total of bank CET1 specific buffer requirements (%) |
| 3.52 |
| 3.52 |
| 3.52 |
| 3.52 | 3.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 9.79 |
| 10.48 |
| 10.39 |
| 10.02 | 9.55 |
Basel III leverage ratio |
|
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13 | Total Basel III leverage ratio exposure measure |
| 1,072,953 |
| 1,068,862 |
| 1,044,916 |
| 1,039,939 | 1,038,225 |
14 | Basel III leverage ratio (%) |
| 5.60 |
| 5.66 |
| 5.78 |
| 5.69 | 5.42 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.60 |
| 5.66 |
| 5.78 |
| 5.69 | 5.42 |
Liquidity coverage ratio (LCR)3 |
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15 | Total high-quality liquid assets (HQLA) |
| 252,836 |
| 227,891 |
| 230,885 |
| 232,026 | 221,371 |
16 | Total net cash outflow |
| 158,448 |
| 146,820 |
| 146,831 |
| 149,183 | 146,314 |
16a | of which: cash outflows |
| 280,217 |
| 275,373 |
| 275,057 |
| 283,772 | 284,510 |
16b | of which: cash inflows |
| 121,769 |
| 128,554 |
| 128,226 |
| 134,588 | 138,197 |
17 | LCR (%) |
| 160 |
| 155 |
| 157 |
| 156 | 151 |
Net stable funding ratio (NSFR)4 |
|
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18 | Total available stable funding |
| 569,405 |
| 578,379 |
| 558,936 |
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19 | Total required stable funding |
| 467,826 |
| 488,067 |
| 473,140 |
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20 | NSFR (%) |
| 122 |
| 119 |
| 118 |
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|
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Calculated based on an average of 64 data points in the first quarter of 2022 and 66 data points in the fourth quarter of 2021. For the prior quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. Refer to the “Liquidity and funding” section of this report for more information. 4 Refer to the “Introduction and basis for preparation” section of our 31 December 2021 Pillar 3 report and to the “Liquidity and funding management” section of the UBS Group first quarter 2022 report for more information. | ||||||||||
5
UBS Group AG consolidated
KM2: Key metrics – TLAC requirements (at resolution group level)1 | |||||||||||
USD million, except where indicated |
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| |
|
| 31.3.22 |
| 31.12.21 |
| 30.9.21 |
| 30.6.21 |
| 31.3.21 | |
1 | Total loss-absorbing capacity (TLAC) available |
| 106,573 |
| 104,783 |
| 102,840 |
| 104,348 |
| 100,720 |
1a | Fully loaded ECL accounting model TLAC available2 |
| 106,568 |
| 104,769 |
| 102,827 |
| 104,325 |
| 100,697 |
2 | Total RWA at the level of the resolution group |
| 312,037 |
| 302,209 |
| 302,426 |
| 293,277 |
| 287,828 |
3 | TLAC as a percentage of RWA (%) |
| 34.15 |
| 34.67 |
| 34.01 |
| 35.58 |
| 34.99 |
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)2 |
| 34.15 |
| 34.67 |
| 34.00 |
| 35.57 |
| 34.98 |
4 | Leverage ratio exposure measure at the level of the resolution group |
| 1,072,953 |
| 1,068,862 |
| 1,044,916 |
| 1,039,939 |
| 1,038,225 |
5 | TLAC as a percentage of leverage ratio exposure measure (%) |
| 9.93 |
| 9.80 |
| 9.84 |
| 10.03 |
| 9.70 |
5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)2 |
| 9.93 |
| 9.80 |
| 9.84 |
| 10.03 |
| 9.70 |
6a | Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
| No | ||||||||
6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
| No | ||||||||
6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%) |
| N/A – Refer to our response to 6b. | ||||||||
1 Resolution group level is defined as the UBS Group AG consolidated level. 2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” | |||||||||||
6
Our approach to measuring risk exposure and risk-weighted assets
Exposures are measured, under International Financial Reporting Standards (IFRS), for financial accounting purposes, for deriving our regulatory capital requirements and 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 (the BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).
For information about the measurement of risk exposures and RWA, refer to pages 13–15 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
Overview of RWA and capital requirements
The OV1 table on the following page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.
During the first quarter of 2022, RWA increased by USD 9.8 billion to USD 312.0 billion, mainly due to increases in market risk RWA of USD 2.8 billion, credit risk RWA of USD 2.3 billion, operational risk RWA of USD 2.1 billion, and counterparty credit risk RWA of USD 1.7 billion. The increase of USD 9.8 billion included a decrease of USD 1.7 billion related to currency effects.
Market risk RWA increased by USD 2.8 billion to USD 13.9 billion in the first quarter of 2022, mainly due to a USD 2.6 billion increase in asset size and other movements primarily related to higher average regulatory and stressed value-at-risk levels in the Investment Bank’s Global Markets business on the back of heightened market volatility compared with the previous quarter, as well as an increase of USD 0.7 billion in regulatory add-ons that reflected updates from the monthly risks-not-in-VaR assessment. This was partially offset by a decrease of USD 0.5 billion that was mainly related to the ongoing parameter updates of our VaR model.
Credit Risk RWA increased by USD 2.3 billion, mainly driven by an increase of USD 2.4 billion related to asset size and other movements, largely driven by higher loans in Personal & Corporate Banking and Global Wealth Management. Model updates resulted in an increase of USD 1.1 billion, mainly due to a USD 0.7 billion quarterly phase-in impact for structured margin loans and similar products in Global Wealth Management and a USD 0.3 billion increase due to an LGD model update related to leveraged finance clients in the Investment Bank. These increases were partly offset by a USD 1.3 billion decrease related to currency effects.
Operational risk RWA increased by USD 2.1 billion relating to the French cross-border matter. An additional operational risk RWA increase of USD 2.0 billion will be reflected in the second quarter of 2022, resulting in a total operational risk RWA increase related to the matter of USD 4.1 billion.
Counterparty credit risk RWA increased by USD 1.7 billion, primarily due to an increase of USD 1.6 billion related to asset size and other movements, mainly due to higher RWA from derivatives in the Investment Bank and Global Wealth Management. An increase from model updates of USD 0.4 billion, mainly due to the implementation of a new model for structured margin loans in the Investment Bank, was almost entirely offset by a decrease of USD 0.3 billion related to currency effects.
The flow tables for credit risk, counterparty credit risk and market risk RWA in this section provide further details regarding the movements in RWA in the first quarter of 2022.
More information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2022, is provided in the “Capital management” section of our first quarter 2022 report, available under ”Quarterly reporting” at ubs.com/investors.
7
UBS Group AG consolidated
OV1: Overview of RWA | ||||||
|
| RWA |
| Minimum capital requirements1 | ||
USD million |
| 31.3.22 | 31.12.21 |
| 31.3.22 | |
1 | Credit risk (excluding counterparty credit risk) |
| 154,193 | 151,926 |
| 12,335 |
2 | of which: standardized approach (SA) |
| 35,583 | 35,473 |
| 2,847 |
2a | of which: non-counterparty-related risk |
| 12,741 | 12,916 |
| 1,019 |
3 | of which: foundation internal ratings-based (F-IRB) approach |
|
|
|
|
|
4 | of which: supervisory slotting approach |
|
|
|
|
|
5 | of which: advanced internal ratings-based (A-IRB) approach |
| 118,609 | 116,453 |
| 9,489 |
6 | Counterparty credit risk2 |
| 39,685 | 37,980 |
| 3,175 |
7 | of which: SA for counterparty credit risk (SA-CCR) |
| 7,172 | 6,378 |
| 574 |
8 | of which: internal model method (IMM) |
| 18,480 | 17,506 |
| 1,478 |
8a | of which: value-at-risk (VaR) |
| 9,625 | 8,854 |
| 770 |
9 | of which: other CCR |
| 4,408 | 5,242 |
| 353 |
10 | Credit valuation adjustment (CVA) |
| 3,829 | 3,611 |
| 306 |
11 | Equity positions under the simple risk-weight approach |
| 3,487 | 3,396 |
| 279 |
12 | Equity investments in funds – look-through approach |
| 611 | 774 |
| 49 |
13 | Equity investments in funds – mandate-based approach |
| 1,314 | 1,160 |
| 105 |
14 | Equity investments in funds – fallback approach |
| 269 | 106 |
| 21 |
15 | Settlement risk |
| 1,327 | 393 |
| 106 |
16 | Securitization exposures in banking book |
| 284 | 375 |
| 23 |
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) |
| 144 | 257 |
| 12 |
19 | of which: securitization standardized approach (SEC-SA) |
| 140 | 118 |
| 11 |
20 | Market risk |
| 13,860 | 11,080 |
| 1,109 |
21 | of which: standardized approach (SA) |
| 516 | 652 |
| 41 |
22 | of which: internal models approach (IMA) |
| 13,345 | 10,428 |
| 1,068 |
23 | Capital charge for switch between trading book and banking book3 |
|
|
|
|
|
24 | Operational risk |
| 78,843 | 76,743 |
| 6,307 |
25 | Amounts below thresholds for deduction (250% risk weight)4 |
| 14,336 | 14,665 |
| 1,147 |
25a | of which: deferred tax assets |
| 11,169 | 11,367 |
| 893 |
26 | Floor adjustment5 |
|
|
|
|
|
27 | Total |
| 312,037 | 302,209 |
| 24,963 |
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences. 5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. | ||||||
RWA flow statements of credit risk exposures under IRB
The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2022 across movement categories defined by the BCBS. These categories are described on page 47 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
Credit risk RWA under the A-IRB approach increased by USD 2.2 billion to USD 118.6 billion during the first quarter of 2022.
The RWA increase from asset size movements of USD 1.4 billion was predominantly driven by increases in loans in Personal & Corporate Banking and Global Wealth Management. The RWA related to asset quality increased by USD 0.7 billion, mainly due to a deterioration in average risk profiles in Personal & Corporate Banking and Global Wealth Management. Model updates resulted in an increase of USD 1.2 billion, mainly due to a USD 0.7 billion quarterly phase-in impact for structured margin loans and similar products in Global Wealth Management and a USD 0.3 billion increase due to an LGD model update related to leveraged finance clients in the Investment Bank.
CR8: RWA flow statements of credit risk exposures under IRB | ||
USD million | RWA | |
1 | RWA as of 31.12.21 | 116,453 |
2 | Asset size | 1,415 |
3 | Asset quality | 682 |
4 | Model updates | 1,180 |
5 | Methodology and policy |
|
5a | of which: regulatory add-ons |
|
6 | Acquisitions and disposals |
|
7 | Foreign exchange movements | (1,121) |
8 | Other |
|
9 | RWA as of 31.3.22 | 118,609 |
8
RWA flow statements of counterparty credit risk exposures under the IMM and VaR
The CCR7 table below presents a flow statement explaining changes in counterparty credit risk (CCR) RWA determined under the internal model method (IMM) for derivatives and the VaR approach for securities financing transactions (SFTs).
CCR RWA on derivatives under the IMM increased by USD 1.0 billion to USD 18.5 billion during the first quarter of 2022, primarily due to asset size movements of USD 1.0 billion in the Investment Bank mainly as a result of higher client activity levels.
CCR RWA on SFTs under the VaR approach increased by USD 0.8 billion to USD 9.6 billion during the first quarter of 2022, due to an asset size movement of USD 0.8 billion, mainly due to higher levels of client activity.
For definitions of CCR RWA movement table components, refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” on page 47 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR) | |||||
USD million |
| Derivatives | SFTs | Total | |
|
|
| Subject to IMM | Subject to VaR |
|
1 | RWA as of 31.12.21 |
| 17,506 | 8,854 | 26,360 |
2 | Asset size |
| 1,049 | 828 | 1,877 |
3 | Credit quality of counterparties |
| 54 | 4 | 59 |
4 | Model updates |
| 14 |
| 14 |
5 | Methodology and policy |
|
|
|
|
5a | of which: regulatory add-ons |
|
|
|
|
6 | Acquisitions and disposals |
|
|
|
|
7 | Foreign exchange movements |
| (143) | (61) | (204) |
8 | Other |
|
|
|
|
9 | RWA as of 31.3.22 |
| 18,480 | 9,625 | 28,105 |
RWA flow statements of market risk exposures under an internal models approach
The three main components that contribute to market risk RWA are regulatory value-at-risk (VaR), stressed value-at-risk (SVaR) and the incremental risk charge (IRC). The VaR and SVaR components include the RWA charge for risks not in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in the first quarter of 2022 under an internal models approach (IMA) across those components, pursuant to the movement categories defined by the BCBS. These categories are described on page 77 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
Market risk RWA under an IMA increased by USD 2.9 billion in the first quarter of 2022 to USD 13.3 billion, mainly due to an increase in asset size and other movements, primarily related to higher average regulatory and stressed VaR levels in the Investment Bank’s Global Markets business on the back of heightened market volatility compared with the previous quarter, as well as an increase in regulatory add-ons that reflected updates from the monthly risks-not-in-VaR assessment. This was partially offset by a decrease that was mainly related to the ongoing parameter updates of our VaR model. The integration of time decay into the regulatory VaR model is subject to further discussions between FINMA and UBS.
The VaR multiplier was unchanged compared with the prior quarter, at 3.0.
MR2: RWA flow statements of market risk exposures under an IMA1 | |||||||
USD million | VaR | Stressed VaR | IRC | CRM | Other | Total RWA | |
1 | RWA as of 31.12.21 | 2,872 | 5,883 | 1,673 |
|
| 10,428 |
1a | Regulatory adjustment | (2,368) | (4,916) | (284) |
|
| (7,567) |
1b | RWA at previous quarter-end (end of day) | 504 | 968 | 1,389 |
|
| 2,860 |
2 | Movement in risk levels | 1,996 | 2,028 | 180 |
|
| 4,204 |
3 | Model updates / changes | (161) | 36 | 0 |
|
| (125) |
4 | Methodology and policy | 0 | 0 | 0 |
|
| 0 |
5 | Acquisitions and disposals | 0 | 0 | 0 |
|
| 0 |
6 | Foreign exchange movements | 0 | 0 | 0 |
|
| 0 |
7 | Other | 39 | 87 | 0 |
|
| 126 |
8a | RWA at the end of the reporting period (end of day) | 2,379 | 3,118 | 1,569 |
|
| 7,065 |
8b | Regulatory adjustment | 1,985 | 4,227 | 66 |
|
| 6,279 |
8c | RWA as of 31.3.22 | 4,364 | 7,345 | 1,635 |
|
| 13,344 |
1 Components that describe movements in RWA are presented in italics. | |||||||
9
UBS Group AG consolidated
The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided in the “Capital management” section of our first quarter 2022 report, available under ”Quarterly reporting” at ubs.com/investors.
Swiss SRB going and gone concern requirements and information | ||||||
As of 31.3.22 |
| RWA |
| LRD | ||
USD million, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 44,691 |
| 5.001 | 53,648 |
Common equity tier 1 capital |
| 10.02 | 31,273 |
| 3.502 | 37,553 |
of which: minimum capital |
| 4.50 | 14,042 |
| 1.50 | 16,094 |
of which: buffer capital |
| 5.50 | 17,162 |
| 2.00 | 21,459 |
of which: countercyclical buffer |
| 0.02 | 69 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 13,418 |
| 1.50 | 16,094 |
of which: additional tier 1 capital |
| 3.50 | 10,921 |
| 1.50 | 16,094 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,496 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 19.25 | 60,053 |
| 5.60 | 60,053 |
Common equity tier 1 capital |
| 14.29 | 44,593 |
| 4.16 | 44,593 |
Total loss-absorbing additional tier 1 capital3 |
| 4.95 | 15,460 |
| 1.44 | 15,460 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.56 | 14,223 |
| 1.33 | 14,223 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.40 | 1,236 |
| 0.12 | 1,236 |
|
|
|
|
|
|
|
Required gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity4 |
| 10.76 | 33,585 |
| 3.78 | 40,592 |
of which: base requirement5 |
| 12.86 | 40,128 |
| 4.50 | 48,283 |
of which: additional requirement for market share and LRD |
| 1.44 | 4,493 |
| 0.50 | 5,365 |
of which: applicable reduction on requirements |
| (3.54) | (11,036) |
| (1.22) | (13,056) |
of which: rebate granted |
| (3.14) | (9,782) |
| (1.10) | (11,802) |
of which: reduction for usage of low-trigger tier 2 capital instruments |
| (0.40) | (1,253) |
| (0.12) | (1,253) |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 14.91 | 46,520 |
| 4.34 | 46,520 |
Total tier 2 capital |
| 0.98 | 3,050 |
| 0.28 | 3,050 |
of which: low-trigger loss-absorbing tier 2 capital |
| 0.80 | 2,507 |
| 0.23 | 2,507 |
of which: non-Basel III-compliant tier 2 capital |
| 0.17 | 543 |
| 0.05 | 543 |
TLAC-eligible senior unsecured debt |
| 13.93 | 43,470 |
| 4.05 | 43,470 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 25.09 | 78,276 |
| 8.78 | 94,239 |
Eligible total loss-absorbing capacity |
| 34.15 | 106,573 |
| 9.93 | 106,573 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 312,037 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 1,072,953 |
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business. 3 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the Swiss SRB framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 5 The gone concern requirement after the application of the rebate for resolvability measures and the reduction for the use of higher quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements, respectively. This means that the combined reduction may not exceed 4.3 percentage points for the RWA-based requirement of 14.3% and 1.25 percentage points for the LRD-based requirement of 5.0%. | ||||||
10
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table in section 1 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on International Financial Reporting Standards (IFRS). Derivative exposures are adjusted for a number of items, including replacement values and eligible cash variation margin netting, the current exposure method add-on for potential future exposure and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).
The table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table in this section. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (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 UBS is required to meet going and 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.
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions | ||
USD million | 31.3.22 | 31.12.21 |
On-balance sheet exposures |
|
|
IFRS total assets | 1,139,922 | 1,117,182 |
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | (18,825) | (21,618) |
Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes |
|
|
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
|
|
Less carrying amount of derivative financial instruments in IFRS total assets1 | (179,592) | (148,669) |
Less carrying amount of securities financing transactions in IFRS total assets2 | (96,439) | (99,484) |
Adjustments to accounting values |
|
|
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 845,067 | 847,412 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (11,578) | (11,452) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 833,489 | 835,959 |
1 The exposures consist of derivative financial instruments and cash collateral receivables on derivative instruments, all of which are in accordance with the regulatory scope of consolidation. 2 The exposures consist of receivables from SFTs, margin loans, prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs, all of which are in accordance with the regulatory scope of consolidation. | ||
11
UBS Group AG consolidated
During the first quarter of 2022, the LRD increased by USD 4.1 billion to USD 1,073.0 billion. On-balance sheet exposures (excluding derivatives and SFTs) decreased by USD 2.3 billion, mainly driven by lower trading portfolio assets and a decrease due to currency effects, partly offset by higher central bank balances and high-quality liquid asset (HQLA) securities. Derivative exposures increased by USD 10.8 billion, mainly reflecting higher margin requirements and market-driven movements in the Investment Bank. SFTs decreased by USD 3.1 billion, mainly due to lower collateral sourcing requirements in Group Treasury and client-driven reductions in the Investment Bank.
› Refer to “Leverage ratio denominator” in the “Capital management” section of our first quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information
LR2: BCBS Basel III leverage ratio common disclosure | |||
USD million, except where indicated | 31.3.22 | 31.12.21 | |
|
|
|
|
| On-balance sheet exposures |
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 845,067 | 847,412 |
2 | (Asset amounts deducted in determining Basel III Tier 1 capital) | (11,578) | (11,452) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 833,489 | 835,959 |
|
|
|
|
| Derivative exposures |
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 58,626 | 45,332 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 79,962 | 78,959 |
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework |
|
|
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (19,832) | (18,984) |
8 | (Exempted QCCP leg of client-cleared trade exposures) | (17,679) | (14,987) |
9 | Adjusted effective notional amount of all written credit derivatives1 | 48,704 | 44,243 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)2 | (48,023) | (43,629) |
11 | Total derivative exposures | 101,758 | 90,934 |
|
|
|
|
| Securities financing transaction exposures |
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 184,779 | 200,921 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (88,340) | (101,437) |
14 | CCR exposure for SFT assets | 9,600 | 9,695 |
15 | Agent transaction exposures |
|
|
16 | Total securities financing transaction exposures | 106,039 | 109,179 |
|
|
|
|
| Other off-balance sheet exposures |
|
|
17 | Off-balance sheet exposure at gross notional amount | 107,002 | 106,112 |
18 | (Adjustments for conversion to credit equivalent amounts) | (75,335) | (73,322) |
19 | Total off-balance sheet items | 31,667 | 32,790 |
| Total exposures (leverage ratio denominator) | 1,072,953 | 1,068,862 |
|
|
|
|
| Capital and total exposures (leverage ratio denominator) |
|
|
20 | Tier 1 capital | 60,053 | 60,488 |
21 | Total exposures (leverage ratio denominator) | 1,072,953 | 1,068,862 |
|
|
|
|
| Leverage ratio |
|
|
22 | Basel III leverage ratio (%) | 5.6 | 5.7 |
1 Includes protection sold, including agency transactions. 2 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met. | |||
LR1: BCBS Basel III leverage ratio summary comparison | |||
USD million | 31.3.22 | 31.12.21 | |
1 | Total consolidated assets as per published financial statements | 1,139,922 | 1,117,182 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1 | (30,403) | (33,070) |
3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
|
|
4 | Adjustments for derivative financial instruments | (77,834) | (57,734) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 9,600 | 9,695 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 31,667 | 32,790 |
7 | Other adjustments |
|
|
8 | Leverage ratio exposure (leverage ratio denominator) | 1,072,953 | 1,068,862 |
1 Includes assets that are deducted from tier 1 capital. | |||
12
We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.
Pillar 3 disclosure requirement | First quarter 2022 report section | Disclosure | First quarter 2022 report page number |
Concentration of funding sources | Balance sheet and off-balance sheet | Liabilities by product and currency | 46 |
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 of the assets on a developed and recognized exchange, existence of an active and sizable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.
High-quality liquid assets (HQLA) | ||||||||
|
| Average 1Q221 |
| Average 4Q211 | ||||
USD billion |
| Level 1 weighted liquidity value2 | Level 2 weighted liquidity value2 | Total weighted liquidity value2 |
| Level 1 weighted liquidity value2 | Level 2 weighted liquidity value2 | Total weighted liquidity value2 |
Cash balances3 |
| 176 |
| 176 |
| 151 |
| 151 |
Securities (on- and off-balance sheet) |
| 59 | 18 | 76 |
| 59 | 18 | 77 |
Total HQLA4 |
| 235 | 18 | 253 |
| 210 | 18 | 228 |
1 Calculated based on an average of 64 data points in the first quarter of 2022 and 66 data points in the fourth quarter of 2021. 2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements. | ||||||||
13
UBS Group AG consolidated
LCR development during the first quarter of 2022
In the first quarter of 2022, the UBS Group quarterly average LCR increased 5 percentage points to 160%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).
The movement in the average LCR was driven by an increase in HQLA of USD 25 billion to USD 253 billion, reflecting higher average cash balances driven by a decrease in funding consumption by the business divisions. Average net cash outflows increased by USD 12 billion to USD 158 billion due to higher cash outflows from securities financing transactions and debt issued.
LIQ1: Liquidity coverage ratio |
|
|
|
|
|
| |
|
|
| Average 1Q221 |
| Average 4Q211 | ||
USD billion, except where indicated |
| Unweighted value | Weighted value2 |
| Unweighted value | Weighted value2 | |
| |||||||
High-quality liquid assets (HQLA) | |||||||
1 | Total HQLA |
| 256 | 253 |
| 231 | 228 |
| |||||||
Cash outflows | |||||||
2 | Retail deposits and deposits from small business customers |
| 296 | 34 |
| 292 | 33 |
3 | of which: stable deposits |
| 41 | 2 |
| 41 | 1 |
4 | of which: less stable deposits |
| 255 | 33 |
| 251 | 32 |
5 | Unsecured wholesale funding |
| 256 | 132 |
| 245 | 124 |
6 | of which: operational deposits (all counterparties) |
| 57 | 14 |
| 56 | 14 |
7 | of which: non-operational deposits (all counterparties) |
| 188 | 106 |
| 180 | 102 |
8 | of which: unsecured debt |
| 11 | 11 |
| 9 | 9 |
9 | Secured wholesale funding |
|
| 74 |
|
| 77 |
10 | Additional requirements |
| 98 | 30 |
| 99 | 29 |
11 | of which: outflows related to derivatives and other transactions |
| 58 | 21 |
| 56 | 19 |
12 | of which: outflows related to loss of funding on debt products3 |
| 0 | 0 |
| 0 | 0 |
13 | of which: committed credit and liquidity facilities |
| 40 | 8 |
| 43 | 9 |
14 | Other contractual funding obligations |
| 8 | 6 |
| 10 | 8 |
15 | Other contingent funding obligations |
| 219 | 4 |
| 221 | 4 |
16 | Total cash outflows |
|
| 280 |
|
| 275 |
| |||||||
Cash inflows | |||||||
17 | Secured lending |
| 226 | 74 |
| 246 | 82 |
18 | Inflows from fully performing exposures |
| 70 | 31 |
| 70 | 31 |
19 | Other cash inflows |
| 17 | 17 |
| 16 | 16 |
20 | Total cash inflows |
| 314 | 122 |
| 332 | 129 |
| |||||||
|
|
| Average 1Q221 |
| Average 4Q211 | ||
USD billion, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
Liquidity coverage ratio (LCR) | |||||||
21 | Total HQLA |
|
| 253 |
|
| 228 |
22 | Total net cash outflows |
|
| 158 |
|
| 147 |
23 | LCR (%) |
|
| 160 |
|
| 155 |
1 Calculated based on an average of 64 data points in the first quarter of 2022 and 66 data points in the fourth quarter of 2021. 2 Calculated after the application of haircuts and inflow and outflow rates. 3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. | |||||||
14
Significant regulated subsidiaries and sub-group disclosures
The sections on the following pages include capital and other regulatory information as of 31 March 2022 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated. Capital information in the following sections 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 are agreed with regulators based on the risk profile of the respective entity.
16
Key metrics of the first quarter of 2022
The table on the next page is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules and International Financial Reporting Standards.
During the first quarter of 2022, common equity tier 1 (CET1) capital decreased by USD 0.6 billion to USD 52.2 billion, mainly as additional accruals for capital returns to UBS Group AG were partly offset by operating profit before tax. Tier 1 capital decreased by USD 0.1 billion to USD 66.6 billion, primarily reflecting the aforementioned decrease in CET1 capital, partly offset by a USD 0.5 billion increase in additional tier 1 (AT1) capital. The increase in AT1 capital was mainly driven by two issuances of AT1 capital instruments denominated in US dollars and Swiss francs amounting to USD 1.8 billion equivalent, partly offset by the call of a USD 1.1 billion equivalent AT1 capital instrument denominated in euro. Total capital decreased by USD 0.1 billion to USD 68.0 billion, reflecting the aforementioned decrease in tier 1 capital.
Risk-weighted assets (RWA) increased by USD 12.5 billion to USD 330.4 billion during the first quarter of 2022, primarily driven by higher RWA related to participations of USD 8.6 billion, due to the phased increase of risk-weights for investments in Swiss and foreign-domiciled subsidiaries in accordance with the relevant Swiss Financial Market Supervisory Authority (FINMA) decree. The first quarter of 2022 also included an increase of USD 2.2 billion in RWA from credit and counterparty credit risk, an increase of USD 1.2 billion in market risk RWA, and an increase of USD 0.7 billion in operational risk RWA.
Leverage ratio exposure increased by USD 1.0 billion to USD 594.9 billion, mainly driven by higher derivative exposures and central bank balances, partly offset by decreases in trading portfolio assets and securities financing transactions.
Correspondingly, our CET1 capital ratio decreased 0.8 percentage points to 15.8%, due to the aforementioned increase in RWA and the decrease in CET1 capital. Our Basel III leverage ratio was largely unchanged at 11.2%.
In the first quarter of 2022, the UBS AG quarterly average liquidity coverage ratio (the LCR) increased 15 percentage points to 188%, remaining above the prudential requirement communicated by FINMA. The movement in the average LCR was driven by an increase in high-quality liquid assets of USD 13.7 billion to USD 103.2 billion, reflecting higher average cash balances driven by a reduction in funding consumption by the business divisions. Average net cash outflows increased by USD 2.8 billion to USD 55.0 billion, due to a decrease in inflows from securities financing transactions and increased outflows related to debt issued.
As of 31 March 2022, the net stable funding ratio (the NSFR) of UBS AG increased by 2 percentage points to 91% and remained above the prudential requirements communicated by FINMA. This reflected USD 13.8 billion lower required stable funding, mainly due to decreases in trading portfolio assets, partly offset by USD 8.2 billion lower available stable funding, mainly driven by a decrease in debt issued.
17
Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone
KM1: Key metrics |
|
|
|
|
|
|
|
|
| |
USD million, except where indicated | ||||||||||
|
|
| 31.3.22 | 31.12.21 |
| 30.9.21 |
| 30.6.21 |
| 31.3.21 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 52,218 | 52,818 |
| 51,233 |
| 51,279 |
| 50,223 |
1a | Fully loaded ECL accounting model CET11 |
| 52,211 | 52,803 |
| 51,217 |
| 51,255 |
| 50,189 |
2 | Tier 1 |
| 66,597 | 66,658 |
| 65,211 |
| 66,487 |
| 64,652 |
2a | Fully loaded ECL accounting model Tier 11 |
| 66,589 | 66,643 |
| 65,195 |
| 66,463 |
| 64,618 |
3 | Total capital |
| 67,954 | 68,054 |
| 66,639 |
| 68,421 |
| 67,126 |
3a | Fully loaded ECL accounting model total capital1 |
| 67,947 | 68,039 |
| 66,624 |
| 68,398 |
| 67,091 |
Risk-weighted assets (amounts)2 |
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 330,401 | 317,913 |
| 318,755 |
| 319,195 |
| 317,824 |
4a | Minimum capital requirement3 |
| 26,432 | 25,433 |
| 25,500 |
| 25,536 |
| 25,426 |
4b | Total risk-weighted assets (pre-floor) |
| 330,401 | 317,913 |
| 318,755 |
| 319,195 |
| 317,824 |
Risk-based capital ratios as a percentage of RWA2 |
|
|
|
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 15.80 | 16.61 |
| 16.07 |
| 16.06 |
| 15.80 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 15.80 | 16.61 |
| 16.07 |
| 16.06 |
| 15.79 |
6 | Tier 1 ratio (%) |
| 20.16 | 20.97 |
| 20.46 |
| 20.83 |
| 20.34 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 |
| 20.15 | 20.96 |
| 20.45 |
| 20.82 |
| 20.33 |
7 | Total capital ratio (%) |
| 20.57 | 21.41 |
| 20.91 |
| 21.44 |
| 21.12 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 20.56 | 21.40 |
| 20.90 |
| 21.43 |
| 21.11 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (%) |
| 2.50 | 2.50 |
| 2.50 |
| 2.50 |
| 2.50 |
9 | Countercyclical buffer requirement (%) |
| 0.02 | 0.02 |
| 0.02 |
| 0.02 |
| 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
|
|
|
|
|
|
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%)4 |
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.52 | 2.52 |
| 2.52 |
| 2.52 |
| 2.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 11.30 | 12.11 |
| 11.57 |
| 11.56 |
| 11.30 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 594,893 | 593,868 |
| 597,542 |
| 606,536 |
| 611,022 |
14 | Basel III leverage ratio (%) |
| 11.19 | 11.22 |
| 10.91 |
| 10.96 |
| 10.58 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 11.19 | 11.22 |
| 10.91 |
| 10.96 |
| 10.58 |
Liquidity coverage ratio (LCR)5 |
|
|
|
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 103,168 | 89,488 |
| 92,333 |
| 88,964 |
| 82,041 |
16 | Total net cash outflow |
| 55,039 | 52,229 |
| 50,733 |
| 50,537 |
| 47,927 |
16a | of which: cash outflows |
| 162,735 | 163,207 |
| 167,240 |
| 170,847 |
| 171,815 |
16b | of which: cash inflows |
| 107,696 | 110,978 |
| 116,507 |
| 120,310 |
| 123,889 |
17 | LCR (%) |
| 188 | 173 |
| 183 |
| 176 |
| 172 |
Net stable funding ratio (NSFR)6 |
|
|
|
|
|
|
|
|
| |
18 | Total available stable funding |
| 249,760 | 257,992 |
| 251,277 |
|
|
|
|
19 | Total required stable funding |
| 275,424 | 289,195 |
| 283,682 |
|
|
|
|
20 | NSFR (%) |
| 91 | 89 |
| 89 |
|
|
|
|
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” on the next page for more information. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided on the following pages in this section. 5 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 64 data points in the first quarter of 2022 and 66 data points in the fourth quarter of 2021. For the prior quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 6 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, UBS AG standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into account such excess funding. Refer to the “Introduction and basis for preparation” section of our 31 December 2021 Pillar 3 report for more information. | ||||||||||
18
Swiss SRB going and gone concern requirements and information
The tables below and on the next page provide details of the Swiss systemically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are provided on the next page.
More information about the going and gone concern requirements and information is provided on page 113 of our 31 December 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
Swiss SRB going and gone concern requirements and information | |||||||||
As of 31.3.22 |
| RWA, phase-in |
| RWA, fully applied as of 1.1.28 |
| LRD | |||
USD million, except where indicated |
| in % |
|
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 47,299 |
| 14.321 | 55,254 |
| 5.001 | 29,745 |
Common equity tier 1 capital |
| 10.02 | 33,092 |
| 10.02 | 38,657 |
| 3.50 | 20,821 |
of which: minimum capital |
| 4.50 | 14,868 |
| 4.50 | 17,369 |
| 1.50 | 8,923 |
of which: buffer capital |
| 5.50 | 18,172 |
| 5.50 | 21,228 |
| 2.00 | 11,898 |
of which: countercyclical buffer |
| 0.02 | 51 |
| 0.02 | 60 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 14,207 |
| 4.30 | 16,597 |
| 1.50 | 8,923 |
of which: additional tier 1 capital |
| 3.50 | 11,564 |
| 3.50 | 13,509 |
| 1.50 | 8,923 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,643 |
| 0.80 | 3,088 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 20.16 | 66,597 |
| 17.25 | 66,597 |
| 11.19 | 66,597 |
Common equity tier 1 capital |
| 15.80 | 52,218 |
| 13.53 | 52,218 |
| 8.78 | 52,218 |
Total loss-absorbing additional tier 1 capital |
| 4.35 | 14,379 |
| 3.73 | 14,379 |
| 2.42 | 14,379 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.98 | 13,145 |
| 3.41 | 13,145 |
| 2.21 | 13,145 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.37 | 1,234 |
| 0.32 | 1,234 |
| 0.21 | 1,234 |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 330,401 |
|
| 385,970 |
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
|
| 594,893 |
|
|
|
|
|
|
|
|
|
|
Required gone concern capital2 |
| Higher of RWA- or LRD-based |
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 41,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 46,505 |
|
|
|
|
| |
Gone concern capital coverage ratio |
| 112.03 |
|
|
|
|
|
|
|
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. | |||||||||
19
Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone
Swiss SRB going and gone concern information | |||
USD million, except where indicated |
| 31.3.22 | 31.12.21 |
|
|
|
|
Eligible going concern capital |
|
|
|
Total going concern capital |
| 66,597 | 66,658 |
Total tier 1 capital |
| 66,597 | 66,658 |
Common equity tier 1 capital |
| 52,218 | 52,818 |
Total loss-absorbing additional tier 1 capital |
| 14,379 | 13,840 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 13,145 | 11,414 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 1,234 | 2,426 |
|
|
|
|
Eligible gone concern capital |
|
|
|
Total gone concern loss-absorbing capacity |
| 46,505 | 44,250 |
Total tier 2 capital |
| 3,036 | 3,129 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2,505 | 2,594 |
of which: non-Basel III-compliant tier 2 capital |
| 530 | 535 |
TLAC-eligible senior unsecured debt |
| 43,470 | 41,120 |
|
|
|
|
Total loss-absorbing capacity |
|
|
|
Total loss-absorbing capacity |
| 113,102 | 110,908 |
|
|
|
|
Denominators for going and gone concern ratios |
|
|
|
Risk-weighted assets phase-in |
| 330,401 | 317,913 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 39,401 | 38,935 |
of which: investments in foreign-domiciled subsidiaries1 |
| 117,124 | 108,982 |
Risk-weighted assets fully applied as of 1.1.28 |
| 385,970 | 382,934 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 44,773 | 45,273 |
of which: investments in foreign-domiciled subsidiaries1 |
| 167,319 | 167,664 |
Leverage ratio denominator |
| 594,893 | 593,868 |
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
Going concern capital ratio, phase-in |
| 20.2 | 21.0 |
of which: common equity tier 1 capital ratio, phase-in |
| 15.8 | 16.6 |
Going concern capital ratio, fully applied as of 1.1.28 |
| 17.3 | 17.4 |
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28 |
| 13.5 | 13.8 |
|
|
|
|
Leverage ratios (%) |
|
|
|
Going concern leverage ratio |
| 11.2 | 11.2 |
of which: common equity tier 1 leverage ratio |
| 8.8 | 8.9 |
|
|
|
|
Capital coverage ratio (%) |
|
|
|
Gone concern capital coverage ratio |
| 112.0 | 112.0 |
1 Net exposure for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries (31 March 2022: USD 18,326 million; 31 December 2021: USD 18,109 million) and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 March 2022: USD 45,048 million; 31 December 2021: USD 41,916 million) are risk-weighted at 220% and 280%, respectively, for the current year (31 December 2021: 215% and 260%, respectively). Risk weights will gradually increase by 5 percentage points per year for Switzerland-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied. | |||
Leverage ratio information
Swiss SRB leverage ratio denominator | |||
|
|
| |
USD billion |
| 31.3.22 | 31.12.21 |
|
|
|
|
Leverage ratio denominator |
|
|
|
Swiss GAAP total assets |
| 516.2 | 509.9 |
Difference between Swiss GAAP and IFRS total assets |
| 139.9 | 125.0 |
Less derivative exposures and SFTs1 |
| (245.6) | (216.4) |
Less funding provided to significant regulated subsidiaries eligible as gone concern capital |
| (21.9) | (21.8) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 388.7 | 396.7 |
Derivative exposures |
| 100.3 | 89.7 |
Securities financing transactions |
| 83.2 | 85.4 |
Off-balance sheet items |
| 24.5 | 23.7 |
Items deducted from Swiss SRB tier 1 capital |
| (1.7) | (1.6) |
Total exposures (leverage ratio denominator) |
| 594.9 | 593.9 |
1 The exposures consist of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from SFTs, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs. These exposures are presented separately under Derivative exposures and Securities financing transactions in this table. | |||
20
Section 3 UBS Switzerland AG standalone
Key metrics of the first quarter of 2022
The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules and International Financial Reporting Standards.
During the first quarter of 2022, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 12.8 billion, mainly reflecting operating profit that was partly offset by additional accruals for dividends.
Total risk-weighted assets (RWA) (pre-floor) increased by CHF 2.4 billion to CHF 95.9 billion, driven by increases in credit and counterparty credit risk RWA, operational risk RWA, and, to a lesser extent, market risk RWA. The floor adjustment decreased by CHF 0.7 billion to CHF 12.2 billion, resulting in total RWA of CHF 108.1 billion as of 31 March 2022.
Leverage ratio exposure increased by CHF 6.3 billion to CHF 346.1 billion, mainly driven by higher central bank balances and securities financing transactions.
In the first quarter of 2022, the UBS Switzerland AG quarterly average liquidity coverage ratio (the LCR) decreased 1 percentage point to 142%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by an increase in average net cash outflows of CHF 2.9 billion to CHF 67.0 billion, reflecting higher outflows from intercompany funding and customer deposit balances. High-quality liquid assets increased by CHF 3.5 billion to CHF 94.9 billion, driven by higher average cash balances.
As of 31 March 2022, the net stable funding ratio (the NSFR) of UBS Switzerland AG increased by 1 percentage point to 143% and remained above the prudential requirements communicated by FINMA. This reflected CHF 1.8 billion higher required stable funding, mainly due to increases in loans to customers, more than offset by CHF 3.6 billion higher available stable funding, mainly driven by an increase in customer deposits.
KM1: Key metrics |
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|
|
|
|
|
|
|
|
| |
CHF million, except where indicated | |||||||||||
|
|
| 31.3.22 |
| 31.12.21 |
| 30.9.21 |
| 30.6.21 |
| 31.3.21 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 12,786 |
| 12,609 |
| 12,199 |
| 12,312 |
| 12,417 |
1a | Fully loaded ECL accounting model CET11 |
| 12,785 |
| 12,608 |
| 12,198 |
| 12,311 |
| 12,416 |
2 | Tier 1 |
| 18,178 |
| 17,996 |
| 17,596 |
| 17,705 |
| 17,819 |
2a | Fully loaded ECL accounting model Tier 11 |
| 18,178 |
| 17,995 |
| 17,595 |
| 17,704 |
| 17,818 |
3 | Total capital |
| 18,178 |
| 17,996 |
| 17,596 |
| 17,705 |
| 17,819 |
3a | Fully loaded ECL accounting model total capital1 |
| 18,178 |
| 17,995 |
| 17,595 |
| 17,704 |
| 17,818 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 108,071 |
| 106,399 |
| 109,941 |
| 109,602 |
| 110,194 |
4a | Minimum capital requirement2 |
| 8,646 |
| 8,512 |
| 8,795 |
| 8,768 |
| 8,816 |
4b | Total risk-weighted assets (pre-floor) |
| 95,858 |
| 93,437 |
| 93,839 |
| 93,853 |
| 93,149 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 11.83 |
| 11.85 |
| 11.10 |
| 11.23 |
| 11.27 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 11.83 |
| 11.85 |
| 11.10 |
| 11.23 |
| 11.27 |
6 | Tier 1 ratio (%) |
| 16.82 |
| 16.91 |
| 16.00 |
| 16.15 |
| 16.17 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 |
| 16.82 |
| 16.91 |
| 16.00 |
| 16.15 |
| 16.17 |
7 | Total capital ratio (%) |
| 16.82 |
| 16.91 |
| 16.00 |
| 16.15 |
| 16.17 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 16.82 |
| 16.91 |
| 16.00 |
| 16.15 |
| 16.17 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (%) |
| 2.50 |
| 2.50 |
| 2.50 |
| 2.50 |
| 2.50 |
9 | Countercyclical buffer requirement (%) |
| 0.02 |
| 0.02 |
| 0.02 |
| 0.02 |
| 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) |
|
|
|
|
|
|
|
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%)3 |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.52 |
| 2.52 |
| 2.52 |
| 2.52 |
| 2.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 7.33 |
| 7.35 |
| 6.60 |
| 6.73 |
| 6.77 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 346,097 |
| 339,788 |
| 338,636 |
| 341,991 |
| 344,925 |
14 | Basel III leverage ratio (%) |
| 5.25 |
| 5.30 |
| 5.20 |
| 5.18 |
| 5.17 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.25 |
| 5.30 |
| 5.20 |
| 5.18 |
| 5.17 |
Liquidity coverage ratio (LCR)4 |
|
|
|
|
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 94,850 |
| 91,304 |
| 92,341 |
| 97,744 |
| 96,366 |
16 | Total net cash outflow |
| 66,962 |
| 64,084 |
| 64,491 |
| 65,177 |
| 65,829 |
16a | of which: cash outflows |
| 91,396 |
| 88,771 |
| 89,154 |
| 93,457 |
| 94,489 |
16b | of which: cash inflows |
| 24,434 |
| 24,687 |
| 24,663 |
| 28,280 |
| 28,660 |
17 | LCR (%) |
| 142 |
| 143 |
| 143 |
| 150 |
| 146 |
Net stable funding ratio (NSFR)5 |
|
|
|
|
|
|
|
|
|
| |
18 | Total available stable funding |
| 228,789 |
| 225,239 |
| 229,666 |
|
|
|
|
19 | Total required stable funding |
| 159,876 |
| 158,072 |
| 156,849 |
|
|
|
|
20 | NSFR (%) |
| 143 |
| 142 |
| 146 |
|
|
|
|
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are provided on the next page. 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. Calculated based on an average of 64 data points in the first quarter of 2022 and 66 data points in the fourth quarter of 2021. For the prior quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 5 UBS Switzerland AG is required to maintain a minimum NSFR of at least 100% on an ongoing basis as defined by Art. 17h para. 1 of the Liquidity Ordinance. A portion of the excess funding is needed to fulfill the NSFR requirement of UBS AG. Refer to the “Introduction and basis for preparation” section of our 31 December 2021 Pillar 3 report for more information. | |||||||||||
21
Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone
Swiss SRB going and gone concern requirements and information
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 31 March 2022, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 14.32% (including a countercyclical buffer of 0.02%) and 5.00%, respectively.
The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone concern requirement, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions).
The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the leverage ratio denominator (LRD)-based requirement.
Swiss SRB going and gone concern requirements and information | ||||||
As of 31.3.22 |
| RWA |
| LRD | ||
CHF million, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 15,476 |
| 5.001 | 17,305 |
Common equity tier 1 capital |
| 10.02 | 10,829 |
| 3.50 | 12,113 |
of which: minimum capital |
| 4.50 | 4,863 |
| 1.50 | 5,191 |
of which: buffer capital |
| 5.50 | 5,944 |
| 2.00 | 6,922 |
of which: countercyclical buffer |
| 0.02 | 22 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 4,647 |
| 1.50 | 5,191 |
of which: additional tier 1 capital |
| 3.50 | 3,782 |
| 1.50 | 5,191 |
of which: additional tier 1 buffer capital |
| 0.80 | 865 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 16.82 | 18,178 |
| 5.25 | 18,178 |
Common equity tier 1 capital |
| 11.83 | 12,786 |
| 3.69 | 12,786 |
Total loss-absorbing additional tier 1 capital |
| 4.99 | 5,393 |
| 1.56 | 5,393 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.99 | 5,393 |
| 1.56 | 5,393 |
|
|
|
|
|
|
|
Required gone concern capital2 |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 8.87 | 9,582 |
| 3.10 | 10,729 |
of which: base requirement |
| 7.97 | 8,617 |
| 2.79 | 9,656 |
of which: additional requirement for market share and LRD |
| 0.89 | 965 |
| 0.31 | 1,073 |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 10.05 | 10,866 |
| 3.14 | 10,866 |
TLAC-eligible senior unsecured debt |
| 10.05 | 10,866 |
| 3.14 | 10,866 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 23.19 | 25,058 |
| 8.10 | 28,034 |
Eligible total loss-absorbing capacity |
| 26.88 | 29,045 |
| 8.39 | 29,045 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 108,071 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 346,097 |
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. | ||||||
22
Swiss SRB loss-absorbing capacity
Swiss SRB going and gone concern information | |||
CHF million, except where indicated |
| 31.3.22 | 31.12.21 |
|
|
|
|
Eligible going concern capital |
|
|
|
Total going concern capital |
| 18,178 | 17,996 |
Total tier 1 capital |
| 18,178 | 17,996 |
Common equity tier 1 capital |
| 12,786 | 12,609 |
Total loss-absorbing additional tier 1 capital |
| 5,393 | 5,387 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5,393 | 5,387 |
|
|
|
|
Eligible gone concern capital |
|
|
|
Total gone concern loss-absorbing capacity |
| 10,866 | 10,853 |
TLAC-eligible senior unsecured debt |
| 10,866 | 10,853 |
|
|
|
|
Total loss-absorbing capacity |
|
|
|
Total loss-absorbing capacity |
| 29,045 | 28,849 |
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
Risk-weighted assets |
| 108,071 | 106,399 |
Leverage ratio denominator |
| 346,097 | 339,788 |
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
Going concern capital ratio |
| 16.8 | 16.9 |
of which: common equity tier 1 capital ratio |
| 11.8 | 11.9 |
Gone concern loss-absorbing capacity ratio |
| 10.1 | 10.2 |
Total loss-absorbing capacity ratio |
| 26.9 | 27.1 |
|
|
|
|
Leverage ratios (%) |
|
|
|
Going concern leverage ratio |
| 5.3 | 5.3 |
of which: common equity tier 1 leverage ratio |
| 3.7 | 3.7 |
Gone concern leverage ratio |
| 3.1 | 3.2 |
Total loss-absorbing capacity leverage ratio |
| 8.4 | 8.5 |
| |||
Leverage ratio information
Swiss SRB leverage ratio denominator |
|
|
|
CHF billion |
| 31.3.22 | 31.12.21 |
Leverage ratio denominator |
|
|
|
Swiss GAAP total assets |
| 327.9 | 320.7 |
Difference between Swiss GAAP and IFRS total assets |
| 3.0 | 2.9 |
Less derivative exposures and SFTs1 |
| (13.5) | (9.6) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 317.3 | 313.9 |
Derivative exposures |
| 5.1 | 4.3 |
Securities financing transactions |
| 8.1 | 5.4 |
Off-balance sheet items |
| 15.8 | 16.5 |
Items deducted from Swiss SRB tier 1 capital |
| (0.3) | (0.3) |
Total exposures (leverage ratio denominator) |
| 346.1 | 339.8 |
1 The exposures consist of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from SFTs, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs. These exposures are presented separately under Derivative exposures and Securities financing transactions in this table. | |||
23
Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone
Capital instruments of UBS Switzerland AG – key features |
|
|
|
|
| |||||||
Presented according to issuance date. |
|
|
| |||||||||
|
|
| Share capital |
| Additional tier 1 capital |
| ||||||
1 | Issuer |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland |
1a | Instrument number |
| 1 |
| 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
2 | Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement) |
| – |
| – | |||||||
3 | Governing law(s) of the instrument |
| Swiss |
| Swiss | |||||||
3a | Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law) |
| n/a |
| n/a | |||||||
| Regulatory treatment |
|
|
|
|
|
|
|
|
|
|
|
4 | Transitional Basel III rules1 |
| CET1 – going concern capital |
| Additional tier 1 capital | |||||||
5 | Post-transitional Basel III rules2 |
| CET1 – going concern capital |
| Additional tier 1 capital | |||||||
6 | Eligible at solo / group / group and solo |
| UBS Switzerland AG consolidated and standalone |
| UBS Switzerland AG consolidated and standalone | |||||||
7 | Instrument type (types to be specified by each jurisdiction) |
| Ordinary shares |
| Loan3 | |||||||
8 | Amount recognized in regulatory capital (currency in millions, as of most recent reporting date)1 |
| CHF 10.0 |
| CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
9 | Par value of instrument (currency in millions) |
| CHF 10.0 |
| CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
10 | Accounting classification4 |
| Equity attributable to UBS Switzerland AG shareholders |
| Due to banks held at amortized cost | |||||||
11 | Original date of issuance |
| – |
| 18 December 2017 | 12 December 2018 | 12 December 2018 | 11 December 2019 | 29 October 2020 | 11 March 2021 | 2 June 2021 | 2 June 2021 |
12 | Perpetual or dated |
| – |
| Perpetual | |||||||
13 | Original maturity date |
| – |
| – | |||||||
14 | Issuer call subject to prior supervisory approval |
| – |
| Yes | |||||||
24
Capital instruments of UBS Switzerland AG – key features (continued) |
|
|
|
|
| |||||||
Presented according to issuance date. |
|
|
| |||||||||
|
|
| Share capital |
| Additional tier 1 capital |
| ||||||
15 | Optional call date, contingent call dates and redemption amount |
| – |
| First optional repayment date: 18 December 2022 | First optional repayment date: 12 December 2023 | First optional repayment date: 12 December 2023 | First optional repayment date: 11 December 2024 | First optional repayment date: 29 October 2025 | First optional repayment date: 11 March 2026 | First optional repayment date: 2 June 2026 | First optional repayment date: 2 June 2028 |
| 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. | 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. | 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. | 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. | 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. | 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. | Repayable on the first optional repayment date or on any of every second interest payment date thereafter. Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest thereon. | Repayable on the first optional repayment date or on any interest payment date thereafter. Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest thereon. | ||||
16 | Subsequent call dates, if applicable |
| – |
| Early repayment possible due to a tax or regulatory event. Repayment due to a tax event subject to FINMA approval. Repayment amount: principal amount, together with accrued and unpaid interest. | |||||||
25
Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone
Capital instruments of UBS Switzerland AG – key features (continued) |
|
|
|
|
| |||||||
| Coupons |
|
|
|
|
|
|
|
|
|
|
|
17 | Fixed or floating dividend / coupon |
| – |
| Floating | |||||||
18 | Coupon rate and any related index |
| – |
| 3-month SARON Compound + 250 bps per annum quarterly | 3-month SARON Compound + 489 bps per annum quarterly | 3-month SOFR Compound + 561 bps per annum quarterly | 3-month SARON Compound + 433 bps per annum quarterly | 3-month SARON Compound + 397 bps per annum quarterly | 3-month SARON Compound + 337 bps per annum quarterly | 3-month SARON Compound + 307 bps per annum quarterly | 3-month SARON Compound + 308 bps per annum quarterly |
19 | Existence of a dividend stopper |
| – |
| No | |||||||
20 | Fully discretionary, partially discretionary or mandatory |
| Fully discretionary |
| Fully discretionary | |||||||
21 | Existence of step-up or other incentive to redeem |
| – |
| No | |||||||
22 | Non-cumulative or cumulative |
| Non-cumulative |
| Non-cumulative | |||||||
23 | Convertible or non-convertible |
| – |
| Non-convertible | |||||||
24 | If convertible, conversion trigger(s) |
| – |
| – | |||||||
25 | If convertible, fully or partially |
| – |
| – | |||||||
26 | If convertible, conversion rate |
| – |
| – | |||||||
27 | If convertible, mandatory or optional conversion |
| – |
| – | |||||||
28 | If convertible, specify instrument type convertible into |
| – |
| – | |||||||
29 | If convertible, specify issuer of instrument it converts into |
| – |
| – | |||||||
30 | Write-down feature |
| – |
| Yes | |||||||
31 | If write-down, write-down trigger(s) |
| – |
| Trigger: CET1 ratio is less than 7% | |||||||
|
| FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support that FINMA determines necessary to ensure UBS Switzerland AG’s viability. Subject to applicable conditions. | ||||||||||
32 | If write-down, fully or partially |
| – |
| Fully | |||||||
33 | If write-down, permanent or temporary |
| – |
| Permanent | |||||||
34 | If temporary write-down, description of write-up mechanism |
| – |
| – | |||||||
34a | Type of subordination |
| Statutory |
| Contractual | |||||||
35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument in the insolvency creditor hierarchy of the legal entity concerned) |
| Unless otherwise stated in the articles of association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (Art. 745, Swiss Code of Obligations) |
| Subject to any obligations that are mandatorily preferred by law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated and not ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments) | |||||||
36 | Non-compliant transitioned features |
| – |
| – | |||||||
37 | If yes, specify non-compliant features |
| – |
| – | |||||||
1 Based on Swiss SRB (including transitional arrangement) requirements. 2 Based on Swiss SRB requirements applicable as of 1 January 2020. 3 Loans granted by UBS AG, Switzerland. 4 As applied in UBS Switzerland AG‘s financial statements under Swiss GAAP. | ||||||||||||
26
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements and in accordance with EU regulatory rules and International Financial Reporting Standards.
During the first quarter of 2022, common equity tier 1 was stable. Risk-weighted assets increased by EUR 0.2 billion to EUR 12.5 billion, mainly driven by increases in credit risk and market risk. Leverage ratio exposure increased by EUR 5.6 billion to EUR 52.3 billion, mainly reflecting increases in securities financing transactions, derivatives exposure and cash with central banks.
The average liquidity coverage ratio was stable at 168%, with a EUR 0.8 billion increase in HQLA mostly offset by a EUR 0.7 billion increase in total net cash outflows. The net stable funding ratio was unchanged at 171%, with a EUR 0.3 billion decrease in funding surplus.
KM1: Key metrics1 |
|
|
| ||||
EUR million, except where indicated |
|
|
| ||||
|
|
| 31.3.22 | 31.12.21 | 30.9.212 | 30.6.212 | 31.3.212 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 2,751 | 2,764 | 3,930 | 3,927 | 3,721 |
2 | Tier 1 |
| 3,041 | 3,054 | 4,220 | 4,217 | 4,011 |
3 | Total capital |
| 3,041 | 3,054 | 4,220 | 4,217 | 4,011 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 12,538 | 12,328 | 13,472 | 13,119 | 14,022 |
4a | Minimum capital requirement3 |
| 1,003 | 986 | 1,078 | 1,050 | 1,122 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 21.9 | 22.4 | 29.2 | 29.9 | 26.5 |
6 | Tier 1 ratio (%) |
| 24.3 | 24.8 | 31.3 | 32.1 | 28.6 |
7 | Total capital ratio (%) |
| 24.3 | 24.8 | 31.3 | 32.1 | 28.6 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (%) |
| 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
9 | Countercyclical buffer requirement (%) |
| 0.1 | 0.1 | 0.1 | 0.1 | 0.1 |
10 | Bank G-SIB and / or D-SIB additional requirements (%) |
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.6 | 2.6 | 2.6 | 2.6 | 2.6 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)4 |
| 16.3 | 16.8 | 23.4 | 24.1 | 20.7 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 52,302 | 46,660 | 47,208 | 47,0945 | 43,620 |
14 | Basel III leverage ratio (%)6 |
| 5.8 | 6.5 | 8.9 | 9.05 | 9.2 |
Liquidity coverage ratio (LCR)7 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 17,948 | 17,143 | 17,108 | 17,106 | 17,175 |
16 | Total net cash outflow |
| 10,745 | 10,091 | 10,373 | 10,684 | 11,003 |
17 | LCR (%) |
| 168 | 170 | 165 | 161 | 157 |
Net stable funding ratio (NSFR)8 |
|
|
|
|
|
| |
18 | Total available stable funding |
| 14,721 | 15,358 | 15,458 | 15,816 |
|
19 | Total required stable funding |
| 8,624 | 8,963 | 9,160 | 9,631 |
|
20 | NSFR (%) |
| 171 | 171 | 169 | 164 |
|
1 Based on applicable EU regulatory rules. 2 Comparative figures have been restated to align with the regulatory reports as submitted to the European Central Bank (the ECB). 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1. 5 Comparative figures have been adjusted following the initial CRR II go-live to align with the regulatory reports as submitted to the ECB. 6 On the basis of tier 1 capital. 7 Figures are calculated on a twelve-month average. 8 The local disclosure requirement for the net stable funding ratio came into force in June 2021. | |||||||
27
Significant regulated subsidiaries and sub-groups | Section 5 UBS Americas Holding LLC consolidated
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements and in accordance with US Basel III rules and US GAAP.
Effective 1 October 2021, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 7.1%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the Comprehensive Capital Analysis and Review (based on Dodd–Frank Act Stress Test (DFAST) results and planned future dividends). The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.
During the first quarter of 2022, common equity tier 1 (CET1) was stable. Risk-weighted assets (RWA) decreased by USD 0.3 billion to USD 72.6 billion, mainly driven by a decrease in market risk RWA. Leverage ratio exposure, calculated on an average basis, increased by USD 9.4 billion to USD 197.5 billion, primarily due to increased cash at Federal Reserve Banks.
The average liquidity coverage ratio (the LCR) decreased 8 percentage points, mainly driven by higher deposits generating a USD 3 billion increase in total net cash outflows over the first quarter of 2022.
KM1: Key metrics1 |
|
|
|
|
|
|
|
| |||
USD million, except where indicated | |||||||||||
|
|
| 31.3.22 |
| 31.12.21 |
| 30.9.21 |
| 30.6.21 |
| 31.3.21 |
Available capital (amounts) |
|
|
|
|
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 12,926 |
| 13,002 |
| 14,831 |
| 14,477 |
| 14,716 |
2 | Tier 1 |
| 16,975 |
| 17,051 |
| 17,877 |
| 17,523 |
| 17,763 |
3 | Total capital |
| 17,108 |
| 17,176 |
| 18,485 |
| 18,143 |
| 18,498 |
Risk-weighted assets (amounts) |
|
|
|
|
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 72,646 |
| 72,979 |
| 71,571 |
| 69,139 |
| 69,481 |
4a | Minimum capital requirement2 |
| 5,812 |
| 5,838 |
| 5,726 |
| 5,531 |
| 5,558 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 17.8 |
| 17.8 |
| 20.7 |
| 20.9 |
| 21.2 |
6 | Tier 1 ratio (%) |
| 23.4 |
| 23.4 |
| 25.0 |
| 25.3 |
| 25.6 |
7 | Total capital ratio (%) |
| 23.6 |
| 23.5 |
| 25.8 |
| 26.2 |
| 26.6 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
|
|
|
|
| |
8 | Capital conservation buffer requirement (%) |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
8a | Stress capital buffer requirement (%) |
| 7.1 |
| 7.1 |
| 6.7 |
| 6.7 |
| 6.7 |
9 | Countercyclical buffer requirement (%) |
|
|
|
|
|
|
|
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%) |
|
|
|
|
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
| 2.5 |
11a | Total bank specific capital requirements (%) |
| 7.1 |
| 7.1 |
| 6.7 |
| 6.7 |
| 6.7 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)3 |
| 13.3 |
| 13.3 |
| 16.2 |
| 16.4 |
| 16.7 |
Basel III leverage ratio |
|
|
|
|
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 197,541 |
| 188,1304 |
| 175,486 |
| 170,985 |
| 169,386 |
14 | Basel III leverage ratio (%)5 |
| 8.6 |
| 9.1 |
| 10.2 |
| 10.2 |
| 10.5 |
14a | Total Basel III supplementary leverage ratio exposure measure6 |
| 223,482 |
| 212,167 |
| 199,073 |
| 195,617 |
| 159,587 |
14b | Basel III supplementary leverage ratio (%)5,6 |
| 7.6 |
| 8.0 |
| 9.0 |
| 9.0 |
| 11.1 |
Liquidity coverage ratio (LCR)7 |
|
|
|
|
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 34,451 |
| 32,371 |
| 30,058 |
| 29,029 |
|
|
16 | Total net cash outflow |
| 24,873 |
| 21,995 |
| 19,548 |
| 17,509 |
|
|
17 | LCR (%) |
| 139 |
| 147 |
| 154 |
| 166 |
|
|
1 The LCR requirement became effective as of 1 January 2021 and the related disclosure requirement became effective in the second quarter of 2021. The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures will come into effect in the second quarter of 2023. 2 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements. 3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%. 4 The Total Basel III leverage ratio exposure measure as of 31 December 2021 has been aligned with UBS Americas Holding LLC’s reported figure in the FR Y-9C report that was filed with the Board of Governors of the Federal Reserve. 5 On the basis of tier 1 capital. 6 US regulatory authorities temporarily eased the requirements for the SLR, permitting the exclusion of US Treasury securities and deposits with the Federal Reserve Banks from the SLR denominator through March 2021. This exclusion resulted in an increase in the SLR of 187 bps on 31 March 2021. 7 Figures are calculated on a quarterly average. | |||||||||||
28
A
ABS asset-backed securities
AGM Annual General Meeting of shareholders
A-IRB advanced internal ratings-based
AIV alternative investment vehicle
ALCO Asset and Liability Committee
AMA advanced measurement approach
AML anti-money laundering
AoA Articles of Association
APM alternative performance measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
BoD Board of Directors
C
CAO Capital Adequacy Ordinance
CCAR Comprehensive Capital Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CDS credit default swap
CEA Commodity Exchange Act
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CFTC US Commodity Futures Trading Commission
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
CLS Continuous Linked Settlement
C&ORC Compliance & Operational Risk Control
CRD IV EU Capital Requirements Directive of 2013
CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)
CST combined stress test
CUSIP Committee on Uniform Security Identification Procedures
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DM discount margin
DOJ �� US Department of Justice
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EC European Commission
ECB European Central Bank
ECL expected credit loss
EGM Extraordinary General Meeting of shareholders
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and Africa
EOP Equity Ownership Plan
EPS earnings per share
ESG environmental, social and governance
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
ESR environmental and social risk
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct Authority
FCT foreign currency translation
FINMA Swiss Financial Market Supervisory Authority
FMIA Swiss Financial Market Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted accounting principles
GBP pound sterling
GCRG Group Compliance, Regulatory & Governance
GDP gross domestic product
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GMD Group Managing Director
GRI Global Reporting Initiative
G-SIB global systemically important bank
H
Hong Kong Hong Kong Special
SAR Administrative Region of the People’s Republic of
China
HQLA high-quality liquid assets
I
IAS International Accounting Standards
IASB International Accounting Standards Board
IBOR interbank offered rate
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IRB internal ratings-based
IRRBB interest rate risk in the banking book
ISDA International Swaps and Derivatives Association
ISIN International Securities Identification Number
29
Abbreviations frequently used in our financial reports (continued)
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC limited liability company
LoD lines of defense
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MiFID II Markets in Financial Instruments Directive II
MRT Material Risk Taker
N
NAV net asset value
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
ORF operational risk framework
OTC over-the-counter
P
PD probability of default
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
PRA UK Prudential Regulation Authority
PRV positive replacement value
R
RBA role-based allowance
RBC risk-based capital
RbM risk-based monitoring
REIT real estate investment trust
RMBS residential mortgage-backed securities
RniV risks not in VaR
RoCET1 return on CET1 capital
RoTE return on tangible equity
RoU right-of-use
rTSR relative total shareholder return
RWA risk-weighted assets
S
SA standardized approach
SA-CCR standardized approach for counterparty credit risk
SAR Special Administrative Region
SBC Swiss Bank Corporation
SDG Sustainable Development Goal
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SFT securities financing transaction
SI sustainable investing or
sustainable investments
SIBOR Singapore Interbank Offered Rate
SICR significant increase in credit risk
SIX SIX Swiss Exchange
SME small and medium-sized entities
SMF Senior Management Function
SNB Swiss National Bank
SOR Singapore Swap Offer Rate
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCFD Task Force on Climate-related Financial Disclosures
TIBOR Tokyo Interbank Offered Rate
TLAC total loss-absorbing capacity
U
UoM units of measure
USD US dollar
V
VaR value-at-risk
VAT value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.
30
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 most recent Annual Report on Form 20-F, quarterly reports and other information furnished to or filed with the US Securities and Exchange Commission on Form 6-K, available at ubs.com/investors, for additional information.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages and percent changes disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be derived from numbers presented in related tables, are calculated on a rounded basis.
Tables | Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be 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. Values that are zero on a rounded basis can be either negative or positive on an actual basis.
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: April 26, 2022