UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: August 19, 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 30 June 2022 Pillar 3 Report for UBS Group 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 |
“1m” | One million, i.e., 1,000,000 |
“1bn” | One billion, i.e., 1,000,000,000 |
“1trn” | One trillion, i.e., 1,000,000,000,000 |
Table of contents | |||
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UBS Group | |||
2 | Section 1 | ||
5 | Section 2 | ||
8 | Section 3 | ||
10 | Section 4 | ||
22 | Section 5 | ||
28 | Section 6 | ||
29 | Section 7 | ||
32 | Section 8 | ||
38 | Section 9 | ||
40 | Section 10 | ||
42 | Section 11 | ||
45 | Section 12 | Requirements for global systemically important banks and related indicators | |
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Significant regulated subsidiaries and sub-groups | |||
46 | Section 1 | ||
47 | Section 2 | ||
51 | Section 3 | ||
58 | Section 4 | ||
59 | Section 5 | ||
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Appendix | |||
61 | |||
63 | |||
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For all general inquiries
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sh-mediarelations-ap@ubs.com
Office of the Group Company Secretary
The Group Company Secretary handles inquiries directed to the Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company Secretary’s office, manages relationships with shareholders and the registration of UBS Group AG registered shares.
UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
Shareholder website:
computershare.com/investor
Calls from the US
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Calls from outside the US
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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.
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for 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.
› Refer to the “Capital management” section of our second quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information about capital and other regulatory information as of 30 June 2022 for UBS Group AG consolidated, and to the “Capital management” section of the UBS AG second quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information about capital and other regulatory information for UBS AG consolidated
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 the first half of 2022
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.
Revisions to the Swiss Banking Ordinance
In April 2022, the Swiss Federal Department of Finance (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 ended on 15 July 2022 and we expect the final rules to be published by the end of 2022.
UBS Group | Introduction and basis for preparation | 2 |
Significant regulatory developments, disclosure requirements and other changes to be adopted after the first half of 2022
Revision of the Swiss liquidity requirements
In June 2022, the Swiss Federal Council adopted the revisions to the Swiss Liquidity Ordinance. The revisions will increase the regulatory minimum liquidity requirements for systemically important banks, including UBS Group AG. The increase in UBS’s liquidity requirements remains uncertain pending supervisory guidance from FINMA. The final rule became effective on 1 July 2022, with a transition period of 18 months.
In accordance with Article 31b of the Liquidity Ordinance, the FDF provided a report to the Swiss Federal Council in which it reviewed Swiss and foreign provisions regarding the net stable funding ratio. The report identified no need for regulatory action.
Amendment of the Swiss Capital Adequacy Ordinance regarding the final implementation of Basel III
In July 2022, the FDF launched a consultation on amending the Swiss Capital Adequacy Ordinance with the aim of implementing the final elements of the BCBS reforms (Basel III) in Swiss law. In parallel, FINMA has opened a consultation on the associated implementing circulars.
We currently estimate that the implementation of the revised Basel III framework may lead to a net increase in risk-weighted assets (RWA) of around USD 20bn in 2024, excluding mitigating actions. The estimate includes credit risk and operational risk RWA from the finalization of the Basel III framework, as well as market risk and credit valuation adjustment RWA from the fundamental review of the trading book (the FRTB), based on our current understanding of the relevant standards. The precise impact might change as a result of new or revised regulatory interpretations, including those related to historical operational losses and model calibration, the implementation of Basel III standards into national law, changes in business growth, market conditions and other factors.
The consultations will last until 25 October 2022. The Swiss Federal Council’s Capital Adequacy Ordinance and the associated FINMA ordinances are scheduled to enter into force on 1 July 2024, with the phasing in of certain elements until 2028.
FINMA revision of Circular 2008/21 “Operational Risks – Banks”
In July 2022, FINMA completed a consultation regarding the revision of Circular 2008/21 “Operational Risks – Banks,” which will incorporate the BCBS’s new Principles on Operational Resilience into the FINMA framework. The circular will also cover the updated Principles for the Sound Management of Operational Risk, which cover a range of issues, including managing information and communication technology risks, cyber risks, and the risks involving critical data. The revised circular will enter into force on 1 January 2023, and firms will be given three years thereafter to comply with the operational resilience elements thereof.
Introduction of a Swiss public liquidity backstop
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.
Other developments effective in the first half of 2022
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 240.3m UBS Group AG shares were acquired at an aggregate purchase price of CHF 3,810m, of which 87.7m 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 6bn over two years. From 1 January 2022 to 30 June 2022, we repurchased 180m shares for a total acquisition cost of CHF 3,091m (USD 3,270m) under the 2021 and 2022 share repurchase programs. We expect to execute around USD 5bn of repurchases in aggregate in 2022 under the 2021 and 2022 share repurchase programs.
› 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
UBS Group | Introduction and basis for preparation | 3 |
Sale of our shareholding in Mitsubishi Corp.-UBS Realty Inc.
In the second quarter of 2022, we completed the sale of our 49% shareholding in our Japanese real estate joint venture, Mitsubishi Corp.-UBS Realty Inc., to KKR & Co. Inc., as announced on 17 March 2022. The sale resulted in a pre-tax gain of USD 848m in Asset Management and increased our CET1 capital by USD 979m. Our asset management, wealth management and investment banking businesses operating in Japan were not affected by the sale.
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 reflected additional operational risk RWA of USD 4.1bn related to this matter in the first half of 2022. The additional operational risk RWA were phased in over two quarters, with USD 2.1bn reflected in the first quarter of 2022 and USD 2.0bn in the second quarter of the year.
In addition, we have updated the model for margin period of risk, which resulted in an increase in RWA of USD 1.1bn in the second quarter of 2022.
We have also updated the loss-given-default model for mortgages in Switzerland, which resulted in an increase in RWA of USD 1.0bn in the second quarter of 2022.
Since the beginning of the second quarter of 2021, we began 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 was phased in over five quarters until the second quarter of 2022. As a result, credit risk RWA increased by USD 0.7bn in the first quarter of 2022 and by USD 0.7bn in the second quarter of 2022 when the phase in was completed.
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the “Introduction and basis for preparation” section 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 March 2022 for disclosures required on a quarterly basis and as of 31 December 2021 for disclosures required on a semi-annual basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
Where required, movement commentary is aligned with the corresponding disclosure frequency required by FINMA and always refers to the latest comparative period. Throughout this report, signposts are displayed at the beginning of a section, table or chart – Semi-annual | Quarterly | – indicating whether the disclosure is provided semi-annually or quarterly. A triangle symbol – p p – indicates the end of the signpost.
› Refer to our 31 March 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about previously published quarterly movement commentary
› Refer to our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about previously published semi-annual movement commentary
UBS Group | Introduction and basis for preparation | 4 |
Key metrics of the second quarter of 2022
Quarterly | The KM1 and KM2 tables on the following pages are based on Basel Committee on Banking Supervision (BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.
Our capital ratios decreased, primarily reflecting increases in risk-weighted assets, while our leverage ratios increased, mainly reflecting decreases in the leverage ratio denominator. Our common equity tier 1 (CET1) capital increased by USD 0.2bn to USD 44.8bn, mainly reflecting operating profit before tax of USD 2.6bn, a positive pre-tax effect of USD 0.4bn from the reclassification of a portfolio of high-quality liquid assets from Financial assets measured at fair value through other comprehensive income (FVOCI) to Other financial assets measured at amortized cost, largely offset by share repurchases of USD 1.6bn, negative effects from foreign currency translation of USD 0.6bn, dividend accruals of USD 0.4bn and current tax expenses of USD 0.4bn.
Our tier 1 capital decreased by USD 0.1bn to USD 59.9bn, primarily reflecting a decrease in our additional tier 1 (AT1) capital of USD 0.4bn, mainly reflecting interest rate risk hedges, foreign currency translation and other effects, partly offset by the aforementioned increase in our CET1 capital.
The TLAC available as of 30 June 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 debt instruments measured at FVOCI for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 30 June 2022, but is included as available TLAC in the KM2 table in this section.
Our available TLAC decreased by USD 0.3bn to USD 106.2bn, mainly reflecting the aforementioned decrease in our tier 1 capital and a USD 0.1bn decrease in TLAC-eligible senior unsecured debt. The decrease of USD 0.1bn in TLAC-eligible senior unsecured debt was mainly due to two calls of TLAC-eligible unsecured debt denominated in US dollars amounting to USD 3.0bn, and interest rate risk hedge, foreign currency translation and other effects, largely offset by eight new issuances of TLAC-eligible senior unsecured debt, denominated in US dollars, euro and Australian dollars, amounting to USD 5.2bn equivalent.
Risk-weighted assets (RWA) increased by USD 3.6bn to USD 315.7bn, mainly driven by increases in operational risk RWA of USD 2.0bn, market risk RWA of USD 1.7bn and credit risk RWA of USD 1.6bn, partly offset by decreases across various other risk types, notably settlement risk of USD 0.6bn, amounts below thresholds for deductions of USD 0.5bn and equity investments in funds of USD 0.4bn. The overall increase of USD 3.6bn included a decrease of USD 5bn related to currency effects.
Leverage ratio exposure decreased by USD 47.5bn to USD 1,025.4bn, including currency effects of USD 27.3bn, driven by lower central bank balances, trading portfolio and lending assets, as well as a decrease in securities financing transactions.
In the second quarter of 2022, the quarterly average liquidity coverage ratio (the LCR) of UBS Group increased 1 percentage point to 161%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by a decrease in net cash outflows of USD 3.4bn to USD 155.1bn due to lower outflows from customer deposit balances, partly offset by a decrease in high-quality liquid assets of USD 3.5bn to USD 249.4bn, mainly reflecting lower average cash balances, driven by debt maturities and decreases in customer deposits, partly offset by lower funding consumption in the business divisions.
As of 30 June 2022, the net stable funding ratio (the NSFR) of UBS Group decreased 1 percentage point to 121%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by USD 17.5bn lower available stable funding, mainly due to a decrease in customer deposit balances, partly offset by lower required stable funding of USD 11.5bn, mainly due to a decrease in trading assets.
UBS Group | Key metrics | 5 |
KM1: Key metrics |
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USD m, except where indicated |
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| 30.6.22 | 31.3.22 | 31.12.21 | 30.9.21 | 30.6.21 |
Available capital (amounts) |
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1 | Common Equity Tier 1 (CET1) | 44,798 | 44,593 | 45,281 | 45,022 | 42,583 |
1a | Fully loaded ECL accounting model CET11 | 44,794 | 44,587 | 45,267 | 45,008 | 42,561 |
2 | Tier 1 | 59,907 | 60,053 | 60,488 | 60,369 | 59,188 |
2a | Fully loaded ECL accounting model Tier 11 | 59,902 | 60,047 | 60,475 | 60,355 | 59,166 |
3 | Total capital2 | 60,401 | 61,056 | 61,928 | 61,855 | 61,184 |
3a | Fully loaded ECL accounting model total capital1,2 | 60,396 | 61,051 | 61,914 | 61,841 | 61,162 |
Risk-weighted assets (amounts) |
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4 | Total risk-weighted assets (RWA) | 315,685 | 312,037 | 302,209 | 302,426 | 293,277 |
4a | Minimum capital requirement3 | 25,255 | 24,963 | 24,177 | 24,194 | 23,462 |
4b | Total risk-weighted assets (pre-floor) | 315,685 | 312,037 | 302,209 | 302,426 | 293,277 |
Risk-based capital ratios as a percentage of RWA |
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5 | CET1 ratio (%) | 14.19 | 14.29 | 14.98 | 14.89 | 14.52 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 | 14.19 | 14.29 | 14.98 | 14.88 | 14.51 |
6 | Tier 1 ratio (%) | 18.98 | 19.25 | 20.02 | 19.96 | 20.18 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 | 18.98 | 19.24 | 20.01 | 19.96 | 20.17 |
7 | Total capital ratio (%) | 19.13 | 19.57 | 20.49 | 20.45 | 20.86 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 | 19.13 | 19.57 | 20.49 | 20.45 | 20.85 |
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 (%) | 9.69 | 9.79 | 10.48 | 10.39 | 10.02 |
Basel III leverage ratio |
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13 | Total Basel III leverage ratio exposure measure | 1,025,422 | 1,072,953 | 1,068,862 | 1,044,916 | 1,039,939 |
14 | Basel III leverage ratio (%) | 5.84 | 5.60 | 5.66 | 5.78 | 5.69 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 | 5.84 | 5.60 | 5.66 | 5.78 | 5.69 |
Liquidity coverage ratio (LCR)4 |
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15 | Total high-quality liquid assets (HQLA) | 249,364 | 252,836 | 227,891 | 230,885 | 232,026 |
16 | Total net cash outflow | 155,082 | 158,448 | 146,820 | 146,831 | 149,183 |
16a | of which: cash outflows | 268,641 | 280,217 | 275,373 | 275,057 | 283,772 |
16b | of which: cash inflows | 113,559 | 121,769 | 128,554 | 128,226 | 134,588 |
17 | LCR (%) | 161 | 160 | 155 | 157 | 156 |
Net stable funding ratio (NSFR)5 |
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18 | Total available stable funding | 551,877 | 569,405 | 578,379 | 558,936 |
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19 | Total required stable funding | 456,328 | 467,826 | 488,067 | 473,140 |
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20 | NSFR (%) | 121 | 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 From 1 January 2022, certain tier 2 capital positions have been phased out of total capital under BIS rules into gone concern capital, resulting in a decrease of total capital of USD 0.4bn. The prior period has been restated accordingly. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Calculated based on an average of 64 data points in the second quarter of 2022 and 64 data points in the first quarter of 2022. 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. 5 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 second quarter 2022 report for more information. | ||||||
UBS Group | Key metrics | 6 |
KM2: Key metrics - TLAC requirements (at resolution group level)1 | ||||||
USD m, except where indicated |
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| 30.6.22 | 31.3.22 | 31.12.21 | 30.9.21 | 30.6.21 | |
1 | Total loss-absorbing capacity (TLAC) available | 106,249 | 106,573 | 104,783 | 102,840 | 104,348 |
1a | Fully loaded ECL accounting model TLAC available2 | 106,244 | 106,568 | 104,769 | 102,827 | 104,325 |
2 | Total RWA at the level of the resolution group | 315,685 | 312,037 | 302,209 | 302,426 | 293,277 |
3 | TLAC as a percentage of RWA (%) | 33.66 | 34.15 | 34.67 | 34.01 | 35.58 |
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%) | 33.65 | 34.15 | 34.67 | 34.00 | 35.57 |
4 | Leverage ratio exposure measure at the level of the resolution group | 1,025,422 | 1,072,953 | 1,068,862 | 1,044,916 | 1,039,939 |
5 | TLAC as a percentage of leverage ratio exposure measure (%) | 10.36 | 9.93 | 9.80 | 9.84 | 10.03 |
5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%) | 10.36 | 9.93 | 9.80 | 9.84 | 10.03 |
6a | Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | ||||
6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | ||||
6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%) | N/A – Refer to our response to 6b. | ||||
1 Resolution group level is defined as the UBS Group AG consolidated level. 2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital, in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” | ||||||
p
UBS Group | Key metrics | 7 |
Overview of risk-weighted assets
Overview of RWA and capital requirements
Quarterly | The OV1 table on the following page provides an overview of our risk-weighted assets (RWA) and related minimum capital requirements by risk type. The table presented is based on the respective Swiss Financial Market Supervisory Authority (FINMA) template and empty rows indicate current non-applicability to UBS.
During the second quarter of 2022, RWA increased by USD 3.6bn to USD 315.7bn, mainly driven by higher operational risk RWA of USD 2.0bn, market risk RWA of USD 1.7bn and credit risk RWA of USD 1.6bn, partly offset by decreases across various other risk types, notably settlement risk of USD 0.6bn, amounts below thresholds for deductions of USD 0.5bn and equity investments in funds of USD 0.4bn. The overall increase of USD 3.6bn included a decrease of USD 5bn related to currency effects.
Operational risk RWA increased by USD 2.0bn. Following a review with FINMA on the French cross-border matter, we reflected additional operational risk RWA of USD 4.1bn related to this matter in the first half of 2022, USD 2.1bn in the first quarter of 2022 and USD 2.0bn in the second quarter.
Market risk RWA increased by USD 1.7bn, mainly due to a USD 2.1bn 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 continued market volatility from the previous quarter, as well as an increase of USD 0.2bn in regulatory add-ons that reflected updates from the monthly risks-not-in-VaR assessment. This was partially offset by a decrease of USD 0.7bn primarily driven by the introduction of a value-at-risk (VaR) model change.
Credit risk RWA increased by USD 1.6bn, driven by an increase in asset size and other movements of USD 3.1bn, mainly on Lombard and other loans in Global Wealth Management, as well as model updates of USD 1.8bn, primarily related to updates to the loss-given-default (LGD) model for mortgages in Switzerland of USD 1.0bn and the quarterly phase-in of USD 0.7bn for structured margin loans and similar products in Global Wealth Management. These increases were partly offset by a decrease of USD 3.4bn related to currency effects.
The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the second quarter of 2022.
› Refer to the “Introduction and basis for preparation” section of this report for more information about the applied regulatory standards
› Refer to the “Introduction and basis for preparation” section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about the measurement of risk exposures and RWA
› Refer to the “Capital management” section of our second quarter 2022 report, available under ”Quarterly reporting” at ubs.com/investors, for more information about capital management and RWA, including details regarding movements in RWA during the second quarter of 2022
UBS Group | Overview of risk-weighted assets | 8 |
OV1: Overview of RWA | |||||||||
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| Minimum capital requirements1 | |||
USD m |
| 30.6.22 | 31.3.22 | 31.12.21 |
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| 30.6.22 | |
1 | Credit risk (excluding counterparty credit risk) |
| 155,760 | 154,193 | 151,926 |
| 4 |
| 12,461 |
2 | of which: standardized approach (SA) |
| 36,149 | 35,583 | 35,473 |
| CR4 |
| 2,892 |
2a | of which: non-counterparty-related risk |
| 12,372 | 12,741 | 12,916 |
| CR4 |
| 990 |
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 |
| 119,611 | 118,609 | 116,453 |
| CR6, CR7, CR8 |
| 9,569 |
6 | Counterparty credit risk2 |
| 39,428 | 39,685 | 37,980 |
| 5, CCR1, CCR8 |
| 3,154 |
7 | of which: SA for counterparty credit risk (SA-CCR) |
| 7,864 | 7,172 | 6,378 |
|
|
| 629 |
8 | of which: internal model method (IMM) |
| 17,786 | 18,480 | 17,506 |
| CCR7 |
| 1,423 |
8a | of which: value-at-risk (VaR) |
| 10,263 | 9,625 | 8,854 |
| CCR7 |
| 821 |
9 | of which: other CCR |
| 3,515 | 4,408 | 5,242 |
|
|
| 281 |
10 | Credit valuation adjustment (CVA) |
| 3,871 | 3,829 | 3,611 |
| 5, CCR2 |
| 310 |
11 | Equity positions under the simple risk-weight approach |
| 3,634 | 3,487 | 3,396 |
| 4, CR10 |
| 291 |
12 | Equity investments in funds – look-through approach |
| 535 | 611 | 774 |
|
|
| 43 |
13 | Equity investments in funds – mandate-based approach |
| 1,058 | 1,314 | 1,160 |
|
|
| 85 |
14 | Equity investments in funds – fallback approach |
| 215 | 269 | 106 |
|
|
| 17 |
15 | Settlement risk |
| 744 | 1,327 | 393 |
|
|
| 60 |
16 | Securitization exposures in banking book |
| 209 | 284 | 375 |
| 6 |
| 17 |
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) |
| 30 | 144 | 257 |
| 6 |
| 2 |
19 | of which: securitization standardized approach (SEC-SA) |
| 179 | 140 | 118 |
| 6 |
| 14 |
20 | Market Risk |
| 15,512 | 13,860 | 11,080 |
| 6,7 |
| 1,241 |
21 | of which: standardized approach (SA) |
| 615 | 516 | 652 |
| 6 |
| 49 |
22 | of which: internal models approach (IMA) |
| 14,896 | 13,345 | 10,428 |
| MR2 |
| 1,192 |
23 | Capital charge for switch between trading book and banking book3 |
|
|
|
|
|
|
|
|
24 | Operational risk |
| 80,856 | 78,843 | 76,743 |
|
|
| 6,468 |
25 | Amounts below thresholds for deduction (250% risk weight)4 |
| 13,863 | 14,336 | 14,665 |
|
|
| 1,109 |
25a | of which: deferred tax assets |
| 10,933 | 11,169 | 11,367 |
|
|
| 875 |
26 | Floor adjustment5 |
|
|
|
|
|
|
|
|
27 | Total |
| 315,685 | 312,037 | 302,209 |
|
|
| 25,255 |
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 the total value of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed the total value of our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. | |||||||||
p
UBS Group | Overview of risk-weighted assets | 9 |
Introduction
Semi-annual | The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section may thus differ from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from how it is defined under International Financial Reporting Standards (IFRS). p
Credit quality of assets
Semi-annual | The CR1 table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. The table includes a split of expected credit loss (ECL) accounting provisions based on the standardized approach and the internal ratings-based approach.
Decreases in net carrying values of Loans and increases in net carrying values of Debt securities, when compared with 31 December 2021, are explained in the CR3 table of this report. The net carrying value of Off-balance sheet exposures decreased by USD 4.7bn to USD 59.6bn, primarily driven by credit commitments of USD 3.3bn in our Investment Bank and Personal & Corporate Banking businesses and guarantees of USD 1.4bn in our Personal & Corporate Banking business.
› Refer to the “CR3: Credit risk mitigation techniques – overview” table in this section for more information about the net value movements related to Loans and Debt securities shown in the table below
› Refer to “Credit risk” in the “Risk management and control” section of our Annual Report 2021, which is available under ”Annual reporting” at ubs.com/investors, for more information about the definitions of default and credit impairment and to “Credit risk exposure categories” in the “Credit risk“ section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about the classification of loans and debt securities
CR1: Credit quality of assets | |||||||||||||
|
|
| Gross carrying amounts of: |
| Allowances / impairments |
| Of which: ECL accounting provisions for credit losses on SA exposures |
| Of which: ECL accounting provisions for credit losses on A-IRB exposures (stage 1, 2, 3) |
| Net values | ||
USD m |
| Defaulted exposures1 | Non-defaulted exposures |
|
| Allocated in regulatory category of Specific (stage 3 credit-impaired) | Allocated in regulatory category of General (stage 1 & 2) |
|
| ||||
30.6.22 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,421 | 602,104 |
| (908)4 |
| (88) | (54) |
| (765) |
| 603,618 |
2 | Debt securities |
|
| 61,152 |
| (2) |
|
| (2) |
|
|
| 61,150 |
3 | Off-balance sheet exposures3 |
| 183 | 59,546 |
| (153)4 |
| (2) | (2) |
| (150) |
| 59,576 |
4 | Total |
| 2,605 | 722,802 |
| (1,063)4 |
| (90) | (58) |
| (915) |
| 724,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,414 | 619,072 |
| (962)4 |
| (96) | (58) |
| (808) |
| 620,524 |
2 | Debt securities |
|
| 55,724 |
| (2) |
|
| (2) |
|
|
| 55,722 |
3 | Off-balance sheet exposures3 |
| 196 | 64,203 |
| (156)4 |
| (1) | (1) |
| (153) |
| 64,243 |
4 | Total |
| 2,610 | 738,999 |
| (1,120)4 |
| (97) | (62) |
| (961) |
| 740,489 |
1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to Note 20 “Expected credit loss measurement“ of our Annual Report 2021 for more information about IFRS 9. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in the “Credit risk“ section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors for more information about the classification of loans and debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities, even if they attract RWA. 4 Expected credit loss allowances and provisions amount to USD 1,107m as of 30 June 2022, as disclosed in Note 7 of the UBS Group AG second quarter 2022 report. This Pillar 3 table excludes ECL on revocable off-balance sheet exposures (30 June 2022: USD 37m; 31 December 2021: USD 38m), ECL on exposures subject to counterparty credit risk (30 June 2022: USD 5m; 31 December 2021: USD 4m) and ECL on irrevocable committed prolongation of loans that do not give rise to additional credit exposures (30 June 2022: USD 2m; 31 December 2021: USD 3m). | |||||||||||||
p
UBS Group | Credit risk | 10 |
Semi-annual | The CR2 table below presents changes in stock of defaulted loans, debt securities and off-balance sheet exposures for the first half of 2022. The total amount of defaulted loans and debt securities was USD 2.6bn as of 30 June 2022, broadly unchanged from 31 December 2021.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | |||
USD m | For the half year ended 30.6.221 | For the half year ended 31.12.211 | |
1 | Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | 2,610 | 3,318 |
2 | Loans and debt securities that have defaulted since the last reporting period | 551 | 321 |
3 | Returned to non-defaulted status | (170) | (523) |
4 | Amounts written off | (50) | (93) |
5 | Other changes2 | (337) | (413) |
6 | Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | 2,605 | 2,610 |
1 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA. 2 Includes primarily partial or full repayments as well as currency effects. | |||
p
Credit risk mitigation
Semi-annual | The CR3 table below provides a breakdown of loans and debt securities into unsecured and partially or fully secured exposures, with additional information about the security type.
Compared with 31 December 2021, the carrying amount of unsecured loans decreased by USD 1.8bn to USD 227.3bn, mainly due to a decrease in cash and balances with central banks. Unsecured debt securities increased by USD 5.4bn to USD 61.2bn, mainly due to an increase in high-quality liquid assets (HQLA).
The carrying amount of partially or fully secured exposures decreased by USD 15.1bn to USD 376.4bn, mainly as a result of currency effects and decreases in secured loans to customers in our Personal & Corporate Banking and Global Wealth Management businesses.
CR3: Credit risk mitigation techniques – overview1 | |||||||||
|
|
|
|
|
| Secured portion of exposures partially or fully secured: | |||
USD m |
| Exposures fully unsecured: carrying amount | Exposures partially or fully secured: carrying amount | Total: carrying amount |
| Exposures secured by collateral | Exposures secured by financial guarantees | Exposures secured by credit derivatives | |
|
|
|
|
|
|
|
|
|
|
30.6.22 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 227,267 | 376,351 | 603,618 |
| 359,367 | 3,229 | 41 |
1a | of which: cash and balances at central banks |
| 189,726 |
| 189,726 |
|
|
|
|
2 | Debt securities |
| 61,150 |
| 61,150 |
|
|
|
|
3 | Total |
| 288,416 | 376,351 | 664,767 |
| 359,367 | 3,229 | 41 |
4 | of which: defaulted |
| 231 | 1,616 | 1,847 |
| 1,066 | 116 |
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 229,089 | 391,434 | 620,524 |
| 373,388 | 4,039 | 46 |
1a | of which: cash and balances at central banks |
| 192,117 |
| 192,117 |
|
|
|
|
2 | Debt securities |
| 55,722 |
| 55,722 |
|
|
|
|
3 | Total |
| 284,811 | 391,434 | 676,246 |
| 373,388 | 4,039 | 46 |
4 | of which: defaulted |
| 171 | 1,597 | 1,768 |
| 1,122 | 154 |
|
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in the “Credit risk“ section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors for more information about the classification of loans and debt securities. | |||||||||
p
UBS Group | Credit risk | 11 |
Credit risk under the standardized approach
Introduction
The standardized approach is generally applied where using the advanced internal ratings-based (A-IRB) approach is not possible. The standardized approach requires banks to, where possible, use risk assessments prepared by external credit assessment institutions (ECAI) or export credit agencies to determine the risk weightings applied to rated counterparties.
Credit risk exposure and credit risk mitigation effects
Semi-annual | The CR4 table below illustrates the credit risk exposure and effect of credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach.
Compared with 31 December 2021, exposures before and after credit conversion factor (CCF) and CRM in the Corporate asset class increased by USD 2.7bn and USD 2.6bn, respectively, mainly due to an increase in loans and loan commitments in Global Wealth Management. Exposures pre- and post-CCF and CRM in the Retail asset class decreased by USD 1.2bn and USD 0.9bn, respectively, mainly due to a decrease in residential mortgages in Global Wealth Management.
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects1 | ||||||||||||
|
|
| Exposures before CCF and CRM |
| Exposures post-CCF and post-CRM |
| RWA and RWA density | |||||
USD m, except where indicated |
| On-balance sheet amount | Off-balance sheet amount | Total |
| On-balance sheet amount | Off-balance sheet amount | Total |
| RWA | RWA density in % | |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.22 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 6,075 |
| 6,075 |
| 6,082 | 6 | 6,087 |
| 560 | 9.2 |
2 | Banks and securities dealers |
| 11,983 | 1,284 | 13,267 |
| 11,983 | 539 | 12,522 |
| 2,632 | 21.0 |
3 | Public-sector entities and multi-lateral development banks |
| 3,263 | 1,325 | 4,588 |
| 3,259 | 564 | 3,824 |
| 907 | 23.7 |
4 | Corporates |
| 17,818 | 10,455 | 28,274 |
| 17,649 | 1,299 | 18,947 |
| 12,701 | 67.0 |
5 | Retail |
| 10,644 | 3,173 | 13,817 |
| 10,499 | 133 | 10,632 |
| 6,976 | 65.6 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets2 |
| 12,969 | 30 | 12,999 |
| 12,969 | 30 | 12,999 |
| 12,372 | 95.2 |
8 | Total |
| 62,752 | 16,268 | 79,021 |
| 62,440 | 2,572 | 65,011 |
| 36,149 | 55.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 6,601 |
| 6,601 |
| 6,619 | 6 | 6,626 |
| 622 | 9.4 |
2 | Banks and securities dealers |
| 11,134 | 1,291 | 12,425 |
| 11,092 | 561 | 11,654 |
| 2,505 | 21.5 |
3 | Public-sector entities and multi-lateral development banks |
| 2,644 | 1,100 | 3,744 |
| 2,628 | 452 | 3,079 |
| 745 | 24.2 |
4 | Corporates |
| 15,349 | 10,220 | 25,569 |
| 15,312 | 1,079 | 16,392 |
| 11,551 | 70.5 |
5 | Retail |
| 11,207 | 3,814 | 15,021 |
| 10,990 | 502 | 11,492 |
| 7,135 | 62.1 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets2 |
| 13,571 | 191 | 13,762 |
| 13,571 | 45 | 13,615 |
| 12,916 | 94.9 |
8 | Total |
| 60,506 | 16,616 | 77,122 |
| 60,212 | 2,645 | 62,858 |
| 35,473 | 56.4 |
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation. 2 Includes Non-counterparty-related assets. | ||||||||||||
p
UBS Group | Credit risk | 12 |
Exposures by asset class and risk weight
Semi-annual | The CR5 table below shows exposures by asset classes and risk weights applied.
CR5: Standardized approach – exposures by asset classes and risk weights | ||||||||||||
USD m |
|
|
|
|
|
|
|
|
|
|
| |
Risk weight |
| 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post-CCF and post-CRM) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.22 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 5,499 |
| 9 |
| 42 |
| 538 |
|
| 6,087 |
2 | Banks and securities dealers |
|
|
| 12,064 |
| 458 |
|
|
|
| 12,522 |
3 | Public-sector entities and multi-lateral development banks |
| 4 |
| 3,449 |
| 306 |
| 64 |
|
| 3,824 |
4 | Corporates |
|
|
| 6,262 |
| 514 |
| 11,172 |
| 9992 | 18,947 |
5 | Retail |
|
|
|
| 5,283 |
| 1,034 | 4,230 | 84 |
| 10,632 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 627 |
|
|
|
|
| 12,372 |
|
| 12,999 |
8 | Total |
| 6,130 |
| 21,784 | 5,283 | 1,321 | 1,034 | 28,376 | 84 | 999 | 65,011 |
9 | of which: secured by real estate1 |
|
|
|
| 5,283 | 83 | 120 | 3,024 |
|
| 8,511 |
10 | of which: past due |
|
|
|
| 173 | 6 | 4 | 234 | 55 |
| 471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 5,900 |
| 91 |
| 62 |
| 573 |
|
| 6,626 |
2 | Banks and securities dealers |
|
|
| 11,113 |
| 520 |
| 18 | 3 |
| 11,654 |
3 | Public-sector entities and multi-lateral development banks |
| 2 |
| 2,732 |
| 295 |
| 51 |
|
| 3,079 |
4 | Corporates |
|
|
| 5,066 |
| 498 | 41 | 10,239 | 5 | 5422 | 16,392 |
5 | Retail |
|
|
|
| 6,292 |
| 1,220 | 3,902 | 77 |
| 11,492 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 699 |
|
|
|
|
| 12,916 |
|
| 13,615 |
8 | Total |
| 6,601 |
| 19,001 | 6,292 | 1,376 | 1,261 | 27,700 | 84 | 542 | 62,858 |
9 | of which: secured by real estate1 |
|
|
|
| 6,292 |
| 181 | 2,354 |
|
| 8,827 |
10 | of which: past due |
|
|
|
| 108 | 6 | 4 | 193 | 58 |
| 369 |
1 Includes both residential mortgages and claims secured by other properties, such as commercial real estate. 2 Reflects credit risk exposures to central counterparties risk-weighted at 2%. | ||||||||||||
p
UBS Group | Credit risk | 13 |
Credit risk under the advanced internal ratings-based approach
Introduction
Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed internally to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval.
Credit risk exposures by portfolio and PD range
Semi-annual | The CR6 table on the following pages provides information about credit risk exposures under the A-IRB approach, including a breakdown of the main parameters used in A-IRB models to calculate the capital requirements, presented by portfolio and PD range across FINMA-defined asset classes.
Compared with 31 December 2021, EAD post-CCF and post-CRM decreased by USD 19.0bn to USD 705.9bn across various asset classes. RWA increased by USD 3.2bn to USD 119.6bn.
In the Retail: other retail asset class, EAD post-CCF and post-CRM decreased by USD 14.7bn to USD 205.8bn, primarily driven by a decrease in Lombard loans and unutilized Lombard facilities, as well as currency effects in Global Wealth Management. RWA increased by USD 2.5bn to USD 19.9bn, mainly due to rating deteriorations related to Lombard lending, as well as the phase-in impact related to a model update for structured margin loans and similar products in Global Wealth Management.
In the Retail: residential mortgages asset class, EAD post-CCF and post-CRM decreased by USD 2.3bn to USD 168.1bn, primarily due to currency effects in Global Wealth Management and Personal & Corporate Banking, partially offset by business growth in Global Wealth Management. RWA increased by USD 0.7bn to USD 37.0bn mainly reflecting updates to the LGD model for mortgages in Switzerland.
In the Central governments and central banks asset class, EAD post-CCF and post-CRM decreased by USD 1.1bn to USD 221.3bn, mainly due to a reduction in loan commitments guaranteed by the Swiss government. RWA increased by USD 1.2bn to USD 3.7bn, primarily driven by increases in nostro and HQLA and rating deteriorations.
In the Corporates: other lending asset class, EAD post-CCF and post-CRM decreased by USD 2.3bn to USD 60.0bn and RWA decreased by USD 1.1bn to USD 38.1bn, primarily driven by a decrease in loans and loan commitments in the Investment Bank.
› Refer to the “CR8: RWA flow statements of credit risk exposures under IRB” table in this section of this report for further details about the movement of credit risk exposures under the A-IRB approach for the second quarter of 2022
› Refer to the “Introduction and basis for preparation” section of our 31 March 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about credit risk RWA for the first quarter of 2022, including details regarding movements in RWA
UBS Group | Credit risk | 14 |
Credit risk exposures by portfolio and PD range
CR6: IRB – Credit risk exposures by portfolio and PD range |
|
|
|
|
|
|
|
| ||||||
USD m, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 217,843 | 1 | 217,844 | 19.1 | 220,550 | 0.0 | <0.1 | 32.7 | 1.0 | 3,187 | 1.4 | 7 |
|
0.15 to <0.25 |
| 745 |
| 745 |
| 660 | 0.2 | <0.1 | 46.5 | 1.0 | 189 | 28.6 | 0 |
|
0.25 to <0.50 |
| 0 | 1 | 1 | 55.0 | 0 | 0.3 | <0.1 | 51.9 | 1.5 | 0 | 56.4 | 0 |
|
0.50 to <0.75 |
| 60 | 3 | 63 | 55.0 | 2 | 0.5 | <0.1 | 16.7 | 4.1 | 1 | 35.4 | 0 |
|
0.75 to <2.50 |
| 44 | 63 | 107 | 41.5 | 1 | 1.5 | <0.1 | 41.5 | 2.5 | 1 | 120.0 | 0 |
|
2.50 to <10.00 |
| 153 | 317 | 470 | 36.2 | 7 | 4.8 | <0.1 | 33.8 | 3.2 | 9 | 126.0 | 0 |
|
10.00 to <100.00 |
| 73 |
| 73 |
| 73 | 28.0 | <0.1 | 75.0 | 1.0 | 302 | 415.8 | 15 |
|
100.00 (default) |
| 11 | 0 | 12 | 55.0 | 3 | 100.0 | <0.1 | 59.33 | 3.8 | 4 | 106.0 | 5 |
|
Subtotal |
| 218,928 | 385 | 219,313 | 37.2 | 221,297 | 0.0 | 0.1 | 32.8 | 1.0 | 3,692 | 1.7 | 28 | 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 218,068 | 1 | 218,069 | 13.2 | 221,833 | 0.0 | <0.1 | 32.2 | 1.0 | 2,311 | 1.0 | 4 |
|
0.15 to <0.25 |
| 559 |
| 559 |
| 472 | 0.2 | <0.1 | 46.7 | 1.0 | 135 | 28.7 | 0 |
|
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75 |
| 73 | 3 | 77 | 55.0 | 5 | 0.6 | <0.1 | 59.2 | 2.6 | 5 | 92.1 | 0 |
|
0.75 to <2.50 |
| 33 | 86 | 119 | 35.6 | 4 | 1.5 | <0.1 | 35.4 | 3.2 | 5 | 124.7 | 0 |
|
2.50 to <10.00 |
| 169 | 393 | 562 | 37.1 | 28 | 5.2 | <0.1 | 47.7 | 1.6 | 46 | 161.0 | 1 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 11 | 0 | 11 | 10.0 | 4 | 100.0 | <0.1 | 50.13 | 3.9 | 5 | 106.0 | 6 |
|
Subtotal |
| 218,913 | 483 | 219,397 | 36.9 | 222,347 | 0.0 | 0.1 | 32.2 | 1.0 | 2,506 | 1.1 | 12 | 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 7,216 | 956 | 8,172 | 53.1 | 8,358 | 0.1 | 0.6 | 51.3 | 1.0 | 1,699 | 20.3 | 3 |
|
0.15 to <0.25 |
| 657 | 302 | 959 | 39.4 | 804 | 0.2 | 0.3 | 55.6 | 1.7 | 443 | 55.1 | 1 |
|
0.25 to <0.50 |
| 416 | 489 | 906 | 43.3 | 611 | 0.4 | 0.2 | 66.4 | 1.1 | 550 | 90.0 | 2 |
|
0.50 to <0.75 |
| 171 | 122 | 293 | 48.6 | 192 | 0.6 | 0.1 | 55.0 | 1.1 | 195 | 101.4 | 1 |
|
0.75 to <2.50 |
| 388 | 442 | 830 | 39.9 | 555 | 1.5 | 0.2 | 48.5 | 1.1 | 613 | 110.4 | 4 |
|
2.50 to <10.00 |
| 611 | 628 | 1,239 | 44.7 | 578 | 4.6 | 0.2 | 67.6 | 1.0 | 1,374 | 237.5 | 18 |
|
10.00 to <100.00 |
| 165 | 89 | 253 | 34.2 | 79 | 16.9 | <0.1 | 70.0 | 1.0 | 314 | 398.9 | 10 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 9,624 | 3,028 | 12,652 | 45.7 | 11,176 | 0.5 | 1.5 | 53.3 | 1.1 | 5,187 | 46.4 | 38 | 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 6,202 | 1,092 | 7,294 | 58.3 | 7,292 | 0.1 | 0.5 | 51.7 | 1.1 | 1,638 | 22.5 | 6 |
|
0.15 to <0.25 |
| 748 | 268 | 1,016 | 36.3 | 754 | 0.2 | 0.3 | 54.1 | 1.5 | 390 | 51.7 | 2 |
|
0.25 to <0.50 |
| 469 | 441 | 910 | 45.4 | 613 | 0.4 | 0.2 | 65.2 | 1.1 | 535 | 87.2 | 2 |
|
0.50 to <0.75 |
| 302 | 252 | 554 | 41.9 | 365 | 0.7 | 0.1 | 70.0 | 1.0 | 471 | 129.2 | 2 |
|
0.75 to <2.50 |
| 368 | 564 | 933 | 42.5 | 565 | 1.6 | 0.2 | 51.9 | 1.1 | 709 | 125.5 | 4 |
|
2.50 to <10.00 |
| 764 | 642 | 1,406 | 43.2 | 603 | 4.0 | 0.2 | 67.1 | 1.0 | 1,380 | 228.8 | 16 |
|
10.00 to <100.00 |
| 90 | 51 | 141 | 36.9 | 13 | 11.9 | <0.1 | 60.6 | 1.1 | 41 | 313.7 | 1 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 8,944 | 3,310 | 12,254 | 47.6 | 10,206 | 0.4 | 1.5 | 54.3 | 1.1 | 5,164 | 50.6 | 33 | 12 |
UBS Group | Credit risk | 15 |
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD m, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multi-lateral development banks as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 5,567 | 661 | 6,228 | 19.2 | 5,775 | 0.0 | 0.2 | 36.5 | 1.1 | 277 | 4.8 | 0 |
|
0.15 to <0.25 |
| 170 | 473 | 643 | 24.6 | 285 | 0.2 | 0.2 | 31.4 | 2.0 | 68 | 23.8 | 0 |
|
0.25 to <0.50 |
| 631 | 361 | 992 | 27.9 | 714 | 0.3 | 0.2 | 27.1 | 2.3 | 211 | 29.6 | 1 |
|
0.50 to <0.75 |
| 34 | 17 | 51 | 29.9 | 39 | 0.6 | <0.1 | 31.1 | 2.5 | 19 | 50.2 | 0 |
|
0.75 to <2.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.50 to <10.00 |
| 52 |
| 52 |
| 1 | 3.0 | <0.1 | 17.1 | 5.0 | 0 | 50.4 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 4 |
| 4 |
| 4 | 100.0 | <0.1 | 0.03 | 1.0 | 4 | 106.0 | 0 |
|
Subtotal |
| 6,459 | 1,512 | 7,970 | 23.1 | 6,817 | 0.1 | 0.6 | 35.2 | 1.3 | 581 | 8.5 | 1 | 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multi-lateral development banks as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 4,682 | 1,183 | 5,865 | 19.1 | 4,985 | 0.0 | 0.2 | 38.0 | 1.1 | 323 | 6.5 | 1 |
|
0.15 to <0.25 |
| 268 | 231 | 499 | 12.1 | 294 | 0.2 | 0.1 | 30.4 | 2.5 | 72 | 24.5 | 0 |
|
0.25 to <0.50 |
| 617 | 428 | 1,045 | 27.8 | 721 | 0.4 | 0.2 | 27.4 | 2.3 | 215 | 29.8 | 1 |
|
0.50 to <0.75 |
| 38 | 16 | 53 | 27.0 | 41 | 0.6 | <0.1 | 31.0 | 2.6 | 21 | 51.5 | 0 |
|
0.75 to <2.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.50 to <10.00 |
| 58 | 0 | 58 | 0.0 | 1 | 3.0 | <0.1 | 17.1 | 5.0 | 0 | 50.4 | 0 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 4 |
| 4 |
| 4 | 100.0 | <0.1 | 0.23 | 1.0 | 5 | 106.0 | 0 |
|
Subtotal |
| 5,667 | 1,858 | 7,525 | 20.3 | 6,046 | 0.1 | 0.6 | 36.3 | 1.3 | 636 | 10.5 | 2 | 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 3,102 | 1,085 | 4,187 | 71.6 | 3,879 | 0.1 | 0.5 | 13.9 | 2.1 | 278 | 7.2 | 0 |
|
0.15 to <0.25 |
| 2,013 | 1,021 | 3,034 | 43.6 | 2,363 | 0.2 | 0.3 | 25.6 | 2.0 | 572 | 24.2 | 1 |
|
0.25 to <0.50 |
| 4,958 | 2,566 | 7,523 | 30.2 | 5,679 | 0.4 | 0.6 | 29.5 | 1.9 | 2,500 | 44.0 | 6 |
|
0.50 to <0.75 |
| 4,269 | 2,000 | 6,269 | 37.1 | 4,940 | 0.6 | 0.6 | 27.5 | 2.0 | 2,421 | 49.0 | 9 |
|
0.75 to <2.50 |
| 8,439 | 2,549 | 10,988 | 33.1 | 9,272 | 1.3 | 1.3 | 29.0 | 1.8 | 6,329 | 68.3 | 37 |
|
2.50 to <10.00 |
| 1,520 | 529 | 2,049 | 48.5 | 1,783 | 3.5 | 0.3 | 35.7 | 1.8 | 1,947 | 109.2 | 22 |
|
10.00 to <100.00 |
| 0 | 4 | 4 | 21.5 | 1 | 10.2 | <0.1 | 65.0 | 1.4 | 3 | 375.2 | 0 |
|
100.00 (default) |
| 157 | 5 | 162 | 84.6 | 62 | 100.0 | <0.1 | 62.13 | 3.9 | 66 | 106.0 | 101 |
|
Subtotal |
| 24,457 | 9,760 | 34,217 | 39.4 | 27,978 | 1.1 | 3.6 | 26.7 | 1.9 | 14,117 | 50.5 | 176 | 123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 2,903 | 1,060 | 3,963 | 73.1 | 3,516 | 0.1 | 0.5 | 13.9 | 2.1 | 264 | 7.5 | 0 |
|
0.15 to <0.25 |
| 2,066 | 1,119 | 3,186 | 44.5 | 2,419 | 0.2 | 0.3 | 22.2 | 1.9 | 497 | 20.5 | 1 |
|
0.25 to <0.50 |
| 4,793 | 2,566 | 7,359 | 33.6 | 5,577 | 0.4 | 0.6 | 26.9 | 2.0 | 2,318 | 41.6 | 5 |
|
0.50 to <0.75 |
| 4,758 | 2,292 | 7,050 | 39.5 | 5,568 | 0.6 | 0.5 | 27.4 | 1.8 | 2,692 | 48.3 | 10 |
|
0.75 to <2.50 |
| 8,128 | 3,593 | 11,721 | 32.4 | 9,282 | 1.3 | 1.3 | 28.3 | 1.9 | 6,266 | 67.5 | 36 |
|
2.50 to <10.00 |
| 1,797 | 385 | 2,182 | 43.9 | 1,948 | 3.3 | 0.4 | 32.7 | 1.9 | 1,970 | 101.1 | 21 |
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
| 193 | 3 | 196 | 71.9 | 91 | 100.0 | <0.1 | 53.63 | 3.0 | 97 | 106.0 | 105 |
|
Subtotal |
| 24,640 | 11,017 | 35,657 | 39.7 | 28,402 | 1.2 | 3.6 | 25.9 | 1.9 | 14,103 | 49.7 | 179 | 116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Group | Credit risk | 16 |
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD m, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 10,247 | 20,441 | 30,689 | 36.2 | 16,994 | 0.1 | 7.7 | 35.4 | 1.7 | 3,947 | 23.2 | 4 |
|
0.15 to <0.25 |
| 5,626 | 6,883 | 12,510 | 35.7 | 8,080 | 0.2 | 2.4 | 36.1 | 2.2 | 3,156 | 39.1 | 6 |
|
0.25 to <0.50 |
| 5,233 | 3,900 | 9,133 | 39.2 | 6,344 | 0.4 | 3.1 | 33.4 | 2.4 | 3,438 | 54.2 | 7 |
|
0.50 to <0.75 |
| 4,691 | 3,872 | 8,562 | 38.1 | 6,064 | 0.6 | 2.9 | 28.1 | 2.1 | 3,367 | 55.5 | 11 |
|
0.75 to <2.50 |
| 9,593 | 8,404 | 17,997 | 39.6 | 11,876 | 1.4 | 10.8 | 28.0 | 2.1 | 8,175 | 68.8 | 47 |
|
2.50 to <10.00 |
| 5,792 | 12,557 | 18,349 | 38.5 | 9,300 | 4.3 | 5.4 | 33.8 | 2.3 | 14,033 | 150.9 | 137 |
|
10.00 to <100.00 |
| 425 | 430 | 855 | 52.8 | 555 | 15.5 | 0.3 | 29.0 | 1.4 | 1,224 | 220.5 | 25 |
|
100.00 (default) |
| 1,105 | 203 | 1,308 | 40.7 | 748 | 100.0 | 0.7 | 28.43 | 3.2 | 793 | 106.0 | 319 |
|
Subtotal |
| 42,713 | 56,691 | 99,403 | 37.6 | 59,961 | 2.5 | 33.2 | 32.0 | 2.1 | 38,133 | 63.6 | 557 | 604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 12,096 | 19,907 | 32,003 | 36.7 | 17,136 | 0.1 | 8.0 | 34.6 | 1.7 | 3,865 | 22.6 | 4 |
|
0.15 to <0.25 |
| 6,391 | 7,442 | 13,833 | 35.7 | 8,832 | 0.2 | 2.4 | 39.6 | 2.1 | 3,755 | 42.5 | 7 |
|
0.25 to <0.50 |
| 6,048 | 4,988 | 11,036 | 37.0 | 7,114 | 0.4 | 3.1 | 28.9 | 2.3 | 3,365 | 47.3 | 7 |
|
0.50 to <0.75 |
| 4,384 | 4,249 | 8,634 | 38.4 | 5,872 | 0.6 | 2.8 | 30.3 | 2.0 | 3,541 | 60.3 | 11 |
|
0.75 to <2.50 |
| 10,164 | 8,245 | 18,409 | 42.7 | 12,052 | 1.5 | 11.0 | 29.0 | 2.1 | 8,721 | 72.4 | 52 |
|
2.50 to <10.00 |
| 6,354 | 11,831 | 18,186 | 40.5 | 9,983 | 4.3 | 5.5 | 31.5 | 2.4 | 14,303 | 143.3 | 138 |
|
10.00 to <100.00 |
| 364 | 410 | 774 | 54.7 | 516 | 13.4 | 0.3 | 28.2 | 1.6 | 949 | 184.0 | 20 |
|
100.00 (default) |
| 1,140 | 232 | 1,372 | 40.5 | 737 | 100.0 | 0.8 | 33.23 | 3.5 | 781 | 106.0 | 369 |
|
Subtotal |
| 46,942 | 57,305 | 104,247 | 38.5 | 62,241 | 2.4 | 33.9 | 32.6 | 2.1 | 39,281 | 63.1 | 609 | 647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 73,745 | 1,304 | 75,049 | 52.9 | 74,438 | 0.1 | 139.1 | 18.6 |
| 3,073 | 4.1 | 12 |
|
0.15 to <0.25 |
| 19,216 | 250 | 19,466 | 70.9 | 19,388 | 0.2 | 22.9 | 25.6 |
| 2,008 | 10.4 | 9 |
|
0.25 to <0.50 |
| 25,544 | 460 | 26,004 | 78.3 | 25,900 | 0.4 | 29.3 | 27.8 |
| 4,676 | 18.1 | 25 |
|
0.50 to <0.75 |
| 15,874 | 354 | 16,228 | 84.5 | 16,175 | 0.6 | 14.4 | 30.5 |
| 4,862 | 30.1 | 31 |
|
0.75 to <2.50 |
| 22,301 | 1,464 | 23,764 | 77.6 | 23,436 | 1.3 | 26.3 | 34.1 |
| 12,696 | 54.2 | 106 |
|
2.50 to <10.00 |
| 7,129 | 332 | 7,461 | 84.6 | 7,416 | 4.3 | 8.0 | 33.3 |
| 7,673 | 103.5 | 104 |
|
10.00 to <100.00 |
| 794 | 9 | 803 | 94.2 | 804 | 15.2 | 0.8 | 32.9 |
| 1,446 | 180.0 | 41 |
|
100.00 (default) |
| 531 | 1 | 532 | 79.4 | 504 | 100.0 | 0.7 | 5.23 |
| 534 | 106.0 | 27 |
|
Subtotal |
| 165,133 | 4,175 | 169,308 | 70.8 | 168,060 | 0.9 | 241.5 | 24.8 |
| 36,969 | 22.0 | 356 | 140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 75,576 | 1,650 | 77,227 | 61.0 | 76,587 | 0.1 | 138.0 | 18.3 |
| 2,995 | 3.9 | 12 |
|
0.15 to <0.25 |
| 18,717 | 354 | 19,071 | 75.5 | 18,985 | 0.2 | 22.5 | 25.5 |
| 1,894 | 10.0 | 9 |
|
0.25 to <0.50 |
| 25,283 | 616 | 25,899 | 82.1 | 25,797 | 0.4 | 28.9 | 27.6 |
| 4,460 | 17.3 | 25 |
|
0.50 to <0.75 |
| 15,659 | 459 | 16,118 | 89.0 | 16,069 | 0.6 | 14.3 | 30.4 |
| 4,637 | 28.9 | 31 |
|
0.75 to <2.50 |
| 22,380 | 1,780 | 24,160 | 81.4 | 23,827 | 1.3 | 26.0 | 34.0 |
| 12,512 | 52.5 | 108 |
|
2.50 to <10.00 |
| 7,163 | 462 | 7,624 | 87.7 | 7,573 | 4.3 | 7.9 | 33.1 |
| 7,599 | 100.4 | 108 |
|
10.00 to <100.00 |
| 905 | 21 | 926 | 95.4 | 926 | 15.4 | 0.8 | 32.9 |
| 1,619 | 174.9 | 48 |
|
100.00 (default) |
| 577 | 2 | 579 | 66.5 | 552 | 100.0 | 0.8 | 4.63 |
| 585 | 106.0 | 27 |
|
Subtotal |
| 166,261 | 5,344 | 171,605 | 51.0 | 170,315 | 1.0 | 239.0 | 24.5 |
| 36,302 | 21.3 | 368 | 152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Group | Credit risk | 17 |
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD m, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 242 | 3,498 | 3,741 | 53.1 | 2,098 | 0.0 | 455.5 | 37.2 |
| 45 | 2.1 | 0 |
|
0.15 to <0.25 |
| 127 | 1,355 | 1,482 | 49.6 | 798 | 0.2 | 208.9 | 41.9 |
| 55 | 6.8 | 1 |
|
0.25 to <0.50 |
| 163 | 580 | 743 | 50.5 | 456 | 0.4 | 98.1 | 45.6 |
| 61 | 13.4 | 1 |
|
0.50 to <0.75 |
| 141 | 320 | 461 | 49.9 | 300 | 0.6 | 69.9 | 46.6 |
| 65 | 21.8 | 1 |
|
0.75 to <2.50 |
| 306 | 772 | 1,078 | 50.3 | 703 | 1.4 | 141.9 | 48.9 |
| 287 | 40.8 | 5 |
|
2.50 to <10.00 |
| 328 | 150 | 478 | 31.7 | 351 | 4.2 | 82.6 | 49.6 |
| 326 | 92.9 | 8 |
|
10.00 to <100.00 |
| 56 | 10 | 67 | 51.6 | 62 | 19.2 | 15.0 | 55.7 |
| 153 | 248.2 | 7 |
|
100.00 (default) |
| 41 |
| 41 |
| 25 | 100.0 | 21.1 | 40.03 |
| 26 | 106.0 | 17 |
|
Subtotal |
| 1,405 | 6,686 | 8,091 | 51.2 | 4,794 | 1.4 | 1,092.9 | 41.8 |
| 1,018 | 21.2 | 38 | 29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.21 |
|
| ||||||||||||
0.00 to <0.15 |
| 238 | 3,790 | 4,028 | 52.0 | 2,209 | 0.0 | 458.1 | 37.2 |
| 48 | 2.2 | 0 |
|
0.15 to <0.25 |
| 124 | 1,420 | 1,544 | 49.4 | 825 | 0.2 | 208.5 | 42.0 |
| 58 | 7.0 | 1 |
|
0.25 to <0.50 |
| 158 | 594 | 753 | 49.5 | 453 | 0.4 | 97.3 | 45.8 |
| 62 | 13.7 | 1 |
|
0.50 to <0.75 |
| 137 | 338 | 474 | 49.1 | 302 | 0.6 | 70.2 | 47.1 |
| 68 | 22.5 | 1 |
|
0.75 to <2.50 |
| 296 | 658 | 954 | 59.7 | 704 | 1.4 | 138.9 | 49.1 |
| 295 | 41.8 | 5 |
|
2.50 to <10.00 |
| 326 | 203 | 530 | 22.7 | 341 | 4.2 | 77.7 | 50.0 |
| ��324 | 95.1 | 8 |
|
10.00 to <100.00 |
| 52 | 9 | 61 | 55.4 | 57 | 19.1 | 13.3 | 56.1 |
| 145 | 254.9 | 6 |
|
100.00 (default) |
| 43 |
| 43 |
| 26 | 100.0 | 21.1 | 40.03 |
| 27 | 106.0 | 17 |
|
Subtotal |
| 1,373 | 7,013 | 8,386 | 51.0 | 4,917 | 1.3 | 1,085.1 | 42.2 |
| 1,028 | 20.9 | 38 | 29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Group | Credit risk | 18 |
CR6: IRB – Credit risk exposures by portfolio and PD range (continued) |
|
|
|
|
|
|
|
| ||||||
USD m, except where indicated |
| Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.222 |
|
| ||||||||||||
0.00 to <0.15 |
| 118,082 | 272,365 | 390,447 | 18.3 | 167,877 | 0.0 | 475.7 | 29.0 |
| 8,189 | 4.9 | 21 |
|
0.15 to <0.25 |
| 4,525 | 8,467 | 12,993 | 19.4 | 6,169 | 0.2 | 11.2 | 27.7 |
| 796 | 12.9 | 3 |
|
0.25 to <0.50 |
| 8,045 | 11,754 | 19,799 | 18.6 | 10,230 | 0.4 | 14.1 | 32.5 |
| 2,478 | 24.2 | 12 |
|
0.50 to <0.75 |
| 7,539 | 13,683 | 21,222 | 20.0 | 10,280 | 0.6 | 17.3 | 24.6 |
| 2,597 | 25.3 | 16 |
|
0.75 to <2.50 |
| 7,006 | 10,420 | 17,426 | 21.2 | 9,214 | 1.2 | 37.8 | 31.2 |
| 3,933 | 42.7 | 34 |
|
2.50 to <10.00 |
| 1,322 | 1,545 | 2,868 | 21.0 | 1,645 | 3.8 | 3.3 | 54.8 |
| 1,629 | 99.0 | 38 |
|
10.00 to <100.00 |
| 271 | 240 | 511 | 18.3 | 307 | 20.3 | 0.9 | 26.3 |
| 233 | 76.0 | 16 |
|
100.00 (default) |
| 83 | 1 | 84 | 42.0 | 57 | 100.0 | <0.1 | 31.53 |
| 60 | 106.0 | 24 |
|
Subtotal |
| 146,872 | 318,477 | 465,349 | 18.5 | 205,778 | 0.2 | 560.5 | 29.2 |
| 19,914 | 9.7 | 162 | 38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.212 |
|
| ||||||||||||
0.00 to <0.15 |
| 133,340 | 314,819 | 448,158 | 18.1 | 190,358 | 0.0 | 499.1 | 28.4 |
| 8,817 | 4.6 | 23 |
|
0.15 to <0.25 |
| 5,729 | 8,764 | 14,493 | 19.0 | 7,395 | 0.2 | 9.3 | 27.9 |
| 951 | 12.9 | 4 |
|
0.25 to <0.50 |
| 6,517 | 10,046 | 16,563 | 18.9 | 8,415 | 0.4 | 10.5 | 30.8 |
| 1,921 | 22.8 | 9 |
|
0.50 to <0.75 |
| 4,410 | 7,997 | 12,407 | 19.4 | 5,963 | 0.6 | 11.3 | 24.4 |
| 1,506 | 25.3 | 9 |
|
0.75 to <2.50 |
| 5,164 | 9,231 | 14,395 | 21.1 | 7,106 | 1.2 | 45.3 | 34.3 |
| 3,221 | 45.3 | 28 |
|
2.50 to <10.00 |
| 795 | 1,087 | 1,882 | 22.4 | 1,038 | 4.4 | 3.5 | 46.4 |
| 902 | 86.9 | 27 |
|
10.00 to <100.00 |
| 137 | 99 | 236 | 17.6 | 141 | 20.7 | 1.0 | 24.7 |
| 100 | 71.0 | 7 |
|
100.00 (default) |
| 38 | 3 | 41 | 10.1 | 14 | 100.0 | <0.1 | 61.13 |
| 14 | 106.0 | 25 |
|
Subtotal |
| 156,130 | 352,045 | 508,175 | 18.3 | 220,429 | 0.1 | 579.9 | 28.6 |
| 17,433 | 7.9 | 131 | 37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.22 |
| 615,591 | 400,713 | 1,016,304 | 23.1 | 705,861 | 0.6 | 1,934.0 | 30.0 | 1.34 | 119,611 | 16.9 | 1,356 | 951 |
Total 31.12.21 |
| 628,870 | 438,375 | 1,067,245 | 23.0 | 724,901 | 0.5 | 1,943.8 | 29.5 | 1.34 | 116,453 | 16.1 | 1,371 | 998 |
1 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Expected credit loss (ECL) allowances and provisions amounted to USD 1,107m as of 30 June 2022, as disclosed in “Note 7 Expected credit loss measurement” of the UBS Group AG second quarter 2022 report. This included USD 951m related to credit risk under the IRB approach, USD 150m related to credit risk under the standardized approach and USD 5m related to exposures under counterparty credit risk. The CR6 table includes ECL related to revocable off-balance sheet exposures of USD 36m, which are excluded from the “CR1: Credit quality of assets” table in this report. 2 In the second quarter of 2021, we began to phase in a quarterly RWA increase of USD 0.7bn related to a new model for structured margin loans and similar products in Global Wealth Management in the “Retail: other retail” asset class. The RWA increase is being phased in over five quarters. The associated changes to PD and LGD, as well as a refinement to the asset class allocation, primarily toward the corporate asset class, will only be reflected with the introduction of the new model that is expected to be implemented by the fourth quarter of 2022. 3 Average LGD for defaulted exposures disclosed in the table is not used to calculate RWA. The disclosed number is derived using ECL accounting provisions (stage 3) divided by total exposures pre-CCF. 4 Retail asset classes are excluded from the average maturity as maturity is not relevant for risk-weighting. | ||||||||||||||
p
UBS Group | Credit risk | 19 |
Credit derivatives used as CRM techniques
Semi-annual | Where credit derivatives are used as credit risk mitigation, the probability of default (PD) of the obligor is in general substituted with the PD of the hedge provider. In addition, default correlation between the obligor and the hedge provider is taken into account through the double default approach. p
› Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section of this report for notional and fair value information about credit derivatives used as CRM
Semi-annual |
CR7: IRB – effect on RWA of credit derivatives used as CRM techniques | |||||||
|
| 30.6.22 |
| 31.12.21 | |||
USD m |
| Pre-credit derivatives RWA | Actual RWA |
| Pre-credit derivatives RWA | Actual RWA | |
1 | Central governments and central banks – FIRB |
|
|
|
|
|
|
2 | Central governments and central banks – AIRB |
| 3,692 | 3,692 |
| 2,506 | 2,506 |
3 | Banks and securities dealers – FIRB |
|
|
|
|
|
|
4 | Banks and securities dealers – AIRB |
| 5,225 | 5,187 |
| 5,205 | 5,164 |
5 | Public-sector entities, multi-lateral development banks – FIRB |
|
|
|
|
|
|
6 | Public-sector entities, multi-lateral development banks – AIRB |
| 581 | 581 |
| 636 | 636 |
7 | Corporates: specialized lending – FIRB |
|
|
|
|
|
|
8 | Corporates: specialized lending – AIRB |
| 14,117 | 14,117 |
| 14,103 | 14,103 |
9 | Corporates: other lending – FIRB |
|
|
|
|
|
|
10 | Corporates: other lending – AIRB |
| 38,160 | 38,133 |
| 39,402 | 39,281 |
11 | Retail: mortgage loans |
| 36,969 | 36,969 |
| 36,302 | 36,302 |
12 | Retail exposures: qualifying revolving retail (QRRE) |
| 1,018 | 1,018 |
| 1,028 | 1,028 |
13 | Retail: other |
| 19,914 | 19,914 |
| 17,433 | 17,433 |
14 | Equity positions (PD / LGD approach) |
|
|
|
|
|
|
15 | Total |
| 119,676 | 119,611 |
| 116,614 | 116,453 |
p
UBS Group | Credit risk | 20 |
RWA flow statements of credit risk exposures under IRB
Quarterly | The CR8 table below provides a breakdown of the credit risk RWA movements in the second quarter of 2022 across movement categories defined by the Basel Committee on Banking Supervision (BCBS). These categories are described in the “Credit risk” section 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 1bn to USD 119.6bn during the second quarter of 2022.
The RWA increase from asset size movements of USD 0.4bn was predominantly driven by increases from loans in Global Wealth Management, as well as nostro and HQLA balances in Group Functions.
The increase in RWA from asset quality of USD 1.4bn was mainly due to rating deteriorations related to Lombard lending in Global Wealth Management.
Model updates of USD 1.8bn mainly reflected updates of USD 1.0bn related to the LGD model for mortgages in Switzerland and the quarterly phase-in of USD 0.7bn for structured margin loans and similar products in Global Wealth Management. Foreign exchange movements led to an RWA decrease of USD��2.6bn.
CR8: RWA flow statements of credit risk exposures under IRB | ||||
USD m | For the quarter ended 30.6.22 |
| For the quarter ended 31.3.22 | |
1 | RWA as of the beginning of the quarter | 118,609 |
| 116,453 |
2 | Asset size | 381 |
| 1,415 |
3 | Asset quality | 1,418 |
| 682 |
4 | Model updates | 1,840 |
| 1,180 |
5 | Methodology and policy |
|
|
|
5a | of which: regulatory add-ons |
|
|
|
6 | Acquisitions and disposals |
|
|
|
7 | Foreign exchange movements | (2,637) |
| (1,121) |
8 | Other |
|
|
|
9 | RWA as of the end of the quarter | 119,611 |
| 118,609 |
p
Equity exposures
Semi-annual | The table below provides information about our equity exposures under the simple risk-weight method.
CR10: IRB (equities under the simple risk-weight method) | ||||||
USD m, except where indicated |
| On-balance sheet amount | Off-balance sheet amount | Risk weight in %1 | Exposure amount2 | RWA1 |
|
|
|
|
|
|
|
30.6.22 |
|
| ||||
Exchange-traded equity exposures |
| 10 |
| 300 | 10 | 32 |
Other equity exposures |
| 850 |
| 400 | 850 | 3,601 |
Total |
| 860 |
|
| 860 | 3,634 |
|
|
|
|
|
|
|
31.12.21 |
|
| ||||
Exchange-traded equity exposures |
| 24 |
| 300 | 24 | 78 |
Other equity exposures |
| 783 |
| 400 | 783 | 3,319 |
Total |
| 807 |
|
| 807 | 3,396 |
1 RWA are calculated post-application of the A-IRB multiplier of 6%, therefore the respective risk weight is higher than 300% and 400%. 2 The exposure amount for equities in the banking book is based on the net position. | ||||||
p
UBS Group | Credit risk | 21 |
Introduction
Semi-annual I This section provides information about the exposures subject to the Basel III counterparty credit risk (CCR) framework. CCR arises from over-the-counter (OTC) and exchange-traded derivatives (ETDs), securities financing transactions (SFTs), and long settlement transactions. Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EEPE) and stressed expected positive exposure (SEPE) as defined in the Basel III framework. For the rest of the derivatives portfolio, we apply the standardized approach for counterparty credit risk (SA-CCR). For the majority of SFTs (securities borrowing, securities lending, margin lending, repurchase agreements and reverse repurchase agreements), we determine the regulatory credit exposure using the close-out-period (COP) approach. For the rest of the SFTs portfolio, we apply the comprehensive approach for credit risk mitigation. p
Counterparty credit exposure
Semi-annual I The CCR1 table below presents the methods used to calculate counterparty credit risk exposure. Compared with 31 December 2021, exposures related to the comprehensive approach for credit risk mitigation for SFTs decreased by USD 8.0bn, mainly due to lower levels of client activity in the Investment Bank. This decrease was partly offset by increases in exposures related to the internal model method and SA-CCR of USD 3.4bn and USD 2.8bn, respectively, primarily reflecting market-driven movements on foreign currency and interest rate contracts in the Investment Bank.
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach | ||||||||
USD m, except where indicated |
| Replacement cost | Potential future exposure | EEPE | Alpha used for computing regulatory EAD | EAD post-CRM | RWA | |
|
|
|
|
|
|
|
|
|
30.6.22 |
|
| ||||||
1 | SA-CCR (for derivatives) |
| 5,671 | 5,586 |
| 1.4 | 15,760 | 6,374 |
2 | Internal model method (for derivatives) |
|
|
| 29,629 | 1.6 | 47,406 | 17,390 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 12,806 | 3,480 |
5 | VaR (for SFTs) |
|
|
|
|
| 38,619 | 10,178 |
6 | Total |
|
|
|
|
| 114,591 | 37,422 |
|
|
|
|
|
|
|
|
|
31.12.21 |
|
| ||||||
1 | SA-CCR (for derivatives) |
| 3,792 | 5,446 |
| 1.4 | 12,933 | 4,635 |
2 | Internal model method (for derivatives) |
|
|
| 27,493 | 1.6 | 43,989 | 17,150 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 20,773 | 5,198 |
5 | VaR (for SFTs) |
|
|
|
|
| 39,285 | 8,730 |
6 | Total |
|
|
|
|
| 116,980 | 35,712 |
p
UBS Group | Counterparty credit risk | 22 |
Semi-annual | The CCR2 table below presents the credit valuation adjustment (CVA) capital charge with a breakdown by standardized and advanced approaches. In addition to the default risk capital requirements for CCR on derivatives, we are required to add a CVA capital charge to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality. The advanced CVA value-at-risk (VaR) approach has been used to calculate the CVA capital charge where we use the internal model method (the IMM). Where this is not the case, the standardized CVA approach has been used.
Compared with 31 December 2021, CVA risk-weighted assets (RWA) increased by USD 0.3bn to USD 3.9bn, primarily due to higher derivative exposures, mainly as a result of higher levels of client activity, as well as a methodology and policy change related to standardized CVA for Global Wealth Management derivatives with Lombard ratings.
CCR2: Credit valuation adjustment (CVA) capital charge | |||||||
|
|
| 30.6.22 |
| 31.12.21 | ||
USD m |
| EAD post-CRM | RWA |
| EAD post-CRM | RWA | |
| Total portfolios subject to the advanced CVA capital charge |
| 46,920 | 1,038 |
| 43,666 | 985 |
1 | (i) VaR component (including the 3× multiplier) |
|
| 155 |
|
| 212 |
2 | (ii) Stressed VaR component (including the 3× multiplier) |
|
| 882 |
|
| 773 |
3 | All portfolios subject to the standardized CVA capital charge |
| 14,908 | 2,833 |
| 12,652 | 2,626 |
4 | Total subject to the CVA capital charge |
| 61,827 | 3,871 |
| 56,318 | 3,611 |
p
Semi-annual | The CCR3 table below provides information about our CCR exposures under the standardized approach. Compared with 31 December 2021, total exposures decreased by USD 1.9bn to USD 2.4bn, primarily due to margin loans no longer being risk-weighted under the standardized approach with a 75% risk-weight, following the implementation of a new advanced internal ratings-based (A-IRB) model for structured margin loans in the Investment Bank.
CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights | |||||||||||
USD m |
|
|
|
|
|
|
|
|
|
| |
Risk weight |
| 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | Total credit exposure | |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 30.6.22 |
|
| ||||||||
1 | Central governments and central banks |
|
|
|
|
|
|
|
|
|
|
2 | Banks and securities dealers |
|
|
| 108 | 57 |
| 1 |
|
| 167 |
3 | Public-sector entities and multi-lateral development banks |
|
|
| 32 | 44 |
| 0 |
|
| 76 |
4 | Corporates |
|
|
| 0 | 65 |
| 1,976 | 1 |
| 2,041 |
5 | Retail |
|
|
|
|
| 58 | 102 |
|
| 160 |
6 | Equity |
|
|
|
|
|
|
|
|
| 0 |
7 | Other assets |
|
|
|
|
|
|
|
|
| 0 |
8 | Total |
|
|
| 140 | 166 | 58 | 2,080 | 1 |
| 2,445 |
|
|
|
|
|
|
|
|
|
|
|
|
| Regulatory portfolio as of 31.12.21 |
|
| ||||||||
1 | Central governments and central banks |
|
|
|
|
|
|
|
|
|
|
2 | Banks and securities dealers |
|
|
| 35 | 28 | 0 | 2 |
|
| 65 |
3 | Public-sector entities and multi-lateral development banks |
|
|
| 136 | 63 |
|
|
|
| 199 |
4 | Corporates |
|
|
| 25 | 95 | 2,134 | 1,722 | 0 |
| 3,976 |
5 | Retail |
|
|
|
|
| 13 | 83 |
|
| 96 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
|
|
|
|
|
|
|
|
|
|
8 | Total |
|
|
| 196 | 186 | 2,147 | 1,808 | 0 |
| 4,337 |
p
Semi-annual | The CCR4 table on the following pages provides a breakdown of the key parameters used for the calculation of capital requirements under the A-IRB approach across Swiss Financial Market Supervisory Authority (FINMA)-defined asset classes. Compared with 31 December 2021, exposure at default (EAD) post-credit risk mitigation (CRM) decreased by USD 0.5bn to USD 112.1bn across the various asset classes. RWA increased by USD 3.0bn to USD 35.2bn.
In the Central governments and central banks asset class, EAD post-CRM decreased by USD 2.1bn to USD 8.5bn and RWA decreased by USD 0.2bn to USD 0.7bn, mainly as a result of lower levels of activity in SFTs in the Investment Bank and Group Functions.
UBS Group | Counterparty credit risk | 23 |
In the Banks and securities dealers asset class, EAD post-CRM increased by USD 1.4bn to USD 24.0bn and RWA increased by USD 0.5bn to USD 6.4bn, primarily reflecting market-driven movements on foreign currency and interest rate contracts.
In the Public-sector entities and multi-lateral development banks asset class, EAD post-CRM increased by USD 0.1bn to USD 0.6bn and RWA remained unchanged at USD 0.1bn.
In the Corporates: including specialized lending asset class, EAD post-CRM decreased by USD 0.4bn to USD 71.9bn, primarily due to exposure decreases in SFTs, mainly as a result of lower levels of client activity in the Investment Bank. RWA increased by USD 2.7bn to USD 27.4bn, primarily driven by the implementation of a new structured margin lending model of USD 1.7bn and the model updates to margin period of risk of USD 1.1bn, as well as the implementation of an exposure-at-default floor of USD 0.3bn for prime brokerage clients, partly offset by a decrease as a result of the aforementioned decrease in exposures.
In the Retail: other retail asset class, EAD post-CRM increased by USD 0.4bn to USD 7.1bn and RWA increased by USD 0.1bn to USD 0.7bn, mainly due to increases in derivatives in Global Wealth Management.
› Refer to the “CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” table in this section of this report for more information about RWA, including details of movements in CCR RWA
› Refer to the “Risk-weighted assets” section of our 31 March 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about RWA in the first quarter of 2022
CCR4: IRB – CCR exposures by portfolio and PD scale | ||||||||
USD m, except where indicated |
| EAD post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years1 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 30.6.22 |
|
| ||||||
0.00 to <0.15 |
| 8,151 | 0.0 | 0.1 | 39.5 | 0.5 | 422 | 5.2 |
0.15 to <0.25 |
| 216 | 0.2 | < 0.1 | 54.1 | 0.3 | 56 | 25.9 |
0.25 to <0.50 |
| 179 | 0.3 | < 0.1 | 97.8 | 1.0 | 172 | 96.4 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 1 | 1.6 | < 0.1 | 65.0 | 1.0 | 1 | 136.2 |
2.50 to <10.00 |
| 0 | 2.6 | < 0.1 | 75.0 | 1.0 | 0 | 228.3 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 8,547 | 0.0 | 0.1 | 41.1 | 0.5 | 652 | 7.6 |
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.21 |
|
| ||||||
0.00 to <0.15 |
| 10,084 | 0.0 | 0.1 | 35.7 | 0.6 | 410 | 4.1 |
0.15 to <0.25 |
| 164 | 0.2 | <0.1 | 66.3 | 0.3 | 52 | 32.1 |
0.25 to <0.50 |
| 368 | 0.3 | <0.1 | 93.4 | 0.7 | 333 | 90.4 |
0.50 to <0.75 |
| 6�� | 0.7 | <0.1 | 100.0 | 1.0 | 9 | 146.2 |
0.75 to <2.50 |
| 2 | 1.6 | <0.1 | 65.0 | 1.0 | 3 | 136.2 |
2.50 to <10.00 |
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 10,624 | 0.0 | 0.1 | 38.2 | 0.6 | 807 | 7.6 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 30.6.22 |
|
| ||||||
0.00 to <0.15 |
| 17,853 | 0.1 | 0.4 | 49.6 | 0.7 | 3,307 | 18.5 |
0.15 to <0.25 |
| 3,565 | 0.2 | 0.2 | 50.1 | 0.7 | 1,310 | 36.7 |
0.25 to <0.50 |
| 1,607 | 0.4 | 0.1 | 53.5 | 0.7 | 790 | 49.1 |
0.50 to <0.75 |
| 411 | 0.6 | < 0.1 | 55.3 | 0.7 | 295 | 71.8 |
0.75 to <2.50 |
| 534 | 1.2 | 0.1 | 55.0 | 0.8 | 583 | 109.3 |
2.50 to <10.00 |
| 53 | 3.9 | < 0.1 | 77.4 | 0.5 | 81 | 151.6 |
10.00 to <100.00 |
| 0 | 19.7 | < 0.1 | 78.0 | 1.0 | 0 | 463.8 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 24,024 | 0.1 | 0.9 | 50.2 | 0.7 | 6,366 | 26.5 |
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.21 |
|
| ||||||
0.00 to <0.15 |
| 16,427 | 0.1 | 0.4 | 49.4 | 0.7 | 2,848 | 17.3 |
0.15 to <0.25 |
| 3,555 | 0.2 | 0.2 | 48.9 | 0.6 | 1,238 | 34.8 |
0.25 to <0.50 |
| 1,587 | 0.4 | 0.2 | 53.5 | 0.7 | 839 | 52.8 |
0.50 to <0.75 |
| 449 | 0.6 | <0.1 | 60.8 | 0.8 | 405 | 90.1 |
0.75 to <2.50 |
| 512 | 1.3 | 0.1 | 44.8 | 0.7 | 481 | 94.0 |
2.50 to <10.00 |
| 56 | 3.4 | <0.1 | 76.4 | 0.7 | 103 | 184.5 |
10.00 to <100.00 |
| 0 | 22.0 | <0.1 | 45.0 | 1.0 | 0 | 244.7 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 22,586 | 0.2 | 0.9 | 49.8 | 0.7 | 5,915 | 26.2 |
UBS Group | Counterparty credit risk | 24 |
CCR4: IRB – CCR exposures by portfolio and PD scale (continued) | ||||||||
USD m, except where indicated |
| EAD post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years1 | RWA | RWA density in % |
|
|
|
|
|
|
|
|
|
Public-sector entities and multi-lateral development banks as of 30.6.22 |
|
| ||||||
0.00 to <0.15 |
| 507 | 0.0 | < 0.1 | 53.0 | 1.1 | 56 | 11.0 |
0.15 to <0.25 |
| 93 | 0.2 | < 0.1 | 46.5 | 1.2 | 24 | 26.2 |
0.25 to <0.50 |
| 0 | 0.4 | < 0.1 | 100.0 | 1.0 | 0 | 81.4 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
| 0 | 1.9 | < 0.1 | 5.0 | 1.0 | 0 | 8.9 |
2.50 to <10.00 |
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 600 | 0.0 | < 0.1 | 52.0 | 1.1 | 81 | 13.4 |
|
|
|
|
|
|
|
|
|
Public-sector entities and multi-lateral development banks as of 31.12.21 |
|
| ||||||
0.00 to <0.15 |
| 383 | 0.0 | <0.1 | 69.8 | 1.2 | 76 | 19.8 |
0.15 to <0.25 |
| 117 | 0.2 | <0.1 | 27.5 | 1.4 | 18 | 15.5 |
0.25 to <0.50 |
| 0 | 0.4 | <0.1 | 100.0 | 1.0 | 0 | 81.5 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
0.75 to <2.50 |
|
|
|
|
|
|
|
|
2.50 to <10.00 |
| 0 | 2.7 | <0.1 | 5.0 | 1.0 | 0 | 9.8 |
10.00 to <100.00 |
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 501 | 0.1 | 0.0 | 60.0 | 1.2 | 94 | 18.8 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 30.6.222 |
|
| ||||||
0.00 to <0.15 |
| 48,067 | 0.0 | 12.5 | 34.2 | 0.5 | 6,514 | 13.6 |
0.15 to <0.25 |
| 10,276 | 0.2 | 2.1 | 53.6 | 0.6 | 5,976 | 58.2 |
0.25 to <0.50 |
| 3,173 | 0.4 | 0.6 | 85.2 | 0.7 | 4,450 | 140.3 |
0.50 to <0.75 |
| 2,363 | 0.6 | 0.6 | 68.9 | 0.5 | 4,114 | 174.1 |
0.75 to <2.50 |
| 5,689 | 1.3 | 1.1 | 28.4 | 0.5 | 4,085 | 71.8 |
2.50 to <10.00 |
| 2,284 | 4.1 | 0.1 | 19.5 | 1.5 | 2,234 | 97.8 |
10.00 to <100.00 |
| 2 | 13.4 | < 0.1 | 63.3 | 1.0 | 14 | 755.8 |
100.00 (default) |
| 10 | 100.0 | < 0.1 |
| 2.4 | 10 | 106.0 |
Subtotal |
| 71,864 | 0.3 | 17.1 | 39.5 | 0.6 | 27,398 | 38.1 |
|
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.212 |
|
| ||||||
0.00 to <0.15 |
| 48,743 | 0.0 | 11.5 | 33.8 | 0.5 | 6,173 | 12.7 |
0.15 to <0.25 |
| 7,935 | 0.2 | 2.1 | 54.1 | 0.6 | 4,574 | 57.6 |
0.25 to <0.50 |
| 3,337 | 0.4 | 0.7 | 86.1 | 0.7 | 4,767 | 142.9 |
0.50 to <0.75 |
| 2,799 | 0.6 | 0.7 | 44.4 | 0.5 | 3,006 | 107.4 |
0.75 to <2.50 |
| 7,748 | 1.2 | 1.2 | 23.4 | 0.4 | 4,781 | 61.7 |
2.50 to <10.00 |
| 1,655 | 2.9 | 0.2 | 17.7 | 0.5 | 1,372 | 82.9 |
10.00 to <100.00 |
| 0 | 13.0 | <0.1 | 50.0 | 1.0 | 0 | 424.9 |
100.00 (default) |
| 20 | 100.0 | <0.1 |
| 2.4 | 20 | 102.6 |
Subtotal |
| 72,236 | 0.3 | 16.2 | 37.3 | 0.5 | 24,693 | 34.2 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.224 |
|
| ||||||
0.00 to <0.15 |
| 5,658 | 0.0 | 17.7 | 28.7 |
| 253 | 4.5 |
0.15 to <0.25 |
| 290 | 0.2 | 1.0 | 27.5 |
| 35 | 12.0 |
0.25 to <0.50 |
| 364 | 0.4 | 1.2 | 39.0 |
| 106 | 29.0 |
0.50 to <0.75 |
| 185 | 0.6 | 0.7 | 28.0 |
| 55 | 29.6 |
0.75 to <2.50 |
| 495 | 1.1 | 1.0 | 28.2 |
| 192 | 38.9 |
2.50 to <10.00 |
| 108 | 3.2 | 0.2 | 32.5 |
| 66 | 60.9 |
10.00 to <100.00 |
| 11 | 21.7 | < 0.1 | 21.3 |
| 7 | 60.7 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 7,110 | 0.2 | 21.9 | 29.2 |
| 713 | 10.0 |
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.21 |
|
| ||||||
0.00 to <0.15 |
| 5,534 | 0.0 | 12.8 | 28.3 |
| 253 | 4.6 |
0.15 to <0.25 |
| 126 | 0.2 | 0.1 | 24.9 |
| 13 | 10.5 |
0.25 to <0.50 |
| 168 | 0.3 | 0.2 | 35.2 |
| 45 | 27.0 |
0.50 to <0.75 |
| 123 | 0.6 | 0.1 | 30.0 |
| 51 | 41.4 |
0.75 to <2.50 |
| 684 | 1.0 | 8.3 | 29.0 |
| 262 | 38.3 |
2.50 to <10.00 |
| 52 | 3.1 | <0.1 | 28.9 |
| 25 | 49.2 |
10.00 to <100.00 |
| 9 | 13.9 | <0.1 | 31.9 |
| 7 | 74.6 |
100.00 (default) |
|
|
|
|
|
|
|
|
Subtotal |
| 6,696 | 0.2 | 21.6 | 28.5 |
| 657 | 9.8 |
|
|
|
|
|
|
|
|
|
Total 30.6.22 |
| 112,146 | 0.3 | 40.0 | 41.3 | 0.63 | 35,209 | 31.4 |
Total 31.12.21 |
| 112,644 | 0.2 | 39.0 | 39.5 | 0.53 | 32,166 | 28.6 |
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. 4 From 30 June 2022 onward, we have refined the limit information for Lombard trading clients, which resulted in a change in the distribution of the numbers of obligors by probability of default range. | ||||||||
p
UBS Group | Counterparty credit risk | 25 |
Semi-annual | The CCR5 table below presents a breakdown of collateral posted or received relating to counterparty credit risk exposures from derivative transactions or SFTs.
Compared with 31 December 2021, the fair value of collateral received for derivatives increased by USD 11.9bn to USD 85.4bn, and the fair value of collateral posted increased by USD 6.3bn to USD 63.3bn, mainly in the Investment Bank’s Global Markets business primarily following an increase in replacement values as a result of higher foreign-exchange and rates volatility in the first half of 2022.
The fair value of collateral received for SFTs decreased by USD 101.8bn to USD 557.8bn, and the fair value of collateral posted for SFTs decreased by USD 54.4bn to USD 419.2bn, primarily driven by lower levels of client activity related to equity securities and sovereign debt in Group Treasury and the Investment Bank.
CCR5: Composition of collateral for CCR exposure1 | ||||||||||||
|
| Collateral used in derivative transactions |
| Collateral used in SFTs | ||||||||
|
| Fair value of collateral received |
| Fair value of posted collateral |
| Fair value of collateral received |
| Fair value of posted collateral | ||||
USD m |
| Segregated2 | Unsegregated | Total |
| Segregated3 | Unsegregated | Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.22 |
|
| ||||||||||
Cash – domestic currency4 |
| 3,133 | 28,749 | 31,883 |
| 2,022 | 18,526 | 20,548 |
| 35,345 |
| 62,856 |
Cash – other currencies4 |
| 0 | 24,222 | 24,222 |
| 6,124 | 17,081 | 23,205 |
| 13,788 |
| 25,848 |
Sovereign debt |
| 6,900 | 11,566 | 18,466 |
| 2,620 | 9,865 | 12,485 |
| 210,988 |
| 147,333 |
Other debt securities |
| 1,357 | 2,751 | 4,108 |
| 140 | 2,217 | 2,357 |
| 66,098 |
| 33,899 |
Equity securities |
| 6,425 | 309 | 6,734 |
| 2,704 | 1,978 | 4,682 |
| 231,573 |
| 149,238 |
Total |
| 17,815 | 67,598 | 85,413 |
| 13,609 | 49,668 | 63,276 |
| 557,792 |
| 419,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
| ||||||||||
Cash – domestic currency4 |
| 1,856 | 18,833 | 20,689 |
| 2,265 | 12,138 | 14,403 |
| 28,985 |
| 68,484 |
Cash – other currencies4 |
| 0 | 21,755 | 21,755 |
| 3,051 | 13,167 | 16,218 |
| 11,330 |
| 30,603 |
Sovereign debt |
| 6,943 | 9,579 | 16,522 |
| 7,435 | 8,214 | 15,649 |
| 249,209 |
| 166,892 |
Other debt securities |
| 1,312 | 3,500 | 4,812 |
| 203 | 745 | 947 |
| 74,238 |
| 36,152 |
Equity securities |
| 9,466 | 268 | 9,735 |
| 3,070 | 6,695 | 9,765 |
| 295,834 |
| 171,492 |
Total |
| 19,578 | 53,935 | 73,513 |
| 16,023 | 40,959 | 56,982 |
| 659,595 |
| 473,623 |
1 This table includes collateral received and posted with and without the right of rehypothecation, but excludes securities placed with central banks related to undrawn credit lines and for payment, clearing and settlement purposes for which there were no associated liabilities or contingent liabilities. 2 Includes collateral received in derivative transactions, primarily initial margins, that is placed with a third-party custodian and to which UBS has access only in the event of counterparty default. 3 Includes collateral posted to central counterparties, where we apply a 0% risk weight for trades that we have entered into on behalf of a client and where the client has signed a legally enforceable agreement stipulating that the default risk of that central counterparty is carried by the client. Furthermore, it includes posted collateral, which is held in a segregated, bankruptcy-remote account and is therefore not considered in the determination of the net independent collateral amount. 4 Cash collateral received and posted for derivatives and SFTs are subject to netting recognized on the IFRS balance sheet. | ||||||||||||
p
Semi-annual | The CCR6 table below presents an overview of credit risk protection bought or sold through credit derivatives.
Compared with 31 December 2021, notionals for credit derivatives increased by USD 2.9bn to USD 59.0bn for protection bought and by USD 6.1bn to USD 52.5bn for protection sold. This was primarily driven by index credit default swaps and single-name credit default swaps, mostly due to higher levels of client activity that resulted from higher market volatility, partly offset by trade compression activity in the Investment Bank and Group Treasury.
CCR6: Credit derivatives exposures | ||||||
|
| 30.6.22 |
| 31.12.21 | ||
USD m |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
Notionals1 |
|
|
|
|
|
|
Single-name credit default swaps |
| 25,060 | 27,314 |
| 24,167 | 26,431 |
Index credit default swaps |
| 27,769 | 23,566 |
| 25,554 | 18,842 |
Total return swaps |
| 1,821 | 626 |
| 2,354 | 623 |
Credit options |
| 4,325 | 1,000 |
| 4,000 | 500 |
Total notionals |
| 58,975 | 52,506 |
| 56,075 | 46,396 |
Fair values |
|
|
|
|
|
|
Positive fair value (asset) |
| 1,724 | 379 |
| 488 | 937 |
Negative fair value (liability) |
| 505 | 1,325 |
| 1,193 | 570 |
1 Includes notional amounts for client-cleared transactions. | ||||||
p
UBS Group | Counterparty credit risk | 26 |
Counterparty credit risk risk-weighted assets
Quarterly | The CCR7 table below presents a flow statement explaining changes in counterparty credit risk RWA determined under the IMM for derivatives and the VaR approach for SFTs.
CCR RWA on derivatives under the IMM decreased by USD 0.7bn to USD 17.8bn during the second quarter of 2022, primarily due to currency effects.
CCR RWA on SFTs under the VaR approach increased by USD 0.6bn to USD 10.3bn during the second quarter of 2022. Model updates resulted in increases of USD 1.0bn, mainly related to updates to the margin period of risk for prime brokerage clients, as well as increases in regulatory add-ons of USD 0.3bn, related to the implementation of an exposure-at-default floor of USD 0.3bn for prime brokerage clients. These increases were partly offset by asset size decreases of USD 0.3bn, mainly due to lower levels of client activity, as well as decreases in currency effects of USD 0.2bn.
› Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the “Credit risk” section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR) | |||||||||
|
| For the quarter ended 30.6.22 |
| For the quarter ended 31.3.22 | |||||
USD m |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total | |
|
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
1 | RWA as of the beginning of the quarter |
| 18,480 | 9,625 | 28,105 |
| 17,506 | 8,854 | 26,360 |
2 | Asset size |
| (35) | (339) | (374) |
| 1,049 | 828 | 1,877 |
3 | Credit quality of counterparties |
| 16 | (95) | (79) |
| 54 | 4 | 59 |
4 | Model updates |
| 87 | 980 | 1,067 |
| 14 |
| 14 |
5 | Methodology and policy |
|
| 294 | 294 |
|
|
|
|
5a | of which: regulatory add-ons |
|
| 294 | 294 |
|
|
|
|
6 | Acquisitions and disposals |
|
|
|
|
|
|
|
|
7 | Foreign exchange movements |
| (762) | (203) | (965) |
| (143) | (61) | (204) |
8 | Other |
|
|
|
|
|
|
|
|
9 | RWA as of the end of the quarter |
| 17,786 | 10,263 | 28,049 |
| 18,480 | 9,625 | 28,105 |
p
Semi-annual | The CCR8 table below presents a breakdown of exposures to central counterparties and related RWA. Compared with 31 December 2021, exposures to qualifying central counterparties (QCCPs) increased by USD 4.8bn to USD 68.3bn, primarily due to market movements.
CCR8: Exposures to central counterparties | |||||
| 30.6.22 | 31.12.21 | |||
USD m | EAD (post-CRM) | RWA | EAD (post-CRM) | RWA | |
1 | Exposures to QCCPs (total)1 | 68,346 | 1,568 | 63,590 | 1,667 |
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | 32,778 | 552 | 31,939 | 499 |
3 | (i) OTC derivatives | 2,291 | 42 | 2,209 | 41 |
4 | (ii) Exchange-traded derivatives | 25,195 | 405 | 25,022 | 365 |
5 | (iii) Securities financing transactions | 5,292 | 106 | 4,708 | 94 |
6 | (iv) Netting sets where cross-product netting has been approved |
|
|
|
|
7 | Segregated initial margin |
|
|
|
|
8 | Non-segregated initial margin2 | 33,754 | 238 | 29,187 | 150 |
9 | Pre-funded default fund contributions | 1,813 | 778 | 2,464 | 1,017 |
10 | Unfunded default fund contributions |
|
|
|
|
11 | Exposures to non-QCCPs (total) | 252 | 438 | 379 | 601 |
12 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which | 215 | 215 | 311 | 311 |
13 | (i) OTC derivatives |
|
| 1 | 1 |
14 | (ii) Exchange-traded derivatives | 201 | 201 | 236 | 236 |
15 | (iii) Securities financing transactions | 14 | 14 | 74 | 74 |
16 | (iv) Netting sets where cross-product netting has been approved |
|
|
|
|
17 | Segregated initial margin |
|
|
|
|
18 | Non-segregated initial margin2 | 8 | 8 | 48 | 48 |
19 | Pre-funded default fund contributions | 15 | 51 | 8 | 104 |
20 | Unfunded default fund contributions | 13 | 164 | 11 | 138 |
1 Qualifying central counterparties (QCCPs) are entities licensed by regulators to operate as CCPs and meet the requirements outlined in FINMA Circular 2017/7. 2 Exposures associated with initial margin, where the exposures are measured under the IMM or the VaR approach, have been included within the exposures for trades (refer to line 2 for QCCPs and line 12 for non-QCCPs). The exposures for non-segregated initial margin (refer to line 8 for QCCPs and line 18 for non-QCCPs), i.e., not bankruptcy-remote in accordance with FINMA Circular 2017/7, reflect the replacement costs under SA-CCR multiplied by an alpha factor of 1.4. The RWA reflect the exposure multiplied by the applied risk weight of derivatives. Under SA-CCR, collateral posted to a segregated, bankruptcy-remote account does not increase the value of replacement costs. | |||||
p
UBS Group | Counterparty credit risk | 27 |
Securitization exposures in the banking and trading book
Semi-annual | The ”Securitization exposures in the banking and trading book and associated regulatory capital requirements” table outlines the carrying values in the banking and trading books as of 30 June 2022 and 31 December 2021. For synthetic securitization transactions, the amounts disclosed reflect the net exposure amounts of the securitized exposures. The table also shows the risk-weighted assets (the RWA) from securitization and the capital charge after application of the revised securitization framework caps. The semi-annual securitization disclosures (SEC1–SEC4) have been condensed into the aforementioned form based on materiality. p
› Refer to our 31 December 2020 and 31 December 2021 Pillar 3 Reports, available under “Pillar 3 disclosures” at ubs.com/investors, for more information on the definition of securitization and our role in securitization transactions
Development of securitization exposures in the first half of 2022
Semi-annual | Compared with 31 December 2021, securitization exposures in the banking book increased by USD 220m, primarily due to wholesale exposures where UBS acts as an investor. RWA related to securitization exposures in the banking book decreased by USD 166m due to the repayment of retail exposures in our Non-core and Legacy Portfolio within Group Functions, which we continue to wind down. The securitization exposures in the trading book decreased by USD 176m, mainly related to secondary trading in commercial mortgage-backed securities in the Investment Bank.
Securitization exposures in the banking and trading book and associated regulatory capital requirements | ||||||
USD m |
| Carrying value/EAD |
| RWA |
| Total capital charge after cap |
|
|
|
|
|
|
|
30.6.22 | ||||||
Asset Classes – Banking Book1 |
|
|
|
|
|
|
Retail |
| 2 |
| 20 |
| 2 |
Wholesale |
| 941 |
| 189 |
| 15 |
Re-securitization |
| 0 |
| 0 |
| 0 |
Total Banking Book |
| 943 |
| 209 |
| 17 |
of which: UBS acts as investor |
| 943 |
| 209 |
| 17 |
of which: UBS acts as originator and / or sponsor |
| 0 |
| 0 |
| 0 |
Asset Classes – Trading Book |
|
|
|
|
|
|
Retail |
| 24 |
| 108 |
| 9 |
Wholesale |
| 333 |
| 423 |
| 34 |
Re-securitization |
| 7 |
| 84 |
| 7 |
Total Trading Book |
| 364 |
| 615 |
| 49 |
Total |
| 1,307 |
| 824 |
| 66 |
|
|
|
|
|
|
|
31.12.21 | ||||||
Asset Classes – Banking Book1 |
|
|
|
|
|
|
Retail |
| 36 |
| 256 |
| 20 |
Wholesale |
| 686 |
| 119 |
| 10 |
Re-securitization |
| 0 |
| 0 |
| 0 |
Total Banking Book |
| 723 |
| 375 |
| 30 |
of which: UBS acts as investor |
| 688 |
| 141 |
| 11 |
of which: UBS acts as originator and / or sponsor |
| 35 |
| 234 |
| 19 |
Asset Classes – Trading Book |
|
|
|
|
|
|
Retail |
| 56 |
| 113 |
| 9 |
Wholesale |
| 476 |
| 447 |
| 36 |
Re-securitization |
| 8 |
| 92 |
| 7 |
Total Trading Book |
| 540 |
| 652 |
| 52 |
Total |
| 1,263 |
| 1,027 |
| 82 |
1 Of the securitization exposures in the banking book, 99.6% carried a risk weighting of up to 100% as of 30 June 2022 (31 December 2021: 95.0%). | ||||||
p
UBS Group | Securitizations | 28 |
Semi-annual | The amount of capital required to underpin market risk in the regulatory trading book is calculated using a variety of methods approved by the Swiss Financial Market Supervisory Authority (FINMA). The components contributing to market risk risk-weighted assets (RWA) are value-at-risk (VaR), stressed value-at-risk (SVaR), an add-on for risks that are potentially not fully modeled in VaR (risks not in VaR, or RniV), the incremental risk charge (IRC) and the securitization framework for securitization positions in the trading book. p
› Refer to the “Market risk” and “Securitizations” sections of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about each of these components
Market risk risk-weighted assets
Market risk RWA development in the second quarter of 2022
Quarterly | The three main components that contribute to market risk RWA are VaR, SVaR and IRC. The VaR and SVaR components include the RWA charge for RniV.
The MR2 table below provides a breakdown of the movement in market risk RWA in the second quarter of 2022 under an internal models approach across those components, pursuant to the movement categories defined by the Basel Committee on Banking Supervision (the BCBS). These categories are described in the “Market risk” section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors.
Market risk RWA under an internal models approach increased by USD 1.6bn to USD 14.9bn in the second quarter of 2022, mainly due to an 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 continued market volatility from the previous quarter, as well as an increase in regulatory add-ons that reflected updates from the monthly RniV assessment. This was partially offset by a decrease primarily driven by the introduction of a VaR model change. The integration of time decay into the regulatory VaR model is subject to further discussions between FINMA and UBS.
The FINMA VaR multiplier derived from backtesting exceptions for market risk RWA was unchanged compared with the prior quarter, at 3.0.
MR2: RWA flow statements of market risk exposures under an IMA1 | |||||||
USD m | 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 | RWA as of 31.3.22 | 4,364 | 7,345 | 1,635 |
|
| 13,344 |
1a | Regulatory adjustment | (1,985) | (4,227) | (66) |
|
| (6,279) |
1b | RWA at previous quarter-end (end of day) | 2,379 | 3,118 | 1,569 |
|
| 7,065 |
2 | Movement in risk levels | (1,002) | (426) | 140 |
|
| (1,288) |
3 | Model updates / changes | 5 | (41) | 0 |
|
| (36) |
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 | 82 | 176 | 0 |
|
| 258 |
8a | RWA at the end of the reporting period (end of day) | 1,464 | 2,827 | 1,709 |
|
| 5,999 |
8b | Regulatory adjustment | 3,493 | 5,404 | 0 |
|
| 8,897 |
8c | RWA as of 30.6.22 | 4,956 | 8,231 | 1,709 |
|
| 14,896 |
1 Components that describe movements in RWA are presented in italics. | |||||||
p
UBS Group | Market risk | 29 |
Securitization positions in the trading book
Semi-annual | Our exposure to securitization positions in the trading book includes exposures arising from secondary trading in commercial mortgage-backed securities in the Investment Bank, and limited positions in the Non-core and Legacy Portfolio within Group Functions that we continue to wind down.
Securitization exposures in the trading book is the only relevant disclosure component of market risk under the standardized approach. Securitization exposures subject to market risk RWA decreased by USD 176m to USD 354m as of 30 June 2022. p
› Refer to the “Securitizations” section of this report for more information about the securitization exposures in the trading book
Regulatory calculation of market risk
Semi-annual | The MR3 table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the IRC and the comprehensive risk capital charge. Since the second quarter of 2019, we have not held eligible correlation trading positions.
During the first half of 2022, 10-day 99% regulatory VaR and SVaR increased, driven by heightened market volatility compared with the second half of 2021.
MR3: IMA values for trading portfolios | |||
| For the six-month period ended 30.6.22 | For the six-month period ended 31.12.21 | |
USD m |
|
| |
| VaR (10-day 99%) |
|
|
1 | Maximum value | 152 | 130 |
2 | Average value | 92 | 80 |
3 | Minimum value | 30 | 9 |
4 | Period end | 52 | 21 |
| Stressed VaR (10-day 99%) |
|
|
5 | Maximum value | 191 | 197 |
6 | Average value | 127 | 127 |
7 | Minimum value | 45 | 29 |
8 | Period end | 164 | 40 |
| Incremental risk charge (99.9%) |
|
|
9 | Maximum value | 155 | 232 |
10 | Average value | 119 | 130 |
11 | Minimum value | 75 | 98 |
12 | Period end | 137 | 111 |
| Comprehensive risk capital charge (99.9%) |
|
|
13 | Maximum value |
|
|
14 | Average value |
|
|
15 | Minimum value |
|
|
16 | Period end |
|
|
17 | Floor (standardized measurement method) |
|
|
p
UBS Group | Market risk | 30 |
MR4: Comparison of VaR estimates with gains/losses
Semi-annual | VaR backtesting is a performance measurement process in which a 1-day VaR prediction is compared with the realized 1-day profit or loss (P&L). We compute backtesting VaR using a 99% confidence level and 1-day holding period for the regulatory VaR population. Since 99% VaR at UBS is defined as a risk measure that operates on the lower tail of the P&L distribution, 99% backtesting VaR is a negative number. Backtesting revenues exclude non-trading revenues, such as valuation reserves, fees and commissions, and revenues from intraday trading, to provide for a like-for-like comparison. A backtesting exception occurs when backtesting revenues are lower than the previous day’s backtesting VaR.
Statistically, given the 99% confidence level, 2 or 3 backtesting exceptions a year can be expected. More than 4 exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a long period. However, as noted under “VaR limitations” in the “Risk management and control” section of our Annual Report 2021, a sudden increase (or decrease) in market volatility relative to the five-year window could lead to a higher (or lower) number of exceptions. Therefore Group-level backtesting exceptions are investigated, as are exceptional positive backtesting revenues, with the results reported to senior business management, the Group Chief Risk Officer and the Group Chief Market & Treasury Risk Officer. Internal and external auditors and relevant regulators are also informed of backtesting exceptions.
The “Group: development of regulatory backtesting revenues and actual trading revenues against backtesting VaR” chart below shows the 12-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for the first half of 2022. The chart shows both the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is due to the long gamma risk profile historically run in the Investment Bank.
The actual trading revenues include backtesting and intraday revenues.
There were no new Group VaR negative backtesting exceptions in the first half of 2022, and the total number of negative backtesting exceptions within the most recent 250-business-day window decreased to 1 from 2. As these backtesting exceptions remained below 5, the FINMA VaR multiplier used to compute regulatory and stressed VaR RWA remained unchanged at 3 throughout the period.
p
UBS Group | Market risk | 31 |
Going and gone concern requirements and eligible capital
Quarterly | 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).
› Refer to the “Capital management” section of our second quarter 2022 report, available under ”Quarterly reporting” at ubs.com/investor, for more information about capital management
Swiss SRB going and gone concern requirements and information | ||||||
As of 30.6.22 |
| RWA |
| LRD | ||
USD m, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 45,207 |
| 5.001 | 51,271 |
Common equity tier 1 capital |
| 10.02 | 31,633 |
| 3.502 | 35,890 |
of which: minimum capital |
| 4.50 | 14,206 |
| 1.50 | 15,381 |
of which: buffer capital |
| 5.50 | 17,363 |
| 2.00 | 20,508 |
of which: countercyclical buffer |
| 0.02 | 64 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 13,574 |
| 1.50 | 15,381 |
of which: additional tier 1 capital |
| 3.50 | 11,049 |
| 1.50 | 15,381 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,525 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 18.98 | 59,907 |
| 5.84 | 59,907 |
Common equity tier 1 capital |
| 14.19 | 44,798 |
| 4.37 | 44,798 |
Total loss-absorbing additional tier 1 capital3 |
| 4.79 | 15,108 |
| 1.47 | 15,108 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.40 | 13,889 |
| 1.35 | 13,889 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.39 | 1,219 |
| 0.12 | 1,219 |
|
|
|
|
|
|
|
Required gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity4 |
| 10.77 | 34,011 |
| 3.78 | 38,756 |
of which: base requirement5 |
| 12.86 | 40,597 |
| 4.50 | 46,144 |
of which: additional requirement for market share and LRD |
| 1.44 | 4,546 |
| 0.50 | 5,127 |
of which: applicable reduction on requirements |
| (3.53) | (11,132) |
| (1.22) | (12,515) |
of which: rebate granted6 |
| (3.14) | (9,897) |
| (1.10) | (11,280) |
of which: reduction for usage of low-trigger tier 2 capital instruments |
| (0.39) | (1,236) |
| (0.12) | (1,236) |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 14.68 | 46,342 |
| 4.52 | 46,342 |
Total tier 2 capital |
| 0.95 | 3,009 |
| 0.29 | 3,009 |
of which: low-trigger loss-absorbing tier 2 capital |
| 0.78 | 2,471 |
| 0.24 | 2,471 |
of which: non-Basel III-compliant tier 2 capital |
| 0.17 | 538 |
| 0.05 | 538 |
TLAC-eligible senior unsecured debt |
| 13.73 | 43,333 |
| 4.23 | 43,333 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 25.09 | 79,218 |
| 8.78 | 90,027 |
Eligible total loss-absorbing capacity |
| 33.66 | 106,248 |
| 10.36 | 106,248 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 315,685 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 1,025,422 |
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%. 6 Based on the actions we completed up to December 2021 to improve resolvability, FINMA granted an increase in the rebate on the gone concern requirement from 55.0% to 65.0% of the maximum rebate, effective from 1 July 2022. | ||||||
UBS Group | Going and gone concern requirements and eligible capital | 32 |
Semi-annual | The CCyB1 table below provides details of the underlying exposures and risk-weighted assets (RWA) used in the computation of the countercyclical capital buffer (CCyB) requirement applicable to UBS Group AG consolidated. There were no changes in the countercyclical buffer requirement during the first half of 2022.
› Refer to the “Risk management and control” section of our Annual Report 2021, available under ”Annual reporting” at ubs.com/investors, for further information about the methodology of geographical allocation used
CCyB1: Geographical distribution of credit exposures used in the countercyclical capital buffer | |||||
USD m, except where indicated | 30.6.22 | ||||
Geographical breakdown | Countercyclical capital buffer rate, % | Exposure values and / or risk-weighted assets used in the computation of the countercyclical capital buffer | Bank-specific countercyclical capital buffer rate, % | Countercyclical amount | |
Exposure values1 | Risk-weighted assets | ||||
Hong Kong SAR | 1.00 | 7,527 | 2,149 |
|
|
Luxembourg | 0.50 | 19,651 | 4,122 |
|
|
Sum |
| 27,177 | 6,271 |
|
|
Total |
| 643,482 | 206,583 | 0.02 | 64 |
1 Includes private sector exposures in the countries that are Basel Committee on Banking Supervision member jurisdictions under the following categories: “Credit risk,” “Counterparty credit risk,” “Equity positions in the banking book,” “Settlement risk,” “Securitization exposures in the banking book” and “Amounts below thresholds for deduction.” | |||||
p
Explanation of the differences between the IFRS and regulatory scopes of consolidation
Semi-annual | As of 30 June 2022, UBS Asset Management Life Ltd (total assets on a standalone basis as of 30 June 2022: USD 14,537m; total equity on a standalone basis as of 30 June 2022: USD 26m) represented the most significant entity that was included in the IFRS scope of consolidation but not in the regulatory scope of consolidation. This life insurance entity accounts for most of the difference between the “Balance sheet in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the CC2 table. Such difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 30 June 2022, entities consolidated under either IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.
In the banking book, certain equity investments are not consolidated under either the IFRS or the regulatory scope. As of 30 June 2022, these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, and stock and financial futures exchanges) and included our participation in SIX Group. These investments are risk-weighted based on applicable threshold rules. p
› Refer to the “Our evolution” section and “Note 1 Summary of material accounting policies” in the “Consolidated financial statements” section, respectively, of our Annual Report 2021, available under “Annual reporting” at ubs.com/investors, for more information about the legal structure of UBS Group and the IFRS scope of consolidation
› Refer to the “Linkage between financial statements and regulatory exposures” section of our 31 December 2021 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about differences between the IFRS and regulatory scopes of consolidation
UBS Group | Going and gone concern requirements and eligible capital | 33 |
Semi-annual | The CC2 table below and on the following page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (the BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “CC1: Composition of regulatory capital” table.
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation | |||||
As of 30.6.22 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated or proportionally consolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | References1 |
USD m |
|
|
|
|
|
Assets |
|
|
|
|
|
Cash and balances at central banks | 190,353 | 0 |
| 190,353 |
|
Loans and advances to banks | 16,596 | (90) |
| 16,506 |
|
Receivables from securities financing transactions | 63,291 | (18) |
| 63,273 |
|
Cash collateral receivables on derivative instruments | 43,763 |
|
| 43,763 |
|
Loans and advances to customers | 383,898 | 42 |
| 383,939 |
|
Other financial assets measured at amortized cost | 37,528 | (85) |
| 37,443 |
|
Total financial assets measured at amortized cost | 735,428 | (152) |
| 735,276 |
|
Financial assets at fair value held for trading | 99,507 | 1 |
| 99,507 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties | 33,830 |
|
| 33,830 |
|
Derivative financial instruments | 160,524 | 20 |
| 160,544 |
|
Brokerage receivables | 19,289 |
|
| 19,289 |
|
Financial assets at fair value not held for trading | 57,637 | (14,352) |
| 43,285 |
|
Total financial assets measured at fair value through profit or loss | 336,957 | (14,331) |
| 322,626 |
|
Financial assets measured at fair value through other comprehensive income | 2,251 | (36) |
| 2,215 |
|
Investments in associates | 1,094 | 48 |
| 1,142 |
|
of which: goodwill | 22 |
|
| 22 | 4 |
Property, equipment and software | 12,049 | (47) |
| 12,002 |
|
Goodwill and intangible assets | 6,312 | (71) |
| 6,241 |
|
of which: goodwill | 6,065 |
|
| 6,065 | 4 |
of which: intangible assets | 247 | (71) |
| 177 | 5 |
Deferred tax assets | 9,119 | (3) |
| 9,116 |
|
of which: deferred tax assets recognized for tax loss carry-forwards | 4,296 | (7) |
| 4,288 | 6 |
of which: deferred tax assets on temporary differences | 4,823 | 4 |
| 4,828 | 10 |
Other non-financial assets | 9,984 | (5) |
| 9,979 |
|
of which: net defined benefit pension and other post-employment assets | 533 |
|
| 533 | 8 |
Total assets | 1,113,193 | (14,597) |
| 1,098,596 |
|
|
|
|
|
|
|
UBS Group | Going and gone concern requirements and eligible capital | 34 |
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
As of 30.6.22 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated or proportionally consolidated entities for regulatory consolidation | Effect of additional consolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of consolidation | References1 |
USD m |
|
|
|
|
|
Liabilities |
|
|
|
|
|
Amounts due to banks | 15,202 |
|
| 15,202 |
|
Payables from securities financing transactions | 5,956 |
|
| 5,956 |
|
Cash collateral payables on derivative instruments | 40,468 |
|
| 40,468 |
|
Customer deposits | 512,216 | 19 |
| 512,235 |
|
Debt issued measured at amortized cost | 121,896 | 0 |
| 121,896 |
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital | 12,076 |
|
| 12,076 | 9 |
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital | 1,219 |
|
| 1,219 | 9 |
of which: amount eligible for low-trigger loss-absorbing tier 2 capital | 4,471 |
|
| 4,471 | 11 |
Other financial liabilities measured at amortized cost | 9,930 | 14 |
| 9,944 |
|
Total financial liabilities measured at amortized cost | 705,669 | 33 |
| 705,702 |
|
Financial liabilities at fair value held for trading | 30,450 |
|
| 30,450 |
|
Derivative financial instruments | 156,888 | 14 |
| 156,902 |
|
Brokerage payables designated at fair value | 49,798 |
|
| 49,798 |
|
Debt issued designated at fair value | 72,264 | 1 |
| 72,265 |
|
Other financial liabilities designated at fair value | 28,566 | (14,503) |
| 14,063 |
|
Total financial liabilities measured at fair value through profit or loss | 337,966 | (14,488) |
| 323,478 |
|
Provisions | 3,465 | (1) |
| 3,464 |
|
Other non-financial liabilities | 8,910 | (4) |
| 8,906 |
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP)) 2 | 1,311 |
|
| 1,311 | 9 |
of which: deferred tax liabilities related to goodwill | 309 |
|
| 309 | 4 |
of which: deferred tax liabilities related to other intangible assets | 3 |
|
| 3 | 5 |
Total liabilities | 1,056,010 | (14,461) |
| 1,041,549 |
|
Equity |
|
|
|
|
|
Share capital | 304 |
|
| 304 | 1 |
Share premium | 13,202 |
|
| 13,202 | 1 |
Treasury shares | (4,412) |
|
| (4,412) | 3 |
Retained earnings | 46,598 | (8) |
| 46,591 | 2 |
Other comprehensive income recognized directly in equity, net of tax | 1,152 | 10 |
| 1,162 | 3 |
of which: unrealized gains / (losses) from cash flow hedges | (2,713) |
|
| (2,713) | 7 |
Equity attributable to shareholders | 56,845 | 2 |
| 56,847 |
|
Equity attributable to non-controlling interests | 339 | (138) |
| 201 |
|
Total equity | 57,184 | (136) |
| 57,047 |
|
Total liabilities and equity | 1,113,193 | (14,597) |
| 1,098,596 |
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC1: Composition of regulatory capital” table in this section. 2 IFRS carrying amount of total DCCP liabilities was USD 1,473m as of 30 June 2022. Refer to the “Compensation” section of our Annual Report 2021, available under ”Annual reporting” at ubs.com/investors, for more information about the DCCP. | |||||
p
UBS Group | Going and gone concern requirements and eligible capital | 35 |
Semi-annual | The CC1 table below and on the following pages provides the composition of capital in the format prescribed by the BCBS and FINMA, and is based on BCBS Basel III rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section.
› Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt,” available under “Bondholder information” at ubs.com/investors, for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions
CC1: Composition of regulatory capital | |||
As of 30.6.22 | Amounts | References1 | |
USD m, except where indicated |
|
| |
| Common Equity Tier 1 capital: instruments and reserves |
|
|
1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | 13,506 | 1 |
2 | Retained earnings | 46,591 | 2 |
3 | Accumulated other comprehensive income (and other reserves) | (3,250) | 3 |
4 | Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies) |
|
|
5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) |
|
|
6 | Common Equity Tier 1 capital before regulatory adjustments | 56,847 |
|
| Common Equity Tier 1 capital: regulatory adjustments |
|
|
7 | Prudent valuation adjustments | (211) |
|
8 | Goodwill (net of related tax liability) | (5,776) | 4 |
9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | (174) | 5 |
10 | Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)2 | (4,401) | 6 |
11 | Cash flow hedge reserve | 2,713 | 7 |
12 | Shortfall of provisions to expected losses | (501) |
|
13 | Securitization gain on sale |
|
|
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | (503) |
|
15 | Defined benefit pension fund net assets | (471) | 8 |
16 | Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet) | (1,244) | 9 |
17 | Reciprocal cross-holdings in common equity |
|
|
17a | Qualified holdings where a significant influence is exercised with other owners (CET1 instruments) |
|
|
17b | Immaterial investments (CET1 items) |
|
|
18 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) |
|
|
19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold) |
|
|
20 | Mortgage servicing rights (amount above 10% threshold) |
|
|
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) |
| 10 |
22 | Amount exceeding the 15% threshold |
|
|
23 | of which: significant investments in the common stock of financials |
|
|
24 | of which: mortgage servicing rights |
|
|
25 | of which: deferred tax assets arising from temporary differences |
|
|
26 | Expected losses on equity investment under the PD / LGD approach |
|
|
26a | Further adjustments to financial statements in accordance with a recognized international accounting standard |
|
|
26b | Other adjustments | (1,479)3 |
|
27 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions |
|
|
28 | Total regulatory adjustments to Common Equity Tier 1 | (12,048) |
|
29 | Common Equity Tier 1 capital (CET1) | 44,798 |
|
UBS Group | Going and gone concern requirements and eligible capital | 36 |
CC1: Composition of regulatory capital (continued) | |||
As of 30.6.22 | Amounts | References1 | |
USD m, except where indicated |
|
| |
| Additional Tier 1 capital: instruments |
|
|
30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | 15,108 |
|
31 | of which: classified as equity under applicable accounting standards |
|
|
32 | of which: classified as liabilities under applicable accounting standards | 15,108 |
|
33 | Directly issued capital instruments subject to phase-out from additional Tier 1 |
|
|
34 | Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) |
|
|
35 | of which: instruments issued by subsidiaries subject to phase-out |
|
|
36 | Additional Tier 1 capital before regulatory adjustments | 15,108 |
|
| Additional Tier 1 capital: regulatory adjustments |
|
|
37 | Investments in own additional Tier 1 instruments4 |
|
|
38 | Reciprocal cross-holdings in additional Tier 1 instruments |
|
|
38a | Qualified holdings where a significant influence is exercised with other owners (AT1 instruments) |
|
|
38b | Immaterial investments (AT1 instruments) |
|
|
39 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) |
|
|
40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation |
|
|
41 | Other adjustments |
|
|
42 | Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions |
|
|
42a | Regulatory adjustments applied to CET1 capital due to insufficient additional Tier 1 to cover deductions |
|
|
43 | Total regulatory adjustments to additional Tier 1 capital |
|
|
44 | Additional Tier 1 capital (AT1) | 15,108 | 9 |
45 | Tier 1 capital (T1 = CET1 + AT1) | 59,907 |
|
| Tier 2 capital: instruments and provisions |
|
|
46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | 4945 | 11 |
47 | Directly issued capital instruments subject to phase-out from Tier 2 |
|
|
48 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) |
|
|
49 | of which: instruments issued by subsidiaries subject to phase-out |
|
|
50 | Provisions |
|
|
51 | Tier 2 capital before regulatory adjustments | 494 |
|
| Tier 2 capital: regulatory adjustments |
|
|
52 | Investments in own Tier 2 instruments4 |
| 11 |
53 | Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities |
|
|
53a | Qualified holdings where a significant influence is exercised with other owners (T2 instruments and other TLAC instruments) |
|
|
53b | Immaterial investments (T2 instruments and other TLAC instruments) |
|
|
54 | Investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) |
|
|
55 | Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
56 | Other adjustments |
|
|
56a | Excess of the adjustments, which are allocated to the AT1 capital |
|
|
57 | Total regulatory adjustments to Tier 2 capital |
|
|
58 | Tier 2 capital (T2) | 494 |
|
59 | Total regulatory capital (TC = T1 + T2) | 60,401 |
|
60 | Total risk-weighted assets | 315,685 |
|
| Capital ratios and buffers |
|
|
61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 14.19 |
|
62 | Tier 1 (as a percentage of risk-weighted assets) | 18.98 |
|
63 | Total capital (as a percentage of risk-weighted assets) | 19.13 |
|
64 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)6 | 3.52 |
|
65 | of which: capital conservation buffer requirement | 2.50 |
|
66 | of which: bank-specific countercyclical buffer requirement | 0.02 |
|
67 | of which: higher loss absorbency requirement | 1.00 |
|
68 | Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements | 9.69 |
|
| Amounts below the thresholds for deduction (before risk weighting) |
|
|
72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 1,800 |
|
73 | Significant investments in the common stock of financial entities | 1,106 |
|
74 | Mortgage servicing rights (net of related tax liability) |
|
|
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 4,373 |
|
| Applicable caps on the inclusion of provisions in Tier 2 |
|
|
76 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) |
|
|
77 | Cap on inclusion of provisions in Tier 2 under standardized approach |
|
|
78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) |
|
|
79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach |
|
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section. 2 IFRS netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital. 3 Includes USD 702m in compensation-related charge for regulatory capital purposes. 4 Under IFRS, debt issued and subsequently repurchased is treated as extinguished. 5 Consists of instruments with an IFRS carrying amount of USD 4.5bn less amortization of instruments where remaining maturity is between one and five years, own instruments held and 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income, which are measured at the lower of cost or market value for regulatory capital purposes. 6 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital, liquidity and funding, and balance sheet“ section of our Annual Report 2021, available under ”Annual reporting” at ubs.com/investors, for more information about the Swiss SRB requirements. | |||
p
UBS Group | Going and gone concern requirements and eligible capital | 37 |
Resolution group – composition of total loss-absorbing capacity (TLAC)
Semi-annual | The TLAC1 table below is based on Basel Committee on Banking Supervision (BCBS) rules, and only applicable to UBS Group AG as the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g., a bail-in) are expected to be applied.
In the first half of 2022, our eligible additional tier 1 (AT1) instruments decreased by USD 0.1bn, mainly reflecting the call of a USD 1.1bn-equivalent AT1 capital instrument denominated in euro, as well as interest rate risk hedge, foreign currency translation and other effects, almost entirely offset by two issuances of AT1 capital instruments denominated in US dollars and Swiss francs amounting to USD 1.8bn equivalent.
Our eligible tier 2 instruments decreased by USD 0.7bn to USD 2.5bn as of 30 June 2022, mainly reflecting certain tier 2 capital positions that have been phased out of total capital under BIS rules into gone concern capital and interest rate risk hedge effects.
Non-regulatory capital instruments increased by USD 2.8bn to USD 43.9bn as of 30 June 2022, mainly due to thirteen new issuances of TLAC-eligible senior unsecured debt denominated in US dollars, euro and Australian dollars amounting to USD 10.0bn equivalent, partly offset by two calls of TLAC-eligible unsecured debt denominated in US dollars amounting to USD 3.0bn and interest rate risk hedge, foreign currency translation and other effects.
TLAC1: composition for G-SIBs (at resolution group level) |
| |||
|
| 30.6.22 | 31.12.21 | |
USD m, except where indicated |
|
|
| |
| Regulatory capital elements of TLAC and adjustments |
|
|
|
1 | Common Equity Tier 1 capital (CET1) |
| 44,798 | 45,281 |
2 | Additional Tier 1 capital (AT1) before TLAC adjustments |
| 15,108 | 15,207 |
3 | AT1 ineligible as TLAC as issued out of subsidiaries to third parties |
|
|
|
4 | Other adjustments |
|
|
|
5 | Total AT1 instruments eligible under the TLAC framework |
| 15,108 | 15,207 |
6 | Tier 2 capital (T2) before TLAC adjustments |
| 494 | 1,440 |
7 | Amortized portion of T2 instruments where remaining maturity > 1 year |
| 1,977 | 1,735 |
8 | T2 capital ineligible as TLAC as issued out of subsidiaries to third parties |
|
|
|
9 | Other adjustments |
|
|
|
10 | Total T2 instruments eligible under the TLAC framework |
| 2,471 | 3,174 |
11 | TLAC arising from regulatory capital |
| 62,378 | 63,662 |
| Non-regulatory capital elements of TLAC |
|
|
|
12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities |
|
|
|
13 | External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements |
| 43,333 | 41,120 |
14 | of which: amount eligible as TLAC after application of the caps |
|
|
|
15 | External TLAC instruments issued by funding vehicles prior to 1 January 2022 |
| 538 |
|
16 | Eligible ex ante commitments to recapitalize a G-SIB in resolution |
|
|
|
17 | TLAC arising from non-regulatory capital instruments before adjustments |
| 43,870 | 41,120 |
| Non-regulatory capital elements of TLAC: adjustments |
|
|
|
18 | TLAC before deductions |
| 106,249 | 104,783 |
19 | Deductions of exposures between multiple-point-of-entry (MPE) resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs) |
|
|
|
20 | Deduction of investments in own other TLAC liabilities |
|
|
|
21 | Other adjustments to TLAC |
|
|
|
22 | TLAC after deductions |
| 106,249 | 104,783 |
| Risk-weighted assets and leverage exposure measure for TLAC purposes |
|
|
|
23 | Total risk-weighted assets adjusted as permitted under the TLAC regime |
| 315,685 | 302,209 |
24 | Leverage exposure measure |
| 1,025,422 | 1,068,862 |
| TLAC ratios and buffers |
|
|
|
25 | TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime) |
| 33.66 | 34.67 |
26 | TLAC (as a percentage of leverage exposure) |
| 10.36 | 9.80 |
27 | CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements |
| 9.69 | 10.48 |
28 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) |
| 3.52 | 3.52 |
29 | of which: capital conservation buffer requirement |
| 2.50 | 2.50 |
30 | of which: bank-specific countercyclical buffer requirement |
| 0.02 | 0.02 |
31 | of which: higher loss absorbency requirement |
| 1.00 | 1.00 |
p
UBS Group | Total loss-absorbing capacity | 38 |
Resolution entity – creditor ranking at legal entity level
Semi-annual | The TLAC3 table below provides an overview of the creditor ranking structure of the resolution entity, UBS Group AG, on a standalone basis.
UBS Group AG issues loss-absorbing additional tier 1 capital instruments and TLAC-eligible senior unsecured debt.
UBS Group AG grants Deferred Contingent Capital Plan (DCCP) awards to UBS Group employees which qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,814m as of 30 June 2022 (31 December 2021: USD 1,731m). The related liabilities of UBS Group AG on a standalone basis of USD 1,301m (31 December 2021: USD 1,370m) are not included in the table below, as these do not give rise to any current claims until the awards are legally vested.
As of 30 June 2022, the TLAC available on a UBS Group AG consolidated basis amounted to USD 106,249m (31 December 2021: USD 104,783m).
› Refer to “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors for more information about UBS Group AG standalone for the six months ended 30 June 2022
› Refer to “Bondholder information” at ubs.com/investors, for more information
› Refer to the “TLAC1: TLAC composition for G-SIBs (at resolution group level)” table in this section for more information about TLAC for UBS Group AG consolidated
TLAC3: creditor ranking at legal entity level for the resolution entity, UBS Group AG
| |||||||
As of 30.6.22 |
| Creditor ranking |
| Total | |||
USD m |
| 1 | 2 | 3 |
|
| |
1 | Description of creditor ranking |
| Common shares (most junior)2 | Additional Tier 1 | Bail-in debt and pari passu liabilities (most senior) |
|
|
2 | Total capital and liabilities net of credit risk mitigation1 |
| 40,536 | 14,285 | 49,256 |
| 104,078 |
3 | Subset of row 2 that are excluded liabilities |
|
|
|
|
|
|
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) |
| 40,536 | 14,2853,4 | 49,2565,6 |
| 104,078 |
5 | Subset of row 4 that are potentially eligible as TLAC |
| 40,536 | 13,917 | 46,8407 |
| 101,293 |
6 | Subset of row 5 with 1 year ≤ residual maturity < 2 years |
|
|
| 4,4548 |
| 4,454 |
7 | Subset of row 5 with 2 years ≤ residual maturity < 5 years |
|
|
| 20,383 |
| 20,383 |
8 | Subset of row 5 with 5 years ≤ residual maturity < 10 years |
|
|
| 15,171 |
| 15,171 |
9 | Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities |
|
|
| 6,833 |
| 6,833 |
10 | Subset of row 5 that is perpetual securities |
| 40,536 | 13,917 |
|
| 54,453 |
1 No credit risk mitigation is applied to capital and liabilities for UBS Group AG standalone. 2 Common shares including the associated reserves are equal to equity attributable to shareholders as disclosed in the UBS Group AG standalone financial information for the six months ended 30 June 2022, which was prepared in accordance with the principles of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations). 3 Includes interest expense accrued on AT1 capital instruments, which is not eligible as TLAC. 4 An AT1 instrument in the amount of USD 1bn was redeemed and AT1 instruments in a total amount of USD 1.8bn were issued during the six months ended 30 June 2022. 5 Includes interest expense accrued on bail-in debt, interest-bearing liabilities that consist of loans from UBS AG and UBS Switzerland AG, negative replacement values, and tax and other liabilities that are not excluded liabilities under Swiss law and that rank pari-passu to bail-in debt. 6 Bail-in debt of USD 5.8bn was redeemed and bail-in debt of USD 9.9bn was issued during the six months ended 30 June 2022. 7 Bail-in debt of USD 1.3bn has residual maturity of less than one year and is not potentially eligible as TLAC. 8 Includes bail-in debt in the amount of USD 3.3bn, the call of which was announced on 12 July 2022 (redemption date 15 August 2022). | |||||||
p
UBS Group | Total loss-absorbing capacity | 39 |
Basel III leverage ratio
Quarterly | The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table in section 2 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. p
Difference between the Swiss SRB and BCBS leverage ratio
Quarterly | 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 m | 30.6.22 | 31.3.22 | 31.12.21 |
On-balance sheet exposures |
|
|
|
IFRS total assets | 1,113,193 | 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 | (14,597) | (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 | (204,306) | (179,592) | (148,669) |
Less carrying amount of securities financing transactions in IFRS total assets2 | (89,961) | (96,439) | (99,484) |
Adjustments to accounting values |
|
|
|
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 804,329 | 845,067 | 847,412 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (11,319) | (11,578) | (11,452) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 793,010 | 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. | |||
p
UBS Group | Leverage ratio | 40 |
Quarterly | During the second quarter of 2022, the LRD decreased by USD 47.5bn to USD 1,025.4bn, including currency effects of USD 27.3bn. On-balance sheet exposures (excluding derivatives and SFTs) decreased by USD 40.5bn, mainly driven by lower central bank balances in Group Treasury and trading portfolio assets in the Investment Bank, as well as decreases in lending assets in Personal & Corporate Banking and Global Wealth Management. Derivative exposures increased by USD 2.4bn, mainly driven by the Investment Bank, reflecting market-driven movements and higher margin requirements, partly offset by decreases due to lower client activity levels. Securities financing transactions decreased by USD 7.8bn, mainly due to excess cash reinvestment trade roll-offs in Group Treasury, as well as a decrease resulting from improved collateralization in the Investment Bank.
› Refer to “Leverage ratio denominator” in the “Capital management” section of our second quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information
LR2: BCBS Basel III leverage ratio common disclosure | ||||
USD m, except where indicated | 30.6.22 | 31.3.22 | 31.12.21 | |
|
|
|
|
|
| On-balance sheet exposures |
|
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 804,329 | 845,067 | 847,412 |
2 | (Asset amounts deducted in determining Basel III Tier 1 capital) | (11,319) | (11,578) | (11,452) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 793,010 | 833,489 | 835,959 |
|
|
|
|
|
| Derivative exposures |
|
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 66,044 | 58,626 | 45,332 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 75,179 | 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) | (22,320) | (19,832) | (18,984) |
8 | (Exempted QCCP leg of client-cleared trade exposures) | (15,375) | (17,679) | (14,987) |
9 | Adjusted effective notional amount of all written credit derivatives1 | 50,262 | 48,704 | 44,243 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)2 | (49,652) | (48,023) | (43,629) |
11 | Total derivative exposures | 104,138 | 101,758 | 90,934 |
|
|
|
|
|
| Securities financing transaction exposures |
|
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 172,778 | 184,779 | 200,921 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (82,818) | (88,340) | (101,437) |
14 | CCR exposure for SFT assets | 8,258 | 9,600 | 9,695 |
15 | Agent transaction exposures |
|
|
|
16 | Total securities financing transaction exposures | 98,218 | 106,039 | 109,179 |
|
|
|
|
|
| Other off-balance sheet exposures |
|
|
|
17 | Off-balance sheet exposure at gross notional amount | 105,286 | 107,002 | 106,112 |
18 | (Adjustments for conversion to credit equivalent amounts) | (75,230) | (75,335) | (73,322) |
19 | Total off-balance sheet items | 30,056 | 31,667 | 32,790 |
| Total exposures (leverage ratio denominator) | 1,025,422 | 1,072,953 | 1,068,862 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator) |
|
|
|
20 | Tier 1 capital | 59,907 | 60,053 | 60,488 |
21 | Total exposures (leverage ratio denominator) | 1,025,422 | 1,072,953 | 1,068,862 |
|
|
|
|
|
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio (%) | 5.8 | 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. | ||||
p
Quarterly |
LR1: BCBS Basel III leverage ratio summary comparison | ||||
USD m | 30.6.22 | 31.3.22 | 31.12.21 | |
1 | Total consolidated assets as per published financial statements | 1,113,193 | 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 | (25,917) | (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 | (100,168) | (77,834) | (57,734) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 8,258 | 9,600 | 9,695 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 30,056 | 31,667 | 32,790 |
7 | Other adjustments |
|
|
|
8 | Leverage ratio exposure (leverage ratio denominator) | 1,025,422 | 1,072,953 | 1,068,862 |
1 Includes assets that are deducted from tier 1 capital. | ||||
p
UBS Group | Leverage ratio | 41 |
Quarterly | We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress. p
Pillar 3 disclosure requirement | Second quarter 2022 report section | Disclosure | Second quarter 2022 report page number |
Concentration of funding sources | Balance sheet and off-balance sheet | Liabilities by product and currency | 42 |
High-quality liquid assets
Quarterly | HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing 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 2Q221 |
| Average 1Q221 | ||||
USD bn |
| 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 |
| 169 |
| 169 |
| 176 |
| 176 |
Securities (on- and off-balance sheet) |
| 62 | 19 | 80 |
| 59 | 18 | 76 |
Total HQLA4 |
| 231 | 19 | 249 |
| 235 | 18 | 253 |
1 Calculated based on an average of 64 data points in the second quarter of 2022 and 64 data points in the first quarter of 2022. 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. | ||||||||
p
UBS Group | Liquidity and funding | 42 |
LCR development during the second quarter of 2022
Quarterly | In the second quarter of 2022, the quarterly average LCR of UBS Group increased 1 percentage point to 161%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).
The movement in the average LCR was driven by a decrease in net cash outflows of USD 3bn to USD 155bn due to lower outflows from customer deposit balances, partly offset by a decrease in HQLA of USD 3bn to USD 249bn, mainly reflecting lower average cash balances, driven by debt maturities and decreases in customer deposits, partly offset by lower funding consumption in the business divisions.
LIQ1: Liquidity coverage ratio |
|
|
|
|
|
| |
|
|
| Average 2Q221 |
| Average 1Q221 | ||
USD bn, except where indicated |
| Unweighted value | Weighted value2 |
| Unweighted value | Weighted value2 | |
| |||||||
High-quality liquid assets (HQLA) | |||||||
1 | Total HQLA |
| 253 | 249 |
| 256 | 253 |
| |||||||
Cash outflows | |||||||
2 | Retail deposits and deposits from small business customers |
| 288 | 33 |
| 296 | 34 |
3 | of which: stable deposits |
| 40 | 1 |
| 41 | 2 |
4 | of which: less stable deposits |
| 248 | 32 |
| 255 | 33 |
5 | Unsecured wholesale funding |
| 243 | 127 |
| 256 | 132 |
6 | of which: operational deposits (all counterparties) |
| 54 | 13 |
| 57 | 14 |
7 | of which: non-operational deposits (all counterparties) |
| 177 | 101 |
| 188 | 106 |
8 | of which: unsecured debt |
| 12 | 12 |
| 11 | 11 |
9 | Secured wholesale funding |
|
| 70 |
|
| 74 |
10 | Additional requirements |
| 103 | 29 |
| 98 | 30 |
11 | of which: outflows related to derivatives and other transactions |
| 65 | 21 |
| 58 | 21 |
12 | of which: outflows related to loss of funding on debt products3 |
| 0 | 0 |
| 0 | 0 |
13 | of which: committed credit and liquidity facilities |
| 38 | 8 |
| 40 | 8 |
14 | Other contractual funding obligations |
| 7 | 6 |
| 8 | 6 |
15 | Other contingent funding obligations |
| 206 | 4 |
| 219 | 4 |
16 | Total cash outflows |
|
| 269 |
|
| 280 |
| |||||||
Cash inflows | |||||||
17 | Secured lending |
| 219 | 70 |
| 226 | 74 |
18 | Inflows from fully performing exposures |
| 63 | 28 |
| 70 | 31 |
19 | Other cash inflows |
| 16 | 16 |
| 17 | 17 |
20 | Total cash inflows |
| 298 | 114 |
| 314 | 122 |
| |||||||
|
|
| Average 2Q221 |
| Average 1Q221 | ||
USD bn, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
Liquidity coverage ratio (LCR) | |||||||
21 | Total HQLA |
|
| 249 |
|
| 253 |
22 | Total net cash outflows |
|
| 155 |
|
| 158 |
23 | LCR (%) |
|
| 161 |
|
| 160 |
1 Calculated based on an average of 64 data points in the second quarter of 2022 and 64 data points in the first quarter of 2022. 2 Calculated after the application of haircuts and inflow and outflow rates. 3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. | |||||||
p
UBS Group | Liquidity and funding | 43 |
Net stable funding ratio
NSFR development during the second quarter of 2022
Semi-annual | As of 30 June 2022, the NSFR of UBS Group decreased 1 percentage point to 121%, remaining above the prudential requirement communicated by FINMA.
The movement in the NSFR was driven by USD 18bn lower available stable funding, mainly due to a decrease in customer deposit balances, partly offset by lower required stable funding of USD 11bn, mainly due to a decrease in trading assets.
› Refer to “Liquidity and funding management” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2021, available under ”Annual reporting” at ubs.com/investors, for more information
LIQ2: Net stable funding ratio (NSFR) | ||||||||||||||
|
| 30.6.22 |
| 31.3.22 | ||||||||||
|
| Unweighted value by residual maturity |
|
|
| Unweighted value by residual maturity |
|
| ||||||
USD bn | No Maturity | < 6 months | 6 months to < 1 year | ≥ 1 year |
| Weighted Value |
| No Maturity | < 6 months | 6 months to < 1 year | ≥ 1 year |
| Weighted Value | |
Available Stable Funding (ASF) Item |
|
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Capital: | 57 |
|
| 14 |
| 71 |
| 59 |
|
| 15 |
| 74 |
2 | Regulatory Capital | 57 |
|
| 13 |
| 70 |
| 59 |
|
| 14 |
| 73 |
3 | Other Capital Instruments |
|
|
| 1 |
| 1 |
|
|
|
| 1 |
| 1 |
4 | Retail deposits and deposits from small business customers: |
| 300 | 0 | 2 |
| 274 |
|
| 307 | 0 | 2 |
| 281 |
5 | Stable deposits |
| 40 | 0 | 0 |
| 38 |
|
| 40 | 0 |
|
| 38 |
6 | Less stable deposits |
| 260 | 0 | 2 |
| 236 |
|
| 267 | 0 | 2 |
| 243 |
7 | Wholesale Funding: |
| 350 | 23 | 104 |
| 202 |
|
| 376 | 29 | 101 |
| 211 |
8 | Operational Deposits |
| 52 |
|
|
| 26 |
|
| 58 |
|
|
| 29 |
9 | Other wholesale funding |
| 298 | 23 | 104 |
| 176 |
|
| 317 | 29 | 101 |
| 182 |
10 | Liabilities with matching interdependent assets |
| 4 |
|
|
|
|
|
| 4 |
|
|
|
|
11 | Other liabilities:1 | 37 | 97 |
| 1 |
| 5 |
| 38 | 100 | 0 | 2 |
| 4 |
12 | NSFR derivative liabilities |
|
|
|
|
|
| 1 |
|
| ||||
13 | All other liabilities and equity not included in the above categories | 37 | 97 |
| 1 |
| 5 |
| 38 | 100 | 0 | 1 |
| 4 |
14 | Total ASF |
|
|
|
|
| 552 |
|
|
|
|
|
| 569 |
Required Stable Funding (RSF) Item |
|
|
|
|
|
|
|
|
|
|
|
|
| |
15 | Total NSFR high-quality liquid assets (HQLA) |
|
|
|
|
| 24 |
|
|
|
|
|
| 27 |
16 | Deposits held at other financial institutions for operational purposes |
| 11 |
|
|
| 6 |
|
| 11 |
|
|
| 6 |
17 | Performing loans and securities: | 37 | 176 | 28 | 302 |
| 344 |
| 41 | 189 | 28 | 308 |
| 354 |
18 | Performing loans to financial institutions secured by Level 1 HQLA or Level 2a HQLA |
| 37 | 0 | 0 |
| 9 |
|
| 39 | 0 | 0 |
| 8 |
19 | Performing loans to financial institutions secured by Level 2b HQLA or non-HQLA and unsecured performing loans to financial institutions |
| 67 | 7 | 29 |
| 47 |
|
| 72 | 4 | 29 |
| 46 |
20 | Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: |
| 60 | 10 | 117 |
| 134 |
|
| 65 | 11 | 117 |
| 136 |
21 | With a risk weight of less than or equal to 35% under Basel II standardised approach for credit risk |
| 2 | 0 | 2 |
| 3 |
|
| 2 | 0 | 3 |
| 3 |
22 | Performing residential mortgages, of which: |
| 10 | 8 | 144 |
| 111 |
|
| 11 | 9 | 146 |
| 113 |
23 | With a risk weight of less than or equal to 35% under Basel II standardised approach for credit risk |
| 9 | 7 | 128 |
| 96 |
|
| 10 | 8 | 130 |
| 99 |
24 | Securities that are not in default and do not qualify as HQLA, including exchange-traded equities | 37 | 3 | 3 | 12 |
| 44 |
| 41 | 2 | 4 | 16 |
| 52 |
25 | Assets with matching interdependent liabilities | 4 |
|
|
|
|
|
| 4 |
|
|
|
|
|
26 | Other assets:2 | 36 | 47 | 0 | 87 |
| 80 |
| 37 | 52 | 0 | 78 |
| 78 |
27 | Physical traded commodities, including gold | 1 |
|
|
|
| 0 |
| 1 |
|
|
|
| 1 |
28 | Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs |
| 23 |
| 19 |
|
| 21 |
| 18 | ||||
29 | NSFR derivative assets |
| 4 |
| 4 |
|
|
|
|
| ||||
30 | NSFR derivative liabilities before deduction of variation margin posted |
| 53 |
| 11 |
|
| 46 |
| 9 | ||||
31 | All other assets not included in the above categories | 35 | 47 | 0 | 8 |
| 46 |
| 36 | 52 | 0 | 11 |
| 50 |
32 | Off-balance sheet items |
| 21 | 7 | 30 |
| 3 |
|
| 18 | 7 | 32 |
| 3 |
33 | Total RSF |
|
|
|
|
| 456 |
|
|
|
|
|
| 468 |
34 | Net Stable Funding Ratio (%) |
|
|
|
|
| 121 |
|
|
|
|
|
| 122 |
1 The ≥ 1 year maturity bucket includes balances reported in row 12, for which differentiation by maturity is not required. 2 The ≥ 1 year maturity bucket includes balances reported in rows 28, 29 and 30, for which differentiation by maturity is not required. | ||||||||||||||
p
UBS Group | Liquidity and funding | 44 |
Requirements for global systemically important banks and related indicators
Semi-annual | The Financial Stability Board (the FSB) has determined that UBS is a global systemically important bank (a G-SIB), using an indicator-based methodology adopted by the Basel Committee on Banking Supervision (the BCBS). Banks that qualify as G-SIBs are required to disclose 12 indicators for assessing the systemic importance of G-SIBs as defined by the BCBS. These indicators are used for the G-SIB score calculation and cover five categories: size, cross-jurisdictional activity, interconnectedness, substitutability / financial institution infrastructure, and complexity.
Based on the published indicators, G-SIBs are subject to additional common equity tier 1 (CET1) capital buffer requirements in the range from 1.0% to 3.5%. In November 2021, the FSB confirmed that, based on the year-end 2020 indicators, the additional CET1 capital buffer requirement for UBS Group will remain at 1.0%. As our Swiss systemically relevant bank (SRB) Basel III capital requirements exceed the BCBS requirements, including the G-SIB buffer, we are not affected by these additional G-SIB requirements.
In July 2018, the BCBS published a revised version of its assessment methodology. This will come into effect in the second half of 2022, based on year-end 2021 data, with the corresponding capital buffer requirement applied as of January 2024. We do not expect these changes to increase our additional CET1 capital buffer requirement.
The BCBS introduced a leverage ratio buffer for G-SIBs as a part of the finalization of the Basel III framework announced in December 2017. The leverage ratio buffer is set at 50% of risk-weighted higher-loss absorbency requirements. The revised BCBS standards will be effective as of 1 January 2023. We do not expect these changes to increase our additional CET1 capital buffer requirement.
Our G-SIB indicators as of 31 December 2021 were published in July 2022 under “Pillar 3 disclosures” at ubs.com/investors. p
UBS Group | Requirements for global systemically important banks and related indicators | 45 |
Significant regulated subsidiaries and sub-groups
Scope of disclosures in this section
Quarterly | The sections on the following pages include capital and other regulatory information as of 30 June 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. p
UBS Americas Holding LLC consolidated
Dodd–Frank Act Stress Test
In June 2022, the Federal Reserve Board (the FRB) released the results of its 2022 Dodd–Frank Act Stress Test (DFAST). UBS’s US intermediate holding company, UBS Americas Holding LLC, exceeded the minimum capital requirements under the severely adverse scenario.
Significant regulated subsidiaries and sub-groups | Introduction | 46 |
UBS AG standalone
Key metrics of the second quarter of 2022
Quarterly | The table on the following page is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the second quarter of 2022, common equity tier 1 (CET1) capital increased by USD 1.9bn to USD 54.1bn, mainly due to operating profit before tax, partly offset by additional accruals for capital returns to UBS Group AG. Tier 1 capital increased by USD 1.6bn to USD 68.2bn, primarily driven by the aforementioned increase in CET1 capital, partly offset by interest rate risk hedge and foreign currency translation effects. Total capital increased by USD 1.1bn to USD 68.7bn, reflecting the aforementioned increase in tier 1 capital, partly offset by a decrease in the remaining eligibility of a USD 2.5bn tier 2 capital instrument.
Phase-in risk-weighted assets (RWA) decreased by USD 2.6bn to USD 327.8bn during the second quarter of 2022, primarily driven by decreases in credit and counterparty credit risk and participation RWA, partly offset by increases in market risk and operational risk RWA.
Leverage ratio exposure decreased by USD 25.1bn to USD 569.8bn, mainly driven by lower trading portfolio assets and securities financing transactions, as well as a decrease in central bank balances.
Correspondingly, the CET1 capital ratio of UBS AG increased 0.7 percentage points to 16.5%, predominantly reflecting the increase in CET1 capital. The firm’s Basel III leverage ratio increased 0.8 percentage points to 12.0%, reflecting the lower leverage ratio exposure and the increase in tier 1 capital.
In the second quarter of 2022, the quarterly average liquidity coverage ratio (the LCR) of UBS AG increased 1 percentage point to 189%, 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 1.5bn to USD 104.6bn, due to reduced funding consumption by the business divisions, partly offset by matured debt. Average net cash outflows remained largely stable at USD 55.4bn.
As of 30 June 2022, the net stable funding ratio (the NSFR) of UBS AG increased 1 percentage point to 92%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by a decrease in required stable funding of USD 9.8bn to USD 265.6bn, mainly due to a decrease in trading assets. This was, partly offset by a decrease in available stable funding of USD 5.0bn to USD 244.8bn, mainly driven by lower customer deposit balances.
Significant regulated subsidiaries and sub-groups | UBS AG standalone | 47 |
KM1: Key metrics |
|
|
|
|
| |
USD m, except where indicated | ||||||
|
| 30.6.22 | 31.3.22 | 31.12.21 | 30.9.21 | 30.6.21 |
Available capital (amounts) |
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) | 54,146 | 52,218 | 52,818 | 51,233 | 51,279 |
1a | Fully loaded ECL accounting model CET11 | 54,139 | 52,211 | 52,803 | 51,217 | 51,255 |
2 | Tier 1 | 68,188 | 66,597 | 66,658 | 65,211 | 66,487 |
2a | Fully loaded ECL accounting model Tier 11 | 68,180 | 66,589 | 66,643 | 65,195 | 66,463 |
3 | Total capital2 | 68,682 | 67,599 | 68,054 | 66,639 | 68,421 |
3a | Fully loaded ECL accounting model total capital1, 2 | 68,674 | 67,592 | 68,039 | 66,624 | 68,398 |
Risk-weighted assets (amounts)3 |
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) | 327,846 | 330,401 | 317,913 | 318,755 | 319,195 |
4a | Minimum capital requirement4 | 26,228 | 26,432 | 25,433 | 25,500 | 25,536 |
4b | Total risk-weighted assets (pre-floor) | 327,846 | 330,401 | 317,913 | 318,755 | 319,195 |
Risk-based capital ratios as a percentage of RWA3 |
|
|
|
|
| |
5 | CET1 ratio (%) | 16.52 | 15.80 | 16.61 | 16.07 | 16.06 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 | 16.51 | 15.80 | 16.61 | 16.07 | 16.06 |
6 | Tier 1 ratio (%) | 20.80 | 20.16 | 20.97 | 20.46 | 20.83 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 | 20.80 | 20.15 | 20.96 | 20.45 | 20.82 |
7 | Total capital ratio (%) | 20.95 | 20.46 | 21.41 | 20.91 | 21.44 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 | 20.95 | 20.46 | 21.40 | 20.90 | 21.43 |
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 (%)5 |
|
|
|
|
|
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 (%) | 12.02 | 11.30 | 12.11 | 11.57 | 11.56 |
Basel III leverage ratio |
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure | 569,794 | 594,893 | 593,868 | 597,542 | 606,536 |
14 | Basel III leverage ratio (%) | 11.97 | 11.19 | 11.22 | 10.91 | 10.96 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 | 11.97 | 11.19 | 11.22 | 10.91 | 10.96 |
Liquidity coverage ratio (LCR)6 |
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) | 104,628 | 103,168 | 89,488 | 92,333 | 88,964 |
16 | Total net cash outflow | 55,405 | 55,039 | 52,229 | 50,733 | 50,537 |
16a | of which: cash outflows | 159,568 | 162,735 | 163,207 | 167,240 | 170,847 |
16b | of which: cash inflows | 104,163 | 107,696 | 110,978 | 116,507 | 120,310 |
17 | LCR (%) | 189 | 188 | 173 | 183 | 176 |
Net stable funding ratio (NSFR)7 |
|
|
|
|
| |
18 | Total available stable funding | 244,791 | 249,760 | 257,992 | 251,277 |
|
19 | Total required stable funding | 265,597 | 275,424 | 289,195 | 283,682 |
|
20 | NSFR (%) | 92 | 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 From 1 January 2022, certain tier 2 capital positions have been phased out of total capital under BIS rules into gone concern capital, resulting in a decrease of total capital of USD 0.4bn. The prior period has been restated accordingly. 3 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. 4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 5 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided on the following pages in this section. 6 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 second quarter of 2022 and 64 data points in the first quarter of 2022. 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. 7 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. | ||||||
p
Significant regulated subsidiaries and sub-groups | UBS AG standalone | 48 |
Swiss SRB going and gone concern requirements and information
Quarterly | 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 in the “UBS AG standalone” section 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 30.6.22 |
| RWA, phase-in |
| RWA, fully applied as of 1.1.28 |
| LRD | |||
USD m, except where indicated |
| in % |
|
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 46,931 |
| 14.321 | 54,784 |
| 5.001 | 28,490 |
Common equity tier 1 capital |
| 10.02 | 32,834 |
| 10.02 | 38,327 |
| 3.50 | 19,943 |
of which: minimum capital |
| 4.50 | 14,753 |
| 4.50 | 17,221 |
| 1.50 | 8,547 |
of which: buffer capital |
| 5.50 | 18,032 |
| 5.50 | 21,048 |
| 2.00 | 11,396 |
of which: countercyclical buffer |
| 0.02 | 49 |
| 0.02 | 57 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 14,097 |
| 4.30 | 16,456 |
| 1.50 | 8,547 |
of which: additional tier 1 capital |
| 3.50 | 11,475 |
| 3.50 | 13,394 |
| 1.50 | 8,547 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,623 |
| 0.80 | 3,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 20.80 | 68,188 |
| 17.82 | 68,188 |
| 11.97 | 68,188 |
Common equity tier 1 capital |
| 16.52 | 54,146 |
| 14.15 | 54,146 |
| 9.50 | 54,146 |
Total loss-absorbing additional tier 1 capital |
| 4.28 | 14,042 |
| 3.67 | 14,042 |
| 2.46 | 14,042 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.91 | 12,825 |
| 3.35 | 12,825 |
| 2.25 | 12,825 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.37 | 1,217 |
| 0.32 | 1,217 |
| 0.21 | 1,217 |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 327,846 |
|
| 382,699 |
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
|
| 569,794 |
|
|
|
|
|
|
|
|
|
|
Required gone concern capital2 |
| Higher of RWA- or LRD-based |
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 40,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 46,330 |
|
|
|
|
| |
Gone concern capital coverage ratio |
| 115.17 |
|
|
|
|
|
|
|
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. | |||||||||
Significant regulated subsidiaries and sub-groups | UBS AG standalone | 49 |
Swiss SRB going and gone concern information | |||||
USD m, except where indicated |
| 30.6.22 |
| 31.3.22 | 31.12.21 |
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
Total going concern capital |
| 68,188 |
| 66,597 | 66,658 |
Total tier 1 capital |
| 68,188 |
| 66,597 | 66,658 |
Common equity tier 1 capital |
| 54,146 |
| 52,218 | 52,818 |
Total loss-absorbing additional tier 1 capital |
| 14,042 |
| 14,379 | 13,840 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 12,825 |
| 13,145 | 11,414 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 1,217 |
| 1,234 | 2,426 |
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 46,330 |
| 46,505 | 44,250 |
Total tier 2 capital |
| 2,997 |
| 3,036 | 3,129 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2,470 |
| 2,505 | 2,594 |
of which: non-Basel III-compliant tier 2 capital |
| 528 |
| 530 | 535 |
TLAC-eligible senior unsecured debt |
| 43,333 |
| 43,470 | 41,120 |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
Total loss-absorbing capacity |
| 114,518 |
| 113,102 | 110,908 |
|
|
|
|
|
|
Denominators for going and gone concern ratios |
|
|
|
|
|
Risk-weighted assets phase-in |
| 327,846 |
| 330,401 | 317,913 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 38,449 |
| 39,401 | 38,935 |
of which: investments in foreign-domiciled subsidiaries1 |
| 115,758 |
| 117,124 | 108,982 |
Risk-weighted assets fully applied as of 1.1.28 |
| 382,699 |
| 385,970 | 382,934 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 43,692 |
| 44,773 | 45,273 |
of which: investments in foreign-domiciled subsidiaries1 |
| 165,368 |
| 167,319 | 167,664 |
Leverage ratio denominator |
| 569,794 |
| 594,893 | 593,868 |
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
Going concern capital ratio, phase-in |
| 20.8 |
| 20.2 | 21.0 |
of which: common equity tier 1 capital ratio, phase-in |
| 16.5 |
| 15.8 | 16.6 |
Going concern capital ratio, fully applied as of 1.1.28 |
| 17.8 |
| 17.3 | 17.4 |
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28 |
| 14.1 |
| 13.5 | 13.8 |
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
Going concern leverage ratio |
| 12.0 |
| 11.2 | 11.2 |
of which: common equity tier 1 leverage ratio |
| 9.5 |
| 8.8 | 8.9 |
|
|
|
|
|
|
Capital coverage ratio (%) |
|
|
|
|
|
Gone concern capital coverage ratio |
| 115.2 |
| 112.0 | 112.0 |
1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries are risk-weighted at 220% and 280%, respectively, for the current year (31 December 2021: 215% and 260%, respectively). Risk weights will gradually increase 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 bn |
| 30.6.22 | 31.3.22 | 31.12.21 |
|
|
|
|
|
Leverage ratio denominator |
|
|
|
|
Swiss GAAP total assets |
| 498.4 | 516.2 | 509.9 |
Difference between Swiss GAAP and IFRS total assets |
| 159.6 | 139.9 | 125.0 |
Less derivative exposures and SFTs1 |
| (265.7) | (245.6) | (216.4) |
Less funding provided to significant regulated subsidiaries eligible as gone concern capital |
| (21.4) | (21.9) | (21.8) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 370.9 | 388.7 | 396.7 |
Derivative exposures |
| 102.2 | 100.3 | 89.7 |
Securities financing transactions |
| 74.9 | 83.2 | 85.4 |
Off-balance sheet items |
| 23.1 | 24.5 | 23.7 |
Items deducted from Swiss SRB tier 1 capital |
| (1.4) | (1.7) | (1.6) |
Total exposures (leverage ratio denominator) |
| 569.8 | 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. | ||||
p
Significant regulated subsidiaries and sub-groups | UBS AG standalone | 50 |
UBS Switzerland AG standalone
Key metrics of the second quarter of 2022
Quarterly | The table on the following page is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and International Financial Reporting Standards.
During the second quarter of 2022, common equity tier 1 (CET1) capital decreased by CHF 0.1bn to CHF 12.7bn, mainly reflecting operating profit that was more than offset by additional accruals for dividends.
Total risk-weighted assets (RWA) decreased by CHF 0.7bn to CHF 107.3bn. An increase of CHF 0.7bn in pre-floor RWA, mainly due to residential mortgages, was more than offset by a CHF 1.5bn decrease in the floor adjustment, mainly reflecting lower RWA from securities financing transactions under the standardized approach.
Leverage ratio exposure decreased by CHF 5.1bn to CHF 341.0bn, mainly driven by lower securities financing transactions.
In the second quarter of 2022, the quarterly average liquidity coverage ratio (the LCR) of UBS Switzerland AG decreased 1 percentage point to 141%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by a decrease in high-quality liquid assets of CHF 1.2bn to CHF 93.7bn, mainly due to lower cash balances driven by decreased customer deposit balances, partly offset by a decrease in net cash outflows of CHF 0.7bn to CHF 66.2bn due to lower outflows from customer deposits.
As of 30 June 2022, the net stable funding ratio (the NSFR) of UBS Switzerland AG increased 1 percentage point to 144%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by a decrease in required stable funding of CHF 3.6bn to CHF 156.2bn, mainly due to lower derivative instruments and loans to customers, almost entirely offset by a decrease in available stable funding of CHF 3.6bn to CHF 225.2bn, mainly due to lower customer deposit balances.
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 51 |
KM1: Key metrics |
|
|
|
|
|
| |
CHF m, except where indicated | |||||||
|
|
| 30.6.22 | 31.3.22 | 31.12.21 | 30.9.21 | 30.6.21 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 12,718 | 12,786 | 12,609 | 12,199 | 12,312 |
1a | Fully loaded ECL accounting model CET11 |
| 12,717 | 12,785 | 12,608 | 12,198 | 12,311 |
2 | Tier 1 |
| 18,124 | 18,178 | 17,996 | 17,596 | 17,705 |
2a | Fully loaded ECL accounting model Tier 11 |
| 18,123 | 18,178 | 17,995 | 17,595 | 17,704 |
3 | Total capital |
| 18,124 | 18,178 | 17,996 | 17,596 | 17,705 |
3a | Fully loaded ECL accounting model total capital1 |
| 18,123 | 18,178 | 17,995 | 17,595 | 17,704 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 107,344 | 108,071 | 106,399 | 109,941 | 109,602 |
4a | Minimum capital requirement2 |
| 8,588 | 8,646 | 8,512 | 8,795 | 8,768 |
4b | Total risk-weighted assets (pre-floor) |
| 96,583 | 95,858 | 93,437 | 93,839 | 93,853 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 11.85 | 11.83 | 11.85 | 11.10 | 11.23 |
5a | Fully loaded ECL accounting model CET1 ratio (%)1 |
| 11.85 | 11.83 | 11.85 | 11.10 | 11.23 |
6 | Tier 1 ratio (%) |
| 16.88 | 16.82 | 16.91 | 16.00 | 16.15 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%)1 |
| 16.88 | 16.82 | 16.91 | 16.00 | 16.15 |
7 | Total capital ratio (%) |
| 16.88 | 16.82 | 16.91 | 16.00 | 16.15 |
7a | Fully loaded ECL accounting model total capital ratio (%)1 |
| 16.88 | 16.82 | 16.91 | 16.00 | 16.15 |
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 (%) |
| 7.35 | 7.33 | 7.35 | 6.60 | 6.73 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 340,969 | 346,097 | 339,788 | 338,636 | 341,991 |
14 | Basel III leverage ratio (%) |
| 5.32 | 5.25 | 5.30 | 5.20 | 5.18 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
| 5.32 | 5.25 | 5.30 | 5.20 | 5.18 |
Liquidity coverage ratio (LCR)4 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 93,651 | 94,850 | 91,304 | 92,341 | 97,744 |
16 | Total net cash outflow |
| 66,248 | 66,962 | 64,084 | 64,491 | 65,177 |
16a | of which: cash outflows |
| 90,247 | 91,396 | 88,771 | 89,154 | 93,457 |
16b | of which: cash inflows |
| 23,999 | 24,434 | 24,687 | 24,663 | 28,280 |
17 | LCR (%) |
| 141 | 142 | 143 | 143 | 150 |
Net stable funding ratio (NSFR)5 |
|
|
|
|
|
| |
18 | Total available stable funding |
| 225,178 | 228,789 | 225,239 | 229,666 |
|
19 | Total required stable funding |
| 156,232 | 159,876 | 158,072 | 156,849 |
|
20 | NSFR (%) |
| 144 | 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 second quarter of 2022 and 64 data points in the first quarter of 2022. 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. | |||||||
p
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 52 |
Swiss SRB going and gone concern requirements and information
Quarterly | 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 30 June 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 (the LRD)-based requirement.
Swiss SRB going and gone concern requirements and information | ||||||
As of 30.6.22 |
| RWA |
| LRD | ||
CHF m, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 14.321 | 15,368 |
| 5.001 | 17,048 |
Common equity tier 1 capital |
| 10.02 | 10,753 |
| 3.50 | 11,934 |
of which: minimum capital |
| 4.50 | 4,830 |
| 1.50 | 5,115 |
of which: buffer capital |
| 5.50 | 5,904 |
| 2.00 | 6,819 |
of which: countercyclical buffer |
| 0.02 | 18 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 4,616 |
| 1.50 | 5,115 |
of which: additional tier 1 capital |
| 3.50 | 3,757 |
| 1.50 | 5,115 |
of which: additional tier 1 buffer capital |
| 0.80 | 859 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 16.88 | 18,124 |
| 5.32 | 18,124 |
Common equity tier 1 capital |
| 11.85 | 12,718 |
| 3.73 | 12,718 |
Total loss-absorbing additional tier 1 capital |
| 5.04 | 5,406 |
| 1.59 | 5,406 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5.04 | 5,406 |
| 1.59 | 5,406 |
|
|
|
|
|
|
|
Required gone concern capital2 |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 8.87 | 9,517 |
| 3.10 | 10,570 |
of which: base requirement |
| 7.97 | 8,559 |
| 2.79 | 9,513 |
of which: additional requirement for market share and LRD |
| 0.89 | 958 |
| 0.31 | 1,057 |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 10.53 | 11,301 |
| 3.31 | 11,301 |
TLAC-eligible senior unsecured debt |
| 10.53 | 11,301 |
| 3.31 | 11,301 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 23.18 | 24,886 |
| 8.10 | 27,618 |
Eligible total loss-absorbing capacity |
| 27.41 | 29,425 |
| 8.63 | 29,425 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 107,344 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 340,969 |
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 requirements 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. | ||||||
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 53 |
Swiss SRB loss-absorbing capacity
Swiss SRB going and gone concern information | |||||
CHF m, except where indicated |
| 30.6.22 |
| 31.3.22 | 31.12.21 |
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
Total going concern capital |
| 18,124 |
| 18,178 | 17,996 |
Total tier 1 capital |
| 18,124 |
| 18,178 | 17,996 |
Common equity tier 1 capital |
| 12,718 |
| 12,786 | 12,609 |
Total loss-absorbing additional tier 1 capital |
| 5,406 |
| 5,393 | 5,387 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5,406 |
| 5,393 | 5,387 |
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 11,301 |
| 10,866 | 10,853 |
TLAC-eligible senior unsecured debt |
| 11,301 |
| 10,866 | 10,853 |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
Total loss-absorbing capacity |
| 29,425 |
| 29,045 | 28,849 |
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
Risk-weighted assets |
| 107,344 |
| 108,071 | 106,399 |
Leverage ratio denominator |
| 340,969 |
| 346,097 | 339,788 |
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
Going concern capital ratio |
| 16.9 |
| 16.8 | 16.9 |
of which: common equity tier 1 capital ratio |
| 11.8 |
| 11.8 | 11.9 |
Gone concern loss-absorbing capacity ratio |
| 10.5 |
| 10.1 | 10.2 |
Total loss-absorbing capacity ratio |
| 27.4 |
| 26.9 | 27.1 |
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
Going concern leverage ratio |
| 5.3 |
| 5.3 | 5.3 |
of which: common equity tier 1 leverage ratio |
| 3.7 |
| 3.7 | 3.7 |
Gone concern leverage ratio |
| 3.3 |
| 3.1 | 3.2 |
Total loss-absorbing capacity leverage ratio |
| 8.6 |
| 8.4 | 8.5 |
Leverage ratio information
Swiss SRB leverage ratio denominator |
|
|
|
|
CHF bn |
| 30.6.22 | 31.3.22 | 31.12.21 |
Leverage ratio denominator |
|
|
|
|
Swiss GAAP total assets |
| 323.2 | 327.9 | 320.7 |
Difference between Swiss GAAP and IFRS total assets |
| 3.8 | 3.0 | 2.9 |
Less derivative exposures and SFTs1 |
| (9.9) | (13.5) | (9.6) |
On-balance sheet exposures (excluding derivative exposures and SFTs) |
| 317.1 | 317.3 | 313.9 |
Derivative exposures |
| 5.9 | 5.1 | 4.3 |
Securities financing transactions |
| 2.8 | 8.1 | 5.4 |
Off-balance sheet items |
| 15.4 | 15.8 | 16.5 |
Items deducted from Swiss SRB tier 1 capital |
| (0.2) | (0.3) | (0.3) |
Total exposures (leverage ratio denominator) |
| 341.0 | 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. | ||||
p
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 54 |
Quarterly |
Capital instruments of UBS Switzerland AG – key features |
|
|
|
|
| |||||||
Presented according to issuance date. |
|
|
| |||||||||
|
|
| Share capital |
| Additional tier 1 capital |
| ||||||
1 | Issuer |
| UBS Switzerland AG, Switzerland |
| UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland |
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 million, 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 million) |
| 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 | |||||||
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 55 |
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 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. | |||||||
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 56 |
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. | ||||||||||||
p
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone | 57 |
Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on Pillar 1 requirements and in accordance with EU regulatory rules and International Financial Reporting Standards.
During the second quarter of 2022, common equity tier 1 decreased slightly by EUR 0.3bn to EUR 2.4bn, due to the payment of a dividend offset by the inclusion of profit from the 2021 audited financial statements. Total capital remained stable, due to the issuance of additional tier 1 capital of 0.3bn. Risk-weighted assets decreased by EUR 0.8bn to EUR 11.5bn, mainly driven by a decrease in credit risk. Leverage ratio exposure decreased by EUR 4.9bn to EUR 47.4bn, mainly reflecting decreases in securities financing transactions and cash with central banks.
The average liquidity coverage ratio was broadly stable at 165.8%, with a EUR 1.1bn increase in high-quality liquid assets and a EUR 0.9bn increase in net outflows. The net stable funding ratio decreased to 148.3%, with a EUR 0.8bn decrease in available stable funding and a EUR 0.7bn increase in required stable funding.
KM1: Key metrics1 |
|
|
| ||||
EUR m, except where indicated |
|
|
| ||||
|
|
| 30.6.22 | 31.3.222 | 31.12.21 | 30.9.212 | 30.6.212 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 2,426 | 2,766 | 2,764 | 3,930 | 3,927 |
2 | Tier 1 |
| 3,026 | 3,056 | 3,054 | 4,220 | 4,217 |
3 | Total capital |
| 3,026 | 3,056 | 3,054 | 4,220 | 4,217 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 11,473 | 12,276 | 12,328 | 13,472 | 13,119 |
4a | Minimum capital requirement3 |
| 918 | 982 | 986 | 1,078 | 1,050 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 21.2 | 22.5 | 22.4 | 29.2 | 29.9 |
6 | Tier 1 ratio (%) |
| 26.4 | 24.9 | 24.8 | 31.3 | 32.1 |
7 | Total capital ratio (%) |
| 26.4 | 24.9 | 24.8 | 31.3 | 32.1 |
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 |
| 16.6 | 16.9 | 16.8 | 23.4 | 24.1 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 47,358 | 52,250 | 46,660 | 47,208 | 47,0945 |
14 | Basel III leverage ratio (%)6 |
| 6.4 | 5.8 | 6.5 | 8.9 | 9.05 |
Liquidity coverage ratio (LCR)7 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 19,060 | 17,948 | 17,143 | 17,108 | 17,106 |
16 | Total net cash outflow |
| 11,640 | 10,745 | 10,091 | 10,373 | 10,684 |
17 | LCR (%) |
| 165.8 | 167.9 | 170.3 | 165.4 | 160.9 |
Net stable funding ratio (NSFR) |
|
|
|
|
|
| |
18 | Total available stable funding |
| 13,859 | 14,696 | 15,358 | 15,458 | 15,816 |
19 | Total required stable funding |
| 9,343 | 8,624 | 8,963 | 9,160 | 9,631 |
20 | NSFR (%) |
| 148.3 | 170.4 | 171.3 | 168.7 | 164.2 |
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. | |||||||
p
Significant regulated subsidiaries and sub-groups | UBS Europe SE consolidated | 58 |
UBS Americas Holding LLC consolidated
Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Americas Holding LLC consolidated, based on Pillar 1 requirements and in accordance with US Basel III rules and US generally accepted accounting principles (GAAP).
Effective 1 October 2021, and through 30 September 2022, 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 2021 Comprehensive Capital Analysis and Review (the CCAR) based on Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. Based on the results of the 2022 CCAR, the SCB has been adjusted to 4.8% effective 1 October 2022. 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 second quarter of 2022, common equity tier 1 (CET1) decreased by USD 0.5bn, primarily due to the payment of a dividend to UBS AG. Risk-weighted assets (RWA) increased by USD 2.0bn to USD 74.7bn, mainly driven by an increase in credit risk. Leverage ratio exposure, calculated on an average basis, increased by USD 0.8bn to USD 198.3bn primarily due to increased lending activity.
The average liquidity coverage ratio (the LCR) increased 5.8 percentage points, mainly driven by lower deposits generating a USD 1.3bn decrease in total net cash outflows over the second quarter of 2022.
KM1: Key metrics1 |
|
|
|
| |||
USD m, except where indicated | |||||||
|
|
| 30.6.22 | 31.3.22 | 31.12.21 | 30.9.21 | 30.6.21 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 12,454 | 12,926 | 13,002 | 14,831 | 14,477 |
2 | Tier 1 |
| 16,509 | 16,975 | 17,051 | 17,877 | 17,523 |
3 | Total capital |
| 16,661 | 17,108 | 17,176 | 18,485 | 18,143 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 74,651 | 72,646 | 72,979 | 71,571 | 69,139 |
4a | Minimum capital requirement2 |
| 5,972 | 5,812 | 5,838 | 5,726 | 5,531 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 16.7 | 17.8 | 17.8 | 20.7 | 20.9 |
6 | Tier 1 ratio (%) |
| 22.1 | 23.4 | 23.4 | 25.0 | 25.3 |
7 | Total capital ratio (%) |
| 22.3 | 23.6 | 23.5 | 25.8 | 26.2 |
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 | 7.1 | 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 | 7.1 | 6.7 | 6.7 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)3 |
| 12.2 | 13.3 | 13.3 | 16.2 | 16.4 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 198,332 | 197,541 | 188,1304 | 175,486 | 170,985 |
14 | Basel III leverage ratio (%)5 |
| 8.3 | 8.6 | 9.1 | 10.2 | 10.2 |
14a | Total Basel III supplementary leverage ratio exposure measure |
| 224,259 | 223,482 | 212,167 | 199,073 | 195,617 |
14b | Basel III supplementary leverage ratio (%)5 |
| 7.4 | 7.6 | 8.0 | 9.0 | 9.0 |
Liquidity coverage ratio (LCR)6 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 34,065 | 34,451 | 32,371 | 30,058 | 29,029 |
16 | Total net cash outflow |
| 23,596 | 24,873 | 21,995 | 19,548 | 17,509 |
17 | LCR (%) |
| 144.4 | 138.6 | 147.2 | 153.8 | 165.8 |
1 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 Figures are calculated on a quarterly average. | |||||||
p
Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated | 59 |
Material sub-group entity – creditor ranking at legal entity level
Semi-annual | The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on a standalone basis.
As of 30 June 2022, UBS Americas Holding LLC had a total loss-absorbing capacity (TLAC) of USD 23.9bn after regulatory capital deductions and adjustments. This amount included tier 1 capital, excluding minority interest, of USD 16.5bn and USD 7.4bn of internal long-term debt that is eligible as internal TLAC issued to UBS AG, a wholly owned subsidiary of the UBS Group AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level | ||||||||
As of 30.6.22 |
| Creditor ranking |
| Total | ||||
USD m |
| 1 | 2 | 3 | 4 |
|
| |
1 | Is the resolution entity the creditor / investor? |
| No | No | No | No |
|
|
2 | Description of creditor ranking |
| Common Equity (most junior)1 | Preferred Shares (Additional tier 1) | Subordinated debt | Unsecured loans and other pari passu liabilities (most senior) |
|
|
3 | Total capital and liabilities net of credit risk mitigation |
| 21,603 | 4,150 |
| 32,568 |
| 58,320 |
4 | Subset of row 3 that are excluded liabilities |
|
|
|
| 212 |
| 212 |
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) |
| 21,603 | 4,150 |
| 32,356 |
| 58,108 |
6 | Subset of row 5 that are eligible as TLAC |
| 21,603 | 4,150 |
| 7,400 |
| 33,153 |
7 | Subset of row 6 with 1 year ≤ residual maturity < 2 years |
|
|
|
| 0 |
|
|
8 | Subset of row 6 with 2 years ≤ residual maturity < 5 years |
|
|
|
| 5,400 |
| 5,400 |
9 | Subset of row 6 with 5 years ≤ residual maturity < 10 years |
|
|
|
| 2,000 |
| 2,000 |
10 | Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual securities |
|
|
|
| 0 |
|
|
11 | Subset of row 6 that is perpetual securities |
| 21,603 | 4,150 |
|
|
| 25,753 |
1 Equity attributable to shareholders, which includes share premium and reserves. | ||||||||
p
Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated | 60 |
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
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
Appendix | 61 |
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 of the People’s Republic of China
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.
Appendix | 62 |
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.
Appendix | 63 |
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
Date: August 19, 2022