UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: March 6, 2023
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the 31 December 2022 Pillar 3 Report of 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 | |||
UBS Group | |||
5 | Section 1 | ||
15 | Section 2 | ||
17 | Section 3 | ||
18 | Section 4 | ||
21 | Section 5 | ||
50 | Section 6 | ||
57 | Section 7 | ||
61 | Section 8 | ||
64 | Section 9 | ||
72 | Section 10 | ||
72 | Section 11 | ||
75 | Section 12 | ||
82 | Section 13 | ||
83 | Section 14 | ||
86 | Section 15 | ||
89 | Section 16 | ||
90 | Section 17 | Requirements for global systemically important banks and related indicators | |
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Significant regulated subsidiaries and sub-groups | |||
91 | Section 1 | ||
91 | Section 2 | ||
95 | Section 3 | ||
102 | Section 4 | ||
103 | Section 5 | ||
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Appendix | |||
105 | |||
107 | |||
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Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2023. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for 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.
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.
› Refer to the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022, available under “Annual reporting” at ubs.com/investors, for more information about capital and other regulatory information as of 31 December 2022 for UBS Group AG consolidated, and to the “Capital, liquidity and funding, and balance sheet” section of the combined UBS Group AG and UBS AG Annual Report 2022, available under “Annual reporting” at ubs.com/investors, for more information about capital and other regulatory information for UBS AG consolidated
Significant regulatory developments, disclosure requirements and other changes
FINMA’s annual assessment of recovery and resolution plans and revisions to the Swiss Banking Act and the Banking Ordinance
In March 2022, FINMA presented its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland as part of the too-big-to-fail framework. 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 certain areas for further improvement, which UBS is in the process of addressing. Based on the improvements made in 2021, FINMA increased the resolvability discount on the gone concern capital requirements as of 1 July 2022.
In November 2022, the Swiss Federal Council adopted the amendments to the Banking Act and the Banking Ordinance, which entered into force as of 1 January 2023. The amendments enact insolvency provisions for banks into statutory law and strengthen the deposit insurance framework. They also replace the current, aforementioned resolvability discount on the gone concern capital requirements for systemically important banks (SIBs), including UBS, with a reduced base gone concern capital requirement. In addition, FINMA has the authority to impose a surcharge of up to 25% of the base gone concern capital requirement should obstacles to a SIB’s resolvability be identified in future resolvability assessments. We currently expect that our total gone concern requirements will remain substantially unchanged in the first quarter of 2023 because of these changes.
Revision of the Swiss liquidity requirements
In July 2022, the revision of the Swiss Liquidity Ordinance became effective, which increases the regulatory minimum liquidity requirements for systemically important banks (SIBs) from 1 January 2024. The specific increase for UBS remains uncertain pending supervisory guidance from FINMA, which is expected to be communicated to the firm in the autumn of 2023. Related new and revised regulatory reporting requirements became effective from the fourth quarter of 2022 onward.
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 5
Amendment of the Swiss Capital Adequacy Ordinance regarding the final implementation of Basel III
In December 2022, the Swiss State Secretariat for International Finance changed the expected date on which the final Basel III guidelines are to enter into force, from 1 July 2024 to 1 January 2025. As a result, the Swiss implementation timeline would be aligned to the currently expected implementation timeline in the EU. We currently estimate that the revised Basel III framework would lead to a further net increase in risk-weighted assets (RWA) of around USD 12bn, before taking into account mitigating actions and not reflecting the impact of the output floor, which is phased in over time. Our estimate includes the finalization of the Basel III framework, as well as the fundamental review of the trading book, based on our current understanding of the relevant standards. It may change as a result of new or updated regulatory interpretations, appropriate conservatism in model calibration, the implementation of Basel III standards into national law, changes in business growth, market conditions and other factors. The final degree of alignment between the Swiss implementation and those in other jurisdictions, particularly those regarding the treatment of historical operational losses, remains uncertain at this stage.
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 Swiss SIB in the process of resolution. The introduction of the backstop is intended to increase the confidence of market participants in the ability of SIBs to become successfully recapitalized and remain solvent in a crisis situation. The Swiss Federal Department of Finance (the FDF) is expected to issue a public consultation by mid-2023.
As part of the Inflation Reduction Act (the IRA) passed by the US Congress in August 2022, a new corporate alternative minimum tax (CAMT) was introduced, with an effective date of 1 January 2023. CAMT is calculated as 15% of an entity’s consolidated financial statement profits, without taking into account pre-2019 tax loss carry-forwards. As a result, the Group is expected to incur significant US current tax expenses, although these will be offset by the recognition of equivalent benefits in respect of deferred tax assets. There is no change to the Group’s effective tax rate. CAMT will temporarily defer the accretion of profits to the Group’s common equity tier 1 (CET1) capital, but the amount of such deferral is expected to be recaptured in the future through the use of CAMT credits. The 2022 impact on the accretion of CET1 capital would have been around USD 250m.
Other developments
Simplification of Pillar 3 disclosures
Starting with the 31 December 2022 Pillar 3 Report, we have replaced the “CR7: IRB – effect on RWA of credit derivatives used as CRM techniques” and “CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights” tables with a qualitative statement, due to immateriality and in line with FINMA Circular 2016/1, general principles of disclosure.
Capital returns
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 (USD 4,137m).
On 31 March 2022, we commenced a new 2022 share repurchase program of up to USD 6bn. On 6 April 2022, the shareholders approved a dividend of USD 0.50 per share at the Annual General Meeting (the AGM). The dividend was paid on 14 April 2022 to shareholders of record on 13 April 2022.
In 2022, we repurchased 322m shares for a total acquisition cost of CHF 5,324m (USD 5,581m) under the 2021 and 2022 share repurchase programs. We expect to repurchase more than USD 5bn of our shares in 2023.
For 2022, the Board of Directors (the BoD) is proposing a dividend to UBS Group AG shareholders of USD 0.55 per share. Subject to approval at the AGM, scheduled for 5 April 2023, the dividend will be paid on 14 April 2023 to shareholders of record on 13 April 2023. The ex-dividend date will be 12 April 2023.
› Refer to the “Share information and earnings per share” section of our Annual Report 2022, available under “Annual reporting” at ubs.com/investors, for more information
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.
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 6
Material model updates
Following a review with FINMA regarding the French cross-border matter, we reflected additional operational risk RWA of USD 4.1bn 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 and USD 2.0bn 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 up to and including 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.
In addition, we implemented a new model for structured margin loans in the Investment Bank in the first quarter of 2022, resulting in a credit and counterparty credit risk increase of USD 0.4bn. The first quarter of 2022 also included a credit risk RWA increase of USD 0.3bn due to a loss given default (LGD) model update related to leveraged finance clients in the Investment Bank.
Furthermore, we updated the model for margin period of risk for prime brokerage clients, which resulted in an increase in credit risk RWA of USD 1.1bn in the second quarter of 2022.
We also updated the LGD model for mortgages in Switzerland, which resulted in an increase in credit risk RWA of USD 1.0bn in the second quarter of 2022.
In the third quarter of 2022, we updated the probability-of-default (PD) and LGD models for certain Lombard clients, which resulted in a credit risk RWA increase of USD 0.6bn. Furthermore, we updated the PD model for owner-occupied residential properties, which resulted in an additional credit risk RWA increase of USD 0.6bn.
In the fourth quarter of 2022, we began to phase in an RWA increase for a change in relation to the LGD model for private equity and hedge fund financing trades. This RWA increase is being phased in over four quarters and will be fully implemented by the third quarter of 2023. Credit risk RWA increased by USD 0.7bn in the fourth quarter of 2022 due to the aforementioned change.
Furthermore, we began to phase in an update to the PD model for hedge funds. The associated credit risk RWA increase will be phased in over four quarters, and the RWA increase in the fourth quarter of 2022 was USD 0.1bn. Finally, the fourth quarter of 2022 reflected an RWA reduction of USD 0.3bn related to updates to the Lombard model.
Frequency and comparability of Pillar 3 disclosures
The table below summarizes the reporting frequency for each disclosure as per the current FINMA requirements applicable to UBS.
We provide quantitative comparative information as of 30 September 2022 for disclosures required on a quarterly basis and as of 30 June 2022 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 – Annual | Semi-annual | Quarterly | – indicating whether the disclosure is provided annually, semi-annually or quarterly. A triangle symbol – p p p – indicates the end of the signpost.
› Refer to our 31 March 2022, 30 June 2022 and 30 September 2022 Pillar 3 Reports, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about previously published quarterly movement commentary
› Refer to our 30 June 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about previously published semi-annual movement commentary
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 7
The following table outlines the annual, semi-annual and quarterly disclosure requirements that are satisfied in this report for UBS Group and significant regulated subsidiaries and sub-groups as applicable. For specific disclosures, this report may refer to our Annual Report 2022.
FINMA reference1 | Disclosure title in this report | Section of this report | Page number in this report |
Annual disclosure requirements | |||
OVA | Bank risk management approach | Introduction and basis for preparation | 11–12 |
LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | Section 4 Linkage between financial statements and regulatory exposures | 19–20 |
LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation) | Section 4 Linkage between financial statements and regulatory exposures | 21 |
LIA | Explanations of differences between accounting and regulatory exposure amounts | Section 4 Linkage between financial statements and regulatory exposures | 19 |
PV1 | Prudent valuation adjustments (PVA) | Section 12 Going and gone concern requirements and eligible capital | 81 |
Disclosure of G-SIB indicators | Section 17 Requirements for global systemically important banks and related indicators | 90 | |
LIQA | Liquidity risk management | Section 15 Liquidity and funding | 88 |
CRA | Credit risk management | Section 5 Credit risk | 22 |
CRB | Additional disclosure related to the credit quality of assets: – Breakdown of exposures by industry – Breakdown of exposures by geographical area – Breakdown of exposures by residual maturity – Credit-impaired exposures by industry – Credit-impaired exposures by geographical area – Past due exposures – Breakdown of restructured exposures between credit-impaired and non-credit-impaired | Section 5 Credit risk |
24 24 25 25 26 26 26 |
CRC | Credit risk mitigation | Section 5 Credit risk | 27 |
CRD | Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk | Section 5 Credit risk | 28 |
CRE | Qualitative disclosure related to IRB models | Section 5 Credit risk | 31 |
CR9 | IRB – backtesting of probability of default (PD) per portfolio | Section 5 Credit risk | 42–49 |
CCRA | Counterparty credit risk management | Section 6 Counterparty credit risk | 50 |
SECA | – Introduction – Objectives, roles and involvement | Section 7 Securitization | 61 61–62 |
MRA | Market risk | Section 9 Market risk | 64 |
MRB | Internal models approach | Section 9 Market risk | 67 |
Interest rate risk in the banking book | Section 11 Interest rate risk in the banking book | 72 | |
IRRBB1 | Quantitative information about IRRBB | Section 11 Interest rate risk in the banking book | 73 |
IRRBBA1 | Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk | Section 11 Interest rate risk in the banking book | 73–74 |
REMA REM1 REM2 REM3 | Remuneration policy | Section 16 Remuneration | 89 |
ORA | Operational risk | Section 10 Operational risk | 72 |
– | VaR- and SVaR-based RWA | Section 9 Market risk | 69
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– | RniV-based RWA | Section 9 Market risk | 70
|
– | IRC-based RWA | Section 9 Market risk | 71
|
– | Comprehensive risk measure | Section 9 Market risk | 71 |
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 8
FINMA reference1 | Disclosure title in this report | Section of this report | Page number in this report |
Semi-annual disclosure requirements | |||
CR1 | Credit quality of assets | Section 5 Credit risk | 23 |
CR2 | Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | Section 5 Credit risk | 23 |
CR3 | Credit risk mitigation techniques – overview | Section 5 Credit risk | 28 |
CR4 | Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects | Section 5 Credit risk | 29 |
CR5 | Standardized approach – exposures by asset classes and risk weights | Section 5 Credit risk | 30 |
CR6 | IRB – credit risk exposures by portfolio and PD range | Section 5 Credit risk | 33–40 |
CR7 | Qualitative statement about the impact of credit derivatives used as CRM techniques on IRB credit risk RWA | Section 5 Credit risk | 41 |
CR10 | IRB (equities under the simple risk-weight method) | Section 5 Credit risk | 50 |
CCR1 | Analysis of counterparty credit risk (CCR) exposure by approach | Section 6 Counterparty credit risk | 51 |
CCR2 | Credit valuation adjustment (CVA) capital charge | Section 6 Counterparty credit risk | 51 |
CCR3 | Qualitative statement about the materiality of counterparty credit risk exposures subject to standardized risk weights | Section 6 Counterparty credit risk | 51 |
CCR4 | IRB – CCR exposures by portfolio and PD scale | Section 6 Counterparty credit risk | 52–54 |
CCR5 | Composition of collateral for CCR exposure | Section 6 Counterparty credit risk | 55 |
CCR6 | Credit derivatives exposures | Section 6 Counterparty credit risk | 55 |
CCR8 | Exposures to central counterparties | Section 6 Counterparty credit risk | 56 |
SEC1 SEC2 SEC3 SEC4 | Tailored table “Securitization exposures in the banking and trading book and associated regulatory capital requirements“ | Section 8 Securitizations | 63 |
MR1 | The data is reflected in the “Securitization exposures in the banking and trading book and associated regulatory capital requirements” table | Section 8 Securitizations | 63 |
MR3 | IMA values for trading portfolios | Section 9 Market risk | 68 |
MR4 | Comparison of VaR estimates with gains / losses | Section 9 Market risk | 69-70 |
CC1 | Composition of regulatory capital | Section 12 Going and gone concern requirements and eligible capital | 79–80 |
CC2 | Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation | Section 12 Going and gone concern requirements and eligible capital | 77–78 |
CCA | Main features of regulatory capital instruments and other total loss-absorbing capacity (TLAC)-eligible instruments | n/a – The CCA table is published on our website. Refer to the document titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” under “Bondholder information” at ubs.com/investors, for more information. | n/a |
CCyB1 | Geographical distribution of credit exposures used in the countercyclical capital buffer | Section 12 Going and gone concern requirements and eligible capital | 76 |
TLAC1 | TLAC composition for G-SIBs (at resolution group level) | Section 13 Total loss-absorbing capacity | 82 |
TLAC2 | Material sub-group entity – creditor ranking at legal entity level | Significant regulated subsidiaries and sub-groups: Section 5 UBS Americas Holding LLC consolidated | 104 |
TLAC3 | Creditor ranking at legal entity level for the resolution entity, UBS Group AG | Section 13 Total loss-absorbing capacity | 83 |
LIQ2 | Net Stable Funding Ratio (NSFR) | Section 15 Liquidity and funding | 89 |
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 9
FINMA reference1 | Disclosure title in this report | Section of this report | Page number in this report |
Quarterly disclosure requirements | |||
KM1 | Key metrics | UBS Group: Section 2 Key metrics
Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone Section 4 UBS Europe SE consolidated Section 5 UBS Americas Holding LLC consolidated |
16
92 96 102 103
|
KM2 | Key metrics – TLAC requirements (at resolution group level) | Section 2 Key metrics | 17 |
OV1 | Overview of RWA | Section 3 Overview of risk-weighted assets | 18 |
CR8 | RWA flow statements of credit risk exposures under IRB | Section 5 Credit risk | 41 |
CCR7 | RWA flow statements of CCR exposures under IMM and VaR | Section 6 Counterparty credit risk | 56 |
MR2 | RWA flow statements of market risk exposures under an internal models approach | Section 9 Market risk | 66 |
LR1 | BCBS Basel III leverage ratio summary comparison | Section 14 Leverage ratio | 85 |
LR2 | BCBS Basel III leverage ratio common disclosure | Section 14 Leverage ratio | 85 |
LIQ1 | Liquidity coverage ratio | Section 15 Liquidity and funding | 87 |
– | High-quality liquid assets | Section 15 Liquidity and funding | 86 |
– | Swiss SRB going and gone concern requirements and information | UBS Group: Section 12 Going and gone concern requirements and eligible capital
Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone |
75
93–94 97–98 |
–
| Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions | Section 14 Leverage ratio | 84 |
–
| Swiss SRB leverage ratio denominator | Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone |
94 98 |
1 Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks.”
Format of Pillar 3 disclosures
As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be modified to a certain degree to present the most relevant information. Pillar 3 requirements are presented under the relevant FINMA table / template reference (e.g., OVA, OV1, LI1, etc.). Pillar 3 disclosures may also include row labeling (1, 2, 3, etc.) as prescribed by FINMA. Naming conventions used in our Pillar 3 disclosures are based on FINMA guidance and may not reflect UBS naming conventions.
The FINMA-defined asset classes used within this Pillar 3 Report are as follows:
– Central governments and central banks, consisting of exposures relating to governments at the level of the nation state and their central banks. The European Union is also treated as a central government.
– Banks and securities dealers, consisting of exposures to legal entities holding banking licenses and securities firms subject to adequate supervisory and regulatory arrangements, including risk-based capital requirements. Securities firms can only be assigned to this asset class if they are subject to a supervision equivalent to that of banks.
– Public-sector entities and multi-lateral development banks, consisting of exposures to institutions established on the basis of public law in different forms, such as administrative entities or public companies and regional governments, the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks recognized by FINMA.
– Corporates: specialized lending, consisting of exposures relating to income-producing real estate and high-volatility commercial real estate, commodities finance, project finance, and object finance.
– Corporates: other lending, consisting of all exposures to corporates that are not specialized lending. This asset class includes private commercial entities, such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds).
– Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if the owner occupies or rents out the mortgaged property.
– Retail: qualifying revolving retail exposures, consisting of unsecured and revolving credits to individuals that exhibit appropriate loss characteristics relating to credit card relationships at UBS.
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 10
– Retail: other, consisting primarily of Lombard lending that represents loans made against the pledge of eligible marketable securities or cash, as well as exposures to small businesses, private clients and other retail customers without mortgage financing.
– Equity, consisting of instruments that have no stated or predetermined maturity and represent a residual interest in the net assets of an entity.
– Other assets, consisting of the remainder of exposures that UBS is exposed to, mainly non-counterparty-related assets.
Governance over Pillar 3 disclosures
The BoD and senior management are responsible for establishing and maintaining an effective internal control structure over the disclosure of financial information, including Pillar 3 disclosures. In line with BCBS and FINMA requirements, we have a BoD-approved Pillar 3 disclosure governance policy in place, which includes information about the key internal controls and procedures designed to govern the preparation, review and sign-off of Pillar 3 disclosures. This Pillar 3 Report has been verified and approved in line with that policy.
Risk management framework
Our Group-wide risk management framework is applied across all risk types. The table below presents an overview of risk management disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
Annual |
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Business model and risk profile | Our strategy, business model and environment | – Market climate, Industry trends – Risk factors | 28–32 56–66 |
Risk, capital, liquidity and funding, and balance sheet | – Overview of risks arising from our business activities – Risk categories – Top and emerging risks – Risk management and control principles – Risk appetite framework – Risk measurement – Credit risk – Main sources of credit risk, Overview of measurement, monitoring and management techniques, Credit risk profile of the Group – Market risk – Main sources of market risk, Overview of measurement, monitoring and management techniques – Interest rate risk in the banking book – Other market risk exposures – Country risk framework, Country risk exposure – Non-financial risk framework | 84 85–86 86–87 90 89–91 93–95 96–97
111–112
115–118 118–119 119–121 131–132 | |
Risk governance | Risk, capital, liquidity and funding, and balance sheet | – Risk categories – Risk governance – Interest rate risk in the banking book – Risk management and governance – Capital management – Capital management objectives, Capital planning and activities – Liquidity and funding management – Strategy, objectives and governance | 85–86 87–89 116
135
147 |
Communication and enforcement of risk culture within the bank | Risk, capital, liquidity and funding, and balance sheet | – Risk governance – Risk appetite framework – Internal risk reporting – Non-financial risk framework | 87–89 89–91 92 131–132 |
Scope and main features of risk measurement systems | Risk, capital, liquidity and funding, and balance sheet | – Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques – Market risk – Overview of measurement, monitoring and management techniques – Country risk exposure measure – Advanced measurement approach model | 93–95 96–97
111–112
120 132 |
Risk information reporting | Risk, capital, liquidity and funding, and balance sheet | – Risk governance – Risk management and control principles – Internal risk reporting | 87–89 90 92 |
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 11
OVA: Bank risk management approach (continued) | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
|
Stress testing | Risk, capital, liquidity and funding, and balance sheet | – Risk appetite framework – Stress testing – Credit risk models – Stress loss – Market risk stress loss – Interest rate risk in the banking book – Other market risk exposures – Liquidity and funding management – Liquidity and funding stress testing | 89–91 93–94 107 112 115–118 118–119 147–148 |
|
Strategies and processes applied to manage, hedge and mitigate risks | Risk, capital, liquidity and funding, and balance sheet | – Credit risk – Overview of measurement, monitoring and management techniques – Credit risk mitigation – Market risk – Overview of measurement, monitoring and management techniques – Value-at-risk – Interest rate risk in the banking book – Other market risk exposures – Country risk exposure – Non-financial risk framework – Liquidity and funding management – Currency management – Risk management and control principles | 96–97
102–104 111–112
112–115 115–118 118–119 120–121 131–132 147–149 156–157 90 |
|
Consolidated financial statements | – Note 10 Derivative instruments – Note 20h Maximum exposure to credit risk for financial instruments measured at fair value – Note 21 Offsetting financial assets and financial liabilities | 291–293 328
330–331 |
|
Our approach to measuring risk exposure and risk-weighted assets
Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under IFRS for deriving our regulatory capital requirement or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our RWA are calculated according to the BCBS Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by FINMA.
The table below provides a summary of the approaches we use for the main risk categories to determine the regulatory risk exposure and RWA.
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
I. Credit risk | |||
Credit risk | Credit risk is the risk of a loss resulting from the failure of a counterparty to meet its contractual obligations toward UBS arising from transactions such as loans, debt securities held in our banking book and undrawn credit facilities.
Refer to section 5, Credit risk. | Exposure at default (EAD) is the amount we expect a counterparty to owe us at the time of a possible default. For banking products, the EAD generally equals the IFRS carrying amount as of the reporting date. The EAD is expected to remain constant over the 12-month period. For loan commitments, a credit conversion factor is applied to model expected future drawdowns over the 12-month period. | We apply two approaches to measure credit risk RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal probability of default and LGD estimates. – Standardized approach (SA), generally based on external ratings for a sub-set of our credit portfolio where internal measures are not available. |
Non-counterparty-related risk | Non-counterparty-related risk (NCPA) denotes the risk of a loss arising from changes in value or from liquidation of assets not linked to any counterparty, for example, premises, equipment and software, and deferred tax assets on temporary differences.
Refer to section 3, Overview of RWA. | The IFRS carrying amount is the basis for measuring NCPA exposure. | We measure non-counterparty-related risk RWA by applying prescribed regulatory risk weights to the NCPA exposure. |
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 12
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
Equity positions in the banking book | Risk from equity positions in the banking book refers to the investment risk arising from equity positions and other relevant investments or instruments held in our banking book.
Refer to section 5, Credit risk. | The IFRS carrying amount is the basis for measuring risk exposure for equity securities held in our banking book, but reflecting a net position. | We measure the RWA from equity positions in the banking book by applying prescribed regulatory risk weights to our listed and unlisted equity exposures. |
II. Counterparty credit risk | |||
Counterparty credit risk (CCR) | CCR is the risk that a counterparty for over-the-counter (OTC) derivatives, exchange-traded derivatives (ETDs) or securities financing transactions (SFTs) will default before the final settlement of a transaction and cause a loss to the firm if the transaction has a positive economic value at the time of default.
Refer to section 6, Counterparty credit risk. | We primarily use internal models to measure CCR exposures to third parties. All internal models are approved by FINMA. – For OTC derivatives and ETDs, we apply the effective expected positive exposure (EEPE) and stressed expected positive exposure (SEPE) as defined in the Basel III framework. – For SFTs, we apply the close-out period approach.
In certain instances where risk models are not available: – Exposure on OTC derivatives and ETDs is calculated considering the net positive replacement values and potential future exposure. – Exposure for SFTs is based on the IFRS carrying amount, net of collateral mitigation. | We apply two approaches to measure CCR RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal counterparty ratings and LGD estimates. – Standardized approach (SA), generally based on external ratings for a sub-set of our credit portfolio, where internal measures are not available.
We apply an additional credit valuation adjustment (CVA) capital charge to hold capital against the risk of mark-to-market losses associated with the deterioration of counterparty credit quality. |
Settlement risk | Settlement risk is the risk of loss resulting from transactions that involve exchange of value (e.g., security versus cash) where we must deliver without first being able to determine with certainty that we will receive the countervalue.
Refer to section 3, Overview of risk-weighted assets. | The IFRS carrying amount is the basis for measuring settlement risk exposure. | We measure settlement risk RWA through the application of prescribed regulatory risk weights to the settlement risk exposure. |
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 13
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 14
Category | Definition of risk | Regulatory risk exposure | Risk-weighted assets (RWA) |
Comprehensive risk measure (the CRM) | The CRM is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level.
Refer to section 9, Market risk. |
| Since the second quarter of 2019, we have not held eligible correlation trading positions. Prior to then, the CRM was calculated weekly and used to derive the CRM-based component of the market risk RWA, with the calculation subject to a floor equal to 8% of the equivalent capital charge under the specific risk measure (the SRM) for the correlation trading portfolio. |
Securitization / re-securitization in the trading book | Risk arising from traditional and synthetic securitizations held in our trading book.
Refer to section 8, Securitizations and | The exposure is equal to the fair value of the net long or short securitization position. | We measure trading book securitization RWA using the Ratings-based approach, i.e., applying risk weights based on external ratings. |
V. Operational risk | |||
Operational risk | Operational risk is the risk of loss resulting from inadequate or failed internal processes, people or systems, or from external causes (deliberate, accidental or natural), including cybersecurity and information security risk. Operational risk includes, among others, legal risk, conduct risk and compliance risk. Refer to section 10, Operational risk. |
| We use the advanced measurement approach to measure operational risk RWA in accordance with FINMA requirements. |
Key metrics of the fourth quarter of 2022
Quarterly | The KM1 and KM2 tables below 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 and leverage ratios decreased, primarily reflecting increases in risk-weighted assets (RWA) and in the leverage ratio denominator. Our common equity tier 1 (CET1) capital increased by USD 0.8bn to USD 45.5bn, mainly reflecting operating profit before tax of USD 1.9bn, with associated current tax expenses of USD 0.3bn, and positive effects from foreign currency translation of USD 1.0bn, partly offset by share repurchases of USD 1.3bn and dividend accruals of USD 0.4bn.
Our tier 1 capital decreased by USD 1.0bn to USD 58.3bn, reflecting a decrease in our additional tier 1 (AT1) capital of USD 1.8bn, partly offset by the aforementioned increase in our CET1 capital. The decrease in AT1 capital was mainly driven by our announcement on 5 December 2022 that we intended to redeem an AT1 capital instrument on 31 January 2023, the first call date (ISIN CH0400441280, with a nominal amount of USD 2.0bn, issued on 31 January 2018). This instrument ceased to be eligible as AT1 capital when the call was announced in December 2022.
The TLAC available as of 31 December 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 fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 December 2022 but is included as available TLAC in the KM2 table in this section.
Our available TLAC increased by USD 0.6bn to USD 105.3bn, mainly reflecting a USD 1.6bn increase in TLAC-eligible senior unsecured debt, partly offset by the aforementioned decrease in our tier 1 capital. The increase of USD 1.6bn in TLAC-eligible senior unsecured debt was mainly due to interest rate risk hedge, foreign currency translation and other effects.
RWA increased by USD 9.0bn to USD 319.6bn, mainly driven by increases of USD 9.3bn in credit risk, USD 0.9bn in market risk and USD 0.5bn in operational risk RWA, partly offset by decreases of USD 2.6bn in counterparty credit risk. The overall increase of USD 9.0bn included an increase of USD 8.1bn related to currency effects.
Leverage ratio exposure increased by USD 38.7bn to USD 1,028.5bn, including currency effects of USD 38.5bn, mainly driven by higher trading portfolio and lending assets, as well as purchases of high-quality liquid asset (HQLA) securities, partly offset by lower derivative exposures and securities financing transactions.
31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 15
In the fourth quarter of 2022, the quarterly average liquidity coverage ratio (the LCR) of UBS Group increased 1.0 percentage point to 163.7%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by a reduction in the average net cash outflows of USD 1.8bn to USD 146.0bn, mainly due to lower outflows from customer deposits, partially offset by lower inflows from loans. The effect of the reduction in the average net cash outflows was largely offset by a decrease in the average HQLA of USD 1.8bn to USD 238.6bn, mainly driven by lower average cash balances due to higher funding consumption from the business divisions.
As of 31 December 2022, the net stable funding ratio (the NSFR) of UBS Group decreased 0.6 percentage points to 119.8%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by USD 25.0bn higher required stable funding, mainly due to an increase in trading assets and loans to customers, partially offset by lower derivative balances. Available stable funding increased by USD 27.5bn, predominantly due to increased customer deposits and debt securities issued.
KM1: Key metrics |
|
|
|
|
| |
USD m, except where indicated |
| |||||
|
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 |
Available capital (amounts) |
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1)1 | 45,457 | 44,664 | 44,798 | 44,593 | 45,281 |
1a | Fully loaded ECL accounting model CET1 | 45,457 | 44,664 | 44,794 | 44,587 | 45,267 |
2 | Tier 11 | 58,321 | 59,359 | 59,907 | 60,053 | 60,488 |
2a | Fully loaded ECL accounting model Tier 1 | 58,321 | 59,359 | 59,902 | 60,047 | 60,475 |
3 | Total capital1 | 58,806 | 59,845 | 60,401 | 61,056 | 61,928 |
3a | Fully loaded ECL accounting model total capital | 58,806 | 59,845 | 60,396 | 61,051 | 61,914 |
Risk-weighted assets (amounts) |
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) | 319,585 | 310,615 | 315,685 | 312,037 | 302,209 |
4a | Minimum capital requirement2 | 25,567 | 24,849 | 25,255 | 24,963 | 24,177 |
4b | Total risk-weighted assets (pre-floor) | 319,585 | 310,615 | 315,685 | 312,037 | 302,209 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
| |
5 | CET1 ratio (%)1 | 14.22 | 14.38 | 14.19 | 14.29 | 14.98 |
5a | Fully loaded ECL accounting model CET1 ratio (%) | 14.22 | 14.38 | 14.19 | 14.29 | 14.98 |
6 | Tier 1 ratio (%)1 | 18.25 | 19.11 | 18.98 | 19.25 | 20.02 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) | 18.25 | 19.11 | 18.98 | 19.24 | 20.01 |
7 | Total capital ratio (%)1 | 18.40 | 19.27 | 19.13 | 19.57 | 20.49 |
7a | Fully loaded ECL accounting model total capital ratio (%) | 18.40 | 19.27 | 19.13 | 19.57 | 20.49 |
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 (%) | 0.07 | 0.02 | 0.02 | 0.02 | 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) | 0.27 | 0.26 |
|
|
|
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 | 3.57 | 3.52 | 3.52 | 3.52 | 3.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) | 9.72 | 9.88 | 9.69 | 9.79 | 10.48 |
Basel III leverage ratio |
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure | 1,028,461 | 989,787 | 1,025,422 | 1,072,953 | 1,068,862 |
14 | Basel III leverage ratio (%)1 | 5.67 | 6.00 | 5.84 | 5.60 | 5.66 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%) | 5.67 | 6.00 | 5.84 | 5.60 | 5.66 |
Liquidity coverage ratio (LCR)4 |
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) | 238,585 | 240,420 | 249,364 | 252,836 | 227,891 |
16 | Total net cash outflow | 145,972 | 147,832 | 155,082 | 158,448 | 146,820 |
16a | of which: cash outflows | 262,123 | 263,699 | 268,641 | 280,217 | 275,373 |
16b | of which: cash inflows | 116,151 | 115,866 | 113,559 | 121,769 | 128,554 |
17 | LCR (%) | 163.72 | 162.68 | 160.85 | 159.64 | 155.47 |
Net stable funding ratio (NSFR) |
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|
|
|
| |
18 | Total available stable funding | 561,431 | 533,866 | 551,877 | 569,405 | 578,379 |
19 | Total required stable funding | 468,496 | 443,487 | 456,328 | 467,826 | 488,067 |
20 | NSFR (%) | 119.84 | 120.38 | 120.94 | 121.71 | 118.50 |
1 As of 1 July 2022, our capital amounts exclude 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 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 4 Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third 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. |
31 December 2022 Pillar 3 Report | UBS Group | Section 2 Key metrics 16
KM2: Key metrics – TLAC requirements (at resolution group level)1 | ||||||
USD m, except where indicated |
|
|
|
|
| |
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 | |
1 | Total loss-absorbing capacity (TLAC) available2 | 105,312 | 104,745 | 106,249 | 106,573 | 104,783 |
1a | Fully loaded ECL accounting model TLAC available | 105,312 | 104,745 | 106,244 | 106,568 | 104,769 |
2 | Total RWA at the level of the resolution group | 319,585 | 310,615 | 315,685 | 312,037 | 302,209 |
3 | TLAC as a percentage of RWA (%) | 32.95 | 33.72 | 33.66 | 34.15 | 34.67 |
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%) | 32.95 | 33.72 | 33.65 | 34.15 | 34.67 |
4 | Leverage ratio exposure measure at the level of the resolution group | 1,028,461 | 989,787 | 1,025,422 | 1,072,953 | 1,068,862 |
5 | TLAC as a percentage of leverage ratio exposure measure (%) | 10.24 | 10.58 | 10.36 | 9.93 | 9.80 |
5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%) | 10.24 | 10.58 | 10.36 | 9.93 | 9.80 |
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 As of 1 July 2022, our capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” |
p
Overview of RWA and capital requirements
Quarterly | The OV1 table below provides an overview of our risk-weighted assets (RWA) and the 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 fourth quarter of 2022, our RWA increased by USD 9.0bn to USD 319.6bn, mainly driven by increases of USD 9.3bn in credit risk, USD 0.9bn in market risk, and USD 0.5bn in operational risk RWA, partly offset by decreases of USD 2.6bn in counterparty credit risk.
Credit risk RWA increased by USD 9.3bn, driven by increases of USD 5.9bn related to currency effects, USD 3.0bn related to asset size and other movements, and, to a lesser extent, by USD 0.4bn related to model updates. Asset size and other movements increased by USD 3.0bn, mainly due to loan balances attracting high risk weights under the standardized approach in Global Wealth Management. Model updates resulted in an RWA increase of USD 0.4bn, primarily driven by a USD 0.7bn quarterly phase-in impact related to updates to the loss-given-default model for hedge funds, partly offset by a decrease of USD 0.3bn related to updates to the Lombard model.
Market risk RWA increased by USD 0.9bn, driven by an increase of USD 0.9bn in regulatory add-ons, reflecting updates from the monthly risks-not-in-VaR assessment. An RWA decrease of USD 1.3bn, driven by a value-at-risk (VaR) model change that went live in the fourth quarter of 2022, was offset by an RWA increase of USD 1.2bn, arising from the introduction of a FINMA-agreed temporary measure to offset the aforementioned decrease in VaR-model-change-related RWA.
Operational risk RWA increased by USD 0.5bn, driven by the annual recalibration of the advanced measurement approach model.
Counterparty credit risk RWA decreased by USD 2.6bn, mainly due to lower RWA on derivatives.
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 fourth 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 “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022, available under” Annual reporting” at ubs.com/investors, for more information about capital management and RWA, including details regarding movements in RWA during 2022
31 December 2022 Pillar 3 Report | UBS Group | Section 2 Key metrics 17
OV1: Overview of RWA | |||||||||||
|
| RWA |
| Section or table reference |
| Minimum capital requirements1 | |||||
USD m |
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 |
|
|
| 31.12.22 | |
1 | Credit risk (excluding counterparty credit risk) |
| 162,889 | 153,540 | 155,760 | 154,193 | 151,926 |
| 5 |
| 13,031 |
2 | of which: standardized approach (SA) |
| 41,930 | 37,382 | 36,149 | 35,583 | 35,473 |
| CR4 |
| 3,354 |
2a | of which: non-counterparty-related risk |
| 12,855 | 12,325 | 12,372 | 12,741 | 12,916 |
| CR4 |
| 1,028 |
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 |
| 120,958 | 116,158 | 119,611 | 118,609 | 116,453 |
| CR6, CR8 |
| 9,677 |
6 | Counterparty credit risk2 |
| 36,630 | 39,236 | 39,428 | 39,685 | 37,980 |
| 6, CCR1, CCR8 |
| 2,930 |
7 | of which: SA for counterparty credit risk (SA-CCR) |
| 6,785 | 8,138 | 7,864 | 7,172 | 6,378 |
|
|
| 543 |
8 | of which: internal model method (IMM) |
| 16,438 | 18,574 | 17,786 | 18,480 | 17,506 |
| CCR7 |
| 1,315 |
8a | of which: value-at-risk (VaR) |
| 9,421 | 9,389 | 10,263 | 9,625 | 8,854 |
| CCR7 |
| 754 |
9 | of which: other CCR |
| 3,987 | 3,135 | 3,515 | 4,408 | 5,242 |
|
|
| 319 |
10 | Credit valuation adjustment (CVA) |
| 4,310 | 4,229 | 3,871 | 3,829 | 3,611 |
| 6, CCR2 |
| 345 |
11 | Equity positions under the simple risk-weight approach |
| 3,768 | 3,594 | 3,634 | 3,487 | 3,396 |
| 4, CR10 |
| 301 |
12 | Equity investments in funds – look-through approach |
| 638 | 470 | 535 | 611 | 774 |
|
|
| 51 |
13 | Equity investments in funds – mandate-based approach |
| 1,250 | 1,068 | 1,058 | 1,314 | 1,160 |
|
|
| 100 |
14 | Equity investments in funds – fallback approach |
| 236 | 226 | 215 | 269 | 106 |
|
|
| 19 |
15 | Settlement risk |
| 408 | 788 | 744 | 1,327 | 393 |
|
|
| 33 |
16 | Securitization exposures in banking book |
| 271 | 247 | 209 | 284 | 375 |
| 8 |
| 22 |
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) |
| 28 | 28 | 30 | 144 | 257 |
| 8 |
| 2 |
19 | of which: securitization standardized approach (SEC-SA) |
| 243 | 220 | 179 | 140 | 118 |
| 8 |
| 19 |
20 | Market Risk |
| 13,478 | 12,566 | 15,512 | 13,860 | 11,080 |
| 8,9 |
| 1,078 |
21 | of which: standardized approach (SA) |
| 463 | 505 | 615 | 516 | 652 |
| 8 |
| 37 |
22 | of which: internal models approach (IMA) |
| 13,015 | 12,061 | 14,896 | 13,345 | 10,428 |
| MR2 |
| 1,041 |
23 | Capital charge for switch between trading book and banking book3 |
|
|
|
|
|
|
|
|
|
|
24 | Operational risk |
| 81,379 | 80,856 | 80,856 | 78,843 | 76,743 |
|
|
| 6,510 |
25 | Amounts below thresholds for deduction (250% risk weight)4 |
| 14,328 | 13,792 | 13,863 | 14,336 | 14,665 |
|
|
| 1,146 |
25a | of which: deferred tax assets |
| 11,381 | 11,028 | 10,933 | 11,169 | 11,367 |
|
|
| 911 |
26 | Floor adjustment5 |
|
|
|
|
|
|
|
|
|
|
27 | Total |
| 319,585 | 310,615 | 315,685 | 312,037 | 302,209 |
|
|
| 25,567 |
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences. 5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. |
p
Annual | This section provides information about the differences between our regulatory exposures and carrying amounts presented in our financial statements prepared in accordance with International Financial Reporting Standards (IFRS). Assets and liabilities presented in our IFRS financial statements may be subject to more than one risk framework, as explained further below.
LIA: Explanation of the differences between the IFRS and regulatory scopes of consolidation
The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and are active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation. Subject to the regulatory auditor’s consent, a subsidiary fully consolidated under IFRS may be proportionately consolidated under the regulatory scope of consolidation on an exceptional basis provided that (i) the bank’s obligation to support the company subject to consolidation is limited to the bank’s own holding quota and (ii) the remaining shareholders or partners are required to provide support in proportion to their holding quota and are legally and financially able to fulfill their obligations. The key difference between the IFRS and regulatory scopes of consolidation as of 31 December 2022 relates to investments in insurance, real estate and commercial companies, as well as investment vehicles, that are consolidated under IFRS but are either proportionately consolidated or not consolidated for regulatory capital purposes where they are subject to risk-weighting.
31 December 2022 Pillar 3 Report | UBS Group | Section 3 Overview of risk-weighted assets 18
As of 31 December 2022, UBS Asset Management Life Ltd (total assets on a standalone basis as of 31 December 2022: USD 13,255m; total equity on a standalone basis as of 31 December 2022: USD 27m) 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. The difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 31 December 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 under the regulatory scope. As of 31 December 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.
More information about the legal structure of UBS Group and the IFRS scope of consolidation is provided in the “Our evolution” section and “Note 1 Summary of material accounting policies”, respectively, of our Annual Report 2022, available under “Annual reporting” at ubs.com/investors. p
Fair value measurement
Annual | The table below refers to additional information about fair value measurement that is provided in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
LIA: Explanations of differences between accounting and regulatory exposure amounts
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Valuation methodologies applied, including mark-to-market and mark-to-model methodologies in use | Consolidated financial statements | – Note 20a Valuation principles – Note 20c Fair value hierarchy – Note 20e Level 3 instruments: valuation techniques and inputs | 316 317–321 324–326 |
Description of the independent price verification process | Consolidated financial statements | – Note 20b Valuation governance | 316–317 |
Procedures for valuation adjustments or reserves for valuing trading positions by type of instrument | Consolidated financial statements | – Note 20d Valuation adjustments and other items | 321–323 |
p
Annual | The LI1 table below provides a breakdown of the IFRS balance sheet into the risk types used to calculate our regulatory capital requirements. Cash collateral receivables and payables on derivative instruments, derivative financial instruments and financial assets at fair value not held for trading are subject to capital requirements under both market risk and counterparty credit risk frameworks. In addition, other financial assets measured at amortized cost, financial assets measured at fair value through profit or loss and financial assets measured at fair value through other comprehensive income include securities that have been pledged as collateral. These securities are also considered in the counterparty credit risk framework, as collateral pledged is subject to counterparty credit risk. Foreign exchange risk in the banking book is captured by the market risk framework. Banking book positions with foreign exchange risk are not included in the column regarding market risk.
31 December 2022 Pillar 3 Report | UBS Group | Section 4 Linkage between financial statements and regulatory exposures 19
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | ||||||||||
31.12.22 |
| Carrying values as reported in published financial statements |
| Carrying values under scope of regulatory consolidation |
| Carrying values of items: | ||||
USD m |
|
|
|
|
| Subject to credit risk framework1 | Subject to counterparty credit risk framework2 | Subject to securitization framework3 | Subject to market risk framework | Not subject to capital requirements or subject to deduction from capital |
Assets |
|
|
|
|
|
|
|
|
|
|
Cash and balances at central banks |
| 169,445 |
| 169,445 |
| 169,445 |
|
|
|
|
Loans and advances to banks |
| 14,792 |
| 14,703 |
| 13,575 | 1,1284 |
|
|
|
Receivables from securities financing transactions |
| 67,814 |
| 67,789 |
|
| 67,789 |
|
|
|
Cash collateral receivables on derivative instruments |
| 35,032 |
| 35,032 |
|
| 35,032 |
| 2,225 |
|
Loans and advances to customers |
| 387,220 |
| 387,264 |
| 382,960 | 2,9614 | 1,342 |
|
|
Other financial assets measured at amortized cost |
| 53,264 |
| 53,164 |
| 52,781 | 3,0676 |
|
|
|
Total financial assets measured at amortized cost |
| 727,568 |
| 727,397 |
| 618,761 | 109,977 | 1,342 | 2,225 |
|
Financial assets at fair value held for trading |
| 107,866 |
| 107,879 |
| 1,4525 | 36,7426 | 83 | 106,343 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties |
| 36,742 |
| 36,742 |
|
| 36,742 |
| 36,742 |
|
Derivative financial instruments |
| 150,108 |
| 150,126 |
|
| 150,126 |
| 150,126 |
|
Brokerage receivables |
| 17,576 |
| 17,576 |
| 5,705 | 11,871 |
|
|
|
Financial assets at fair value not held for trading7 |
| 59,796 |
| 46,720 |
| 35,178 | 8,9166, 8 |
| 11,995 |
|
Total financial assets measured at fair value through profit or loss |
| 335,347 |
| 322,301 |
| 42,334 | 207,656 | 83 | 268,465 |
|
Financial assets measured at fair value through other comprehensive income |
| 2,239 |
| 2,199 |
| 2,199 |
|
|
|
|
Investments in associates |
| 1,101 |
| 1,149 |
| 1,129 |
|
|
| 20 |
Property, equipment and software |
| 12,288 |
| 12,242 |
| 12,242 |
|
|
|
|
Goodwill and intangible assets |
| 6,267 |
| 6,200 |
|
|
|
|
| 6,200 |
Deferred tax assets |
| 9,389 |
| 9,3759 |
| 5,328 |
|
|
| 4,047 |
Other non-financial assets |
| 10,166 |
| 10,159 |
| 5,335 |
|
| 4,471 | 353 |
Total assets |
| 1,104,364 |
| 1,091,022 |
| 687,328 | 317,634 | 1,425 | 275,161 | 10,621 |
Liabilities |
|
|
|
|
|
|
|
|
|
|
Amounts due to banks |
| 11,596 |
| 11,596 |
|
|
|
|
| 11,596 |
Payables from securities financing transactions |
| 4,202 |
| 4,202 |
|
| 4,202 |
|
|
|
Cash collateral payables on derivative instruments |
| 36,436 |
| 36,436 |
|
| 36,436 |
| 10,367 |
|
Customer deposits |
| 525,051 |
| 525,075 |
|
|
|
|
| 525,075 |
Debt issued measured at amortized cost |
| 114,621 |
| 114,621 |
|
|
|
|
| 114,621 |
Other financial liabilities measured at amortized cost |
| 9,575 |
| 9,568 |
|
|
|
|
| 9,568 |
Total financial liabilities measured at amortized cost |
| 701,481 |
| 701,497 |
|
| 40,638 |
| 10,367 | 660,859 |
Financial liabilities at fair value held for trading |
| 29,515 |
| 29,515 |
|
|
|
| 29,515 |
|
Derivative financial instruments |
| 154,906 |
| 154,918 |
|
| 154,878 |
| 154,878 | 4010 |
Brokerage payables designated at fair value |
| 45,085 |
| 45,085 |
|
| 29,740 |
|
| 15,345 |
Debt issued designated at fair value |
| 73,638 |
| 73,650 |
|
|
|
| 71,500 | 2,150 |
Other financial liabilities designated at fair value |
| 30,237 |
| 17,017 |
|
| 16,036 |
| 16,992 | 21 |
Total financial liabilities measured at fair value through profit or loss |
| 333,381 |
| 320,185 |
|
| 200,654 |
| 272,886 | 17,557 |
Provisions |
| 3,243 |
| 3,241 |
|
|
|
|
| 3,241 |
Other non-financial liabilities |
| 9,040 |
| 9,014 |
|
|
|
|
| 9,014 |
Total liabilities |
| 1,047,146 |
| 1,033,937 |
|
| 241,292 |
| 283,253 | 690,671 |
1 Includes non-counterparty-related risk, equity investments in funds subject to a look-through approach, a mandate-based approach, a fallback approach and equity positions in the banking book subject to the simple risk-weight method of USD 21,633m, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 4 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 665,695m. However, credit risk tables CR4 and CR5 include non-counterparty-related risk, and credit risk table CR10 includes equity positions in the banking book subject to the simple risk-weight method. 2 Includes settlement risk, which is not included in section 5 of this report. 3 This column only consists of securitization positions in the banking book. Trading book securitizations are included in the “Subject to market risk framework” column. 4 Consists of default fund contributions and margin loans, which are both subject to counterparty credit risk. 5 Includes trading portfolio assets in the banking book and traded loans. 6 Includes assets pledged as collateral, since collateral posted is subject to counterparty credit risk. 7 Funded collar trades without rehypothecation rights are treated as non-credit-bearing exposures and are excluded from the “Subject to credit risk framework” column. 8 Includes securities financing transactions, as well as other exposures subject to the counterparty credit risk framework. 9 Net of deferred tax liabilities, which are offset against prudential filters (e.g., goodwill and intangibles, as well as cash flow hedges) in the regulatory capital calculation. 10 Relates to the carrying values of derivative loan commitments and forward starting SFTs that are measured at fair value. The replacement values are not representative for our capital calculations. |
31 December 2022 Pillar 3 Report | UBS Group | Section 4 Linkage between financial statements and regulatory exposures 20
Regulatory exposures
Annual | The LI2 table below illustrates the key differences between regulatory exposure amounts and accounting carrying amounts under the regulatory scope of consolidation. In addition to the accounting carrying amounts, the regulatory exposure amounts include:
– netting of financial instruments and cash collateral where an enforceable master netting agreement is in place (row 2);
– off-balance sheet amounts not related to derivatives and securities financing transactions (SFTs) (row 4);
– potential future exposure (PFE) for derivatives, offset by eligible financial collateral deductions (row 6);
– effects from the model calculation of effective expected positive exposure (EEPE) applied to derivatives (row 6);
– any collateral mitigation through the application of the close-out period approach or the comprehensive measurement approach (row 7); and
– effects of collateral mitigation in the banking book (row 8).
The regulatory exposure amount excludes prudential filters (row 5), consisting of items subject to deduction from capital, which are not risk-weighted. In addition, exposures that are only subject to market risk do not create any regulatory exposure, as their risk is reflected as part of our market risk risk-weighted asset (RWA) calculation (row 8).
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation) | ||||||||
31.12.22 |
| Total |
| Items subject to: | ||||
USD m |
|
|
| Credit risk framework | Counterparty credit risk framework | Securitization framework | Market risk framework | |
1 | Asset carrying value amount under scope of regulatory consolidation (as per template LI1) |
| 1,091,022 |
| 687,3281 | 317,634 | 1,425 | 275,161 |
2 | Liabilities carrying value amount under scope of regulatory consolidation2 |
| (160,028) |
|
| (160,028) |
|
|
3 | Total net amount under regulatory scope of consolidation |
| 930,993 |
| 687,328 | 157,606 | 1,425 | 275,161 |
4 | Off-balance sheet amounts (post-CCF; e.g., guarantees, commitments)3 |
| 103,404 |
| 100,975 | 2,429 |
|
|
5 | Differences due to prudential filters |
| (10,621) |
|
|
|
|
|
6 | Derivatives: PFE and collateral mitigation (including off-balance sheet exposures) |
| 70,630 |
|
| 70,630 |
|
|
7 | SFTs: Collateral mitigation (including off-balance sheet exposures) |
| (67,459) |
|
| (67,459) |
|
|
8 | Other differences including collateral mitigation in the banking book |
| (76,207) |
| (2,521) |
|
| (274,833)4 |
9 | Exposure amounts considered for regulatory purposes |
| 950,741 |
| 785,782 | 163,205 | 1,425 | 328 |
1 Includes non-counterparty-related risk, equity investments in funds subject to a look-through approach, a mandate-based approach, a fallback approach and equity positions in the banking book subject to the simple risk-weight method of USD 21,633m, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 4 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 665,695m. However, credit risk tables CR4 and CR5 include non-counterparty-related risk, and credit risk table CR10 includes equity positions in the banking book subject to the simple risk-weight method. 2 Includes the amounts of financial instruments and cash collateral considered for netting per the relevant netting agreement in order to not exceed the net amount of financial assets presented on the balance sheet (included in row 1); i.e., over-collateralization, where it exists, is not reflected in the table. 3 Includes off-balance sheet exposures where a credit conversion factor is applied. 4 Exposure at default is only calculated for securitization exposures in the trading book, resulting in a difference between carrying amounts and exposure amounts considered for regulatory purposes. The effect on the total exposure is higher, since certain exposures are subject to regulatory capital charges in both the market risk and the counterparty credit risk categories. |
p
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).
Credit risk exposure categories
The definitions of the Pillar 3 credit risk exposure categories “Loans” and “Debt securities” below as specified by the Swiss Financial Market Supervisory Authority (FINMA), which are referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section, provide a link to the IFRS balance sheet structure.
The Pillar 3 category “Loans” consists of financial instruments held with the intent to collect the contractual payments and includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– Balances at central banks;
– Loans and advances to banks;
– Loans and advances to customers;
– Other financial assets measured at amortized cost, excluding money market instruments, checks and bills, and other debt instruments;
– traded loans in the banking book that are included within Financial assets at fair value held for trading;
– Brokerage receivables;
– loans including structured loans that are included within Financial assets at fair value not held for trading; and
– Other non-financial assets.
31 December 2022 Pillar 3 Report | UBS Group | Section 4 Linkage between financial statements and regulatory exposures 21
The Pillar 3 category “Debt securities” includes the following IFRS balances to the extent that they are subject to the credit risk framework:
– money market instruments, checks and bills, and other debt instruments that are included within Other financial assets measured at amortized cost;
– Financial assets at fair value held for trading, excluding traded loans;
– Financial assets at fair value not held for trading, excluding loans; and
– Financial assets measured at fair value through other comprehensive income. p
General information about credit risk
Annual | The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
CRA: Credit risk management | |||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
| |
Translation of the business model into the components of the bank’s credit risk profile | Risk management and control | – Key risks by business division and Group Functions – Risk categories – Main sources of credit risk – Credit risk profile of the Group | 84 85–86 96 97 |
| |
| |||||
Consolidated financial statements | – Note 19d Maximum exposure to credit risk | 311 |
| ||
Criteria and approach used for defining credit risk management policy and for setting credit risk limits | Risk management and control | – Risk governance – Risk appetite framework – Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques | 87–89 89–91 93–95 96–97 |
| |
| |||||
| |||||
Structure and organization of the credit risk management and control function | Risk management and control | – Risk governance | 87–89 |
| |
Interaction between the credit risk management, risk control, compliance and internal audit functions | Risk management and control | – Risk governance – Risk appetite framework | 87–89 89–91 |
| |
| |||||
Scope and content of the reporting on credit risk exposure to executive management and to the Board of Directors (the BoD) | Risk management and control | – Risk governance – Risk appetite framework – Internal risk reporting – Credit risk profile of the Group | 87–89 89–91 92 97 |
| |
| |||||
|
p
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 30 June 2022, are explained in the CR3 table in this report. The net carrying value of Off-balance sheet exposures decreased by USD 0.2bn to USD 59.4bn, primarily related to guarantees in Personal & Corporate Banking.
› 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 2022, 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 this section for more information about the classification of loans and debt securities
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 22
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 (stages 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 (stages 1 & 2) |
|
| ||||
31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 2,222 | 584,393 |
| (881)4 |
| (72) | (44) |
| (764) |
| 585,734 |
2 | Debt securities |
|
| 79,964 |
| (3) |
|
| (3) |
|
|
| 79,961 |
3 | Off-balance sheet exposures3 |
| 233 | 59,339 |
| (159)4 |
| (1) | (3) |
| (155) |
| 59,413 |
4 | Total |
| 2,455 | 723,695 |
| (1,043)4 |
| (73) | (50) |
| (919) |
| 725,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 19 Expected credit loss measurement” in the “Consolidated financial statements” section of our Annual Report 2022 for more information about IFRS 9. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude 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 1,091m as of 31 December 2022, as disclosed in “Note 7 General and administrative expenses” in the “Consolidated financial statements” section of our Annual Report 2022. This Pillar 3 table excludes ECL on revocable off-balance sheet exposures (31 December 2022: USD 40m; 30 June 2022: USD 37m; 31 December 2021: USD 38m), ECL on exposures subject to counterparty credit risk (31 December 2022: USD 6m; 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 (31 December 2022: USD 2m; 30 June 2022: USD 2m; 31 December 2021: USD 3m). |
p
Semi-annual | The CR2 table below presents changes in stock of defaulted loans, debt securities and off-balance sheet exposures for the second half of 2022. The total amount of defaulted loans and debt securities was USD 2.5bn as of 31 December 2022, a decrease of USD 0.1bn compared to 30 June 2022.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | |||
USD m | For the half year ended 31.12.221 | For the half year ended 30.6.221 | |
1 | Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | 2,605 | 2,610 |
2 | Loans and debt securities that have defaulted since the last reporting period | 485 | 551 |
3 | Returned to non-defaulted status | (351) | (170) |
4 | Amounts written off | (46) | (50) |
5 | Other changes2 | (238) | (337) |
6 | Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | 2,455 | 2,605 |
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
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 23
Annual | Amounts shown in the tables below relate to on-balance sheet IFRS carrying amounts, as well as off-balance sheet items according to the regulatory scope of consolidation that give rise to credit risk exposure under the Basel III framework.
CRB: Breakdown of exposures by industry1 | |||||||||||||||
31.12.22 | |||||||||||||||
USD m | Central banks | Banks | Construc- tion | Electricity, gas, water supply | Financial services | Hotels and restaurants | Manufac- turing4 | Mining | Private households | Public authorities | Real estate and rentals | Retail and wholesale5 | Services | Other6 | Total carrying amount of assets |
Loans2 | 168,913 | 15,200 | 3,176 | 1,427 | 72,709 | 2,368 | 4,295 | 698 | 242,061 | 4,226 | 24,472 | 9,357 | 31,508 | 5,323 | 585,734 |
Debt securities | 18,402 | 16,476 |
| 659 | 15,001 |
| 1 |
|
| 26,045 |
|
| 3,376 |
| 79,961 |
Off-balance sheet exposures3 | 0 | 4,373 | 1,526 | 1,388 | 15,092 | 231 | 9,533 | 922 | 4,163 | 2,371 | 1,804 | 7,747 | 8,560 | 1,702 | 59,413 |
Total | 187,315 | 36,049 | 4,702 | 3,474 | 102,802 | 2,599 | 13,830 | 1,620 | 246,225 | 32,642 | 26,276 | 17,104 | 43,443 | 7,026 | 725,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 | |||||||||||||||
Loans2 | 192,121 | 16,405 | 3,112 | 1,400 | 78,399 | 2,185 | 4,076 | 653 | 246,268 | 2,618 | 22,889 | 11,462 | 32,812 | 6,123 | 620,524 |
Debt securities | 1,968 | 12,626 |
| 452 | 11,723 |
|
|
| 1 | 26,453 |
|
| 2,457 | 42 | 55,722 |
Off-balance sheet exposures3 |
| 4,450 | 1,733 | 829 | 11,320 | 1,118 | 9,893 | 1,270 | 5,624 | 1,684 | 1,866 | 8,319 | 13,271 | 2,866 | 64,243 |
Total | 194,089 | 33,481 | 4,846 | 2,682 | 101,442 | 3,303 | 13,969 | 1,923 | 251,892 | 30,755 | 24,756 | 19,781 | 48,540 | 9,031 | 740,489 |
1 The classification of each industry is based on the Global Industry Classification (GIC) standard. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude 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. 4 Includes the chemicals industry. 5 Includes the food and beverages industry. 6 Consists of transport, storage, communications and other. |
p
Annual | The table below provides a breakdown of our credit risk exposures by geographical area. The geographical distribution is based on the legal domicile of the counterparty or issuer.
CRB: Breakdown of exposures by geographical area | |||||||
31.12.22 | |||||||
USD m | Asia Pacific | Latin America | Middle East and Africa | North America | Switzerland | Rest of Europe | Total carrying amount of assets |
Loans1 | 40,767 | 6,060 | 10,490 | 179,750 | 292,134 | 56,534 | 585,734 |
Debt securities | 11,002 | 286 | 965 | 33,833 | 18,021 | 15,854 | 79,961 |
Off-balance sheet exposures2 | 3,002 | 473 | 1,403 | 21,027 | 22,808 | 10,700 | 59,413 |
Total | 54,771 | 6,818 | 12,858 | 234,609 | 332,964 | 83,089 | 725,107 |
|
|
|
|
|
|
|
|
31.12.21 | |||||||
Loans1 | 47,007 | 6,524 | 10,239 | 184,479 | 295,622 | 76,653 | 620,524 |
Debt securities | 8,219 | 651 | 632 | 27,008 | 3,761 | 15,450 | 55,722 |
Off-balance sheet exposures2 | 4,009 | 407 | 2,752 | 22,045 | 23,776 | 11,253 | 64,243 |
Total | 59,235 | 7,583 | 13,623 | 233,532 | 323,159 | 103,357 | 740,489 |
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 2 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. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 24
Annual | The following table provides a breakdown of our credit risk exposure by residual contractual maturity as of the reporting date. The residual contractual maturity of assets includes the effect of callable features.
CRB: Breakdown of exposures by residual maturity | ||||
31.12.22 | ||||
USD m | Due in 1 year or less | Due between 1 year and 5 years | Due over 5 years | Total carrying amount of assets |
Loans1 | 417,390 | 93,715 | 74,629 | 585,734 |
Debt securities | 32,783 | 27,071 | 20,106 | 79,961 |
Off-balance sheet exposures2 | 25,059 | 30,630 | 3,723 | 59,413 |
Total | 475,233 | 151,417 | 98,458 | 725,107 |
|
|
|
|
|
31.12.21 | ||||
Loans1 | 440,342 | 108,174 | 72,007 | 620,524 |
Debt securities | 17,241 | 20,261 | 18,221 | 55,722 |
Off-balance sheet exposures2 | 27,291 | 30,875 | 6,077 | 64,243 |
Total | 484,874 | 159,310 | 96,305 | 740,489 |
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 2 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. |
p
CRB: Policies for past-due, non-performing and credit-impaired claims | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number | |
Policies for past-due, non-performing and credit-impaired claims | Risk management and control | – Credit risk: Non-performing – Credit risk: Default and credit-impaired | 109 109 | |
p
Annual | The following tables provide a breakdown of impaired exposures by geographical region and industry. The amounts shown are IFRS carrying amounts. The geographical distribution is based on the legal domicile of the counterparty or issuer.
CRB: Credit-impaired exposures by industry1 | ||||
31.12.22 |
|
|
|
|
USD m | Credit-impaired exposures, gross (Stage 3) | Allowances for credit-impaired exposures | Credit-impaired exposures net of allowances | Write-offs for the year ended |
Central banks |
|
|
|
|
Banks |
|
|
|
|
Construction | 174 | (17) | 157 | (2) |
Electricity, gas, water supply | 4 |
| 4 |
|
Financial services | 378 | (96) | 282 | (41) |
Hotels and restaurants | 56 | (1) | 55 | (3) |
Manufacturing2 | 190 | (107) | 82 | (3) |
Mining | 7 | (3) | 4 | (1) |
Private households | 975 | (104) | 871 | (11) |
Public authorities | 9 | (4) | 5 |
|
Real estate and rentals | 57 | (17) | 39 | (1) |
Retail and wholesale3 | 302 | (149) | 152 | (17) |
Services | 266 | (33) | 233 | (5) |
Transport, storage, communications and other | 38 | (30) | 8 | (12) |
Total | 2,455 | (562) | 1,892 | (95) |
| ||||
31.12.21 | ||||
Central Banks |
|
|
|
|
Banks | 1 |
| 1 |
|
Construction | 155 | (14) | 142 | (1) |
Electricity, gas, water supply | 7 | (1) | 7 |
|
Financial services | 416 | (132) | 284 | (7) |
Hotels and restaurants | 60 | (4) | 56 | (10) |
Manufacturing2 | 196 | (114) | 82 | (8) |
Mining | 7 | (1) | 6 | (14) |
Private households | 956 | (131) | 825 | (41) |
Public authorities | 12 | (5) | 7 |
|
Real estate and rentals | 103 | (24) | 79 | (35) |
Retail and wholesale3 | 338 | (169) | 169 | (5) |
Services | 257 | (36) | 220 | (14) |
Transport, storage, communications and other | 102 | (31) | 71 | (1) |
Total | 2,610 | (660) | 1,949 | (137) |
1 The classification of each industry is based on the Global Industry Classification (GIC) standard. 2 Includes the chemicals industry. 3 Includes the food and beverages industry. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 25
Annual | The following table provides a breakdown of our credit risk exposures by geographical region. The geographical distribution is based on the legal domicile of the counterparty or issuer.
CRB: Credit-impaired exposures by geographical area | ||||
31.12.22 |
|
|
|
|
USD m | Credit-impaired exposures, gross (stage 3) | Allowances for credit-impaired exposures | Credit-impaired exposures net of allowances | Write-offs for the year ended |
Asia Pacific | 269 | (53) | 216 | 0 |
Latin America | 21 | (8) | 13 | 0 |
Middle East and Africa | 80 | (57) | 23 | 0 |
North America | 433 | (75) | 358 | (45) |
Switzerland | 1,336 | (308) | 1,028 | (37) |
Rest of Europe | 316 | (61) | 255 | (13) |
Total | 2,455 | (562) | 1,892 | (95) |
|
|
|
|
|
31.12.21 | ||||
Asia Pacific | 217 | (81) | 135 | (1) |
Latin America | 31 | (11) | 20 | 0 |
Middle East and Africa | 83 | (61) | 23 | 0 |
North America | 458 | (110) | 347 | (59) |
Switzerland | 1,517 | (326) | 1,191 | (34) |
Rest of Europe | 305 | (72) | 233 | (43) |
Total | 2,610 | (660) | 1,949 | (137) |
p
Annual | The table below provides a breakdown of total loan balances where payments have been missed. The past-due amounts are broadly in line with the previous year. The amount of past-due mortgage loans was not significant compared with the overall size of the mortgage portfolio. Amounts in the table below are IFRS carrying amounts and include IFRS balance sheet lines Loans and advances to customers and Loans and advances to banks.
CRB: Past due exposures | ||
USD m | 31.12.22 | 31.12.21 |
1–10 days | 93 | 69 |
11–30 days | 217 | 327 |
31–60 days | 97 | 95 |
61–90 days | 65 | 228 |
>90 days | 1,225 | 995 |
of which: mortgage loans | 3221 | 3471 |
Total | 1,698 | 1,715 |
1 Total mortgage loans as of 31 December 2022: USD 206bn (31 December 2021: 198bn). |
p
Restructured exposures
CRB: Restructured exposures | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
|
Restructured exposures | Risk management and control | – Forbearance (credit restructuring) | 110 |
|
p
Annual | The table below provides more information about restructured exposures as of 31 December 2022. The decrease is mainly related to Personal & Corporate Banking.
CRB: Breakdown of restructured exposures between credit-impaired and non-credit-impaired | |||||||||
|
| Credit-impaired |
| Non-credit-impaired |
| Total | |||
USD m |
| 31.12.22 | 31.12.21 |
| 31.12.22 | 31.12.21 |
| 31.12.22 | 31.12.21 |
Restructured exposures |
| 971 | 1,199 |
| 17 | 1 |
| 989 | 1,200 |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 26
Annual | The table below presents an overview of Pillar 3 disclosures provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
CRC: Credit risk mitigation | |||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off-balance sheet netting | Risk management and control | – Traded products | 101–102 |
Consolidated financial statements | – Note 10 Derivative instruments – Note 21 Offsetting financial assets and financial liabilities – Note 1a item 2i Offsetting | 291–293 330–331 272 | |
Core features of policies and processes for collateral evaluation and management | Risk management and control | – Credit risk mitigation | 102–104 |
Information about market or credit risk concentrations under the credit risk mitigation instruments used | Risk management and control | – Risk concentrations – Credit risk mitigation | 95 102–104 |
Consolidated financial statements | – Note 10 Derivative instruments – Note 19d Maximum exposure to credit risk – Note 20h Maximum exposure to credit risk for financial instruments measured at fair value – Note 21 Offsetting financial assets and financial liabilities | 291–293 311 328
330–331 |
p
Additional information about counterparty credit risk mitigation is provided in the “Counterparty credit risk” section of this report.
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 30 June 2022, the carrying amount of unsecured loans decreased by USD 19.5bn to USD 207.7bn, mainly due to a decrease in cash and balances with central banks. Unsecured loans excluding cash and balances at central banks increased by USD 1.4bn, mainly due to currency effects in the Personal & Corporate Banking business. Unsecured debt securities increased by USD 18.8bn to USD 80.0bn, mainly due to an increase in high-quality liquid assets (HQLA).
The carrying amount of partially or fully secured exposures increased by USD 1.7bn to USD 378.0bn, mainly as a result of currency effects in our Personal & Corporate Banking business.
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 27
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 | |
|
|
|
|
|
|
|
|
|
|
31.12.22 |
|
|
|
|
|
|
|
| |
1 | Loans2 |
| 207,732 | 378,002 | 585,734 |
| 358,946 | 3,047 | 21 |
1a | of which: cash and balances at central banks |
| 168,826 |
| 168,826 |
|
|
|
|
2 | Debt securities |
| 79,961 |
| 79,961 |
|
|
|
|
3 | Total |
| 287,693 | 378,002 | 665,695 |
| 358,946 | 3,047 | 21 |
4 | of which: defaulted |
| 180 | 1,506 | 1,686 |
| 1,034 | 93 |
|
|
|
|
|
|
|
|
|
|
|
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 this section for more information about the classification of loans and debt securities. |
p
Credit risk under the standardized approach
Introduction
Annual | 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 (ECAIs) or export credit agencies to determine the risk weightings applied to rated counterparties. We use three FINMA-recognized ECAIs to determine the risk weights for certain counterparties according to the BCBS-defined asset classes: S&P, Moody’s Investors Service and Fitch Ratings.
The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its website. There were no changes in the ECAIs used compared with 31 December 2021.
Debt instruments are risk-weighted in accordance with the specific issue ratings available. If there is no specific issue rating published by an ECAI, the issuer rating is applied to the senior unsecured claims of that issuer subject to the conditions prescribed by FINMA. For the asset classes Retail, Equity and Other assets, we apply the regulatory prescribed risk weights independent of an external credit rating.
CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk | |||||
|
|
| 31.12.22 | ||
|
|
| External ratings used | ||
| Asset classes |
| Moody’s | S&P | Fitch |
1 | Central governments and central banks |
| l | l | l |
2 | Banks and securities dealers |
| l | l | l |
3 | Public-sector entities and multi-lateral development banks |
| l | l | l |
4 | Corporates |
| l | l | l |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 28
Credit risk exposure and CRM 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 30 June 2022, on-balance sheet exposures in the Central governments and central banks asset class decreased by USD 1.3bn to USD 4.8bn, mainly reflecting lower cash balances held at central banks.
Exposures before credit conversion factors (CCF) and CRM in the Corporates asset class increased by USD 5.3bn to USD 33.6bn and Exposures post credit conversion factors (CCF) and CRM increased by USD 4.9bn to USD 23.8bn. RWA increased by USD 5.1bn to USD 17.8bn, mainly driven by an increase in loans and loan commitments 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 % | |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.22 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 4,767 |
| 4,767 |
| 4,771 | 1 | 4,772 |
| 276 | 5.8 |
2 | Banks and securities dealers |
| 13,540 | 1,212 | 14,752 |
| 13,518 | 529 | 14,047 |
| 3,001 | 21.4 |
3 | Public-sector entities and multi-lateral development banks |
| 3,158 | 1,757 | 4,915 |
| 3,158 | 781 | 3,938 |
| 1,021 | 25.9 |
4 | Corporates |
| 20,844 | 12,755 | 33,599 |
| 20,848 | 2,996 | 23,844 |
| 17,798 | 74.6 |
5 | Retail |
| 10,452 | 3,146 | 13,598 |
| 10,343 | 206 | 10,548 |
| 6,979 | 66.2 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets2 |
| 13,229 | 245 | 13,474 |
| 13,229 | 245 | 13,474 |
| 12,855 | 95.4 |
8 | Total |
| 65,990 | 19,115 | 85,105 |
| 65,866 | 4,758 | 70,624 |
| 41,930 | 59.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 29
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) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.22 |
|
| ||||||||||
Asset classes |
|
|
|
|
|
|
|
|
|
|
| |
1 | Central governments and central banks |
| 4,454 |
| 51 |
| 1 |
| 266 |
|
| 4,772 |
2 | Banks and securities dealers |
|
|
| 13,436 |
| 594 |
| 16 |
|
| 14,047 |
3 | Public-sector entities and multi-lateral development banks |
| 12 |
| 3,255 |
| 603 |
| 68 |
|
| 3,938 |
4 | Corporates |
|
|
| 7,267 |
| 245 |
| 16,246 | 4 | 822 | 23,844 |
5 | Retail |
|
|
|
| 5,129 |
| 1,061 | 4,300 | 58 |
| 10,548 |
6 | Equity |
|
|
|
|
|
|
|
|
|
|
|
7 | Other assets |
| 619 |
|
|
|
|
| 12,855 |
|
| 13,474 |
8 | Total |
| 5,084 |
| 24,010 | 5,129 | 1,443 | 1,061 | 33,751 | 63 | 82 | 70,624 |
9 | of which: secured by real estate1 |
|
|
|
| 5,129 | 81 | 99 | 3,690 |
|
| 8,998 |
10 | of which: past due |
|
|
|
| 211 | 1 | 65 | 68 | 54 |
| 399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Included exposures to central counterparties risk-weighted with 2%. From 31 December 2022 onward, we have risk-weighted positions, which are not related to exposures secured by credit derivatives cleared through central counterparties, according to corporate risk weights or included them under settlement risk, as appropriate |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 30
Credit risk under internal ratings-based approaches
Annual | Under the advanced internal ratings-based (A-IRB) approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
CRE: Qualitative disclosure related to IRB models | |||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Internal model development, controls and changes | Risk management and control | – Risk measurement – Credit risk models – Key features of our main credit risk models – Risk governance – Model risk management | 93–95 104–109 105 87–89 92–93 |
Relationships between risk management and internal audit and independent review of IRB models | Risk management and control | – Risk governance – Risk measurement | 87–89 93–95 |
Scope and content of the reporting related to credit risk models | Risk management and control | – Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques – Credit risk models | 93–95 96–97
104–109 |
Supervisor approval of applied approaches | Risk management and control | – Risk measurement – Changes to models and model parameters during the period – Stress testing – Key features of our main credit risk models – Model risk management | 93–95 109 93–94 105 92–93 |
Number of key models used by portfolio and the main differences between models | Risk management and control | – Credit risk models | 104–109 |
Description of the main characteristics of approved models | Risk management and control | – Credit risk models | 104–109 |
p
Annual | Semi-annual | The CR6 table below 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.
Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the PD, LGD, EAD and other parameters, subject to FINMA approval. p
Compared with 30 June 2022, EAD post-CCF and post-CRM increased by USD 2.3bn to USD 708.2bn, and RWA increased by USD 1.3bn to USD 121.0bn.
In the Central governments and central banks asset class, EAD post-CCF and post-CRM decreased by USD 3.6bn to USD 217.7bn, and RWA decreased by USD 0.3bn to USD 3.4bn, primarily driven by decreases in nostros and high-quality liquid assets (HQLA) in Group Functions.
In the Banks and securities dealers asset class, EAD post-CCF and post-CRM decreased by USD 0.3bn to USD 10.9bn, primarily due to a decrease in nostros in Group Functions. RWA increased by USD 1.4bn to USD 6.6bn, due to higher commitments related to the disposal of a business in Global Wealth Management.
In the Public-sector entities and multi-lateral development banks asset class, EAD post-CCF and post-CRM increased by USD 1.8bn to USD 8.6bn and RWA increased by USD 0.2bn to USD 0.8bn, primarily driven by an increase in HQLA.
In the Corporates: specialized lending asset class, EAD post-CCF and post-CRM increased by USD 0.9bn to USD 28.9bn, primarily due to currency effects in Personal & Corporate Banking. RWA decreased by USD 1.0bn to USD 13.1bn, mainly reflecting an improvement in the average PD and LGD distribution in Personal & Corporate Banking.
In the Corporates: other lending asset class, EAD post-CCF and post-CRM increased by USD 1.7bn to USD 61.6bn, primarily driven by an increase in loans and loan commitments, as well as currency effects, in Personal & Corporate Banking, partly offset by lower loan commitments in the Investment Bank. RWA decreased by USD 0.1bn to USD 38.0bn, primarily due to a decrease in loan commitments, partly offset by the phase-in impact related to updates to the LGD model for private equity and hedge fund financing trades in the Investment Bank, as well as business growth in Personal & Corporate Banking.
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 31
In the Retail: residential mortgages asset class, EAD post-CCF and post-CRM increased by USD 6.8bn to USD 174.8bn, primarily due to currency effects in Personal & Corporate Banking and business growth in Global Wealth Management. RWA increased by USD 1.4bn to USD 38.4bn, mainly reflecting currency effects, business growth and an update to the PD model for owner-occupied residential properties.
In the Retail: other retail asset class, EAD post-CCF and post-CRM decreased by USD 5.0bn to USD 200.7bn, primarily driven by a decrease in Lombard loans in Global Wealth Management. RWA decreased by USD 0.4bn to USD 19.6bn, mainly due to the aforementioned reduction in Lombard exposures, as well as rating improvements related to Lombard lending.
› Refer to the “CR8: RWA flow statements of credit risk exposures under IRB” table in this section for further details about the movement of credit risk exposures under the A-IRB approach for the fourth quarter of 2022 p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 32
Credit risk exposures by portfolio and PD range
Semi-annual |
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 214,433 | 2 | 214,435 | 40.3 | 216,920 | 0.0 | <0.1 | 32.4 | 1.1 | 2,921 | 1.3 | 9 |
|
0.15 to <0.25 |
| 810 | 0 | 810 | 0.0 | 729 | 0.2 | <0.1 | 43.7 | 1.0 | 196 | 26.9 | 1 |
|
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75 |
| 57 | 0 | 57 | 12.6 | 3 | 0.5 | <0.1 | 17.0 | 3.3 | 1 | 32.0 | 0 |
|
0.75 to <2.50 |
| 73 | 36 | 109 | 42.3 | 4 | 1.5 | <0.1 | 34.9 | 3.6 | 5 | 130.5 | 0 |
|
2.50 to <10.00 |
| 262 | 285 | 547 | 36.0 | 21 | 5.7 | <0.1 | 46.8 | 2.0 | 36 | 166.8 | 1 |
|
10.00 to <100.00 |
| 56 | 70 | 125 | 35.0 | 56 | 28.0 | <0.1 | 75.0 | 1.0 | 232 | 415.8 | 12 |
|
100.00 (default) |
| 10 | 0 | 10 | 10.2 | 2 | 100.0 | <0.1 | 75.03 | 2.9 | 2 | 106.0 | 5 |
|
Subtotal |
| 215,700 | 393 | 216,093 | 36.4 | 217,735 | 0.0 | 0.1 | 32.4 | 1.1 | 3,393 | 1.6 | 27 | 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 33
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 6,182 | 1,248 | 7,429 | 47.2 | 7,282 | 0.1 | 0.5 | 53.6 | 1.1 | 1,684 | 23.1 | 3 |
|
0.15 to <0.25 |
| 712 | 380 | 1,092 | 37.3 | 920 | 0.2 | 0.4 | 56.2 | 1.6 | 514 | 55.9 | 2 |
|
0.25 to <0.50 |
| 308 | 411 | 719 | 43.0 | 455 | 0.4 | 0.2 | 64.5 | 1.1 | 387 | 85.1 | 1 |
|
0.50 to <0.75 |
| 113 | 121 | 235 | 51.1 | 167 | 0.6 | 0.1 | 52.1 | 1.1 | 157 | 93.9 | 1 |
|
0.75 to <2.50 |
| 500 | 1,175 | 1,675 | 79.0 | 1,336 | 1.6 | 0.2 | 47.5 | 3.2 | 2,088 | 156.3 | 10 |
|
2.50 to <10.00 |
| 797 | 580 | 1,378 | 43.2 | 655 | 4.6 | 0.2 | 64.7 | 1.0 | 1,533 | 234.1 | 20 |
|
10.00 to <100.00 |
| 150 | 45 | 195 | 42.4 | 66 | 16.2 | <0.1 | 68.2 | 2.1 | 263 | 398.4 | 7 |
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 8,761 | 3,961 | 12,722 | 54.7 | 10,881 | 0.7 | 1.6 | 54.3 | 1.4 | 6,626 | 60.9 | 44 | 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 34
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multi-lateral development banks as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 7,067 | 614 | 7,682 | 18.7 | 7,263 | 0.0 | 0.2 | 37.9 | 1.1 | 417 | 5.7 | 1 |
|
0.15 to <0.25 |
| 405 | 565 | 970 | 25.2 | 553 | 0.2 | 0.2 | 25.6 | 2.2 | 118 | 21.4 | 0 |
|
0.25 to <0.50 |
| 741 | 403 | 1,144 | 22.7 | 827 | 0.3 | 0.2 | 27.2 | 2.2 | 244 | 29.4 | 1 |
|
0.50 to <0.75 |
| 3 | 1 | 3 | 16.0 | 2 | 0.6 | <0.1 | 11.2 | 1.8 | 0 | 14.9 | 0 |
|
0.75 to <2.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.50 to <10.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
| 8,217 | 1,583 | 9,800 | 22.0 | 8,646 | 0.1 | 0.6 | 36.1 | 1.2 | 779 | 9.0 | 2 | 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 35
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 4,143 | 1,017 | 5,160 | 68.1 | 4,835 | 0.1 | 0.5 | 13.6 | 2.0 | 330 | 6.8 | 0 |
|
0.15 to <0.25 |
| 2,597 | 986 | 3,583 | 50.3 | 2,916 | 0.2 | 0.3 | 23.0 | 2.1 | 630 | 21.6 | 1 |
|
0.25 to <0.50 |
| 4,361 | 2,534 | 6,895 | 33.0 | 5,178 | 0.4 | 0.6 | 27.4 | 1.9 | 2,043 | 39.5 | 5 |
|
0.50 to <0.75 |
| 3,712 | 2,299 | 6,011 | 35.4 | 4,464 | 0.6 | 0.5 | 26.0 | 1.8 | 2,036 | 45.6 | 7 |
|
0.75 to <2.50 |
| 8,550 | ��3,017 | 11,567 | 28.6 | 9,360 | 1.3 | 1.3 | 27.6 | 1.8 | 5,875 | 62.8 | 35 |
|
2.50 to <10.00 |
| 1,810 | 423 | 2,233 | 55.4 | 2,046 | 3.3 | 0.3 | 35.0 | 1.6 | 2,177 | 106.4 | 23 |
|
10.00 to <100.00 |
| 1 | 0 | 1 | 0.0 | 1 | 11.0 | <0.1 | 36.0 | 2.5 | 1 | 169.2 | 0 |
|
100.00 (default) |
| 151 | 2 | 153 | 70.9 | 50 | 100.0 | <0.1 | 67.83 | 4.8 | 53 | 106.0 | 104 |
|
Subtotal |
| 25,324 | 10,278 | 35,602 | 38.3 | 28,850 | 1.0 | 3.6 | 24.9 | 1.9 | 13,145 | 45.6 | 176 | 119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 36
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 12,395 | 19,869 | 32,264 | 37.5 | 19,348 | 0.1 | 7.3 | 34.7 | 1.8 | 4,308 | 22.3 | 4 |
|
0.15 to <0.25 |
| 4,102 | 6,856 | 10,958 | 35.6 | 6,566 | 0.2 | 2.3 | 40.3 | 2.1 | 2,896 | 44.1 | 6 |
|
0.25 to <0.50 |
| 5,956 | 6,183 | 12,138 | 35.2 | 7,854 | 0.4 | 3.0 | 36.0 | 2.3 | 4,564 | 58.1 | 10 |
|
0.50 to <0.75 |
| 4,809 | 3,558 | 8,367 | 38.7 | 6,088 | 0.6 | 3.0 | 29.8 | 2.1 | 3,747 | 61.5 | 12 |
|
0.75 to <2.50 |
| 9,866 | 8,132 | 17,998 | 39.9 | 12,159 | 1.4 | 10.7 | 29.0 | 2.1 | 8,305 | 68.3 | 50 |
|
2.50 to <10.00 |
| 5,679 | 9,191 | 14,870 | 41.7 | 8,421 | 4.4 | 5.0 | 33.0 | 2.4 | 12,546 | 149.0 | 123 |
|
10.00 to <100.00 |
| 327 | 442 | 770 | 57.8 | 462 | 15.0 | 0.2 | 23.9 | 1.9 | 869 | 187.9 | 17 |
|
100.00 (default) |
| 1,023 | 250 | 1,272 | 39.6 | 726 | 100.0 | 0.8 | 27.83 | 2.8 | 769 | 106.0 | 325 |
|
Subtotal |
| 44,157 | 54,480 | 98,637 | 38.3 | 61,625 | 2.3 | 32.4 | 32.8 | 2.1 | 38,003 | 61.7 | 546 | 575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 37
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.22 |
|
| ||||||||||||
0.00 to <0.15 |
| 76,314 | 1,358 | 77,672 | 53.1 | 77,043 | 0.1 | 139.0 | 18.9 |
| 3,230 | 4.2 | 13 |
|
0.15 to <0.25 |
| 20,092 | 271 | 20,363 | 75.3 | 20,291 | 0.2 | 22.9 | 25.5 |
| 2,076 | 10.2 | 10 |
|
0.25 to <0.50 |
| 26,641 | 489 | 27,130 | 76.6 | 26,994 | 0.4 | 29.3 | 27.5 |
| 4,770 | 17.7 | 26 |
|
0.50 to <0.75 |
| 16,731 | 351 | 17,081 | 82.5 | 17,021 | 0.6 | 14.6 | 30.5 |
| 5,054 | 29.7 | 33 |
|
0.75 to <2.50 |
| 23,178 | 1,390 | 24,568 | 78.9 | 24,273 | 1.3 | 26.2 | 33.8 |
| 12,966 | 53.4 | 109 |
|
2.50 to <10.00 |
| 7,506 | 333 | 7,838 | 82.7 | 7,784 | 4.4 | 8.4 | 33.6 |
| 8,217 | 105.6 | 113 |
|
10.00 to <100.00 |
| 916 | 20 | 936 | 97.1 | 936 | 15.1 | 0.9 | 31.4 |
| 1,598 | 170.8 | 44 |
|
100.00 (default) |
| 503 | 1 | 504 | 77.4 | 478 | 100.0 | 0.7 | 5.23 |
| 506 | 106.0 | 26 |
|
Subtotal |
| 171,880 | 4,212 | 176,092 | 70.7 | 174,820 | 0.9 | 242.0 | 24.8 |
| 38,417 | 22.0 | 374 | 186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 38
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.22 |
| 31.12.22 | ||||||||||||
0.00 to <0.15 |
| 245 | 3,628 | 3,873 | 53.0 | 2,169 | 0.0 | 457.1 | 37.4 |
| 46 | 2.1 | 0 |
|
0.15 to <0.25 |
| 131 | 1,368 | 1,499 | 49.3 | 805 | 0.2 | 201.6 | 41.9 |
| 55 | 6.8 | 1 |
|
0.25 to <0.50 |
| 163 | 595 | 758 | 51.1 | 467 | 0.4 | 95.6 | 45.6 |
| 62 | 13.3 | 1 |
|
0.50 to <0.75 |
| 144 | 342 | 486 | 49.9 | 315 | 0.6 | 70.2 | 46.8 |
| 69 | 21.8 | 1 |
|
0.75 to <2.50 |
| 362 | 706 | 1,069 | 58.0 | 720 | 1.4 | 143.7 | 49.1 |
| 295 | 41.0 | 5 |
|
2.50 to <10.00 |
| 297 | 258 | 555 | 18.3 | 291 | 4.6 | 81.7 | 52.0 |
| 312 | 107.3 | 7 |
|
10.00 to <100.00 |
| 61 | 10 | 70 | 56.0 | 66 | 19.3 | 14.7 | 56.2 |
| 164 | 249.0 | 7 |
|
100.00 (default) |
| 47 | 0 | 47 | 0.0 | 28 | 100.0 | 25.9 | 40.03 |
| 30 | 106.0 | 19 |
|
Subtotal |
| 1,450 | 6,907 | 8,357 | 51.2 | 4,861 | 1.4 | 1,090.5 | 41.9 |
| 1,033 | 21.3 | 40 | 32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 39
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-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.222 |
|
| ||||||||||||
0.00 to <0.15 |
| 112,246 | 293,242 | 405,488 | 18.2 | 165,459 | 0.0 | 476.9 | 29.2 |
| 8,095 | 4.9 | 20 |
|
0.15 to <0.25 |
| 4,477 | 8,336 | 12,814 | 20.9 | 6,215 | 0.2 | 11.4 | 27.7 |
| 808 | 13.0 | 3 |
|
0.25 to <0.50 |
| 7,096 | 11,982 | 19,078 | 19.1 | 9,379 | 0.4 | 14.4 | 28.1 |
| 1,982 | 21.1 | 9 |
|
0.50 to <0.75 |
| 6,982 | 13,524 | 20,506 | 20.5 | 9,752 | 0.6 | 18.8 | 23.8 |
| 2,424 | 24.9 | 15 |
|
0.75 to <2.50 |
| 6,607 | 8,983 | 15,590 | 22.3 | 8,608 | 1.1 | 34.4 | 39.7 |
| 4,692 | 54.5 | 37 |
|
2.50 to <10.00 |
| 1,029 | 891 | 1,920 | 17.0 | 1,179 | 4.5 | 3.2 | 63.4 |
| 1,413 | 119.9 | 38 |
|
10.00 to <100.00 |
| 62 | 43 | 105 | 28.4 | 74 | 19.9 | 1.0 | 27.5 |
| 59 | 79.2 | 4 |
|
100.00 (default) |
| 92 | 1 | 93 | 71.0 | 82 | 100.0 | <0.1 | 11.24 |
| 87 | 106.0 | 10 |
|
Subtotal |
| 138,592 | 337,003 | 475,595 | 18.5 | 200,748 | 0.2 | 560.2 | 29.5 |
| 19,561 | 9.7 | 137 | 27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 31.12.22 |
| 614,082 | 418,816 | 1,032,899 | 23.0 | 708,165 | 0.6 | 1,930.9 | 30.0 | 1.34 | 120,958 | 17.1 | 1,345 | 957 |
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 1,091m as of 31 December 2022, as disclosed in “Note 9 Financial assets at amortized cost and other positions in scope of expected credit loss measurement” of the UBS Group AG Annual Report 2022. This included USD 957m related to credit risk under the IRB approach, USD 128m related to credit risk under the standardized approach and USD 6m related to exposures under counterparty credit risk. The CR6 table includes ECL related to revocable off-balance sheet exposures of USD 38m, which are excluded from the “CR1: Credit quality of assets” table in this report. 2 The “Retail: other retail” asset class includes risk-weighted assets of USD 3.5bn related to a new model for structured margin loans and similar products in Global Wealth Management. The USD 3.5bn was phased in over five quarters until June 2022, and relates to the expected impact of the model, which is planned to be introduced in 2023. 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. 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
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 40
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. The impact of credit derivatives used as CRM techniques on IRB credit risk has been immaterial for past reporting periods and continued to be immaterial for this reporting period. Therefore, we have discontinued the disclosure of the “CR7: IRB – effect on RWA of credit derivatives used as CRM techniques” table, in line with FINMA Circular 2016/6, general principles of disclosure. 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
The table below provides definitions applied in the CR8 table below.
Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7
The references in the table below refer to the line numbers provided in the CR8 and CCR7 movement tables below.
Reference | Description | Definition | ||
2 | Asset size |
| Movements arising in the ordinary course of business, such as new transactions, sales and write-offs. | |
3 | Asset quality / Credit quality of counterparties |
| Movements resulting from changes in the underlying credit quality of counterparties. These are caused by changes to risk parameters, e.g., counterparty ratings, LGD estimates or credit hedges. | |
4 | Model updates |
| Movements arising from the implementation of new models and from parameter changes to existing models. The RWA effect of model updates is estimated based on the portfolio at the time of the implementation of the change. | |
5 | Methodology and policy
|
| Movements due to methodological changes in calculations driven by regulatory policy changes, including revisions to existing regulations, new regulations and add-ons mandated by the regulator. The effect of methodology and policy changes on RWA is estimated based on the portfolio at the time of the implementation of the change. | |
6 | Acquisitions and disposals |
| Movements as a result of disposal or acquisition of business operations, quantified based on the credit risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases and sales of exposures in the ordinary course of business are reflected under Asset size. | |
7 | Foreign exchange movements |
| Movements as a result of exchange rate changes of transaction currencies against the US dollar. | |
8 | Other |
| Movements due to changes that cannot be attributed to any other category. | |
RWA flow statements of credit risk exposures under IRB
Quarterly | Credit risk RWA under the A-IRB approach increased by USD 4.8bn to USD 121.0bn during the fourth quarter of 2022.
The RWA increase from asset size movements of USD 1.7bn was predominantly driven by increases from corporate loans in Personal & Corporate Banking. The decrease in RWA from asset quality of USD 2.1bn was primarily due to rating improvements on Lombard and mortgage loans.
Model updates resulted in an RWA increase of USD 0.4bn, primarily driven by a USD 0.7bn quarterly phase-in impact related to updates to the loss-given-default (LGD) model for private equity and hedge fund financing trades, partly offset by a reduction of USD 0.3bn related to updates to the model for standard Lombard loans. Foreign exchange movements led to an RWA increase of USD 4.8bn.
CR8: RWA flow statements of credit risk exposures under IRB | |||||
USD m | For the quarter ended 31.12.22 | For the quarter ended 30.9.22 | For the quarter ended 30.6.22 | For the quarter ended 31.3.22 | |
1 | RWA as of the beginning of the quarter | 116,158 | 119,611 | 118,609 | 116,453 |
2 | Asset size | 1,670 | (2,365) | 381 | 1,415 |
3 | Asset quality | (2,055) | (902) | 1,418 | 682 |
4 | Model updates | 405 | 1,344 | 1,840 | 1,180 |
5 | Methodology and policy |
|
|
|
|
5a | of which: regulatory add-ons |
|
|
|
|
6 | Acquisitions and disposals |
| 1,240 |
|
|
7 | Foreign exchange movements | 4,780 | (2,770) | (2,637) | (1,121) |
8 | Other |
|
|
|
|
9 | RWA as of the end of the quarter | 120,958 | 116,158 | 119,611 | 118,609 |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 41
Annual | More information about backtesting of credit models is provided under “Backtesting” in the “Risk management and control” section of our Annual Report 2022.
CR9: IRB – Backtesting of probability of default (PD) per portfolio1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.5 | 1.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 5.2 | 3.8 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 12.9 | 13.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.0 | 1.2 |
| < 0.1 | 0.1 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and central banks as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.7 | 0.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.1 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.6 | 3.5 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 13.2 | 10.8 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
Subtotal |
|
|
| 0.0 | 1.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 42
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.0 |
| 0.5 | 0.5 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.1 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.7 | 1.3 |
| 0.2 | 0.1 |
| 0 | 0 | 0.1 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.1 | 3.2 |
| 0.2 | 0.2 |
| 0 | 0 | 0.2 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 11.9 | 16.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.9 |
Subtotal |
|
|
| 0.5 | 0.6 |
| 1.4 | 1.5 |
| 0 | 0 | 0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.5 | 0.5 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.7 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.1 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.8 | 1.4 |
| 0.2 | 0.2 |
| 0 | 0 | 0.1 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.7 | 3.2 |
| 0.2 | 0.2 |
| 0 | 0 | 0.3 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 10.8 | 17.8 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.9 |
Subtotal |
|
|
| 0.5 | 0.8 |
| 1.4 | 1.4 |
| 0 | 0 | 0.1 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 43
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multi-lateral development banks as of 31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.1 | 0.2 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.3 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.5 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 0.9 | 1.4 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.0 | 2.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 6.7 |
Subtotal |
|
|
| 0.5 | 0.2 |
| 0.6 | 0.6 |
| 0 | 0 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Public-sector entities, multi-lateral development banks as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.1 |
| 0.3 | 0.2 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.2 | 0.1 |
| 0 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.3 | 0.3 |
| 0.2 | 0.2 |
| 0 | 0 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.5 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.0 | 1.2 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 2.9 | 2.7 |
| < 0.1 | < 0.1 |
| 0 | 0 | 0.0 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C |
|
|
| 0.0 | 0.0 |
| 0 | 0 | 7.1 |
Subtotal |
|
|
| 0.3 | 0.2 |
| 0.7 | 0.6 |
| 0 | 0 | 0.0 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 44
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.5 | 0.5 |
| 0 | 0 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.6 | 0.6 |
| 0 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.5 | 0.5 |
| 0 | 0 | 0.2 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.4 |
| 1.3 | 1.3 |
| 1 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.3 | 3.4 |
| 0.4 | 0.3 |
| 3 | 0 | 1.2 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 11.0 | 11.0 |
| < 0.1 | < 0.1 |
| 0 | 0 | 4.9 |
Subtotal |
|
|
| 1.2 | 1.1 |
| 3.6 | 3.5 |
| 4 | 0 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized lending as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 0.5 | 0.5 |
| 0 | 0 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 0.3 | 0.3 |
| 0 | 0 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 0.6 | 0.6 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 0.6 | 0.5 |
| 0 | 0 | 0.2 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.4 |
| 1.4 | 1.3 |
| 2 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.4 | 3.4 |
| 0.3 | 0.4 |
| 2 | 0 | 1.2 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C |
|
|
| 0.0 | < 0.1 |
| 0 | 0 | 5.3 |
Subtotal |
|
|
| 1.3 | 1.0 |
| 3.7 | 3.6 |
| 5 | 0 | 0.3 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 45
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.223 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 7.0 | 6.9 |
| 19 | 2 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 2.3 | 2.3 |
| 9 | 1 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 3.0 | 3.0 |
| 8 | 1 | 0.2 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 2.8 | 2.9 |
| 8 | 1 | 0.3 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.5 | 1.5 |
| 10.8 | 10.5 |
| 116 | 48 | 0.7 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.3 | 4.1 |
| 5.5 | 5.0 |
| 150 | 17 | 2.1 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 13.4 | 16.8 |
| 0.3 | 0.2 |
| 49 | 3 | 12.3 |
Subtotal |
|
|
| 2.7 | 1.5 |
| 31.6 | 30.8 |
| 359 | 73 | 0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 3.7 | 3.9 |
| 0 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 1.6 | 1.6 |
| 3 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 2.6 | 2.4 |
| 4 | 1 | 0.2 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 2.4 | 2.3 |
| 9 | 0 | 0.3 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.5 |
| 10.7 | 10.2 |
| 81 | 1 | 0.6 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.4 | 3.9 |
| 4.9 | 5.2 |
| 90 | 1 | 2.0 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 14.9 | 14.2 |
| < 0.1 | 0.1 |
| 13 | 4 | 11.7 |
Subtotal |
|
|
| 3.3 | 1.5 |
| 26.0 | 25.7 |
| 200 | 7 | 0.3 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 46
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.22 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 138.0 | 139.0 |
| 81 | 7 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 22.5 | 22.9 |
| 18 | 1 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 28.9 | 29.3 |
| 30 | 5 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 14.3 | 14.6 |
| 22 | 2 | 0.3 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 26.0 | 26.2 |
| 70 | 11 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.3 | 4.4 |
| 7.9 | 8.4 |
| 80 | 19 | 1.2 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 15.4 | 15.7 |
| 0.8 | 0.9 |
| 33 | 5 | 3.5 |
Subtotal |
|
|
| 1.0 | 0.5 |
| 238.2 | 241.4 |
| 334 | 50 | 0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential mortgages as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 |
| 136.1 | 138.0 |
| 78 | 0 | 0.1 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 22.3 | 22.5 |
| 37 | 1 | 0.1 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 28.7 | 28.9 |
| 46 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 13.8 | 14.3 |
| 27 | 1 | 0.3 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 |
| 26.3 | 26.0 |
| 69 | 0 | 0.4 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.5 | 4.3 |
| 8.5 | 7.9 |
| 85 | 0 | 1.2 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 15.2 | 16.0 |
| 0.9 | 0.8 |
| 27 | 0 | 3.5 |
Subtotal |
|
|
| 1.1 | 0.5 |
| 236.6 | 238.2 |
| 369 | 2 | 0.2 |
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk �� 47
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposure as of 31.12.223 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| 458.1 | 457.1 |
| 180 | 1 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 208.5 | 201.6 |
| 215 | 0 | 0.2 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.3 |
| 97.3 | 95.6 |
| 207 | 13 | 0.3 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 70.2 | 70.2 |
| 332 | 25 | 0.4 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.3 |
| 138.9 | 143.7 |
| 1,209 | 148 | 1.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.2 | 4.1 |
| 77.7 | 81.7 |
| 2,510 | 162 | 3.5 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 19.1 | 19.3 |
| 13.3 | 14.7 |
| 3,742 | 696 | 24.9 |
Subtotal |
|
|
| 1.3 | 0.8 |
| 1,064.0 | 1,064.6 |
| 8,395 | 1,045 | 0.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving retail exposure as of 31.12.214 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– |
|
|
|
|
|
|
|
|
|
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB |
|
|
|
|
|
|
|
|
|
0.25 to <0.50 | Baa3 | BBB– | BBB– |
|
|
|
|
|
|
|
|
|
0.50 to <0.75 | Ba1 | BB+ | BB+ |
|
|
|
|
|
|
|
|
|
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– |
|
|
|
|
|
|
|
|
|
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– |
|
|
|
|
|
|
|
|
|
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C |
|
|
|
|
|
|
|
|
|
Subtotal |
|
|
|
|
|
|
|
|
|
|
|
|
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 48
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)1 | ||||||||||||
|
| |||||||||||
PD range | External rating equivalent
Moody’s | External rating equivalent
S&P | External rating equivalent
Fitch | Weighted average PD in % | Arithmetic average PD by obligors in % |
| Number of obligors (in thousands) |
| Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate in %2 | |
| End of the previous year | End of the year |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.223 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| 499.1 | 476.9 |
| 89 | 0 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 9.3 | 11.4 |
| 5 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.3 |
| 10.5 | 14.4 |
| 18 | 1 | 0.0 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 11.3 | 18.8 |
| 26 | 2 | 0.0 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.2 | 1.1 |
| 45.3 | 34.4 |
| 56 | 4 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.4 | 3.6 |
| 3.5 | 3.2 |
| 31 | 0 | 0.1 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 20.7 | 20.7 |
| 1.0 | 1.0 |
| 56 | 2 | 0.4 |
Subtotal |
|
|
| 0.1 | 0.2 |
| 579.9 | 560.2 |
| 281 | 9 | 0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail as of 31.12.21 |
|
|
|
|
|
|
|
|
|
|
|
|
0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 |
| 343.2 | 491.6 |
| 27 | 8 | 0.0 |
0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 |
| 7.2 | 7.8 |
| 1 | 0 | 0.0 |
0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 |
| 8.4 | 9.1 |
| 1 | 0 | 0.1 |
0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 |
| 8.8 | 9.9 |
| 3 | 1 | 0.1 |
0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.1 | 1.1 |
| 47.8 | 43.5 |
| 13 | 1 | 0.0 |
2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 4.8 | 3.6 |
| 3.4 | 2.9 |
| 2 | 1 | 0.1 |
10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 18.4 | 21.0 |
| 0.9 | 0.7 |
| 3 | 0 | 0.1 |
Subtotal |
|
|
| 0.2 | 0.3 |
| 419.6 | 565.4 |
| 50 | 11 | 0.0 |
1 This table covers all Pillar 1 PD models that are approved by FINMA and are subject to yearly confirmation / backtesting. Refer to the “Key features of our main credit risk models” table under “Credit risk models” in the “Risk management and control” section of our Annual Report 2022 for more information. 2 We use 15 years of data for the calculation of the “average historical annual default rate.” 3 During 2021 a new PD model for credit cards went live. Obligors subject to this model contribute to Corporates: other lending, Retail: qualifying revolving retail exposure, and Retail: other retail. Consequently, numbers shown for the end of the previous year may differ from those shown in previous reports. 4 This portfolio includes only obligors subject to the new Pillar 1 PD model for credit cards. 2022 was the first full year following go-live; consequently, no comparative period is shown. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 49
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 |
|
|
|
|
|
|
|
31.12.22 |
|
| ||||
Exchange-traded equity exposures |
| 10 |
| 300 | 10 | 33 |
Other equity exposures |
| 881 |
| 400 | 881 | 3,735 |
Total |
| 891 |
|
| 891 | 3,768 |
|
|
|
|
|
|
|
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
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) derivatives 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 internal model method. For the rest of the portfolio, we apply the standardized approach for counterparty credit risk (SA-CCR). For the majority of SFTs, we determine the regulatory credit exposure using the value-at-risk (VaR) approach. For the rest of the SFTs portfolio, we apply the comprehensive approach for credit risk mitigation. p
Counterparty credit risk management
Annual | The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
CCRA: Counterparty credit risk management | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
|
Risk management objectives and policies related to counterparty credit risk | Risk management and control | – Traded products – Credit hedging – Mitigation of settlement risk | 101–102 104 104 |
|
Consolidated financial statements | – Note 1a item 2j Hedge accounting – Note 10 Derivative instruments | 273 291–293 |
| |
The method used to assign the operating limits defined in terms of internal capacity for counterparty credit exposures and for CCP exposures | Risk management and control | – Risk governance – Portfolio and position limits – Credit risk – Overview of measurement, monitoring and management techniques – Credit hedging – Credit risk models | 87–89 95 96–97
104 104–109 |
|
Policies relating to guarantees and other risk mitigants, and counterparty risk assessment | Risk management and control | – Credit risk mitigation | 102–104 |
|
Consolidated financial statements | – Note 10 Derivative instruments – Note 21 Offsetting financial assets and financial liabilities | 291–293 330–331 |
| |
Policies with respect to wrong-way risk exposures | Risk management and control | – Exposure at default | 106 |
|
The effect on the firm of a credit rating downgrade (i.e., amount of collateral that the firm would be required to provide) and the disclosure on rating actions | Risk management and control | – Credit ratings | 148 |
|
p
31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 50
Counterparty credit exposure
Semi-annual I The CCR1 table below presents the methods used to calculate counterparty credit risk exposure. Compared with 30 June 2022, decreases in exposures related to the internal model method and SA-CCR of USD 3.6bn and USD 3.3bn, respectively, primarily reflected market-driven movements on foreign exchange contracts mainly 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 | |
|
|
|
|
|
|
|
|
|
31.12.22 |
|
| ||||||
1 | SA-CCR (for derivatives) |
| 3,843 | 5,073 |
| 1.4 | 12,483 | 5,326 |
2 | Internal model method (for derivatives) |
|
|
| 27,400 | 1.6 | 43,840 | 16,066 |
3 | Simple approach for credit risk mitigation (for SFTs) |
|
|
|
|
|
|
|
4 | Comprehensive approach for credit risk mitigation (for SFTs) |
|
|
|
|
| 14,311 | 3,959 |
5 | VaR (for SFTs) |
|
|
|
|
| 37,754 | 9,273 |
6 | Total |
|
|
|
|
| 108,387 | 34,624 |
|
|
|
|
|
|
|
|
|
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
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 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 30 June 2022, CVA RWA increased by USD 0.4bn to USD 4.3bn, primarily reflecting higher advanced CVA RWA, mainly as a result of higher average VaR levels in the average 60-day window.
CCR2: Credit valuation adjustment (CVA) capital charge | ||||||||||
|
|
| 31.12.22 |
| 30.6.22 |
| 31.12.21 | |||
USD m |
| EAD post-CRM | RWA |
| EAD post-CRM | RWA |
| EAD post-CRM | RWA | |
| Total portfolios subject to the advanced CVA capital charge |
| 42,687 | 1,526 |
| 46,920 | 1,038 |
| 43,666 | 985 |
1 | (i) VaR component (including the 3× multiplier) |
|
| 208 |
|
| 155 |
|
| 212 |
2 | (ii) Stressed VaR component (including the 3× multiplier) |
|
| 1,317 |
|
| 882 |
|
| 773 |
3 | All portfolios subject to the standardized CVA capital charge |
| 12,176 | 2,784 |
| 14,908 | 2,833 |
| 12,652 | 2,626 |
4 | Total subject to the CVA capital charge |
| 54,863 | 4,310 |
| 61,827 | 3,871 |
| 56,318 | 3,611 |
p
Semi-annual | We have discontinued the disclosure of the “CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights” table, starting with the 31 December 2022 Pillar 3 Report on the grounds of materiality. The majority of our CCR exposures are subject to internal ratings-based (IRB) risk weights or disclosed separately when related to central counterparties. Our CCR exposures subject to standardized risk weights amounted to USD 2.3bn, of which USD 1.8bn related to the corporate asset class under the 100% risk-weight category.
› Refer to the “CCR4: IRB – CCR exposures by portfolio and PD scale” table and the “CCR8: exposures to central counterparties” in this section for more information about counterparty credit risk exposures subject to IRB risk weights and central counterparties, respectively
p
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 51
Semi-annual | The CCR4 table below provides a breakdown of the key parameters used for the calculation of capital requirements under the advanced internal ratings-based (A-IRB) approach across FINMA-defined asset classes.
Compared with 30 June 2022, exposure at default (EAD) post credit risk mitigation (CRM) decreased by USD 6.1bn to USD 106.1bn across the various asset classes and RWA decreased by USD 2.7bn to USD 32.5bn.
In the Central governments and central banks asset class, EAD post-CRM increased by USD 5.3bn to USD 13.8bn and RWA increased by USD 0.4bn to USD 1.1bn, mainly as a result of increased exposures in SFTs in the Investment Bank and Group Functions.
In the Banks and securities dealers asset class, EAD post-CRM decreased by USD 1.2bn to USD 22.9bn and RWA decreased by USD 0.2bn to USD 6.2bn, primarily driven by lower derivative exposures in the Investment Bank.
In the Public-sector entities and multi-lateral development banks asset class, EAD post-CRM decreased by USD 0.1bn to USD 0.5bn and RWA remained unchanged at USD 0.1bn.
In the Corporates asset class, EAD post-CRM decreased by USD 9.2bn to USD 62.7bn and RWA decreased by USD 3.0bn to USD 24.4bn, due to exposure decreases in SFTs and foreign exchange derivatives mainly in the Investment Bank.
In the Retail: other retail asset class, EAD post-CRM decreased by USD 0.9bn to USD 6.2bn, mainly due to a decrease in derivatives in Global Wealth Management. RWA increased by USD 0.1bn to USD 0.8bn.
› Refer to the “CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” table in this section for more information about RWA, including details of movements in CCR RWA
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 31.12.22 | |||||||
0.00 to <0.15 | 13,058 | 0.0 | 0.1 | 46.2 | 0.6 | 572 | 4.4 |
0.15 to <0.25 | 248 | 0.2 | < 0.1 | 52.2 | 0.4 | 63 | 25.4 |
0.25 to <0.50 | 482 | 0.3 | < 0.1 | 93.3 | 0.6 | 434 | 90.0 |
0.50 to <0.75 |
|
|
|
|
|
|
|
0.75 to <2.50 | 15 | 1.1 | < 0.1 | 95.0 | 0.2 | 21 | 142.1 |
2.50 to <10.00 |
|
|
|
|
|
|
|
10.00 to <100.00 |
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
Subtotal | 13,802 | 0.0 | 0.1 | 48.0 | 0.6 | 1,089 | 7.9 |
|
|
|
|
|
|
|
|
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 |
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. |
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 52
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 % |
|
|
|
|
|
|
|
|
Banks and securities dealers as of 31.12.22 |
| ||||||
0.00 to <0.15 | 16,205 | 0.1 | 0.3 | 49.9 | 0.7 | 2,960 | 18.3 |
0.15 to <0.25 | 3,876 | 0.2 | 0.2 | 48.4 | 0.7 | 1,390 | 35.9 |
0.25 to <0.50 | 1,713 | 0.4 | 0.1 | 53.0 | 0.6 | 802 | 46.8 |
0.50 to <0.75 | 431 | 0.6 | < 0.1 | 56.3 | 0.7 | 286 | 66.3 |
0.75 to <2.50 | 553 | 1.2 | < 0.1 | 59.5 | 0.7 | 660 | 119.4 |
2.50 to <10.00 | 95 | 4.2 | < 0.1 | 85.5 | 0.3 | 78 | 82.5 |
10.00 to <100.00 |
|
|
|
|
|
|
|
100.00 (default) |
|
|
|
|
|
|
|
Subtotal | 22,872 | 0.2 | 0.9 | 50.4 | 0.7 | 6,176 | 27.0 |
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
Public-sector entities and multi-lateral development banks as of 31.12.22 | |||||||
0.00 to <0.15 | 438 | 0.0 | < 0.1 | 51.5 | 0.9 | 45 | 10.2 |
0.15 to <0.25 | 97 | 0.2 | < 0.1 | 37.6 | 1.3 | 20 | 20.6 |
0.25 to <0.50 | 1 | 0.4 | < 0.1 | 88.3 | 1.5 | 1 | 82.0 |
0.50 to <0.75 | 0 | 0.6 | < 0.1 | 35.0 | 1.0 | 0 | 39.4 |
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 | 536 | 0.1 | < 0.1 | 49.1 | 1.0 | 66 | 12.2 |
|
|
|
|
|
|
|
|
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 |
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. |
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 53
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 % |
|
|
|
|
|
|
|
|
Corporates: including specialized lending as of 31.12.222 |
| ||||||
0.00 to <0.15 | 43,162 | 0.0 | 11.5 | 34.3 | 0.5 | 5,820 | 13.5 |
0.15 to <0.25 | 7,559 | 0.2 | 2.1 | 53.0 | 0.6 | 4,154 | 54.9 |
0.25 to <0.50 | 3,206 | 0.4 | 0.6 | 91.7 | 0.7 | 4,828 | 150.6 |
0.50 to <0.75 | 1,857 | 0.6 | 0.6 | 79.0 | 0.7 | 3,478 | 187.3 |
0.75 to <2.50 | 4,933 | 1.2 | 1.0 | 35.0 | 0.4 | 4,454 | 90.3 |
2.50 to <10.00 | 1,938 | 3.8 | 0.1 | 17.8 | 1.3 | 1,675 | 86.4 |
10.00 to <100.00 |
|
|
|
|
|
|
|
100.00 (default) | 6 | 100.0 | < 0.1 |
| 2.5 | 6 | 106.0 |
Subtotal | 62,660 | 0.3 | 15.8 | 40.4 | 0.5 | 24,416 | 39.0 |
|
|
|
|
|
|
|
|
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 31.12.22 |
| ||||||
0.00 to <0.15 | 4,680 | 0.0 | 16.0 | 29.4 |
| 214 | 4.6 |
0.15 to <0.25 | 148 | 0.2 | 1.0 | 30.2 |
| 21 | 14.0 |
0.25 to <0.50 | 260 | 0.3 | 1.2 | 28.0 |
| 58 | 22.3 |
0.50 to <0.75 | 295 | 0.6 | 1.9 | 27.6 |
| 89 | 30.2 |
0.75 to <2.50 | 686 | 1.1 | 1.3 | 35.7 |
| 315 | 45.9 |
2.50 to <10.00 | 99 | 3.4 | 0.2 | 30.4 |
| 57 | 57.3 |
10.00 to <100.00 | 21 | 15.3 | 0.1 | 41.9 |
| 37 | 175.9 |
100.00 (default) |
|
|
|
|
|
|
|
Subtotal | 6,189 | 0.3 | 21.8 | 30.0 |
| 791 | 12.8 |
|
|
|
|
|
|
|
|
Retail: other retail as of 30.6.223 |
| ||||||
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 31.12.22 | 106,060 | 0.2 | 38.7 | 43.0 | 0.64 | 32,538 | 30.7 |
Total 30.6.22 | 112,146 | 0.3 | 40.0 | 41.3 | 0.64 | 35,209 | 31.4 |
Total 31.12.22 | 112,644 | 0.2 | 39.0 | 39.5 | 0.54 | 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 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 54
Semi-annual | The CCR5 table below presents a breakdown of collateral posted or received relating to counterparty credit risk exposures from derivative transactions and SFTs.
Compared with 30 June 2022, the fair value of collateral received for derivatives decreased by USD 7.1bn to USD 78.3bn, and the fair value of collateral posted for derivatives decreased by USD 3.7bn to USD 59.5bn, primarily reflecting maturing transactions and market-driven movements.
The fair value of collateral received for SFTs increased by USD 2.0bn to USD 559.8bn, and the fair value of collateral posted for SFTs increased by USD 12.3bn to USD 431.5bn. The increase in collateral received mainly related to sovereign debt, primarily driven by a balance sheet increase in Group Treasury. The increase in posted collateral was mainly related to increases in sovereign debt and equity securities primarily in the Investment Bank, due to an increase in client activity.
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.22 |
|
| ||||||||||
Cash – domestic currency4 |
| 1,904 | 28,136 | 30,040 |
| 1,719 | 11,627 | 13,346 |
| 33,378 |
| 56,422 |
Cash – other currencies4 |
| 0 | 20,408 | 20,408 |
| 4,895 | 16,856 | 21,750 |
| 13,950 |
| 32,551 |
Sovereign debt |
| 9,446 | 9,500 | 18,947 |
| 5,243 | 9,294 | 14,537 |
| 219,698 |
| 153,964 |
Other debt securities |
| 1,446 | 2,866 | 4,312 |
| 235 | 1,617 | 1,852 |
| 66,112 |
| 34,412 |
Equity securities |
| 4,299 | 272 | 4,571 |
| 1,659 | 6,392 | 8,051 |
| 226,634 |
| 154,140 |
Total |
| 17,096 | 61,181 | 78,277 |
| 13,751 | 45,786 | 59,537 |
| 559,773 |
| 431,488 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 30 June 2022, notionals for credit derivatives decreased by USD 13.4bn to USD 45.6bn for protection bought and by USD 10.9bn to USD 41.6bn for protection sold. This was primarily driven by single-name credit default swaps and index credit default swaps, mostly due to compression activity in Group Treasury, as well as lower trade volumes in the Investment Bank.
CCR6: Credit derivatives exposures | |||||||||
|
| 31.12.22 |
| 30.6.22 |
| 31.12.21 | |||
USD m |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
| Protection bought | Protection sold |
Notionals1 |
|
|
|
|
|
|
|
|
|
Single-name credit default swaps |
| 20,257 | 22,545 |
| 25,060 | 27,314 |
| 24,167 | 26,431 |
Index credit default swaps |
| 22,824 | 18,687 |
| 27,769 | 23,566 |
| 25,554 | 18,842 |
Total return swaps |
| 794 | 413 |
| 1,821 | 626 |
| 2,354 | 623 |
Credit options |
| 1,693 | 0 |
| 4,325 | 1,000 |
| 4,000 | 500 |
Total notionals |
| 45,567 | 41,645 |
| 58,975 | 52,506 |
| 56,075 | 46,396 |
Fair values |
|
|
|
|
|
|
|
|
|
Positive fair value (asset) |
| 568 | 482 |
| 1,724 | 379 |
| 488 | 937 |
Negative fair value (liability) |
| 577 | 632 |
| 505 | 1,325 |
| 1,193 | 570 |
1 Includes notional amounts for client-cleared transactions. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 55
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 2.1bn to USD 16.4bn during the fourth quarter of 2022. The RWA decrease of USD 3.1bn from asset size movements was primarily due to market-driven movements on foreign exchange contracts in the Investment Bank. These decreases were partly offset by an increase of USD 0.9bn related to currency effects.
CCR RWA on SFTs under the VaR approach remained unchanged at USD 9.4bn during the fourth quarter of 2022, as an increase from currency effects was offset by a decrease in asset size.
› Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the “Credit risk” section of this report 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 31.12.22 |
| For the quarter ended 30.9.22 |
| For the quarter ended 30.6.22 |
| For the quarter ended 31.3.22 | |||||||||
USD m |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total |
| Derivatives | SFTs | Total | |
|
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
| Subject to IMM | Subject to VaR |
|
1 | RWA as of the beginning of the quarter |
| 18,574 | 9,389 | 27,962 |
| 17,786 | 10,263 | 28,049 |
| 18,480 | 9,625 | 28,105 |
| 17,506 | 8,854 | 26,360 |
2 | Asset size |
| (3,079) | (229) | (3,308) |
| 989 | (800) | 190 |
| (35) | (339) | (374) |
| 1,049 | 828 | 1,877 |
3 | Credit quality of counterparties |
| (44) | (13) | (56) |
| 180 | 33 | 213 |
| 16 | (95) | (79) |
| 54 | 4 | 59 |
4 | Model updates |
| 50 |
| 50 |
| 360 | 61 | 421 |
| 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 |
| 936 | 275 | 1,211 |
| (742) | (168) | (910) |
| (762) | (203) | (965) |
| (143) | (61) | (204) |
8 | Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 | RWA as of the end of the quarter |
| 16,438 | 9,421 | 25,859 |
| 18,574 | 9,389 | 27,962 |
| 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 30 June 2022, exposures to qualifying central counterparties decreased by USD 14.4bn to USD 53.9bn, primarily reflecting roll-offs of foreign currency and equity / index contracts, as well as market-driven movements in the Investment Bank.
CCR8: Exposures to central counterparties | |||||||
| 31.12.22 | 30.6.22 | 31.12.21 | ||||
USD m | EAD (post-CRM) | RWA | EAD (post-CRM) | RWA | EAD (post-CRM) | RWA | |
1 | Exposures to QCCPs (total)1 | 53,936 | 1,374 | 68,346 | 1,568 | 63,590 | 1,667 |
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | 31,367 | 554 | 32,778 | 552 | 31,939 | 499 |
3 | (i) OTC derivatives | 6,053 | 116 | 2,291 | 42 | 2,209 | 41 |
4 | (ii) Exchange-traded derivatives | 17,442 | 281 | 25,195 | 405 | 25,022 | 365 |
5 | (iii) Securities financing transactions | 7,872 | 157 | 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 | 20,720 | 84 | 33,754 | 238 | 29,187 | 150 |
9 | Pre-funded default fund contributions | 1,849 | 737 | 1,813 | 778 | 2,464 | 1,017 |
10 | Unfunded default fund contributions | 0 | 0 |
|
|
|
|
11 | Exposures to non-QCCPs (total) | 438 | 633 | 252 | 438 | 379 | 601 |
12 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which | 397 | 397 | 215 | 215 | 311 | 311 |
13 | (i) OTC derivatives |
|
|
|
| 1 | 1 |
14 | (ii) Exchange-traded derivatives | 378 | 378 | 201 | 201 | 236 | 236 |
15 | (iii) Securities financing transactions | 19 | 19 | 14 | 14 | 74 | 74 |
16 | (iv) Netting sets where cross-product netting has been approved |
|
|
|
|
|
|
17 | Segregated initial margin |
|
|
|
|
|
|
18 | Non-segregated initial margin2 | 11 | 11 | 8 | 8 | 48 | 48 |
19 | Pre-funded default fund contributions | 16 | 49 | 15 | 51 | 8 | 104 |
20 | Unfunded default fund contributions | 14 | 176 | 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
31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 56
Background
Annual | In accordance with current prudential regulations, the Swiss Financial Market Supervisory Authority (FINMA) has approved our use of the advanced internal ratings-based (A-IRB) approach for calculating the required capital for the majority of our credit risk exposures.
The principal differences between the standardized approach (the SA) and the A-IRB approach identified below are based on the current SA rules without consideration of the material revisions announced by the Basel Committee on Banking Supervision (the BCBS) in December 2017.
We believe advanced approaches that adequately capture economic risks are paramount for the appropriate representation of the capital requirements related to risk-taking activities. Within a strong risk control framework, in combination with robust stress-testing practices, strict risk limits, as well as leverage and liquidity requirements, advanced approaches promote a proactive risk culture, setting the right incentives to prudently manage risks.
Refer to the “Introduction and basis for preparation” section of this report for information about FINMA-defined asset classes.
Key methodological differences between the A-IRB approach and current SA
In line with the BCBS objectives, the A-IRB approach aims to balance the maintaining of prudent levels of capital while encouraging, where appropriate, the use of advanced risk management techniques. By design, the calibration of the current SA and the A-IRB approach is such that low-risk, short-maturity, well-collateralized portfolios across the various asset classes (with the exception of Central governments and central banks) receive lower risk weights under the A-IRB than under the current SA rules. Accordingly, risk-weighted assets (RWA) and capital requirements under the current SA would be substantially higher than under the A-IRB approach for lower-risk portfolios. Conversely, RWA for higher-risk portfolios are higher under the A-IRB approach than under the current SA.
Methodological differences primarily arise due to the measurement of exposure at default (EAD) and the risk weights applied. In both cases, the treatment of risk mitigation, such as collateral, can have a significant effect.
EAD measurement
For the measurement of EAD, the main methodological differences relate to derivatives, driven by the differences between the internal model method (IMM) and the regulatory-prescribed standardized approach for counterparty credit risk (SA-CCR).
The model-based approaches to derive estimates of EAD for derivatives and securities financing transactions (SFTs) reflect the detailed characteristics of individual transactions. They model the range of possible exposure outcomes across all transactions within the same legally enforceable netting set at various future time points. The modeling assesses the net amount that may be owed to us or that we may owe to others, taking into account the effect of correlated market moves over the potential time it may take to close out a position. The calculation considers current market conditions and is therefore sensitive to deteriorations in the market environment.
In contrast, EAD under the regulatory-prescribed rules is calculated as replacement costs at the balance sheet date plus regulatory add-ons, which take into account potential future market movements but at predetermined fixed rates, not sensitive to changes in market conditions. These add-ons are crudely differentiated by reference to only five product types and three maturity buckets. Moreover, the current regulatory-prescribed rules-based calculation gives very limited recognition to the benefits of diversification across transactions covered under the same legally enforceable netting agreement. As a result, large, diversified portfolios, such as those arising from our activities with other market-making banks, will generate much higher EAD under the current regulatory-prescribed rules than under our internal model-based approaches.
Risk weights
Under the A-IRB approach, risk weights are assigned according to the firm’s internal credit assessment of the counterparty to determine the probability of default (PD) and loss given default (LGD).
PD is an estimate of the likelihood of a counterparty defaulting on its contractual obligations over the next 12 months. It is assessed using rating tools tailored to the various categories of counterparties. Statistically developed scorecards, based on key attributes of the obligor, are used to determine PD for many of our corporate clients and for loans secured by real estate. Where available, market data may also be used to derive the PD for large corporate counterparties. For low-default portfolios, we take into account, where available, relevant external default data in the rating tool development. For Lombard loans, Merton-type historical return-based model simulations taking into account potential changes in the value of securities collateral are used in our rating approach. PD is not only an integral part of the credit risk measurement, but also an important input for determining the level of credit approval required for any given transaction. Moreover, for the purpose of capital underpinning, the majority of counterparty PDs are subject to a floor.
31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 57
LGD is the magnitude of the likely loss if there is a default. The calculation takes into account the loss of principal, interest and other amounts, such as workout costs, including the cost of carrying an impaired position during the workout process, less recovered amounts. Importantly, LGD considers the likely recovery rate of claims against defaulted counterparties, which depends on the type of counterparty and any credit mitigation by way of collateral or guarantees, with our estimates being supported by our internal historical loss data and external information where available.
The combination of PD and LGD determined at the counterparty level results in a highly granular level of differentiation of the economic risk from different borrowers and transactions.
In contrast, SA risk weights are largely reliant on external rating agencies’ assessments of the credit quality of the counterparty, with a 100% risk weight typically being applied where no external rating is available. Even where external ratings are available, there is only a coarse granularity of risk weights, with only four primary risk weights used for differentiating counterparties, with the addition of a 0% risk weight for AA– or better rated central governments and central banks. Risk weights of 35%, 75% and 100% are used for mortgages not in default, and risk weights of 75% and 100% are used for retail exposures not in default.
The SA does not differentiate across transaction maturities except for exposures to banks, albeit in a very simplistic manner considering transactions only shorter or longer than three months. This has clear limitations: for example, the economic risk of a six-month loan to a BB-rated US corporation is significantly different to that of a 10-year loan to the same borrower. This difference is evident from the distinction of PD levels based on ratings assigned by external rating agencies through their separate ratings for short-term and long-term debt for a given issuer.
The SA typically assigns lower risk weights to sub-investment grade counterparties than the A-IRB approach, thereby potentially understating the economic risk. Conversely, investment grade counterparties typically receive higher risk weights under the SA than under the A-IRB approach.
Maturity is also an important factor for all asset classes except Retail, with the A-IRB approach producing a higher capital requirement for longer-maturity exposures than for shorter-maturity exposures.
Additionally, under the A-IRB approach, we calculate expected loss measures that are deducted from common equity tier 1 (CET1) capital to the extent that they exceed eligible provisions, which is not the case under the SA.
Given the divergence between the SA and the economic risk, which is better represented under the A-IRB approach, particularly for lower-grade counterparties, there is a risk that applying the SA could incentivize higher levels of risk-taking without a commensurate increase in required capital.
Comparison of the A-IRB approach EAD and leverage ratio denominator by asset class
The leverage ratio denominator (the LRD) estimates presented in the table below reflect the credit risk and counterparty credit risk components of exposures only, and are therefore not representative of the LRD requirement at UBS level overall. The LRD estimates exclude exposures subject to market risk, non-counterparty-related risk and SA credit risk to provide a like-for-like comparison with the A-IRB credit risk EAD disclosed below.
Comparison of A-IRB approach EAD and leverage ratio denominator by asset class | ||||||
31.12.22 |
| A-IRB, credit and counterparty credit risk |
| LRD | ||
in USD bn, except where indicated |
| Net EAD | Average RW % | RWA |
|
|
Central governments and central banks |
| 232 | 2 | 4 |
| 236 |
Multi-lateral development banks |
| 5 | 1 | 0 |
| 5 |
Public-sector entities |
| 4 | 19 | 1 |
| 5 |
Banks and securities dealers |
| 34 | 38 | 13 |
| 138 |
Corporates |
| 153 | 49 | 76 |
| 224 |
Retail |
| 387 | 15 | 60 |
| 321 |
of which: Residential mortgages |
| 175 | 22 | 38 |
| 173 |
of which: Lombard lending |
| 207 | 10 | 20 |
| 146 |
Total |
| 814 | 19 | 154 |
| 930 |
Comparison of the A-IRB approach, the SA and LRD by asset class
The differences between the A-IRB approach, the SA and the LRD per asset class are discussed below.
Central governments and central banks, Public-sector entities, and Multi-lateral development banks
The regulatory net EAD for Central governments and central banks, Public-sector entities, and Multi-lateral development banks as of 31 December 2022 was USD 241bn under the A-IRB approach. Since the vast majority of our exposure is driven by exposures to banking products, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.
The charts below provide comparisons of risk weights for exposures to the asset class Central governments and central banks and the sub-asset classes (i) highly rated Multi-lateral development banks and (ii) other Multi-lateral development banks and Public-sector entities calculated under the A-IRB approach and the SA. Risk weights under the A-IRB approach are shown for one-year and five-year maturities, both assuming an LGD of 45%. Our internal A-IRB ratings have been mapped to external ratings based on the long-term average of one-year default rates available from the major credit rating agencies, as described under “Credit risk models” in the “Risk management and control” section of our Annual Report 2022.
31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 58
The SA assigns a zero risk weight to central governments and central banks rated AA– and better, as well as to highly rated Multi-lateral development bank counterparties, while the A-IRB approach generally assigns risk weights higher than zero to even the highest-quality sovereign counterparties.
For other Multi-lateral development bank and Public-sector entity counterparties rated AA– and better, the risk weight applied under the SA is 20%.
However, because this asset class is not a significant driver of RWA, we would expect any resulting RWA difference between the A‑IRB approach and the SA to be relatively small.
Banks and securities dealers
The regulatory net EAD for the asset class Banks and securities dealers as of 31 December 2022 was USD 34bn under the A-IRB approach. The A-IRB net EAD is lower than the LRD, mainly due to collateral mitigation on derivatives and SFTs. We would expect the net EAD to increase under the SA, related to derivatives and SFTs within the Investment Bank, due to the aforementioned methodological differences between the calculation of EAD under the two approaches.
The chart below provides a comparison of risk weights for Banks and securities dealers exposures calculated under the A‑IRB approach and the SA.
The vast majority of our exposure with Banks and securities dealers is of investment-grade quality. The average contractual maturity of this exposure is closer to the one-year example provided in the chart above. Therefore, we would expect a higher average risk weight under the SA than the 38% average risk weight under the A-IRB approach. In combination with higher EAD, we would expect this to lead to significantly higher RWA for Banks and securities dealers under the SA.
31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 59
Corporates
The regulatory net EAD for the Corporates asset class as of 31 December 2022 was USD 153bn under the A-IRB approach. The A-IRB net EAD is lower than the LRD, mainly due to collateral mitigation on derivatives and SFTs. We would expect the EAD to be higher under the SA related to derivatives and SFTs, due to the aforementioned methodological differences between the calculation of EAD under the two approaches. Derivatives and SFTs account for 41% of the EAD for this asset class as of 31 December 2022.
The following chart provides a comparison of risk weights for Corporates exposures calculated under the A-IRB approach and the SA. These exposures primarily arise from corporate lending and derivatives trading within the Investment Bank, and lending to large corporate clients and small and medium-sized entities in Switzerland. The comparison does not include the FINMA-required multiplier applied to the Investment Bank’s Corporates exposures under the A-IRB approach.
Investment-grade counterparties typically receive higher risk weights under the SA than under the A-IRB approach. The majority of our Corporates exposures fall into this category. We would therefore expect risk weights for Corporates to be generally higher under the SA.
In addition, SA risk weights rely on external ratings, with a default weighting of 100% being applied where no external rating is available. Typically, counterparties with no external rating are riskier and thus have higher risk weights under the A‑IRB approach. However, managed funds, which account for nearly one-third of our Corporates EAD, typically have no debt and are therefore unrated. The SA applies a 100% risk weight to exposures to such funds. Under A-IRB, these funds are considered very low risk and as of 31 December 2022 had an average risk weight of 17%. We believe the SA significantly overstates the associated risk.
Conversely, for certain exposures we consider the risk weight of 100% under the SA resulting from the absence of an external rating as insufficient, as is evident from the hypothetical leveraged finance counterparty example in the table below.
Comparison of risk weights as a function of internal rating assessment
The table assumes two counterparties without external rating assignments.
Interest | Total debt / EBITDA | Debt / assets | Liquidity (fraction of assets that are liquid) | Internal rating assessment | Exposure maturity | A-IRB risk weight range | SA risk weight | |
Managed funds | NA | NA | 0 | 100% | AAA–AA | < 1Y | 10–20% | 100% |
Leveraged | < 2 | > 2.5 | > 50% | 0% | BB–C | > 5Y | 100–600% | 100% |
Retail
The regulatory net EAD for the sub-asset class Residential mortgages as of 31 December 2022 was USD 175bn under the A-IRB approach. Since the vast majority of our exposures is driven by banking products, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.
Due to the size of our personal and corporate banking business in Switzerland, our domestic portfolios represent a significant portion of our overall lending exposures, with the largest being loans secured by residential properties. Our internal models assign risk weights to such loans by considering the debt service capacity of borrowers and the availability of other collateral, among other factors. These are important considerations for the Swiss market, where there is legal recourse to the borrower.
31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 60
In contrast, and different to the assignment of risk weights for the aforementioned asset classes, the SA is less complex and only differentiates the risk weights based on loan-to-value (LTV) ranges, as shown in the chart below.
The vast majority of our exposures would attract the minimum 35% risk weight under the SA, compared with an average of 22% as of 31 December 2022 observed under the A‑IRB approach.
The difference is largely due to the current SA rules not providing any benefit to the portion of exposures with an LTV below 67%. The vast majority of exposures fall within this category, as shown in the “Swiss mortgages: distribution of net exposure at default (EAD) across exposure segments and loan-to-value (LTV) buckets” table in the “Risk management and control” section of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors.
Lombard lending
The regulatory net EAD for the Lombard loans sub-asset class as of 31 December 2022 was USD 207bn under the A‑IRB approach, and mainly arises in our wealth management business.
Eligible collateral is more limited under the SA than under the A‑IRB approach. However, the haircuts applied to collateral under the A‑IRB approach are generally greater than those prescribed under the SA. Given this, we would expect the overall effect of applying current SA rules to be limited for this portfolio. p
SECA: Introduction
Annual | This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the Basel III securitization framework.
In a traditional securitization, a pool of loans (or other debt obligations) is transferred to structured entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of loans. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained but associated credit risk is transferred to structured entities, commonly through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.
We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which are then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party investors. As sponsor, we manage, provide financing for or advise on securitization programs. In line with the Basel III framework, sponsoring includes underwriting activities. In all other cases we act as an investor, by taking securitization positions.
SECA: Objectives, roles and involvement
Securitization in the banking book
Securitization positions held in the banking book include legacy risk positions in Non-core and Legacy Portfolio within Group Functions. In 2022, for the majority of securitization carrying amounts on the balance sheet we acted as an originator or investor. Securitization and re-securitization positions in the banking book are measured at fair value, reflecting market prices where available, or based on our internal pricing models.
Securitization in the trading book
Securitizations held in the trading book are part of trading activities, including market-making and client facilitation, that could result in retention of certain securitization positions as an investor, including those we may have originated or sponsored. In the trading book, securitization and re-securitization positions are measured at fair value, reflecting market prices where available, or based on our internal pricing models.
Type of structured entities and affiliated entities involved in securitization transactions
For securitization transactions, the type of structured entities or special purpose vehicles employed is selected as appropriate based on the type of transaction undertaken. Examples include limited liability companies, common law trusts and depositor entities.
Refer to “Note 28 Interests in subsidiaries and other entities” of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for further information about interests in structured entities.
31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 61
Managing and monitoring of the credit and market risk of securitization positions
The banking book securitization and re-securitization portfolio is subject to specific risk monitoring, which may include interest rate and credit spread sensitivity analysis, as well as inclusion in firm-wide earnings-at-risk, capital-at-risk and combined stress test metrics.
The trading book securitization positions are also subject to multiple risk limits, such as management value-at-risk (VaR) and stress limits, as well as market value limits. As part of managing risks within predefined risk limits, traders may utilize hedging and risk mitigation strategies. Hedging may, however, expose us to basis risks, as the hedging instrument and the position being hedged may not always move in parallel. Such basis risks are managed within the overall limits. Any retained securitization from origination activities and any purchased securitization positions are governed by risk limits together with any other trading positions. Legacy trading book securitization exposure is subject to the same management VaR limit framework. Additionally, risk limits are used to control the unwinding, novation and asset sales process on an ongoing basis.
Accounting policies
Refer to “Consolidation” in “Note 1 Summary of material accounting policies” in the “Consolidated financial statements” section of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for information about accounting policies that relate to securitization activities.
Regulatory capital treatment of securitization exposures
In line with the revised securitization framework for banking book securitization exposures, we apply the following approaches to calculate the associated risk-weighted assets (RWA):
– we use external ratings (the external ratings-based approach (SEC-ERBA)), if available, from S&P, Moody’s Investors Service and Fitch Ratings for securitization exposures, provided that we are able to demonstrate our expertise in both critically challenging and reviewing the external ratings; or
– if we cannot apply the ERBA method, we apply the standardized approach (SEC-SA) where the delinquency status of a significant portion of the underlying exposure can be determined, or a risk weight of 1,250%. Re-securitization positions are either treated under the standardized approach or risk-weighted 1,250%;
– we do not use the internal assessment approach (IAA).
The selection of the external credit assessment institutions (ECAIs) is based on the primary rating agency concept. This concept is applied, in principle, to avoid having the credit assessment by one ECAI applied to one or more tranches and by another ECAI to the other tranches, unless this is the result of the application of the specific rules for multiple assessments. If any two of the aforementioned rating agencies have issued a rating for a particular exposure, we apply the lower of the two credit ratings. If all three rating agencies have issued a rating for a particular exposure, we apply the middle of the three credit ratings. p
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 below outlines the carrying values in the banking and trading books as of 31 December 2022, 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 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.
› Refer to our 31 December 2020 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information on the condensed semi-annual securitization disclosures
Development of securitization exposures in the second half of 2022
Compared with 30 June 2022, securitization exposures in the banking book increased by USD 0.5bn, primarily due to a wholesale investment where UBS acts as an investor. The securitization exposures in the trading book were broadly unchanged. p
31 December 2022 Pillar 3 Report | UBS Group | Section 8 Securitizations 62
Semi-annual |
Securitization exposures in the banking and trading book and associated regulatory capital requirements | ||||||
USD m |
| Carrying value / EAD |
| RWA |
| Total Capital Charge after cap |
|
|
|
|
|
|
|
31.12.22 | ||||||
Asset Classes – Banking Book1 |
|
|
|
|
|
|
Retail |
| 2 |
| 22 |
| 2 |
Wholesale |
| 1,424 |
| 249 |
| 20 |
Re-securitization |
| 0 |
| 0 |
| 0 |
Total Banking Book |
| 1,425 |
| 271 |
| 22 |
of which: UBS acts as investor |
| 1,425 |
| 271 |
| 22 |
of which: UBS acts as originator and / or sponsor |
| 0 |
| 0 |
| 0 |
Asset Classes – Trading Book |
|
|
|
|
|
|
Retail |
| 8 |
| 89 |
| 7 |
Wholesale |
| 313 |
| 299 |
| 24 |
Re-securitization |
| 6 |
| 75 |
| 6 |
Total Trading Book |
| 328 |
| 463 |
| 37 |
Total |
| 1,753 |
| 734 |
| 59 |
|
|
|
|
|
|
|
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, 99.8% carried a risk weighting of up to 100% as of 31 December 2022 (30 June 2022: 99.6%; 31 December 2021: 95.0%). |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 8 Securitizations 63
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 (the IRC) and the securitization framework for securitization positions in the trading book. More information about each of these components is provided below. p
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
MRA: Market risk | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
|
Strategies and processes of the bank for market risk | Risk management and control | – Risk appetite framework – Market risk – Overview of measurement, monitoring and management techniques – Market risk stress loss, Value-at-risk | 89–91 111–112
112–115 |
|
Consolidated financial statements | – Note 10 Derivative instruments | 291–293 |
| |
Structure and organization of the market risk management function | Risk management and control | – Key risks by business division and Group Functions – Risk governance | 84 87–89 |
|
Scope and nature of risk reporting and measurement systems | Risk management and control | – Internal risk reporting – Main sources of market risk, Overview of measurement, monitoring and management techniques | 92 111–112 |
|
p
Market risk risk-weighted assets
Market risk RWA development in the fourth 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 fourth quarter of 2022 under an internal models approach across those components, pursuant to the movement categories defined by the Basel Committee on Banking Supervision. These categories are described below. p
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 64
Definitions of market risk RWA movement table components for MR2
References in the table below link to the line numbers provided in the movement table below.
Reference | Description |
| Definition |
1/8c | RWA as of previous and current reporting period end (end of period) |
| Quarter-end RWA. |
1a/8b | Regulatory adjustment |
| Indicates the difference between rows 1 and 1b, and 8c and 8a, respectively. |
1b/8a | RWA at previous and current quarter-end (end of day) |
| For a given component (e.g., VaR), this refers to the RWA computed whenever that component’s snapshot quarter-end figure is higher than the 60-day average for regulatory VaR, and the 12-week average for SVaR and IRC, thus determining the quarter-end RWA. The regulatory adjustment would be zero if the quarter-end RWA were triggered by the snapshot quarter-end figure. |
| Movement of end-of-day RWA | ||
2 | Movement in risk levels |
| Movements due to changes in positions and risk levels. |
3 | Model updates / changes |
| Movements due to routine updates to model parameters and model changes. |
4 | Methodology and policy |
| Movements due to methodological changes in calculations driven by regulatory policy changes, including revisions of existing regulations, new regulations and add-ons mandated by the regulator. |
5 | Acquisitions and disposals |
| Movements due to the disposal or acquisition of business operations, quantified based on the market risk exposures at the end of the quarter preceding a disposal or following an acquisition. Purchases and sales of exposures in the ordinary course of business are reflected in “Movement in risk levels.” |
6 | Foreign exchange movements |
| Movements due to changes in exchange rates. Note that the effect of movements in exchange rates is captured in “Movement in risk levels,” since exchange rate movements are part of the effects of market movements on risk levels. |
7 | Other |
| Movements due to changes that cannot be attributed to any other category. |
RWA flow
Quarterly | Market risk RWA under an internal models approach increased by USD 1.0bn to USD 13.0bn in the fourth quarter of 2022, driven by an increase in regulatory add-ons, reflecting updates from the monthly RNiV assessment. An RWA decrease, driven by a VaR model change that went live in the fourth quarter of 2022, was offset by an RWA increase arising from the introduction of a FINMA-agreed temporary measure to offset the aforementioned decrease in VaR-model-change-related RWA. We are in discussions with FINMA regarding material updates to the VaR model in 2023, which would replace the aforementioned temporary measure and the currently applied add-on related to time decay.
The VaR multiplier was unchanged compared with the prior quarter, at 3.0.
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 65
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 | RWA as of 30.6.22 | 4,956 | 8,231 | 1,709 |
|
| 14,896 |
1a | Regulatory adjustment | (3,493) | (5,404) | 0 |
|
| (8,897) |
1b | RWA at previous quarter-end (end of day) | 1,464 | 2,827 | 1,709 |
|
| 5,999 |
2 | Movement in risk levels | 1,531 | 1,403 | (35) |
|
| 2,899 |
3 | Model updates / changes | 25 | 15 | 0 |
|
| 40 |
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 | 58 | 206 | 0 |
|
| 264 |
8a | RWA at the end of the reporting period (end of day) | 3,078 | 4,450 | 1,674 |
|
| 9,202 |
8b | Regulatory adjustment | 406 | 2,453 | 0 |
|
| 2,859 |
8c | RWA as of 30.9.22 | 3,484 | 6,903 | 1,674 |
|
| 12,061 |
1 | RWA as of 30.9.22 | 3,484 | 6,903 | 1,674 |
|
| 12,061 |
1a | Regulatory adjustment | (406) | (2,453) | 0 |
|
| (2,859) |
1b | RWA at previous quarter-end (end of day) | 3,078 | 4,450 | 1,674 |
|
| 9,202 |
2 | Movement in risk levels | (725) | (800) | 458 |
|
| (1,067) |
3 | Model updates / changes | (100) | (633) | 0 |
|
| (733) |
4 | Methodology and policy | 64 | 217 | 0 |
|
| 281 |
5 | Acquisitions and disposals | 0 | 0 | 0 |
|
| 0 |
6 | Foreign exchange movements | 0 | 0 | 0 |
|
| 0 |
7 | Other | 18 | 57 | 0 |
|
| 75 |
8a | RWA at the end of the reporting period (end of day) | 2,335 | 3,291 | 2,132 |
|
| 7,758 |
8b | Regulatory adjustment | 1,298 | 3,960 | 0 |
|
| 5,257 |
8c | RWA as of 31.12.22 | 3,633 | 7,251 | 2,132 |
|
| 13,015 |
1 Components that describe movements in RWA are presented in italics. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 66
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 36m to USD 328m as of 31 December 2022. p
› Refer to the “Securitizations” section of this report for more information about the securitization exposures in the trading book
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
MRB: Internal models approach | |||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Description of activities and risks covered by the VaR models and stressed VaR models | Risk management and control | – Value-at-risk – Main sources of market risk | 112–115 111 |
VaR models applied by different entities within the Group | Risk management and control | – Main sources of market risk – Value-at-risk | 111 112–115 |
General description of VaR and stressed VaR models | Risk management and control | – Value-at-risk | 112–115 |
Main differences between the VaR and stressed VaR models used for management purposes and for regulatory purposes | Risk management and control | – Value-at-risk | 112–115 |
Further information on VaR models | Risk management and control | – Value-at-risk – Market risk stress loss – Market risk – Overview of measurement, monitoring and management techniques | 112–115 112 111–112 |
Consolidated financial statements | – Note 20 Fair value measurement | 316–329 | |
Description of stress testing applied to modeling parameters | Consolidated financial statements | – Note 20 Fair value measurement | 316–329 |
Description of backtesting approach | Risk management and control | – Backtesting of VaR – VaR model confirmation | 114–115 115 |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 67
Regulatory calculation of market risk
Semi-annual | The MR3 table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the incremental risk charge (IRC) and the comprehensive risk capital charge. Since the second quarter of 2019, we have not held eligible correlation trading positions.
During the second half of 2022, 10-day 99% regulatory VaR and SVaR decreased, driven mainly by a VaR model change in October 2022.
MR3: IMA values for trading portfolios | ||||
| For the six-month period ended 31.12.22 | 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 | 134 | 152 | 130 |
2 | Average value | 63 | 92 | 80 |
3 | Minimum value | 13 | 30 | 9 |
4 | Period end | 53 | 52 | 21 |
| Stressed VaR (10-day 99%) |
|
|
|
5 | Maximum value | 186 | 191 | 197 |
6 | Average value | 94 | 127 | 127 |
7 | Minimum value | 35 | 45 | 29 |
8 | Period end | 78 | 164 | 40 |
| Incremental risk charge (99.9%) |
|
|
|
9 | Maximum value | 199 | 155 | 232 |
10 | Average value | 124 | 119 | 130 |
11 | Minimum value | 89 | 75 | 98 |
12 | Period end | 171 | 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
Value-at-risk
VaR definition
Annual | VaR is a statistical measure of market risk, representing the potential market risk losses over a set time horizon (holding period) at an established level of confidence. VaR assumes no change in the Group’s trading positions over the set time horizon.
We calculate VaR daily. The profit or loss distribution VaR is derived from our internally developed VaR model, which simulates returns over the holding period for those risk factors our trading positions are sensitive to, and subsequently quantifies the profit / loss effect of these risk factor returns on trading positions. Risk factor returns associated with general interest rate, foreign exchange and commodities risk factor classes are based on a pure historical simulation approach, using a five-year look-back window. Risk factor returns for selected issuer-based risk factors, e.g., equity price and credit spreads, are split into systematic and residual issuer-specific components using a factor model approach. Systematic returns are based on historical simulation, and residual returns on a Monte Carlo simulation. VaR model profit or loss distribution is derived from the sum of systematic and residual returns in such a way that we consistently capture systematic and residual risk. Correlations among risk factors are implicitly captured via a historical simulation approach. When modeling risk factor returns, we consider the stationarity properties of the historical time series of risk factor changes. Depending on the stationarity properties of the risk factors within a given factor class, we model the factor returns using absolute returns or logarithmic returns. Risk factor return distributions are updated fortnightly.
Our VaR model does not have full revaluation capability, but we source full revaluation grids and sensitivities from front-office systems, enabling us to capture material non-linear profit or loss effects.
We use a single VaR model for both internal management purposes and determining market risk RWA, although we consider different confidence levels and time horizons. For internal management purposes, we establish risk limits and measure exposures using VaR at a 95% confidence level with a 1-day holding period, aligned to the way we consider the risks associated with our trading activities. The regulatory measure of market risk used to underpin the market risk capital requirement under Basel III requires a measure equivalent to a 99% confidence level using a 10-day holding period. To calculate a 10-day holding period VaR, we use 10-day risk factor returns, with all observations equally weighted.
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 68
Additionally, the portfolio population for management and regulatory VaR is slightly different. The one for regulatory VaR meets regulatory requirements for inclusion in regulatory VaR. Management VaR includes a broader range of positions. For example, regulatory VaR excludes credit spread risks from the securitization portfolio, which are treated instead under the securitization approach for regulatory purposes.
We also use SVaR for the calculation of market risk RWA. SVaR uses broadly the same methodology as regulatory VaR and is calculated using the same population, holding period (10-day) and confidence level (99%). Unlike regulatory VaR, the historical data set for SVaR is not limited to five years, instead covering the period from 1 January 2007 to the present. In deriving SVaR, we seek the largest 10-day holding period VaR for the current Group portfolio across all one-year look-back windows from 1 January 2007 to the present. SVaR is computed weekly. p
Derivation of VaR- and SVaR-based RWA
Annual | VaR and SVaR are used to derive the VaR and SVaR components of the market risk Basel III RWA. This calculation takes the maximum of the respective period-end VaR measure and the product of the average VaR measure for the 60 business days immediately preceding the period end and a VaR multiplier set by FINMA. The VaR multiplier, which was 3.0 as of 31 December 2022, is dependent upon the number of VaR backtesting exceptions within a 250-business-day window. When the number of exceptions is greater than four, the multiplier increases gradually from three to a maximum of four if 10 or more backtesting exceptions occur. This is then multiplied by a risk weight factor of 1,250% to determine RWA. This calculation is set out in the table below.
Figures shown below exclude the effects of the time decay add-on.
VaR- and SVaR-based RWA | ||||||
As of 31.12.22 |
|
|
|
|
|
|
USD m | Period-end VaR (A) | 60-day average VaR (B) | VaR multiplier (C) | Max. (A, B x C) (D) | Risk weight factor (E) | Basel III RWA (D x E) |
VaR (10-day 99%) | 14 | 24 | 3.00 | 71 | 1,250% | 881 |
Stressed VaR (10-day 99%) | 45 | 60 | 3.00 | 181 | 1,250% | 2,258 |
p
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. 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 profit-or-loss 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, two or three backtesting exceptions a year can be expected. More than four exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a long period. However, as noted under “VaR limitations” in the “Risk management and control” section of our Annual Report 2022, 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 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 was one new Group VaR negative backtesting exception in the second half of 2022, and the total number of negative backtesting exceptions within the most recent 250-business-day window remained at one. As these backtesting exceptions remained below five, the FINMA VaR multiplier used to compute regulatory and stressed VaR RWA remained unchanged at three throughout the period.
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 69
p
Risks not in VaR definition
Annual | We have a framework to identify and quantify potential risks that are not entirely captured by our VaR model. We refer to these as risks not in VaR (RniV). This framework is used to underpin these potential risks with regulatory capital, calculated as a multiple of VaR and SVaR.
Our VaR model can be split into two components: the profit-or-loss representation and the risk factor model. This gives rise to two RniV categories: profit-or-loss representation RniV and risk factor RniV. Profit-or-loss representation RniV arise from approximations made by the VaR model to quantify the effect of risk factor changes on the profit and loss of positions and portfolios. Risk factor RniV originate from an inadequate modeling of the stochastic behavior of the risk factors.
Risks not in VaR quantification
The RniV quantification is conducted on the basis of a quantitative approach that was developed within the Risk Methodology department and that has been approved by FINMA. We quantify RniV on a monthly basis. The framework applies to both categories of RniV: profit-or-loss representation RniV and risk factor RniV.
Risks not in VaR mitigation
Material RniV items are monitored and controlled by means and measures other than VaR, such as position limits and stress limits. Additionally, there are ongoing initiatives to extend the VaR model to better capture these risks.
Derivation of RWA add-on for risks not in VaR
The RniV framework is used to derive the RniV-based component of the market risk Basel III RWA, using the aforementioned approach, which is approved by FINMA and is subject to recalibration at least once a quarter. As RWA from RniV are add-ons, they do not reflect any diversification benefits across risks capitalized through VaR and SVaR.
The RniV VaR and SVaR capital ratios applicable as of 31 December 2022 were 138% and 153%, respectively.
FINMA continues to require that RniV stressed VaR capital is floored at RniV VaR capital.
The period-end RWA shown below does not include the time decay add-on.
RniV-based RWA | |||
As of 31.12.22 |
|
|
|
USD m | Period-end RWA (A) | RniV add-on (B) | RniV RWA (A x B) |
Regulatory VaR | 881 | 138% | 1,213 |
Stressed VaR | 2,258 | 153% | 3,454 |
Total RniV RWA |
|
| 4,667 |
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 70
Incremental risk charge
IRC is the potential loss due to the defaulting or credit migration of issuers of non-securitized credit instruments in the trading book. IRC is calculated as the portfolio loss at the 99.9th percentile of the portfolio loss distribution over a one-year time horizon. It uses a multi-factor model applying the constant position assumption for all positions in the IRC portfolio. This means that all positions are kept unchanged over a one-year time period.
The portfolio loss distribution is estimated using a Monte Carlo simulation approach. The simulation is performed in two steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a portfolio rating migration model; and, second, default and migration losses conditional on credit events generated by the migration model are calculated and aggregated.
The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of the underlying asset value of a firm. The correlation structure of asset values is based on the FIS APT factor model, with factor loadings and volatilities homogenized within region / industry / size buckets. For the government bucket, a conservative expert-based correlation value is used. The transition matrix approach is utilized to set migration and default thresholds. The transition matrix for sovereign obligors is calibrated to the history of S&P sovereign ratings. The transition matrix for non-sovereigns is calibrated to the history of UBS internal ratings.
For each position related to a defaulted obligor, default losses are calculated based on the maximum default exposure measure (the loss in the case of a default event assuming zero recovery) and a random recovery concept. To account for potential basis risk between instruments, different recovery values may be generated for different instruments even if they belong to the same issuer. To calculate rating migration losses, a linear (delta) approximation is used. A loss resulting from a migration event is calculated as a change in the average credit spread due to the rating change, multiplied by the corresponding sensitivity of a position to changes in credit spreads.
The validation of the IRC model relies heavily on sensitivity analyses embedded into the annual model reconfirmation.
IRC is calculated weekly and the results are used to derive the IRC-based component of the market risk Basel III RWA. The derivation is similar to that for VaR- and SVaR-based RWA, but without a VaR multiplier, and is shown below.
IRC-based RWA | |||||
As of 31.12.22 |
|
|
|
|
|
| Period-end IRC (A) | Average of last 12 weeks IRC (B) | Max (A, B) (C) | Risk weight factor (D) | Basel III RWA (C x D) |
USD m | |||||
| 171 | 134 | 171 | 1,250% | 2,132 |
Comprehensive risk measure
The comprehensive risk measure (the CRM) is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level. The calculation assumes a static portfolio with trade aging, a modeling choice consistent with the portfolio being hedged in a back-to-back manner. The model scope covers collateralized debt obligation swaps, credit-linked notes (CLNs), 1st- and nth-to-default swaps, and CLNs and hedges for these positions, including single-name credit default swaps (CDSs), CLNs and index CDSs.
The CRM profit and loss distribution is estimated using a Monte Carlo simulation of defaults, loss given default rates and market data changes over the next 12 months, where spreads follow their own stochastic processes and are correlated to defaults. The risk engine loads the definition of all trades and, for each Monte Carlo scenario, generates the trade cash flows over the next 12 months and revalues the trades on the horizon date. The revaluation relies on sampled FX rates, credit spreads and index bases and introduces a correlation skew by using stochastic correlations and stochastic LGD rates. The correlation skew is calibrated at irregular intervals. The 99.9% negative quantile of the resulting profit and loss distribution is then taken to be the CRM result. Our CRM methodology is subject to minimum qualitative standards.
Since the second quarter of 2019, we have not held eligible correlation trading positions and therefore the CRM-based capital requirement has not been applicable to us. p
31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 71
Annual | The table below presents an overview of Pillar 3 disclosures separately provided in our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors.
ORA: Operational risk | |||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Details of the approach for operational risk capital assessment for which the bank qualifies | Risk management and control | – Non-financial risk framework | 131–132 |
Description of the advanced measurement approaches (AMA) for operational risk | Risk management and control | – AMA model | 132 |
p
Annual | The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
IRRBBA: Interest rate risk in the banking book | |||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
The nature of interest rate risk in the banking book and key assumptions applied | Risk management and control | – Interest rate risk in the banking book | 115–118 |
Sources of interest rate risk in the banking book | Risk management and control | – Interest rate risk in the banking book | 115–118 |
Interest rate risk management and governance | Risk management and control | – Interest rate risk in the banking book | 115–118 |
Economic value and net interest income sensitivity
The interest rate risk sensitivity figures presented in the IRRBB1 table below represent the effect of six interest rate scenarios defined by FINMA on the economic value of equity (EVE), which represents the present value of future cash flows related to the banking book irrespective of accounting treatment. EVE sensitivity excludes any modeled duration assigned to equity, goodwill, real estate and, as prescribed by FINMA, also excludes additional tier 1 (AT1) capital instruments that otherwise would be included under general Basel Committee on Banking Supervision (BCBS) guidance.
As of 31 December 2022, the “Parallel up” scenario was the most severe and would have resulted in a change in EVE of negative USD 4.6bn, or 7.9% of our tier 1 capital (31 December 2021: negative USD 6.0bn, or 10.0%), which is well below the 15% threshold as per the BCBS supervisory outlier test for higher levels of interest rate risk in the banking book. The immediate effect on our tier 1 capital in the “Parallel up” scenario as of 31 December 2022 would have been only a decrease of USD 0.4bn, or 0.6% (31 December 2021: USD 1.1bn or 1.8%), reflecting the fact that the vast majority of our banking book is accrual accounted or subject to hedge accounting. The “Parallel up” scenario would subsequently have a positive effect on net interest income, assuming a constant balance sheet.
UBS also applies granular internal interest rate shock scenarios to its banking book positions to monitor the banking book’s specific risk profile.
The more adverse of the two parallel interest rate scenarios with regard to net interest income (NII) over the next 12 months was the “Parallel up” scenario, resulting in a potential change of negative USD 0.1bn. This excludes the contribution from cash held at central banks as per FINMA Pillar 3 disclosure requirements. With the inclusion of the cash held at central banks, the NII would increase by USD 2.7bn under the “Parallel up” scenario.
31 December 2022 Pillar 3 Report | UBS Group | Section 10 Operational risk 72
IRRBB1: Quantitative information about IRRBB | ||||||
As of 31.12.22 |
| Delta EVE – Change of economic value of equity |
| Delta NII – Change of Net interest income1 | ||
USD m |
| 31.12.22 | 31.12.21 |
| 31.12.22 | 31.12.21 |
Parallel up2 |
| (4,629) | (6,041) |
| (119) | (953) |
Parallel down2 |
| 4,842 | 5,150 |
| 415 | 2,058 |
Steepener3 |
| (1,409) | (1,180) |
|
|
|
Flattener4 |
| 344 | (207) |
|
|
|
Short-term up5 |
| (1,539) | (2,363) |
|
|
|
Short-term down6 |
| 1,683 | 2,466 |
|
|
|
Maximum7 |
| (4,629) | (6,041) |
| (119) | (953) |
|
|
|
|
|
|
|
Period |
| 31.12.22 |
| 31.12.21 | ||
Tier 1 capital |
| 58,321 |
| 60,488 | ||
1 Disclosure of NII sensitivity is only required for the two parallel shock scenarios. The NII sensitivity estimates reflect the impact of immediate changes in interest rates, relative to constant rates, and assume no change to balance sheet size and structure, constant foreign exchange rates and no specific management action. Furthermore, the change in NII does not include the contribution from cash held at central banks. 2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps for pound sterling. 3 Short-term rates decrease and long-term rates increase. 4 Short-term rates increase and long-term rates decrease. 5 Short-term rates increase more than long-term rates. 6 Short-term rates decrease more than long-term rates. 7 “Maximum” indicates the most adverse interest rate scenario as shown in the table. |
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk | ||||||||||||
As of 31.12.22 |
|
| Volume1 |
| Average interest rate repricing period (in years) |
| Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates | |||||
USD m, except where indicated |
| Total | of which: CHF | of which: EUR | of which: USD |
| Total | of which: CHF |
| Total | of which: CHF | |
Determined repricing period2 | Loans and advances to banks |
| 35,823 | 6,699 | 13,845 | 11,679 |
| 0.25 | 0.40 |
|
|
|
Loans and advances to customers |
| 168,791 | 31,560 | 20,167 | 102,433 |
| 0.70 | 0.92 |
|
|
| |
Money market mortgages |
| 52,658 | 52,658 |
|
|
| 0.04 | 0.04 |
|
|
| |
Fixed-rate mortgages |
| 113,540 | 104,247 | 12 | 8,868 |
| 4.27 | 4.07 |
|
|
| |
Financial investments |
| 78,274 | 19,276 | 10,575 | 41,539 |
| 3.04 | 0.97 |
|
|
| |
Other receivables |
| 140,072 | 7,083 | 15,685 | 95,496 |
| 0.30 | 0.04 |
|
|
| |
Receivables from interest rate derivatives |
| 777,967 | 144,946 | 89,388 | 498,395 |
| 1.51 | 0.68 |
|
|
| |
Amounts due to banks |
| (27,566) | (6,712) | (3,365) | (16,943) |
| 1.31 | 0.16 |
|
|
| |
Customer deposits |
| (150,568) | (488) | (8,220) | (118,270) |
| 0.39 | 0.42 |
|
|
| |
Medium-term notes |
| (44) | (43) | 0 |
|
| 2.85 | 2.84 |
|
|
| |
Bonds and covered bonds |
| (99,097) | (11,523) | (25,582) | (50,041) |
| 2.94 | 4.40 |
|
|
| |
Other liabilities |
| (32,422) | (3,703) | (4,977) | (15,119) |
| 0.12 | 0.04 |
|
|
| |
Liabilities from interest rate derivatives |
| (769,414) | (234,976) | (66,683) | (420,210) |
| 0.91 | 0.49 |
|
|
| |
Undetermined repricing period3 | Loans and advances to banks |
|
|
|
|
|
|
|
|
|
|
|
Loans and advances to customers |
| 18,960 | 2,877 | 4,394 | 10,162 |
| 0.44 | 0.99 |
|
|
| |
Variable-rate mortgages |
| 25,985 | 19 | 0 | 23,747 |
| 3.54 | 1.17 |
|
|
| |
Other receivables on sight |
| 207 | 207 |
|
|
| 1.55 | 1.55 |
|
|
| |
Liabilities on sight in personal and current accounts |
| (296,335) | (77,496) | (50,774) | (147,706) |
| 1.68 | 1.85 |
|
|
| |
Other liabilities on sight |
| (12,711) | (240) | (1,838) | (9,572) |
| 0.26 | 0.04 |
|
|
| |
Liabilities from customer deposits, callable but not transferable |
| (120,967) | (120,967) |
|
|
| 1.93 | 1.93 |
|
|
| |
Total |
| 475,165 | 201,807 | 4,394 | 33,909 |
| 1.65 | 1.91 |
| 10 | 10 | |
1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Additional tier 1 capital instruments are excluded. 3 Swiss franc variable-rate mortgages and balances associated with loans and advances to banks with a combined volume below USD 1bn are reported under Loans and advances to customers, consistent with our interest rate risk management and monitoring process. |
31 December 2022 Pillar 3 Report | UBS Group | Section 11 Interest rate risk in the banking book 73
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk | ||||||||||||
As of 31.12.21 |
|
| Volume1 |
| Average interest rate repricing period (in years) |
| Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates | |||||
USD m, except where indicated |
| Total | of which: CHF | of which: EUR | of which: USD |
| Total | of which: CHF |
| Total | of which: CHF | |
Determined repricing period 2 | Loans and advances to banks |
| 9,278 | 1,106 | 4,818 | 2,113 |
| 1.40 | 2.00 |
|
|
|
Loans and advances to customers |
| 174,786 | 34,028 | 16,325 | 108,626 |
| 0.72 | 1.43 |
|
|
| |
Money market mortgages |
| 43,140 | 43,140 |
|
|
| 0.08 | 0.08 |
|
|
| |
Fixed-rate mortgages |
| 113,531 | 112,318 | 58 | 400 |
| 3.67 | 3.70 |
|
|
| |
Financial investments |
| 51,594 | 4,045 | 8,683 | 34,034 |
| 2.95 | 3.45 |
|
|
| |
Other receivables |
| 197,238 | 4,395 | 41,553 | 127,586 |
| 0.10 | 0.19 |
|
|
| |
Receivables from interest rate derivatives |
| 736,022 | 158,882 | 97,820 | 435,565 |
| 1.30 | 0.71 |
|
|
| |
Amounts due to banks |
| (1,060) | (526) |
| (267) |
| 0.09 | 0.00 |
|
|
| |
Customer deposits |
| (67,272) | (41) | (3,024) | (43,886) |
| 0.15 | 2.20 |
|
|
| |
Medium-term notes |
| (60) | (60) | 0 |
|
| 3.03 | 3.03 |
|
|
| |
Bonds and covered bonds |
| (140,128) | (12,771) | (30,910) | (78,603) |
| 2.34 | 4.51 |
|
|
| |
Other liabilities |
| (91,582) | (786) | (21,837) | (55,160) |
| 0.24 | 0.75 |
|
|
| |
Liabilities from interest rate derivatives |
| (727,339) | (234,105) | (86,853) | (352,116) |
| 0.56 | 0.59 |
|
|
| |
Undetermined repricing period3 | Loans and advances to banks |
| 328 | 328 |
|
|
| 1.61 | 1.61 |
|
|
|
Loans and advances to customers |
| 26,470 | 2,405 | 4,297 | 17,847 |
| 1.31 | 0.82 |
|
|
| |
Variable-rate mortgages |
| 22,302 | 139 |
| 18,998 |
| 2.55 | 1.24 |
|
|
| |
Other receivables on sight |
| 222 | 222 |
|
|
| 1.75 | 1.75 |
|
|
| |
Liabilities on sight in personal and current accounts |
| (371,449) | (74,943) | (55,952) | (210,511) |
| 1.32 | 1.74 |
|
|
| |
Other liabilities on sight |
| (16,046) | (729) | (2,818) | (11,323) |
| 0.17 | 0.04 |
|
|
| |
Liabilities from customer deposits, callable but not transferable |
| (117,816) | (117,816) |
|
|
| 2.06 | 2.06 |
|
|
| |
Total |
| 554,632 | 196,582 | 63,067 | 258,678 |
| 1.41 | 1.94 |
| 10 | 10 | |
1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Subordinated liabilities are excluded. 3 Swiss franc variable-rate mortgages and balances associated with loans and advances to banks with a combined volume below USD 1bn are reported under Loans and advances to customers, consistent with our interest rate risk management and monitoring process. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 11 Interest rate risk in the banking book 74
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 Annual Report 2022 report, available under ”Annual reporting” at ubs.com/investors, for more information about capital management
Swiss SRB going and gone concern requirements and information | ||||||
As of 31.12.22 |
| RWA |
| LRD | ||
USD m, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 14.641 | 46,802 |
| 5.001 | 51,423 |
Common equity tier 1 capital |
| 10.34 | 33,060 |
| 3.502 | 35,996 |
of which: minimum capital |
| 4.50 | 14,381 |
| 1.50 | 15,427 |
of which: buffer capital |
| 5.50 | 17,577 |
| 2.00 | 20,569 |
of which: countercyclical buffer |
| 0.34 | 1,102 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 13,742 |
| 1.50 | 15,427 |
of which: additional tier 1 capital |
| 3.50 | 11,185 |
| 1.50 | 15,427 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,557 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 18.25 | 58,321 |
| 5.67 | 58,321 |
Common equity tier 1 capital |
| 14.22 | 45,457 |
| 4.42 | 45,457 |
Total loss-absorbing additional tier 1 capital3 |
| 4.03 | 12,864 |
| 1.25 | 12,864 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.65 | 11,675 |
| 1.14 | 11,675 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.37 | 1,189 |
| 0.12 | 1,189 |
|
|
|
|
|
|
|
Required gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity4 |
| 10.36 | 33,105 |
| 3.75 | 38,567 |
of which: base requirement5 |
| 12.86 | 41,099 |
| 4.50 | 46,281 |
of which: additional requirement for market share and LRD |
| 1.44 | 4,602 |
| 0.50 | 5,142 |
of which: applicable reduction on requirements |
| (3.94) | (12,596) |
| (1.25) | (12,856) |
of which: rebate granted6 |
| (3.56) | (11,385) |
| (1.25) | (12,856) |
of which: reduction for usage of low-trigger tier 2 capital instruments |
| (0.38) | (1,211) |
| 0.00 | 0 |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 14.70 | 46,991 |
| 4.57 | 46,991 |
Total tier 2 capital |
| 0.93 | 2,958 |
| 0.29 | 2,958 |
of which: low-trigger loss-absorbing tier 2 capital |
| 0.76 | 2,422 |
| 0.24 | 2,422 |
of which: non-Basel III-compliant tier 2 capital |
| 0.17 | 536 |
| 0.05 | 536 |
TLAC-eligible senior unsecured debt |
| 13.78 | 44,033 |
| 4.28 | 44,033 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 25.00 | 79,907 |
| 8.75 | 89,990 |
Eligible total loss-absorbing capacity |
| 32.95 | 105,312 |
| 10.24 | 105,312 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 319,585 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 1,028,461 |
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 capital instruments, which are available under the Swiss systemically relevant bank 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 1 July 2022, with an effective maximum rebate of 1.25 percentage points for the LRD-based requirements and – given the risk density of 35% underlying the regulatory requirements – an effective maximum rebate of 3.56 percentage points for the RWA-based requirements. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 75
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. In the second half of 2022, the CCyB for Sweden and the CCyB for the UK were each set at a level of 1.00%, effective from 29 September 2022 and 13 December 2022, respectively, on risk-weighted positions that are related to private sector exposures. This increased our bank-specific countercyclical capital buffer rate to 7 basis points as per 31 December 2022.
› Refer to the “Risk management and control” section of our Annual Report 2022, 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 | 31.12.22 | ||||
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 | 6,423 | 2,135 |
|
|
Luxembourg | 0.50 | 18,240 | 4,745 |
|
|
Sweden | 1.00 | 1,417 | 320 |
|
|
United Kingdom | 1.00 | 36,400 | 10,187 |
|
|
Sum |
| 62,480 | 17,388 |
|
|
Total |
| 632,724 | 207,040 | 0.07 | 232 |
1 Includes private sector exposures in the countries that are Basel Committee on Banking Supervision member jurisdictions under categories “Credit risk,” “Counterparty credit risk,” “Equity positions in the banking book,” “Settlement risk,” “Securitization exposures in the banking book” and “Amounts below thresholds for deduction,” as well as the corresponding trading book charges included under “Market Risk.” |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 76
Semi-annual | The CC2 table below provides a reconciliation of the International Financial Reporting Standards (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.
› Refer to “LIA: Explanation of the differences between the IFRS and regulatory scopes of consolidation” in the “Linkage between financial statements and regulatory exposures” section of this report for more information about the most significant entities consolidated under IFRS but not included in the regulatory scope of consolidation
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation | |||||
As of 31.12.22 | 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 | 169,445 | 0 |
| 169,445 |
|
Loans and advances to banks | 14,792 | (89) |
| 14,703 |
|
Receivables from securities financing transactions | 67,814 | (25) |
| 67,789 |
|
Cash collateral receivables on derivative instruments | 35,032 |
|
| 35,032 |
|
Loans and advances to customers | 387,220 | 43 |
| 387,264 |
|
Other financial assets measured at amortized cost | 53,264 | (100) |
| 53,164 |
|
Total financial assets measured at amortized cost | 727,568 | (171) |
| 727,397 |
|
Financial assets at fair value held for trading | 107,866 | 13 |
| 107,879 |
|
of which: assets pledged as collateral that may be sold or repledged by counterparties | 36,742 |
|
| 36,742 |
|
Derivative financial instruments | 150,108 | 18 |
| 150,126 |
|
Brokerage receivables | 17,576 |
|
| 17,576 |
|
Financial assets at fair value not held for trading | 59,796 | (13,076) |
| 46,720 |
|
Total financial assets measured at fair value through profit or loss | 335,347 | (13,045) |
| 322,301 |
|
Financial assets measured at fair value through other comprehensive income | 2,239 | (40) |
| 2,199 |
|
Investments in associates | 1,101 | 48 |
| 1,149 |
|
of which: goodwill | 24 |
|
| 24 | 4 |
Property, equipment and software | 12,288 | (47) |
| 12,242 |
|
Goodwill and intangible assets | 6,267 | (67) |
| 6,200 |
|
of which: goodwill | 6,043 |
|
| 6,043 | 4 |
of which: intangible assets | 224 | (67) |
| 157 | 5 |
Deferred tax assets | 9,389 | (14) |
| 9,375 |
|
of which: deferred tax assets recognized for tax loss carry-forwards | 3,988 | (6) |
| 3,983 | 6 |
of which: deferred tax assets on temporary differences | 5,400 | (8) |
| 5,392 | 10 |
Other non-financial assets | 10,166 | (7) |
| 10,159 |
|
of which: net defined benefit pension and other post-employment assets | 355 |
|
| 355 | 8 |
Total assets | 1,104,364 | (13,342) |
| 1,091,022 |
|
|
|
|
|
|
|
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 77
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued) | |||||
As of 31.12.22 | 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 | 11,596 |
|
| 11,596 |
|
Payables from securities financing transactions | 4,202 |
|
| 4,202 |
|
Cash collateral payables on derivative instruments | 36,436 |
|
| 36,436 |
|
Customer deposits | 525,051 | 23 |
| 525,075 |
|
Debt issued measured at amortized cost | 114,621 | 0 |
| 114,621 |
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital | 9,882 |
|
| 9,882 | 9 |
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital | 1,189 |
|
| 1,189 | 9 |
of which: amount eligible for low-trigger loss-absorbing tier 2 capital | 2,422 |
|
| 2,422 | 11 |
Other financial liabilities measured at amortized cost | 9,575 | (7) |
| 9,568 |
|
Total financial liabilities measured at amortized cost | 701,481 | 16 |
| 701,497 |
|
Financial liabilities at fair value held for trading | 29,515 |
|
| 29,515 |
|
Derivative financial instruments | 154,906 | 11 |
| 154,918 |
|
Brokerage payables designated at fair value | 45,085 |
|
| 45,085 |
|
Debt issued designated at fair value | 73,638 | 13 |
| 73,650 |
|
Other financial liabilities designated at fair value | 30,237 | (13,221) |
| 17,017 |
|
Total financial liabilities measured at fair value through profit or loss | 333,381 | (13,197) |
| 320,185 |
|
Provisions | 3,243 | (1) |
| 3,241 |
|
Other non-financial liabilities | 9,040 | (27) |
| 9,014 |
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))2 | 1,376 |
|
| 1,376 | 9 |
of which: deferred tax liabilities related to goodwill | 309 |
|
| 309 | 4 |
of which: deferred tax liabilities related to other intangible assets | 8 |
|
| 8 | 5 |
Total liabilities | 1,047,146 | (13,209) |
| 1,033,937 |
|
Equity |
|
|
|
|
|
Share capital | 304 |
|
| 304 | 1 |
Share premium | 13,546 |
|
| 13,546 | 1 |
Treasury shares | (6,874) |
|
| (6,874) | 3 |
Retained earnings | 50,004 | (6) |
| 49,998 | 2 |
Other comprehensive income recognized directly in equity, net of tax | (103) | 9 |
| (94) | 3 |
of which: unrealized gains / (losses) from cash flow hedges | (4,234) |
|
| (4,234) | 7 |
Equity attributable to shareholders | 56,876 | 3 |
| 56,880 |
|
Equity attributable to non-controlling interests | 342 | (137) |
| 205 |
|
Total equity | 57,218 | (134) |
| 57,085 |
|
Total liabilities and equity | 1,104,364 | (13,342) |
| 1,091,022 |
|
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 The IFRS carrying amount of total DCCP liabilities was USD 1,614m as of 31 December 2022. Refer to the “Compensation” section of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information about the DCCP. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 78
Semi-annual | The CC1 table below 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 31.12.22 | 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 | 13,850 | 1 |
2 | Retained earnings | 49,998 | 2 |
3 | Accumulated other comprehensive income (and other reserves) | (6,968) | 3 |
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 | 56,880 |
|
| Common Equity Tier 1 capital: regulatory adjustments |
|
|
7 | Prudent valuation adjustments | (201) |
|
8 | Goodwill (net of related tax liability) | (5,754) | 4 |
9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | (150) | 5 |
10 | Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)2 | (4,077) | 6 |
11 | Cash flow hedge reserve | 4,234 | 7 |
12 | Shortfall of provisions to expected losses | (471) |
|
13 | Securitization gain on sale |
|
|
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | (627) |
|
15 | Defined benefit pension fund net assets | (311) | 8 |
16 | Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet) | (1,552) | 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) | (64) | 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 | (2,450)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 | (11,423) |
|
29 | Common Equity Tier 1 capital (CET1) | 45,457 |
|
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 79
CC1: Composition of regulatory capital (continued) | |||
As of 31.12.22 | Amounts | References1 | |
USD m, except where indicated |
|
| |
| Additional Tier 1 capital: instruments |
|
|
30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | 12,864 |
|
31 | Of which: classified as equity under applicable accounting standards |
|
|
32 | Of which: classified as liabilities under applicable accounting standards | 12,864 |
|
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) |
|
|
36 | Additional Tier 1 capital before regulatory adjustments | 12,864 |
|
| 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) | 12,864 | 9 |
45 | Tier 1 capital (T1 = CET1 + AT1) | 58,321 |
|
| Tier 2 capital: instruments and provisions |
|
|
46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | 4845 | 11 |
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) |
|
|
50 | Provisions |
|
|
51 | Tier 2 capital before regulatory adjustments | 484 |
|
| 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) | 484 |
|
59 | Total regulatory capital (TC = T1 + T2) | 58,806 |
|
60 | Total risk-weighted assets | 319,585 |
|
| Capital ratios and buffers |
|
|
61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 14.22 |
|
62 | Tier 1 (as a percentage of risk-weighted assets) | 18.25 |
|
63 | Total capital (as a percentage of risk-weighted assets) | 18.40 |
|
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 | 3.57 |
|
65 | Of which: capital conservation buffer requirement | 2.50 |
|
66 | Of which: bank-specific countercyclical buffer requirement | 0.07 |
|
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 | 9.72 |
|
| Amounts below the thresholds for deduction (before risk weighting) |
|
|
72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 2,214 |
|
73 | Significant investments in the common stock of financial entities | 1,112 |
|
74 | Mortgage servicing rights (net of related tax liability) |
|
|
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 4,552 |
|
| 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 767m 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 2.4bn 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 2022, available under ”Annual reporting” at ubs.com/investors, for more information about the Swiss SRB requirements. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 80
Prudent valuation adjustments
Annual | The PV1 table below provides a breakdown of prudent valuation adjustments to common equity tier 1 capital. These adjustments are incremental to those made under IFRS, which include adjustments for liquidity and model uncertainty, as well as credit, funding and debit valuation adjustments.
Instruments that are measured as part of a portfolio of combined long and short positions are valued at mid-market levels in an effort to ensure consistent valuation of the long and short component risks. A liquidity valuation adjustment is then made to the overall net long or short exposure to move the fair value to bid or offer, as appropriate, reflecting current market liquidity levels.
Uncertainties associated with the use of model-based valuations are incorporated into the measurement of fair value through the use of model reserves. These reserves reflect the amounts that the Group estimates should be deducted from valuations produced directly by models to incorporate uncertainties in the relevant modeling assumptions, in the model and market inputs used, or in the calibration of the model output to adjust for known model deficiencies.
In an effort to ensure compliance with the prudent valuation requirements, UBS has established systems, controls and governance around the valuation of positions measured at fair value.
As of 31 December 2022, the prudent valuation adjustment had increased by USD 34m to USD 201m compared with the prior year. This was primarily driven by reduced market liquidity, new positions and a longer closeout period used in credit valuation adjustment closeout calculations that are reported under Unearned credit spreads.
› Refer to “Note 20 Fair value measurement” of our Annual Report 2022 for more information about the valuation adjustments in the financial accounts and related governance
PV1: Prudent valuation adjustments (PVA) | |||||||||
As of 31.12.22 |
|
|
|
|
|
|
|
| |
USD m | Equity | Interest rates | FX | Credit | Commodities | Total | Of which: In the trading book | Of which: In the banking book | |
1 | Closeout uncertainty, of which: | (17) | (77) | 0 | (64) | 0 | (158) | (34) | (123) |
2 | Mid-market value |
|
|
|
|
|
|
|
|
3 | Closeout cost |
|
|
|
|
|
|
|
|
4 | Concentration | (17) | (77) | 0 | (64) | 0 | (158) | (34) | (123) |
5 | Early termination |
|
|
|
|
|
|
|
|
6 | Model risk |
|
|
|
|
|
|
|
|
7 | Operational risk |
|
|
|
|
|
|
|
|
8 | Investing and funding costs |
|
|
|
|
|
|
|
|
9 | Unearned credit spreads | 0 | 0 | 0 | (43) | 0 | (43) | (43) | 0 |
10 | Future administrative costs |
|
|
|
|
|
|
|
|
11 | Other |
|
|
|
|
|
|
|
|
12 | Total adjustment | (17) | (77) | 0 | (107) | 0 | (201) | (77) | (123) |
|
|
|
|
|
|
|
|
|
|
As of 31.12.21 | |||||||||
1 | Closeout uncertainty, of which: | (18) | (91) | 0 | (34) | 0 | (143) | (28) | (114) |
2 | Mid-market value |
|
|
|
|
|
|
|
|
3 | Closeout cost |
|
|
|
|
|
|
|
|
4 | Concentration | (18) | (91) | 0 | (34) | 0 | (143) | (28) | (114) |
5 | Early termination |
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|
|
|
|
|
|
|
6 | Model risk |
|
|
|
|
|
|
|
|
7 | Operational risk |
|
|
|
|
|
|
|
|
8 | Investing and funding costs |
|
|
|
|
|
|
|
|
9 | Unearned credit spreads | 0 | 0 | 0 | (25) | 0 | (25) | (25) | 0 |
10 | Future administrative costs |
|
|
|
|
|
|
|
|
11 | Other |
|
|
|
|
|
|
|
|
12 | Total adjustment1 | (18) | (91) | 0 | (58) | 0 | (167) | (53) | (114) |
1 Valuation adjustments recognized already under the financial accounting standards are USD 918m as of 31 December 2022 (31 December 2021: USD 1,004m), of which valuation adjustments account for USD 311m (31 December 2021: USD 341m) of liquidity and for USD 529m (31 December 2021: USD 571m) of model uncertainty. Further details are provided in “Note 20 Fair Value measurement” in the “Consolidated financial statements” section of our Annual Report 2022. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 81
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 second half of 2022, our eligible additional tier 1 (AT1) instruments decreased by USD 2.2bn, mainly driven by our announcement on 5 December 2022 that we intended to redeem an AT1 capital instrument on 31 January 2023, the first call date (ISIN CH0400441280, with a nominal amount of USD 2.0bn, issued on 31 January 2018). This instrument ceased to be eligible as AT1 capital when the call was announced in December 2022.
Non-regulatory capital instruments increased by USD 0.7bn to USD 44.6bn as of 31 December 2022, mainly due to eight new issuances of TLAC-eligible senior unsecured debt denominated in US dollars, euro and yen amounting to USD 5.3bn equivalent, partly offset by two calls of TLAC-eligible unsecured debt denominated in US dollars amounting to USD 3.3bn and interest rate risk hedge, foreign currency translation and other effects.
TLAC1: composition for G-SIBs (at resolution group level) |
|
| |||
|
| 31.12.22 | 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) |
| 45,457 | 44,798 | 45,281 |
2 | Additional Tier 1 capital (AT1) before TLAC adjustments |
| 12,864 | 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 |
| 12,864 | 15,108 | 15,207 |
6 | Tier 2 capital (T2) before TLAC adjustments |
| 484 | 494 | 1,440 |
7 | Amortized portion of T2 instruments where remaining maturity > 1 year |
| 1,938 | 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 |
| 2,422 | 2,471 | 3,174 |
11 | TLAC arising from regulatory capital |
| 60,743 | 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 |
| 44,033 | 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 |
| 536 | 538 |
|
16 | Eligible ex ante commitments to recapitalize a G-SIB in resolution |
|
|
|
|
17 | TLAC arising from non-regulatory capital instruments before adjustments |
| 44,569 | 43,870 | 41,120 |
| Non-regulatory capital elements of TLAC: adjustments |
|
|
|
|
18 | TLAC before deductions |
| 105,312 | 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 |
| 105,312 | 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 |
| 319,585 | 315,685 | 302,209 |
24 | Leverage exposure measure |
| 1,028,461 | 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) |
| 32.95 | 33.66 | 34.67 |
26 | TLAC (as a percentage of leverage exposure) |
| 10.24 | 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 |
| 9.72 | 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) |
| 3.57 | 3.52 | 3.52 |
29 | of which: capital conservation buffer requirement |
| 2.50 | 2.50 | 2.50 |
30 | of which: bank-specific countercyclical buffer requirement |
| 0.07 | 0.02 | 0.02 |
31 | of which: higher loss absorbency requirement |
| 1.00 | 1.00 | 1.00 |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 13 Total loss-absorbing capacity 82
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 awards to UBS Group employees, which qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,794m as of 31 December 2022 (30 June 2022: USD 1,814m). The related liabilities of UBS Group AG on a standalone basis of USD 1,365m (30 June 2022: USD 1,301m) 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 31 December 2022, the TLAC available on a UBS Group AG consolidated basis amounted to USD 105,312m (30 June 2022: USD 106,249m).
› 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 year ended 31 December 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 31.12.22 |
| 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 |
| 38,093 | 14,353 | 52,577 |
| 105,023 |
3 | Subset of row 2 that are excluded liabilities |
|
|
|
|
|
|
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) |
| 38,093 | 14,3533,4 | 52,5775,6 |
| 105,023 |
5 | Subset of row 4 that are potentially eligible as TLAC |
| 38,093 | 11,968 | 49,476 |
| 99,537 |
6 | Subset of row 5 with 1 year ≤ residual maturity < 2 years |
|
|
| 4,864 |
| 4,864 |
7 | Subset of row 5 with 2 years ≤ residual maturity < 5 years |
|
|
| 22,522 |
| 22,522 |
8 | Subset of row 5 with 5 years ≤ residual maturity < 10 years |
|
|
| 13,340 |
| 13,340 |
9 | Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities |
|
|
| 8,749 |
| 8,749 |
10 | Subset of row 5 that is perpetual securities |
| 38,093 | 11,968 |
|
| 50,061 |
1 No credit risk mitigation is applied to capital and liabilities for UBS Group AG standalone. 2 Common shares including the associated reserves are equal to equity attributable to shareholders as disclosed in the UBS Group AG standalone financial statements as of 31 December 2022, which were prepared in accordance with the principles of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations). 3 Includes interest expense accrued on AT1 capital instruments, which is not eligible as TLAC. 4 Includes an AT1 instrument in the amount of USD 2bn, the call of which was announced on 5 December 2022 (call date 31 January 2023). 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 4.5bn was redeemed and bail-in debt of USD 5.4bn was issued during the six months ended 31 December 2022. |
p
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.
31 December 2022 Pillar 3 Report | UBS Group | Section 13 Total loss-absorbing capacity 83
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules, only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity-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 | 31.12.22 | 30.9.22 | 31.12.21 |
On-balance sheet exposures |
|
|
|
IFRS total assets | 1,104,364 | 1,111,753 | 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 | (13,342) | (12,436) | (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 | (185,159) | (243,429) | (148,669) |
Less carrying amount of securities financing transactions in IFRS total assets2 | (89,882) | (96,087) | (99,484) |
Adjustments to accounting values |
|
|
|
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 815,981 | 759,801 | 847,412 |
Asset amounts deducted in determining BCBS Basel III tier 1 capital | (10,826) | (11,052) | (11,452) |
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 805,155 | 748,749 | 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
Quarterly | During the fourth quarter of 2022, the LRD increased by USD 38.7bn to USD 1,028.5bn, including currency effects of USD 38.5bn. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 56.4bn, mainly driven by higher trading portfolio assets in the Investment Bank, increases in lending assets in Personal & Corporate Banking and Global Wealth Management, and purchases of high-quality liquid asset securities. Derivatives decreased by USD 14.9bn, mainly in the Investment Bank, primarily reflecting roll-offs of foreign exchange and equity / index contracts, as well as market-driven movements.
Securities financing transactions decreased by USD 5.6bn, mainly driven by a reduction in collateral sourcing for hedging client positions and lower brokerage receivables in the Investment Bank, partly offset by higher excess cash reinvestment trades in Group Treasury. Off-balance sheet items increased by USD 2.8bn, mainly due to higher unutilized credit lines in Global Wealth Management and Personal & Corporate Banking.
› Refer to “Leverage ratio denominator” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022, available under “Annual reporting” at ubs.com/investors, for more information
31 December 2022 Pillar 3 Report | UBS Group | Section 14 Leverage ratio 84
LR2: BCBS Basel III leverage ratio common disclosure | ||||
USD m, except where indicated | 31.12.22 | 30.9.22 | 31.12.21 | |
|
|
|
|
|
| On-balance sheet exposures |
|
|
|
1 | On-balance sheet items excluding derivatives and SFTs, but including collateral | 815,981 | 759,801 | 847,412 |
2 | (Asset amounts deducted in determining Basel III Tier 1 capital) | (10,826) | (11,052) | (11,452) |
3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 805,155 | 748,749 | 835,959 |
|
|
|
|
|
| Derivative exposures |
|
|
|
4 | Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) | 52,184 | 75,257 | 45,332 |
5 | Add-on amounts for PFE associated with all derivatives transactions | 72,077 | 72,334 | 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) | (22,067) | (29,424) | (18,984) |
8 | (Exempted QCCP leg of client-cleared trade exposures) | (12,413) | (13,535) | (14,987) |
9 | Adjusted effective notional amount of all written credit derivatives1 | 41,188 | 50,857 | 44,243 |
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives)2 | (40,702) | (50,329) | (43,629) |
11 | Total derivative exposures | 90,266 | 105,161 | 90,934 |
|
|
|
|
|
| Securities financing transaction exposures |
|
|
|
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 177,828 | 157,654 | 200,921 |
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (87,946) | (61,567) | (101,437) |
14 | CCR exposure for SFT assets | 8,741 | 8,168 | 9,695 |
15 | Agent transaction exposures |
|
|
|
16 | Total securities financing transaction exposures | 98,623 | 104,255 | 109,179 |
|
|
|
|
|
| Other off-balance sheet exposures |
|
|
|
17 | Off-balance sheet exposure at gross notional amount | 111,555 | 103,838 | 106,112 |
18 | (Adjustments for conversion to credit equivalent amounts) | (77,139) | (72,216) | (73,322) |
19 | Total off-balance sheet items | 34,416 | 31,622 | 32,790 |
| Total exposures (leverage ratio denominator) | 1,028,461 | 989,787 | 1,068,862 |
|
|
|
|
|
| Capital and total exposures (leverage ratio denominator) |
|
|
|
20 | Tier 1 capital | 58,321 | 59,359 | 60,488 |
21 | Total exposures (leverage ratio denominator) | 1,028,461 | 989,787 | 1,068,862 |
|
|
|
|
|
| Leverage ratio |
|
|
|
22 | Basel III leverage ratio (%) | 5.7 | 6.0 | 5.7 |
1 Includes protection sold, including agency transactions. 2 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met. |
LR1: BCBS Basel III leverage ratio summary comparison | ||||
USD m | 31.12.22 | 30.9.22 | 31.12.21 | |
1 | Total consolidated assets as per published financial statements | 1,104,364 | 1,111,753 | 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 | (24,169) | (23,488) | (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 | (94,893) | (138,268) | (57,734) |
5 | Adjustment for securities financing transactions (i.e., repos and similar secured lending) | 8,741 | 8,168 | 9,695 |
6 | Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) | 34,416 | 31,622 | 32,790 |
7 | Other adjustments |
|
|
|
8 | Leverage ratio exposure (leverage ratio denominator) | 1,028,461 | 989,787 | 1,068,862 |
1 Includes assets that are deducted from tier 1 capital. |
p
31 December 2022 Pillar 3 Report | UBS Group | Section 14 Leverage ratio 85
Quarterly | We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress. p
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
Concentration of funding sources | Capital, liquidity and funding, and balance sheet | – Balance sheet and off-balance sheet: Liabilities by product and currency | 154 |
Concentration of funding sources | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: | 148 |
Currency mismatch in the LCR | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: | 149 |
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 4Q221 |
| Average 3Q221 | ||||
USD bn, except where indicated |
| 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 |
| 151.5 |
| 151.5 |
| 167.0 |
| 167.0 |
Securities (on- and off-balance sheet) |
| 66.1 | 21.0 | 87.1 |
| 53.8 | 19.6 | 73.5 |
Total HQLA4 |
| 217.6 | 21.0 | 238.6 |
| 220.8 | 19.6 | 240.4 |
1 Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third 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
31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 86
LCR development during the fourth quarter of 2022
Quarterly | In the fourth quarter of 2022, the quarterly average LCR of UBS Group increased 1.0 percentage point to 163.7%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).
The movement in the average LCR was driven by a reduction in the average net cash outflows of USD 1.8bn to USD 146.0bn, mainly due to lower outflows from customer deposits, partially offset by lower inflows from loans. The effect of the reduction in the average net cash outflows was largely offset by a decrease in the average HQLA of USD 1.8bn to USD 238.6bn, mainly driven by lower average cash balances due to higher funding consumption from the business divisions.
LIQ1: Liquidity coverage ratio | |||||||
|
|
| Average 4Q221 |
| Average 3Q221 | ||
USD bn, except where indicated |
| Unweighted value | Weighted value2 |
| Unweighted value | Weighted value2 | |
|
|
|
|
|
|
|
|
High-quality liquid assets (HQLA) |
|
|
|
|
|
| |
1 | Total HQLA |
| 242.6 | 238.6 |
| 244.1 | 240.4 |
|
|
|
|
|
|
|
|
Cash outflows |
|
|
|
|
|
| |
2 | Retail deposits and deposits from small business customers |
| 270.1 | 30.3 |
| 277.0 | 31.3 |
3 | of which: stable deposits |
| 37.9 | 1.3 |
| 38.8 | 1.4 |
4 | of which: less stable deposits |
| 232.2 | 29.0 |
| 238.2 | 29.9 |
5 | Unsecured wholesale funding |
| 215.0 | 113.0 |
| 225.1 | 118.2 |
6 | of which: operational deposits (all counterparties) |
| 49.4 | 12.2 |
| 51.4 | 12.7 |
7 | of which: non-operational deposits (all counterparties) |
| 154.1 | 89.4 |
| 161.8 | 93.5 |
8 | of which: unsecured debt |
| 11.4 | 11.4 |
| 12.0 | 12.0 |
9 | Secured wholesale funding |
|
| 66.3 |
|
| 66.5 |
10 | Additional requirements: |
| 104.0 | 31.7 |
| 99.8 | 30.0 |
11 | of which: outflows related to derivatives and other transactions |
| 66.5 | 21.4 |
| 62.1 | 20.5 |
12 | of which: outflows related to loss of funding on debt products3 |
| 0.1 | 0.1 |
| 0.1 | 0.1 |
13 | of which: committed credit and liquidity facilities |
| 37.5 | 10.2 |
| 37.6 | 9.4 |
14 | Other contractual funding obligations |
| 17.9 | 16.9 |
| 14.7 | 13.7 |
15 | Other contingent funding obligations |
| 195.8 | 4.0 |
| 199.7 | 4.0 |
16 | Total cash outflows |
|
| 262.1 |
|
| 263.7 |
|
|
|
|
|
|
|
|
Cash inflows |
|
|
|
|
|
| |
17 | Secured lending |
| 213.7 | 66.6 |
| 208.1 | 67.1 |
18 | Inflows from fully performing exposures |
| 53.5 | 23.8 |
| 57.3 | 25.4 |
19 | Other cash inflows |
| 25.7 | 25.7 |
| 23.3 | 23.3 |
20 | Total cash inflows |
| 292.8 | 116.2 |
| 288.7 | 115.9 |
|
|
|
|
|
|
|
|
|
|
| Average 4Q221 |
| Average 3Q221 | ||
USD bn, except where indicated |
|
| Total adjusted value4 |
|
| Total adjusted value4 | |
|
|
|
|
|
|
|
|
Liquidity coverage ratio (LCR) |
|
|
|
|
|
| |
21 | Total HQLA |
|
| 238.6 |
|
| 240.4 |
22 | Net cash outflows |
|
| 146.0 |
|
| 147.8 |
23 | LCR (%) |
|
| 163.7 |
|
| 162.7 |
1 Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third 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
31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 87
Liquidity risk management
Annual | The table below presents an overview of risk management disclosures related to risks resulting from liquidity and funding activities that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.
LIQA: Liquidity risk management | ||||
Pillar 3 disclosure requirement | Annual Report 2022 section | Disclosure | Annual Report 2022 page number |
|
Liquidity risk management, including risk tolerance and target / limit setting, monitoring and reporting, including policies and practices, as well as governance and governance structure | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: Strategy, objectives and governance | 147 |
|
Funding risk strategy and management: objective, diversification of funding sources, limits and targets approach | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: Funding management and Strategy, objectives and governance | 147–148 |
|
Liquidity risk management and strategy: objective, diversification of liquid assets, limits and targets approach | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: Liquidity and funding stress testing and Strategy, objectives and governance | 147–148 |
|
Stress testing approach and stress scenario description | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: Liquidity and funding stress testing | 147–148 |
|
Contingency funding plan | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management: Contingency funding plan | 148 |
|
Asset encumbrance (encumbered, unencumbered and assets that cannot be pledged as collateral); unencumbered assets by currency | Capital, liquidity and funding, and balance sheet | – Balance sheet and off-balance sheet: Asset encumbrance – Unencumbered assets available to secure funding on a Group and / or legal entity level by currency | 151 151 |
|
Limitations on the transferability of liquidity | Capital, liquidity and funding, and balance sheet | – Liquidity and funding management / Liquidity coverage ratio: Trapped liquidity at Group level (High-quality liquid assets paragraph) | 149 |
|
Maturity of assets and liabilities to provide a view on the balance sheet and off-balance sheet structure | UBS Group AG consolidated financial statements | – Note 23 Maturity analysis of assets and liabilities | 334–336 |
|
p
31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 88
Net Stable Funding ratio
NSFR development during the fourth quarter of 2022
Semi-annual | As of 31 December 2022, the net stable funding ratio (the NSFR) of UBS Group decreased 0.6 percentage points to 119.8%, remaining above the prudential requirement communicated by FINMA.
The movement in the NSFR was driven by USD 25.0bn higher required stable funding, mainly due to an increase in trading assets and loans to customers, partially offset by lower derivative balances. Available stable funding increased by USD 27.5bn, predominantly due to increased customer deposits and debt securities issued.
› Refer to “Liquidity and funding management” in the “Capital, liquidity and funding, and balance sheet” section of
our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information
LIQ2: Net stable funding ratio (NSFR) | ||||||||||||||
|
| 31.12.22 |
| 30.9.22 | ||||||||||
|
| 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: | 56.9 |
|
| 13.1 |
| 69.9 |
| 55.8 |
|
| 13.4 |
| 69.2 |
2 | Regulatory Capital | 56.9 |
|
| 12.5 |
| 69.4 |
| 55.8 |
|
| 12.9 |
| 68.7 |
3 | Other Capital Instruments |
|
|
| 0.5 |
| 0.5 |
|
|
|
| 0.5 |
| 0.5 |
4 | Retail deposits and deposits from small business customers: |
| 294.6 | 7.4 | 10.3 |
| 284.0 |
|
| 289.2 | 0.5 | 1.7 |
| 264.4 |
5 | Stable deposits |
| 37.7 | 0.0 | 0.0 |
| 35.8 |
|
| 38.9 | 0.0 | 0.0 |
| 37.0 |
6 | Less stable deposits |
| 256.9 | 7.4 | 10.3 |
| 248.1 |
|
| 250.3 | 0.5 | 1.7 |
| 227.5 |
7 | Wholesale Funding: |
| 339.6 | 26.2 | 103.1 |
| 200.5 |
|
| 331.3 | 19.9 | 101.9 |
| 193.1 |
8 | Operational Deposits |
| 51.3 |
|
|
| 25.7 |
|
| 50.1 |
|
|
| 25.1 |
9 | Other wholesale funding |
| 288.3 | 26.2 | 103.1 |
| 174.8 |
|
| 281.2 | 19.9 | 101.9 |
| 168.0 |
10 | Liabilities with matching interdependent assets |
| 4.0 |
|
|
|
|
|
| 3.6 |
|
|
|
|
11 | Other liabilities: | 36.3 | 72.5 |
| 6.0 |
| 7.0 |
| 39.8 | 95.6 |
| 0.9 |
| 7.1 |
12 | NSFR derivative liabilities |
| 5.0 1 |
|
|
|
|
|
|
| ||||
13 | All other liabilities and equity not included in the above categories | 36.3 | 72.5 |
| 0.9 |
| 7.0 |
| 39.8 | 95.6 |
| 0.9 |
| 7.1 |
14 | Total ASF |
|
|
|
|
| 561.4 |
|
|
|
|
|
| 533.9 |
Required Stable Funding (RSF) Item |
|
|
|
|
|
|
|
|
|
|
|
|
| |
15 | Total NSFR high-quality liquid assets (HQLA) |
|
|
|
|
| 28.3 |
|
|
|
|
|
| 21.2 |
16 | Deposits held at other financial institutions for operational purposes |
| 9.2 |
|
|
| 4.9 |
|
| 9.1 |
|
|
| 4.9 |
17 | Performing loans and securities: | 43.5 | 167.5 | 26.4 | 312.6 |
| 351.8 |
| 31.5 | 176.3 | 28.0 | 296.3 |
| 330.9 |
18 | Performing loans to financial institutions secured by Level 1 HQLA or Level 2a HQLA |
| 33.1 | 0.1 | 0.3 |
| 7.1 |
|
| 32.0 | 0.3 | 0.4 |
| 6.1 |
19 | Performing loans to financial institutions secured by Level 2b HQLA or non-HQLA and unsecured performing loans to financial institutions |
| 61.3 | 5.0 | 38.5 |
| 53.0 |
|
| 74.2 | 6.7 | 31.1 |
| 49.0 |
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: |
| 59.5 | 14.5 | 110.0 |
| 127.9 |
|
| 55.4 | 13.8 | 111.6 |
| 128.6 |
21 | With a risk weight of less than or equal to 35% under Basel II standardized approach for credit risk |
| 4.9 | 0.2 | 2.4 |
| 2.4 |
|
| 0.8 | 0.1 | 2.3 |
| 2.3 |
22 | Performing residential mortgages, of which: |
| 9.7 | 5.4 | 153.0 |
| 114.9 |
|
| 9.9 | 6.0 | 143.0 |
| 108.4 |
23 | With a risk weight of less than or equal to 35% under Basel II standardized approach for credit risk |
| 8.6 | 5.2 | 136.3 |
| 99.8 |
|
| 8.9 | 5.7 | 127.3 |
| 94.3 |
24 | Securities that are not in default and do not qualify as HQLA, including exchange-traded equities | 43.5 | 3.9 | 1.3 | 10.8 |
| 49.0 |
| 31.5 | 4.7 | 1.3 | 10.3 |
| 38.8 |
25 | Assets with matching interdependent liabilities | 4.0 |
|
|
|
|
|
| 3.6 |
|
|
|
|
|
26 | Other assets: | 36.8 | 20.3 | 0.1 | 94.1 |
| 80.9 |
| 36.3 | 41.5 | 0.1 | 101.7 |
| 84.0 |
27 | Physical traded commodities, including gold | 0.5 |
|
|
|
| 0.4 |
| 0.5 |
|
|
|
| 0.4 |
28 | Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs |
| 24.8 1 |
| 21.1 |
|
| 21.1 1 |
| 17.9 | ||||
29 | NSFR derivative assets |
|
|
|
|
|
| 6.5 1 |
| 6.5 | ||||
30 | NSFR derivative liabilities before deduction of variation margin posted |
| 60.3 1 |
| 12.1 |
|
| 66.2 1 |
| 13.2 | ||||
31 | All other assets not included in the above categories | 36.3 | 20.3 | 0.1 | 9.0 |
| 47.3 |
| 35.8 | 41.5 | 0.1 | 8.0 |
| 46.0 |
32 | Off-balance sheet items |
| 20.5 | 6.6 | 33.0 |
| 2.6 |
|
| 23.1 | 6.5 | 28.4 |
| 2.5 |
33 | Total RSF |
|
|
|
|
| 468.5 |
|
|
|
|
|
| 443.5 |
34 | Net Stable Funding Ratio (%) |
|
|
|
|
| 119.8 |
|
|
|
|
|
| 120.4 |
1 The ≥ 1 year maturity bucket includes balances for which differentiation by maturity is not required. |
p
Annual | Pillar 3 disclosures on remuneration are separately provided on pages 179–180 and pages 197–238 in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors. p
31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 89
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 2022, the FSB confirmed that, based on the year-end 2021 indicators, the additional CET1 capital buffer requirement for UBS Group will remain at 1.0%. As our Swiss systemically relevant bank Basel III capital requirements exceed the BCBS requirements, including the G-SIB buffer, we are not affected by these additional G-SIB requirements.
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. Implementation of the final Basel III framework in Switzerland is expected to enter into force on 1 January 2025. We do not expect these changes to increase our additional CET1 capital buffer requirement.
We provide our G-SIB indicators as of 31 December 2021 under “Pillar 3 disclosures” at ubs.com/investors. Our G-SIB indicators as of 31 December 2022 will be published in July 2023 under “Pillar 3 disclosures” at ubs.com/investors. p
31 December 2022 Pillar 3 Report | UBS Group | Section 17 Requirements for global systemically important banks and related indicators 90
Significant regulated subsidiaries and sub-groups
Scope of disclosures in this section
The sections below include capital and other regulatory information as of 31 December 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.
UBS Americas Holding LLC consolidated
Dodd–Frank Act Stress Test
In June 2022, the Federal Reserve Board 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.
Stress capital buffer in the US
Following the completion of the annual DFAST and the Comprehensive Capital Analysis and Review (CCAR), UBS Americas Holding LLC was assigned a stress capital buffer (an SCB) of 4.8% (previously 7.1%) under the SCB rule as of 1 October 2022, resulting in a total common equity tier 1 capital requirement of 9.3%.
Community Reinvestment Act
US banking regulators are expected to adopt rules that would substantially change how banks’ service to low-income and underserved communities is evaluated under the Community Reinvestment Act, which, if adopted as currently proposed, would change measurement of this obligation for UBS Bank USA. The regulators further propose regulations to implement the remaining Basel III capital requirements, including the fundamental review of the trading book requirements. These requirements, when final, will affect UBS Americas Holding LLC.
This proposal represents a significant regulatory agenda, which, if completed in the near future, would likely require significant resources to implement.
Key metrics of the fourth quarter of 2022
Quarterly | The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the fourth quarter of 2022, common equity tier 1 (CET1) capital increased by USD 0.5bn to USD 54.0bn, mainly reflecting operating profit before tax, partly offset by additional accruals for capital returns to UBS Group AG. Tier 1 capital decreased by USD 1.3bn to USD 65.8bn, primarily driven by a USD 1.8bn decrease in additional tier 1 (AT1) capital, partly offset by the aforementioned increase in CET1 capital. The decrease in AT1 capital was mainly driven by our announcement on 5 December 2022 that we intended to redeem an AT1 capital instrument on 31 January 2023, the first call date (ISIN CH0400441280, with a nominal amount of USD 2.0bn, issued on 31 January 2018). This instrument ceased to be eligible as AT1 capital when the call was announced in December 2022. Total capital decreased by USD 1.3bn to USD 66.3bn, mainly reflecting the aforementioned decrease in tier 1 capital.
Phase-in risk-weighted assets (RWA) increased by USD 9.5bn to USD 332.9bn during the fourth quarter of 2022, primarily driven by increased participation RWA and, to a lesser extent, by increases across market risk, as well as credit and counterparty credit risk RWA, partly offset by a decrease in operational risk RWA.
Leverage ratio exposure increased by USD 22.2bn to USD 575.5bn, mainly driven by higher trading portfolio assets and purchases of high-quality liquid asset (HQLA) securities, partly offset by lower derivatives.
Correspondingly, the CET1 capital ratio of UBS AG decreased to 16.2% from 16.5%, reflecting the increase in RWA, partly offset by the increase in the CET1 capital. The firm’s Basel III leverage ratio decreased to 11.4% from 12.1%, reflecting the higher leverage ratio exposure and the decrease in tier 1 capital.
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 1 Introduction 91
The quarterly average liquidity coverage ratio (the LCR) increase was driven by a decrease in the average net cash outflows of USD 2.2bn to USD 53.6bn, mainly due to higher inflows from intercompany funding to other UBS entities. The effect of the reduction in the average net cash outflows was partially offset by a decrease in the average HQLA of USD 4.2bn to USD 101.6bn due to higher funding consumption from the business divisions.
As of 31 December 2022, the net stable funding ratio (the NSFR) decreased by 0.9 percentage points to 90.8%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the NSFR was driven by an increase in required stable funding of USD 16.9bn to USD 280.2bn, mainly due to higher trading assets and loans to customers, partly offset by decreased derivative balances. Available stable funding increased by USD 12.9bn to USD 254.4bn, largely driven by higher customer deposits and debt securities issued.
KM1: Key metrics |
|
|
|
|
| |
USD m, except where indicated | ||||||
|
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 |
Available capital (amounts) |
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1)1 | 53,995 | 53,480 | 54,146 | 52,218 | 52,818 |
1a | Fully loaded ECL accounting model CET1 | 53,995 | 53,480 | 54,139 | 52,211 | 52,803 |
2 | Tier 11 | 65,836 | 67,149 | 68,188 | 66,597 | 66,658 |
2a | Fully loaded ECL accounting model Tier 1 | 65,836 | 67,149 | 68,180 | 66,589 | 66,643 |
3 | Total capital1 | 66,321 | 67,634 | 68,682 | 67,599 | 68,054 |
3a | Fully loaded ECL accounting model total capital | 66,321 | 67,634 | 68,674 | 67,592 | 68,039 |
Risk-weighted assets (amounts)2 |
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) | 332,864 | 323,364 | 327,846 | 330,401 | 317,913 |
4a | Minimum capital requirement3 | 26,629 | 25,869 | 26,228 | 26,432 | 25,433 |
4b | Total risk-weighted assets (pre-floor) | 332,864 | 323,364 | 327,846 | 330,401 | 317,913 |
Risk-based capital ratios as a percentage of RWA2 |
|
|
|
|
| |
5 | CET1 ratio (%)1 | 16.22 | 16.54 | 16.52 | 15.80 | 16.61 |
5a | Fully loaded ECL accounting model CET1 ratio (%) | 16.22 | 16.54 | 16.51 | 15.80 | 16.61 |
6 | Tier 1 ratio (%)1 | 19.78 | 20.77 | 20.80 | 20.16 | 20.97 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) | 19.78 | 20.77 | 20.80 | 20.15 | 20.96 |
7 | Total capital ratio (%)1 | 19.92 | 20.92 | 20.95 | 20.46 | 21.41 |
7a | Fully loaded ECL accounting model total capital ratio (%) | 19.92 | 20.92 | 20.95 | 20.46 | 21.40 |
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 (%) | 0.06 | 0.02 | 0.02 | 0.02 | 0.02 |
9a | Additional countercyclical buffer for Swiss mortgage loans (%) | 0.00 | 0.00 |
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%)4 |
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%)5 | 2.56 | 2.52 | 2.52 | 2.52 | 2.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) | 11.72 | 12.04 | 12.02 | 11.30 | 12.11 |
Basel III leverage ratio |
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure | 575,461 | 553,215 | 569,794 | 594,893 | 593,868 |
14 | Basel III leverage ratio (%)1 | 11.44 | 12.14 | 11.97 | 11.19 | 11.22 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%) | 11.44 | 12.14 | 11.97 | 11.19 | 11.22 |
Liquidity coverage ratio (LCR)6 |
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) | 101,609 | 105,768 | 104,628 | 103,168 | 89,488 |
16 | Total net cash outflow | 53,616 | 55,770 | 55,405 | 55,039 | 52,229 |
16a | of which: cash outflows | 156,764 | 155,688 | 159,568 | 162,735 | 163,207 |
16b | of which: cash inflows | 103,148 | 99,919 | 104,163 | 107,696 | 110,978 |
17 | LCR (%) | 191.19 | 190.23 | 189.29 | 188.26 | 173.19 |
Net stable funding ratio (NSFR)7 |
|
|
|
|
| |
18 | Total available stable funding | 254,433 | 241,505 | 244,791 | 249,760 | 257,992 |
19 | Total required stable funding | 280,166 | 263,308 | 265,597 | 275,424 | 289,195 |
20 | NSFR (%) | 90.82 | 91.72 | 92.17 | 90.68 | 89.21 |
1 As of 1 July 2022, our capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.” 2 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section. 5 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 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 63 data points in the fourth quarter of 2022 and 66 data points in the third 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. |
p
Swiss SRB going and gone concern requirements and information
UBS AG standalone is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis.
The capital requirements based on RWA include a minimum CET1 capital requirement of 10.06%, including a countercyclical buffer of 0.06%, and a total going concern capital requirement of 14.36%, including a countercyclical buffer of 0.06%. The capital requirements based on the leverage ratio denominator (the LRD) include a minimum CET1 capital requirement of 3.5% and a total going concern leverage ratio requirement of 5.0%.
CET1 and high-trigger AT1 capital instruments are eligible as going concern capital. As of 31 December 2022, one remaining outstanding low-trigger AT1 capital instrument, amounting to USD 1.2bn, that was on lent from UBS Group AG to UBS AG qualifies as going concern capital, as agreed with FINMA.
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 92
Currently, UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the capital requirements resulting from third-party exposure on a standalone basis; (ii) a buffer requirement equal to 30% of the Group’s gone concern capital requirement on UBS AG’s consolidated exposure; and (iii) the nominal value of the gone concern instruments issued by UBS entities and held by the parent bank. A transitional period until 2024 has been granted for the buffer requirement. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, non-Basel III-compliant tier 2 capital instruments and total loss-absorbing capacity-eligible senior unsecured debt instruments are eligible to meet gone concern requirements until one year before maturity.
› Refer to “Significant regulatory developments, disclosure requirements and other changes to be adopted after 2022” in the “Introduction and basis for preparation” section of this report for more information about Revisions to the Swiss Banking Ordinance
For direct and indirect investments, including the holding of regulatory capital instruments of UBS AG by subsidiaries that are active in banking and finance, a FINMA decree introduced a risk-weighting approach, with a phase-in period until 1 January 2028. Starting from 1 July 2017, these investments were risk-weighted at 200%. From 1 January 2019 onward, the risk weights are being gradually raised by 5 percentage points per year for Switzerland-domiciled investments and by 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights are 250% and 400%, respectively. As of 31 December 2022, the applicable phase-in risk weights are 220% for Switzerland-domiciled investments and 280% for foreign-domiciled investments.
› Refer to “Additional information” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022 for more information about the joint liability of UBS AG and UBS Switzerland AG
Quarterly | The tables below provide details of the Swiss SRB RWA- and LRD-based going and gone concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are provided below.
Swiss SRB going and gone concern requirements and information | |||||||||
As of 31.12.22 |
| 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 |
| 14.361 | 47,800 |
| 14.361 | 56,023 |
| 5.001 | 28,773 |
Common equity tier 1 capital |
| 10.06 | 33,486 |
| 10.06 | 39,247 |
| 3.50 | 20,141 |
of which: minimum capital |
| 4.50 | 14,979 |
| 4.50 | 17,556 |
| 1.50 | 8,632 |
of which: buffer capital |
| 5.50 | 18,307 |
| 5.50 | 21,457 |
| 2.00 | 11,509 |
of which: countercyclical buffer |
| 0.06 | 200 |
| 0.06 | 234 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 14,313 |
| 4.30 | 16,776 |
| 1.50 | 8,632 |
of which: additional tier 1 capital |
| 3.50 | 11,650 |
| 3.50 | 13,654 |
| 1.50 | 8,632 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,663 |
| 0.80 | 3,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
|
|
|
Total going concern capital |
| 19.78 | 65,836 |
| 16.88 | 65,836 |
| 11.44 | 65,836 |
Common equity tier 1 capital |
| 16.22 | 53,995 |
| 13.84 | 53,995 |
| 9.38 | 53,995 |
Total loss-absorbing additional tier 1 capital |
| 3.56 | 11,841 |
| 3.04 | 11,841 |
| 2.06 | 11,841 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 3.20 | 10,654 |
| 2.73 | 10,654 |
| 1.85 | 10,654 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 0.36 | 1,187 |
| 0.30 | 1,187 |
| 0.21 | 1,187 |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
| 332,864 |
|
| 390,128 |
|
|
|
Leverage ratio denominator |
|
|
|
|
|
|
|
| 575,461 |
|
|
|
|
|
|
|
|
|
|
Required gone concern capital2 |
| Higher of RWA- or LRD-based |
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 40,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
|
| |
Total gone concern loss-absorbing capacity |
|
| 46,982 |
|
|
|
|
| |
Gone concern capital coverage ratio |
| 117.15 |
|
|
|
|
|
|
|
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. |
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 93
Swiss SRB going and gone concern information | |||||
USD m, except where indicated |
| 31.12.22 |
| 30.9.22 | 31.12.21 |
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
Total going concern capital |
| 65,836 |
| 67,149 | 66,658 |
Total tier 1 capital |
| 65,836 |
| 67,149 | 66,658 |
Common equity tier 1 capital |
| 53,995 |
| 53,480 | 52,818 |
Total loss-absorbing additional tier 1 capital |
| 11,841 |
| 13,669 | 13,840 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 10,654 |
| 12,481 | 11,414 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 1,187 |
| 1,188 | 2,426 |
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 46,982 |
| 45,375 | 44,250 |
Total tier 2 capital |
| 2,949 |
| 2,949 | 3,129 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2,421 |
| 2,426 | 2,594 |
of which: non-Basel III-compliant tier 2 capital |
| 528 |
| 523 | 535 |
TLAC-eligible senior unsecured debt |
| 44,033 |
| 42,426 | 41,120 |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
Total loss-absorbing capacity |
| 112,818 |
| 112,524 | 110,908 |
|
|
|
|
|
|
Denominators for going and gone concern ratios |
|
|
|
|
|
Risk-weighted assets phase-in |
| 332,864 |
| 323,364 | 317,913 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 39,589 |
| 37,427 | 38,935 |
of which: investments in foreign-domiciled subsidiaries1 |
| 121,021 |
| 115,512 | 108,982 |
Risk-weighted assets fully applied as of 1.1.28 |
| 390,128 |
| 377,973 | 382,934 |
of which: investments in Switzerland-domiciled subsidiaries1 |
| 44,988 |
| 42,530 | 45,273 |
of which: investments in foreign-domiciled subsidiaries1 |
| 172,887 |
| 165,018 | 167,664 |
Leverage ratio denominator |
| 575,461 |
| 553,215 | 593,868 |
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
Going concern capital ratio, phase-in |
| 19.8 |
| 20.8 | 21.0 |
of which: common equity tier 1 capital ratio, phase-in |
| 16.2 |
| 16.5 | 16.6 |
Going concern capital ratio, fully applied as of 1.1.28 |
| 16.9 |
| 17.8 | 17.4 |
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28 |
| 13.8 |
| 14.1 | 13.8 |
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
Going concern leverage ratio |
| 11.4 |
| 12.1 | 11.2 |
of which: common equity tier 1 leverage ratio |
| 9.4 |
| 9.7 | 8.9 |
|
|
|
|
|
|
Capital coverage ratio (%) |
|
|
|
|
|
Gone concern capital coverage ratio |
| 117.1 |
| 117.8 | 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. Risk weights will gradually increase by 5 percentage points per year for Switzerland-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied. |
Leverage ratio information
Swiss SRB leverage ratio denominator | ||||
USD bn |
| 31.12.22 | 30.9.22 | 31.12.21 |
|
|
|
|
|
Leverage ratio denominator |
|
|
|
|
Swiss GAAP total assets |
| 504.8 | 486.1 | 509.9 |
Difference between Swiss GAAP and IFRS total assets |
| 156.1 | 196.4 | 125.0 |
Less derivatives and SFTs1 |
| (254.7) | (310.8) | (216.4) |
Less funding provided to significant regulated subsidiaries eligible as gone concern capital |
| (21.9) | (20.8) | (21.8) |
On-balance sheet exposures (excluding derivatives and SFTs) |
| 384.3 | 350.9 | 396.7 |
Derivatives |
| 88.3 | 101.7 | 89.7 |
Securities financing transactions |
| 80.7 | 79.4 | 85.4 |
Off-balance sheet items |
| 23.7 | 22.6 | 23.7 |
Items deducted from Swiss SRB tier 1 capital |
| (1.7) | (1.4) | (1.6) |
Total exposures (leverage ratio denominator) |
| 575.5 | 553.2 | 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 Derivatives and Securities financing transactions in this table. |
p
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 94
Section 3 UBS Switzerland AG standalone
Key metrics of the fourth quarter of 2022
Quarterly | The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and International Financial Reporting Standards (IFRS).
During the fourth quarter of 2022, common equity tier 1 (CET1) capital increased by CHF 0.1bn to CHF 12.6bn, mainly driven by operating profit, largely offset by additional accruals for dividends.
Total risk-weighted assets (RWA) decreased by CHF 2.0bn to CHF 107.2bn, reflecting a decrease of CHF 0.6bn from pre-floor RWA and a decrease of CHF 1.4bn from the floor adjustment, mainly due to decreases from Lombard lending, securities financing transactions (SFTs), and derivatives.
Leverage ratio exposure decreased by CHF 2.5bn to CHF 332.3bn, mainly due to lower derivatives and SFTs.
The quarterly average liquidity coverage ratio (the LCR) increased by 1.3 percentage points to 142.4%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The average LCR increase was driven by lower average net cash outflows of CHF 0.6bn to CHF 62.4bn due to lower net outflows from SFTs. Average high-quality liquid assets slightly decreased by CHF 0.1bn to CHF 88.9bn.
As of 31 December 2022, the net stable funding ratio (the NSFR) decreased by 4.5 percentage points to 136.6%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by an increase in required stable funding of CHF 3.5bn to CHF 162.3bn, mainly due to higher loans to customers, and a decrease in available stable funding of CHF 2.5bn to CHF 221.7bn, mainly driven by lower customer deposits.
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 95
KM1: Key metrics |
|
|
|
|
|
| |
CHF m, except where indicated | |||||||
|
|
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1)1 |
| 12,586 | 12,520 | 12,718 | 12,786 | 12,609 |
1a | Fully loaded ECL accounting model CET1 |
| 12,586 | 12,520 | 12,717 | 12,785 | 12,608 |
2 | Tier 11 |
| 17,978 | 17,939 | 18,124 | 18,178 | 17,996 |
2a | Fully loaded ECL accounting model Tier 1 |
| 17,978 | 17,939 | 18,123 | 18,178 | 17,995 |
3 | Total capital1 |
| 17,978 | 17,939 | 18,124 | 18,178 | 17,996 |
3a | Fully loaded ECL accounting model total capital |
| 17,978 | 17,939 | 18,123 | 18,178 | 17,995 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 107,208 | 109,163 | 107,344 | 108,071 | 106,399 |
4a | Minimum capital requirement2 |
| 8,577 | 8,733 | 8,588 | 8,646 | 8,512 |
4b | Total risk-weighted assets (pre-floor) |
| 97,662 | 98,242 | 96,583 | 95,858 | 93,437 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%)1 |
| 11.74 | 11.47 | 11.85 | 11.83 | 11.85 |
5a | Fully loaded ECL accounting model CET1 ratio (%) |
| 11.74 | 11.47 | 11.85 | 11.83 | 11.85 |
6 | Tier 1 ratio (%)1 |
| 16.77 | 16.43 | 16.88 | 16.82 | 16.91 |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) |
| 16.77 | 16.43 | 16.88 | 16.82 | 16.91 |
7 | Total capital ratio (%)1 |
| 16.77 | 16.43 | 16.88 | 16.82 | 16.91 |
7a | Fully loaded ECL accounting model total capital ratio (%) |
| 16.77 | 16.43 | 16.88 | 16.82 | 16.91 |
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 (%) |
| 0.75 | 0.74 |
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%)3 |
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%)4 |
| 2.52 | 2.52 | 2.52 | 2.52 | 2.52 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%) |
| 7.24 | 6.97 | 7.35 | 7.33 | 7.35 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 332,280 | 334,765 | 340,969 | 346,097 | 339,788 |
14 | Basel III leverage ratio (%)1 |
| 5.41 | 5.36 | 5.32 | 5.25 | 5.30 |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%) |
| 5.41 | 5.36 | 5.32 | 5.25 | 5.30 |
Liquidity coverage ratio (LCR)5 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 88,889 | 89,016 | 93,651 | 94,850 | 91,304 |
16 | Total net cash outflow |
| 62,437 | 63,082 | 66,248 | 66,962 | 64,084 |
16a | of which: cash outflows |
| 84,826 | 85,858 | 90,247 | 91,396 | 88,771 |
16b | of which: cash inflows |
| 22,389 | 22,776 | 23,999 | 24,434 | 24,687 |
17 | LCR (%) |
| 142.41 | 141.15 | 141.42 | 141.72 | 142.57 |
Net stable funding ratio (NSFR)6 |
|
|
|
|
|
| |
18 | Total available stable funding |
| 221,689 | 224,149 | 225,178 | 228,789 | 225,239 |
19 | Total required stable funding |
| 162,306 | 158,853 | 156,232 | 159,876 | 158,072 |
20 | NSFR (%) |
| 136.59 | 141.10 | 144.13 | 143.10 | 142.49 |
1 As of 1 July 2022, our capital amounts exclude 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 below. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third 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. 6 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. |
p
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 96
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 31 December 2022, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 15.07% (including a countercyclical buffer of 0.77%) 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-based requirement.
› Refer to “Additional information” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022 for more information about the joint liability of UBS AG and UBS Switzerland AG
Swiss SRB going and gone concern requirements and information | ||||||
As of 31.12.22 |
| RWA |
| LRD | ||
CHF m, except where indicated |
| in % |
|
| in % |
|
Required going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 15.071 | 16,161 |
| 5.001 | 16,614 |
Common equity tier 1 capital |
| 10.77 | 11,551 |
| 3.50 | 11,630 |
of which: minimum capital |
| 4.50 | 4,824 |
| 1.50 | 4,984 |
of which: buffer capital |
| 5.50 | 5,896 |
| 2.00 | 6,646 |
of which: countercyclical buffer |
| 0.77 | 830 |
|
|
|
Maximum additional tier 1 capital |
| 4.30 | 4,610 |
| 1.50 | 4,984 |
of which: additional tier 1 capital |
| 3.50 | 3,752 |
| 1.50 | 4,984 |
of which: additional tier 1 buffer capital |
| 0.80 | 858 |
|
|
|
|
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
|
Total going concern capital |
| 16.77 | 17,978 |
| 5.41 | 17,978 |
Common equity tier 1 capital |
| 11.74 | 12,586 |
| 3.79 | 12,586 |
Total loss-absorbing additional tier 1 capital |
| 5.03 | 5,393 |
| 1.62 | 5,393 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5.03 | 5,393 |
| 1.62 | 5,393 |
|
|
|
|
|
|
|
Required gone concern capital2 |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 8.87 | 9,505 |
| 3.10 | 10,301 |
of which: base requirement |
| 7.97 | 8,548 |
| 2.79 | 9,271 |
of which: additional requirement for market share and LRD |
| 0.89 | 957 |
| 0.31 | 1,030 |
|
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 10.51 | 11,267 |
| 3.39 | 11,267 |
TLAC-eligible senior unsecured debt |
| 10.51 | 11,267 |
| 3.39 | 11,267 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Required total loss-absorbing capacity |
| 23.94 | 25,666 |
| 8.10 | 26,915 |
Eligible total loss-absorbing capacity |
| 27.28 | 29,245 |
| 8.80 | 29,245 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
| 107,208 |
|
|
|
Leverage ratio denominator |
|
|
|
|
| 332,280 |
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. |
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 97
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information | |||||
CHF m, except where indicated |
| 31.12.22 |
| 30.9.22 | 31.12.21 |
|
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
|
Total going concern capital |
| 17,978 |
| 17,939 | 17,996 |
Total tier 1 capital |
| 17,978 |
| 17,939 | 17,996 |
Common equity tier 1 capital |
| 12,586 |
| 12,520 | 12,609 |
Total loss-absorbing additional tier 1 capital |
| 5,393 |
| 5,419 | 5,387 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 5,393 |
| 5,419 | 5,387 |
|
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
|
Total gone concern loss-absorbing capacity |
| 11,267 |
| 11,336 | 10,853 |
TLAC-eligible senior unsecured debt |
| 11,267 |
| 11,336 | 10,853 |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
Total loss-absorbing capacity |
| 29,245 |
| 29,275 | 28,849 |
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
Risk-weighted assets |
| 107,208 |
| 109,163 | 106,399 |
Leverage ratio denominator |
| 332,280 |
| 334,765 | 339,788 |
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
Going concern capital ratio |
| 16.8 |
| 16.4 | 16.9 |
of which: common equity tier 1 capital ratio |
| 11.7 |
| 11.5 | 11.9 |
Gone concern loss-absorbing capacity ratio |
| 10.5 |
| 10.4 | 10.2 |
Total loss-absorbing capacity ratio |
| 27.3 |
| 26.8 | 27.1 |
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
Going concern leverage ratio |
| 5.4 |
| 5.4 | 5.3 |
of which: common equity tier 1 leverage ratio |
| 3.8 |
| 3.7 | 3.7 |
Gone concern leverage ratio |
| 3.4 |
| 3.4 | 3.2 |
Total loss-absorbing capacity leverage ratio |
| 8.8 |
| 8.7 | 8.5 |
Leverage ratio information
Swiss SRB leverage ratio denominator |
|
|
|
|
|
|
|
|
|
CHF bn |
| 31.12.22 | 30.9.22 | 31.12.21 |
Leverage ratio denominator |
|
|
|
|
Swiss GAAP total assets |
| 315.7 | 318.0 | 320.7 |
Difference between Swiss GAAP and IFRS total assets |
| 4.6 | 6.0 | 2.9 |
Less derivatives and SFTs1 |
| (7.5) | (12.2) | (9.6) |
On-balance sheet exposures (excluding derivatives and SFTs) |
| 312.7 | 311.8 | 313.9 |
Derivatives |
| 3.6 | 5.7 | 4.3 |
Securities financing transactions |
| 1.0 | 2.5 | 5.4 |
Off-balance sheet items |
| 15.1 | 15.0 | 16.5 |
Items deducted from Swiss SRB tier 1 capital |
| (0.2) | (0.2) | (0.3) |
Total exposures (leverage ratio denominator) |
| 332.3 | 334.8 | 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 Derivatives and Securities financing transactions in this table. |
p
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 98
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 millions, as of most recent reporting date)1 |
| CHF 10.0 |
| CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
9 | Par value of instrument (currency in millions) |
| CHF 10.0 |
| CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
10 | Accounting classification4 |
| Equity attributable to UBS Switzerland AG shareholders |
| Due to banks held at amortized cost | |||||||
11 | Original date of issuance |
| – |
| 18 December 2017 | 12 December 2018 | 12 December 2018 | 11 December 2019 | 29 October 2020 | 11 March 2021 | 2 June 2021 | 2 June 2021 |
12 | Perpetual or dated |
| – |
| Perpetual | |||||||
13 | Original maturity date |
| – |
| – | |||||||
14 | Issuer call subject to prior supervisory approval |
| – |
| Yes |
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 99
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. | |||||||
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 100
Capital instruments of UBS Switzerland AG – key features (continued) |
|
|
|
|
| |||||||
Presented according to issuance date. |
|
|
| |||||||||
|
|
| Share capital |
| Additional tier 1 capital |
| ||||||
| 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
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 101
Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on Basel Committee on Banking Supervision Pillar 1 requirements and in accordance with EU regulatory rules and International Financial Reporting Standards.
During the fourth quarter of 2022, EUR 2.4bn common equity tier 1 and EUR 3.0bn total capital remained stable. Risk-weighted assets decreased by EUR 1.2bn to EUR 10.7bn, as a result of the decrease in credit risk, mainly driven by exchange-traded and over-the-counter derivatives. Leverage ratio exposure decreased by EUR 9.9bn to EUR 41.8bn, mainly reflecting a decrease in Securities Financing Transactions and cash with central banks.
The average liquidity coverage ratio remained well above the regulatory requirements of 100% at 158.7%. The ratio decreased 7.5 percentage points with a EUR 0.5bn increase in high-quality liquid assets and a EUR 0.9bn increase in total net cash outflows. The net stable funding ratio has increased by 23.7% to 174.6% with a EUR 1.3bn decrease in required stable funding, mainly driven by a decrease in required stable funding from loans.
KM1: Key metrics1 |
|
|
| ||||
EUR m, except where indicated |
|
|
| ||||
|
|
| 31.12.22 | 30.9.222 | 30.6.222 | 31.3.222 | 31.12.21 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 2,441 | 2,436 | 2,427 | 2,766 | 2,764 |
2 | Tier 1 |
| 3,041 | 3,036 | 3,027 | 3,056 | 3,054 |
3 | Total capital |
| 3,041 | 3,036 | 3,027 | 3,056 | 3,054 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 10,726 | 11,924 | 11,412 | 12,276 | 12,328 |
4a | Minimum capital requirement3 |
| 8583 | 954 | 913 | 982 | 986 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 22.8 | 20.4 | 21.3 | 22.5 | 22.4 |
6 | Tier 1 ratio (%) |
| 28.3 | 25.5 | 26.5 | 24.9 | 24.8 |
7 | Total capital ratio (%) |
| 28.3 | 25.5 | 26.5 | 24.9 | 24.8 |
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 (%) |
| 0.3 | 0.2 | 0.1 | 0.1 | 0.1 |
10 | Bank G-SIB and / or D-SIB additional requirements (%) |
|
|
|
|
|
|
11 | Total of bank CET1 specific buffer requirements (%) |
| 2.8 | 2.7 | 2.6 | 2.6 | 2.6 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)4 |
| 18.34 | 15.9 | 16.8 | 16.9 | 16.8 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 41,818 | 51,736 | 47,364 | 52,250 | 46,660 |
14 | Basel III leverage ratio (%)5 |
| 7.35 | 5.9 | 6.4 | 5.8 | 6.5 |
Liquidity coverage ratio (LCR)6 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 20,597 | 20,056 | 19,060 | 17,948 | 17,143 |
16 | Total net cash outflow |
| 13,082 | 12,221 | 11,640 | 10,745 | 10,091 |
17 | LCR (%) |
| 158.7 | 166.2 | 165.8 | 167.9 | 170.3 |
Net stable funding ratio (NSFR) |
|
|
|
|
|
| |
18 | Total available stable funding |
| 13,856 | 13,912 | 13,853 | 14,696 | 15,358 |
19 | Total required stable funding |
| 7,935 | 9,220 | 9,343 | 8,624 | 8,963 |
20 | NSFR (%) |
| 174.6 | 150.9 | 148.3 | 170.4 | 171.3 |
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 On the basis of tier 1 capital. 6 Figures are calculated on a twelve-month average. |
p
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 4 UBS Europe SE consolidated 102
Quarterly | The table below provides information about the regulatory capital components and capital, liquidity and leverage ratios of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements and in accordance with US Basel III rules.
Effective 1 October 2022, and through 30 September 2023, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 4.8%, in addition to the minimum risk capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the 2022 Comprehensive Capital Analysis and Review (the CCAR) based on Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.
During the fourth quarter of 2022, common equity tier 1 decreased by USD 1.2bn, primarily from payment of a dividend to UBS AG, partially offset by operating profit. Risk-weighted assets decreased by USD 2.3bn to USD 70.7bn, driven by decreases in market and credit risk. Leverage ratio exposure, calculated on an average basis, increased by USD 2.3bn to USD 194.0bn primarily due to increased cash at Federal Reserve Banks.
The average liquidity coverage ratio increased 3.2 percentage points, driven by a USD 3.2bn decrease in net cash outflows from a combination of higher secured and unsecured lending inflows, while cash outflows remained relatively constant, partly offset by a USD 4.0bn decrease in high-quality liquid assets.
KM1: Key metrics1 |
|
|
|
| |||
USD m, except where indicated | |||||||
|
|
| 31.12.22 | 30.9.22 | 30.6.22 | 31.3.22 | 31.12.21 |
Available capital (amounts) |
|
|
|
|
|
| |
1 | Common Equity Tier 1 (CET1) |
| 11,367 | 12,588 | 12,454 | 12,926 | 13,002 |
2 | Tier 1 |
| 16,449 | 16,643 | 16,509 | 16,975 | 17,051 |
3 | Total capital |
| 16,580 | 16,786 | 16,661 | 17,108 | 17,176 |
Risk-weighted assets (amounts) |
|
|
|
|
|
| |
4 | Total risk-weighted assets (RWA) |
| 70,739 | 73,043 | 74,651 | 72,646 | 72,979 |
4a | Minimum capital requirement2 |
| 5,659 | 5,843 | 5,972 | 5,812 | 5,838 |
Risk-based capital ratios as a percentage of RWA |
|
|
|
|
|
| |
5 | CET1 ratio (%) |
| 16.1 | 17.2 | 16.7 | 17.8 | 17.8 |
6 | Tier 1 ratio (%) |
| 23.3 | 22.8 | 22.1 | 23.4 | 23.4 |
7 | Total capital ratio (%) |
| 23.4 | 23.0 | 22.3 | 23.6 | 23.5 |
Additional CET1 buffer requirements as a percentage of RWA |
|
|
|
|
|
| |
8 | BCBS capital conservation buffer requirement (%) |
| 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
8a | US stress capital buffer requirement (%) |
| 4.8 | 7.1 | 7.1 | 7.1 | 7.1 |
9 | Countercyclical buffer requirement (%) |
|
|
|
|
|
|
10 | Bank G-SIB and / or D-SIB additional requirements (%) |
|
|
|
|
|
|
11 | BCBS total of bank CET1 specific buffer requirements (%) |
| 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
11a | US total bank specific capital buffer requirements (%) |
| 4.8 | 7.1 | 7.1 | 7.1 | 7.1 |
12 | CET1 available after meeting the bank’s minimum capital requirements (%)3 |
| 11.6 | 12.7 | 12.2 | 13.3 | 13.3 |
Basel III leverage ratio |
|
|
|
|
|
| |
13 | Total Basel III leverage ratio exposure measure |
| 194,003 | 191,695 | 198,332 | 197,5414 | 188,1304 |
14 | Basel III leverage ratio (%)5 |
| 8.5 | 8.7 | 8.3 | 8.6 | 9.1 |
14a | Total Basel III supplementary leverage ratio exposure measure |
| 214,709 | 214,292 | 224,259 | 223,482 | 212,167 |
14b | Basel III supplementary leverage ratio (%)5 |
| 7.7 | 7.8 | 7.4 | 7.6 | 8.0 |
Liquidity coverage ratio (LCR)6 |
|
|
|
|
|
| |
15 | Total high-quality liquid assets (HQLA) |
| 26,296 | 30,249 | 34,065 | 34,451 | 32,371 |
16 | Total net cash outflow |
| 18,323 | 21,557 | 23,596 | 24,873 | 21,995 |
17 | LCR (%) |
| 143.5 | 140.3 | 144.4 | 138.6 | 147.2 |
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
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 5 UBS Americas Holding LLC consolidated 103
Material sub-group entity – creditor ranking at legal entity level
Semi-annual | The TLAC 2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on a standalone basis.
As of 31 December 2022, UBS Americas Holding LLC had a total loss-absorbing capacity of USD 23.8bn after regulatory capital deductions and adjustments. This amount included tier 1 capital, excluding minority interest, of USD 16.4bn 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 31.12.22 |
| 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 |
| 20,318 | 5,150 |
| 37,949 |
| 63,417 |
4 | Subset of row 3 that are excluded liabilities |
|
|
|
| 500 |
| 500 |
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) |
| 20,318 | 5,150 |
| 37,449 |
| 62,917 |
6 | Subset of row 5 that are eligible as TLAC |
| 20,318 | 5,150 |
| 7,400 |
| 32,868 |
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 |
|
|
|
| 4,300 |
| 4,300 |
9 | Subset of row 6 with 5 years ≤ residual maturity < 10 years |
|
|
|
| 3,100 |
| 3,100 |
10 | Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual securities |
|
|
|
| 0 |
|
|
11 | Subset of row 6 that is perpetual securities |
| 20,318 | 5,150 |
|
|
| 25,468 |
1Equity attributable to shareholders, which includes share premium and reserves. |
p
31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 5 UBS Americas Holding LLC consolidated 104
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
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
C&ORC Compliance & Operational Risk Control
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
DE&I diversity, equity and inclusion
DFAST Dodd–Frank act stress test
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
ESR environmental and social risk
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct Authority
FDIC Federal Deposit Insurance Corporation
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
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
31 December 2022 Pillar 3 Report | Appendix 105
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
MRT Material Risk Taker
N
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
OECD Organisation for Economic Co-operation and Development
OTC over-the-counter
P
PD probability of default
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
Q
QCCP Qualifying central counterparty
R
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
RoU right-of-use
rTSR relative total shareholder return
RWA risk-weighted assets
S
SA standardized approach or société anonyme
SA-CCR standardized approach for counterparty credit risk
SAR Special Administrative Region of the People’s Republic of China
SDG Sustainable Development Goal
SEC US Securities and Exchange Commission
SFT securities financing transaction
SI sustainable investing or sustainable investment
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
TTC through the cycle
U
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.
31 December 2022 Pillar 3 Report | Appendix 106
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.
31 December 2022 Pillar 3 Report | Appendix 107
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
Date: March 6, 2023