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Share Name | Share Symbol | Market | Type |
---|---|---|---|
UBS Group AG | NYSE:UBS | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.41 | 1.53% | 27.23 | 27.24 | 26.975 | 27.13 | 2,124,016 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
Date: August 21, 2015
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants Names)
Bahnhofstrasse 45, Zurich, Switzerland, and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive office)
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F.
Form 20-F x Form 40-F ¨
This Form 6-K consists of the Basel III Pillar 3 disclosure for first half 2015 of UBS Group AG and UBS AG, which appears immediately following this page.
Basel III Pillar 3
First Half 2015 Report
3
Location of Pillar 3 disclosures
The following table provides an overview of Pillar 3 disclosures in our UBS Group AG Annual Report 2014 and our second quarter 2015 report, where relevant.
Pillar 3 disclosures | Location in our UBS Group AG Annual Report 2014 |
Location in our second quarter 2015 report | ||
Scope of consolidation | Financial information Note 1 Summary of significant accounting policies (on pages 405425) UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Scope of regulatory consolidation (on page 605) Table 1c: Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation |
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Capital structure | Capital management (on pages 251260) | Capital management (on pages 91 and 97) Financial information (on pages 184, 188 and 191) | ||
Capital adequacy | Capital management (on pages 245275) | Capital management (on pages 88113) Financial information (on pages 184, 188 and 191) | ||
Capital instruments | Capital management (on pages 255256) Bondholder information at www.ubs.com/investors | Capital management (on page 95) Bondholder information at www.ubs.com/investors | ||
Risk management objectives, policies and methodologies qualitative disclosures | Risk management and control (on pages 170231) |
4
Location of Pillar 3 disclosures (continued)
Pillar 3 disclosures | Location in our UBS Group AG Annual Report 2014 |
Location in our second quarter 2015 report1 | ||
Risk-weighted assets | Capital management (on pages 261267) | Capital management (on pages 100104) | ||
UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 | ||||
Segmentation of Basel III exposures and risk-weighted assets (on pages 606608) | ||||
Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets |
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Credit risk | Risk management and control (on page 181 and pages 198203) | |||
Information on | ||||
Impaired assets by region, |
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Impaired assets by exposure segment, |
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Changes in allowances and provisions, and on |
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Total expected loss and actual credit losses (on pages 185190 and page 203) |
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UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 | ||||
Credit risk (on pages 609626) | ||||
Table 3: Regulatory gross credit risk by exposure segment and RWA |
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Table 4: Regulatory gross credit exposure by geographical region |
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Table 5: Regulatory gross credit exposure by counterparty type |
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Table 6: Regulatory gross credit exposure by residual contractual maturity |
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Table 7: Derivation of regulatory net credit exposure |
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Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives |
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Table 9a: Sovereigns Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9b: Banks Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9c: Corporates Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9d: Residential mortgages Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9e: Lombard lending Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9f: Qualifying revolving retail exposures Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9g: Other retail Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized approach |
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Table 10b: Regulatory net credit exposure under the standardized approach risk-weighted using external ratings |
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Table 11: Eligible financial collateral recognized under the standardized approach |
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Table 12: Credit exposure of derivative instruments |
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Table 13: Credit derivatives |
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Table 14: Equity instruments in the banking book |
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Market risk | Risk management and control (on pages 206207) Information on Group regulatory value-at-risk (on page 209 and pages 211218) Note 24 Fair value measurement (on pages 469472) |
Risk management and control (on pages 7377 in our second quarter 2015 report and 7074 in our first quarter 2015 report) |
1 Or, where indicated, in our first quarter 2015 report.
5
Location of Pillar 3 disclosures (continued)
Pillar 3 disclosures | Location in our UBS Group AG Annual Report 2014 |
Location in our second quarter 2015 report | ||
Operational risk | Risk management and control (on pages 229231) | |||
Interest rate risk in the banking book | Risk management and control (on pages 219221) | Risk management and control (on pages 73 and 77) | ||
Securitization | UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Securitization (on pages 628642) |
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Table 15: Securitization/re-securitization |
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Table 16: Securitization activity for the year in the banking book |
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Table 17: Securitization activity for the year in the trading book |
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Table 18: Outstanding securitized exposures |
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Table 19: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book |
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Table 20: Exposures intended to be securitized in the banking and trading book |
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Table 21: Securitization positions retained or purchased in the banking book |
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Table 22: Securitization positions retained or purchased in the trading book |
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Table 23a: Capital requirement for securitization/re-securitization positions retained or purchased in the banking book |
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Table 23b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters banking book |
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Table 23c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters banking book |
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Securitization exposures to be deducted from Basel III tier 1 capital |
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Securitization exposures subject to early amortization in the banking and trading book |
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Table 24: Re-securitization positions retained or purchased in the banking book |
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Table 25: Re-securitization positions retained or purchased in the trading book |
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Table 26: Outstanding notes issued by securitization vehicles related to UBSs retained exposures subject to the market risk approach |
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Table 27: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk |
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Table 28a: Securitization positions and capital requirement for trading book positions subject to the securitization framework |
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Table 28b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters trading book |
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Table 28c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters banking book |
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Table 29: Capital requirement for securitization positions related to correlation products |
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Composition of capital | UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Composition of capital (on pages 643647) |
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Table 30:Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation |
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Table 31:Composition of capital |
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G-SIBs indicator (annual disclosure requirement only) | Refer to Pillar 3, SEC filings & other disclosures at www.ubs.com/investors | |||
Remuneration (annual disclosure requirement only) | Compensation (on pages 300, 338339, 342343, 345348, 350351, 355, 359360, 363373) |
6
Category | UBS approach | |
Credit risk |
||
Counterparty credit risk by exposure segment |
Under the advanced internal ratings-based (A-IRB) approach applied for the majority of our businesses, counterparty risk weights are determined by reference to internal counterparty ratings and loss given default estimates. We use internal models to measure the credit risk exposures to third parties on derivatives and securities financing transactions. All internal credit risk models are approved by FINMA. For a subset of our credit portfolio, we apply the standardized approach, based on external ratings. | |
Securitization/re-securitization in the banking book |
Securitization/re-securitization exposures in the banking book are generally assessed using the ratings-based approach, applying risk weights based on external ratings. For certain exposures, the supervisory formula-based approach is applied, considering the A-IRB risk weights. | |
Equity instruments in the banking book |
Simple risk weight method under the IRB approach. | |
Credit valuation adjustment (CVA) |
The credit valuation adjustment (CVA) is an additional capital charge to the existing counterparty credit risk default charge. Banks are required to hold capital for the risk of mark-to-market losses (i.e., CVA) associated with the deterioration of counterparty credit quality. The model that we use is approved by FINMA. For a subset of our credit portfolio, we apply the standardized approach. | |
Settlement risk |
Capital requirements for failed transactions are determined according to the rules for failed trades and non-delivery-versus-payment transactions under the Basel III framework. | |
Non-counterparty-related risk |
The required capital for non-counterparty-related assets such as our premises, other property, equipment and software, deferred tax assets on temporary differences and defined benefit plans is calculated according to prescribed regulatory risk weights. | |
Market risk |
The regulatory capital requirement is calculated using a variety of methods approved by FINMA. The components are value-at-risk (VaR), stressed VaR (SVaR), an add-on for risks which are potentially not fully modeled in VaR (RniV), the incremental risk charge (IRC), the comprehensive risk measure (CRM) for the correlation portfolio and the securitization framework for securitization positions in the trading book, which is described below. Details on the derivation of RWA for each of these components are provided in the Risk management and control section of our Annual Report 2014. | |
Securitization/re-securitization in the trading book |
Securitization/re-securitization in the trading book are assessed for their general market risk as well as for their specific risk. The capital charged for general market risk is determined by the VaR and SVaR methods, whereas the capital charge for specific risk is determined using the CRM method or the ratings-based approach, applying risk weights based on external ratings. | |
Operational risk |
Our model to quantify operational risk meets the regulatory capital standard under the advanced measurement approach and is approved by FINMA. Operational risk RWA also include the incremental operational risk RWA based on the supplemental operational risk capital analysis mutually agreed to by UBS and FINMA. |
è | Refer to the Risk management and control section of our Annual Report 2014 for more information |
7
Table 1: Main legal entities according to the IFRS scope of consolidation not subject to the regulatory scope of consolidation
|
30.6.15 |
| ||||||||
CHF million | Total assets1 | Total equity1 | Purpose | |||||||
UBS Global Asset Management Life Ltd Long Term Fund |
10,893 | 15 | Life insurance | |||||||
UBS International Life Limited |
5,098 | 69 | Life insurance | |||||||
UBS A&Q Alternative Solution Master Limited |
953 | 688 | 2 | Investment vehicle for feeder funds | ||||||
UBS A&Q Alternative Solution Limited |
689 | 679 | 2 | Investment vehicle for multiple investors | ||||||
UBS Global Life AG |
670 | 11 | Life insurance | |||||||
A&Q Alpha Select Hedge Fund XL |
347 | 174 | 2 | Investment vehicle for multiple investors | ||||||
UBS Life AG |
320 | 57 | Life insurance | |||||||
UBS Alpha Select Hedge Fund |
277 | 270 | 2 | Fund | ||||||
OConnor Global Multi-Strategy Alpha (Levered) Limited |
196 | 190 | 2 | Investment vehicle for multiple investors | ||||||
UBS Life Insurance Company USA |
187 | 40 | Life insurance | |||||||
UBS Real Estate Investments Inc. |
149 | 116 | Real estate | |||||||
Master Triple Net Holdings LLC |
126 | 12 | Real estate | |||||||
UBS Multi-Manager Alternative Commodities Fund Ltd. |
121 | 114 | 2 | Fund | ||||||
1 Total assets and total equity on a standalone basis. 2 Represents the net asset value (NAV) of issued fund units. These fund units are subject to liability treatment in the Group Financial Statements under IFRS.
8
Overview of Basel III exposures and risk-weighted assets
9
Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets
|
30.6.15 | |||||||||||||||||||||||||||||||||||||||
|
Basel III (phase-in) | |||||||||||||||||||||||||||||||||||||||
|
Gross EAD | Net EAD | RWA1 | Capital requirement | ||||||||||||||||||||||||||||||||||||
CHF million | Total | A-IRB/ model- based approach |
Standardized approach |
Total | A-IRB/ model- based approach |
Standardized approach |
Total | A-IRB/ model- based approach |
Standardized approach |
Total2 | ||||||||||||||||||||||||||||||
Credit risk | 706,589 | 520,337 | 166,412 | 686,749 | 84,069 | 23,285 | 107,354 | 10,616 | 2,940 | 13,556 | ||||||||||||||||||||||||||||||
Counterparty credit risk by exposure segment3 | 699,814 | 513,786 | 166,219 | 680,005 | 74,051 | 20,547 | 94,598 | 9,351 | 2,595 | 11,946 | ||||||||||||||||||||||||||||||
Sovereigns | 152,467 | 87,334 | 65,132 | 152,467 | 992 | 176 | 1,168 | 125 | 22 | 147 | ||||||||||||||||||||||||||||||
Banks | 55,313 | 44,393 | 8,699 | 53,091 | 7,017 | 1,939 | 8,956 | 886 | 245 | 1,131 | ||||||||||||||||||||||||||||||
Corporates | 165,775 | 136,743 | 15,648 | 152,391 | 42,538 | 11,179 | 53,716 | 5,372 | 1,412 | 6,783 | ||||||||||||||||||||||||||||||
Central counterparties | 72,768 | 68,567 | 68,567 | 3,349 | 3,349 | 423 | 423 | |||||||||||||||||||||||||||||||||
Retail | 253,492 | 245,317 | 8,174 | 253,490 | 23,504 | 3,906 | 27,409 | 2,968 | 493 | 3,461 | ||||||||||||||||||||||||||||||
Residential mortgages |
136,860 | 130,928 | 5,931 | 136,859 | 17,596 | 2,223 | 19,819 | 2,222 | 281 | 2,503 | ||||||||||||||||||||||||||||||
Lombard lending |
112,238 | 112,238 | 112,238 | 5,097 | 5,097 | 644 | 644 | |||||||||||||||||||||||||||||||||
Qualifying revolving retail exposures |
1,512 | 1,512 | 1,512 | 527 | 527 | 67 | 67 | |||||||||||||||||||||||||||||||||
Other retail |
2,882 | 638 | 2,243 | 2,881 | 283 | 1,683 | 1,966 | 36 | 212 | 248 | ||||||||||||||||||||||||||||||
Securitization/re-securitization in the banking book | 5,125 | 5,125 | 5,125 | 1,273 | 1,273 | 161 | 161 | |||||||||||||||||||||||||||||||||
Equity instruments in the banking book4 | 1,331 | 1,331 | 1,331 | 4,326 | 4,326 | 546 | 546 | |||||||||||||||||||||||||||||||||
Credit valuation adjustment (CVA) | 4,166 | 2,481 | 6,647 | 526 | 313 | 839 | ||||||||||||||||||||||||||||||||||
Settlement risk | 318 | 95 | 193 | 287 | 253 | 256 | 509 | 32 | 32 | 64 | ||||||||||||||||||||||||||||||
Non-counterparty-related risk | 16,926 | 16,926 | 16,926 | 17,304 | 17,304 | 2,185 | 2,185 | |||||||||||||||||||||||||||||||||
Deferred tax assets | 7,840 | 7,840 | 7,840 | 10,137 | 10,137 | 1,280 | 1,280 | |||||||||||||||||||||||||||||||||
Property, equipment and software | 6,973 | 6,973 | 6,973 | 6,973 | 6,973 | 881 | 881 | |||||||||||||||||||||||||||||||||
Other | 2,112 | 2,112 | 2,112 | 193 | 193 | 24 | 24 | |||||||||||||||||||||||||||||||||
Market risk | 1,668 | 1,668 | 1,668 | 12,708 | 12,708 | 1,605 | 1,605 | |||||||||||||||||||||||||||||||||
Value-at-risk (VaR) | 1,451 | 1,451 | 183 | 183 | ||||||||||||||||||||||||||||||||||||
Stressed value-at-risk (SVaR) | 3,192 | 3,192 | 403 | 403 | ||||||||||||||||||||||||||||||||||||
Add-on for risks-not-in-VaR (RNiV) | 4,460 | 4,460 | 563 | 563 | ||||||||||||||||||||||||||||||||||||
Incremental risk charge (IRC) | 2,543 | 2,543 | 321 | 321 | ||||||||||||||||||||||||||||||||||||
Comprehensive risk measure (CRM) | 103 | 103 | 13 | 13 | ||||||||||||||||||||||||||||||||||||
Securitization/re-securitization in the trading book5 | 1,668 | 1,668 | 1,668 | 959 | 959 | 121 | 121 | |||||||||||||||||||||||||||||||||
Operational risk | 74,723 | 74,723 | 9,436 | 9,436 | ||||||||||||||||||||||||||||||||||||
of which: incremental RWA6 |
13,327 | 13,327 | 1,683 | 1,683 | ||||||||||||||||||||||||||||||||||||
Total Swiss SRB | 725,183 | 522,006 | 183,337 | 705,343 | 171,500 | 40,589 | 212,088 | 1 | 21,656 | 5,125 | 26,782 | |||||||||||||||||||||||||||||
1 Refer to the Capital management section of our second quarter 2015 report for more information on the differences between phase-in and fully applied RWA. 2 Calculated based on our Swiss SRB Basel III total capital requirement of 12.6% of RWA. 3 Includes sEPE, most of which relates to exposures to Banks and Corporates. 4 Simple risk weight method. 5 The EAD of securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. 6 Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS and FINMA.
10
Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets (continued)
|
31.12.14 | |||||||||||||||||||||||||||||||||||||||
|
Basel III (phase-in) | |||||||||||||||||||||||||||||||||||||||
|
Gross EAD | Net EAD | RWA1 | Capital requirement | ||||||||||||||||||||||||||||||||||||
CHF million | Total | A-IRB/ model- based approach |
Standardized approach |
Total | A-IRB/ model- based approach |
Standardized approach |
Total | A-IRB/ model- based approach |
Standardized approach |
Total2 | ||||||||||||||||||||||||||||||
Credit risk | 720,039 | 553,788 | 144,021 | 697,810 | 86,282 | 22,318 | 108,601 | 9,594 | 2,482 | 12,075 | ||||||||||||||||||||||||||||||
Counterparty credit risk by exposure segment3 | 709,293 | 543,230 | 143,841 | 687,072 | 72,406 | 18,694 | 91,099 | 8,051 | 2,079 | 10,129 | ||||||||||||||||||||||||||||||
Sovereigns | 166,261 | 108,939 | 57,321 | 166,261 | 1,319 | 189 | 1,508 | 147 | 21 | 168 | ||||||||||||||||||||||||||||||
Banks | 59,302 | 48,628 | 7,916 | 56,544 | 8,070 | 2,360 | 10,430 | 897 | 262 | 1,160 | ||||||||||||||||||||||||||||||
Corporates | 172,605 | 145,399 | 15,899 | 161,298 | 41,126 | 10,650 | 51,775 | 4,573 | 1,184 | 5,757 | ||||||||||||||||||||||||||||||
Central counterparties | 54,291 | 54,291 | 54,291 | 1,478 | 1,478 | 164 | 164 | |||||||||||||||||||||||||||||||||
Retail | 256,834 | 240,263 | 8,414 | 248,678 | 21,892 | 4,017 | 25,909 | 2,434 | 447 | 2,881 | ||||||||||||||||||||||||||||||
Residential mortgages |
137,159 | 131,121 | 6,038 | 137,159 | 15,767 | 2,234 | 18,002 | 1,753 | 248 | 2,002 | ||||||||||||||||||||||||||||||
Lombard lending |
115,192 | 107,036 | 107,036 | 5,359 | 5,359 | 596 | 596 | |||||||||||||||||||||||||||||||||
Qualifying revolving retail exposures |
1,524 | 1,524 | 1,524 | 532 | 532 | 59 | 59 | |||||||||||||||||||||||||||||||||
Other retail |
2,959 | 582 | 2,376 | 2,959 | 233 | 1,783 | 2,016 | 26 | 198 | 224 | ||||||||||||||||||||||||||||||
Securitization/re-securitization in the banking book | 9,048 | 9,048 | 9,048 | 2,650 | 2,650 | 295 | 295 | |||||||||||||||||||||||||||||||||
Equity instruments in the banking book4 | 1,448 | 1,448 | 1,448 | 4,735 | 4,735 | 526 | 526 | |||||||||||||||||||||||||||||||||
Credit valuation adjustment (CVA) | 6,395 | 3,381 | 9,775 | 711 | 376 | 1,087 | ||||||||||||||||||||||||||||||||||
Settlement risk | 250 | 62 | 180 | 242 | 96 | 244 | 340 | 11 | 27 | 38 | ||||||||||||||||||||||||||||||
Non-counterparty-related risk | 22,126 | 22,126 | 22,126 | 19,060 | 19,060 | 2,119 | 2,119 | |||||||||||||||||||||||||||||||||
Deferred tax assets | 10,010 | 10,010 | 10,010 | 8,897 | 8,897 | 989 | 989 | |||||||||||||||||||||||||||||||||
Property, equipment and software | 6,760 | 6,760 | 6,760 | 6,760 | 6,760 | 752 | 752 | |||||||||||||||||||||||||||||||||
Other | 5,356 | 5,356 | 5,356 | 3,404 | 3,404 | 378 | 378 | |||||||||||||||||||||||||||||||||
Market risk | 1,610 | 1,610 | 1,610 | 16,483 | 16,483 | 1,833 | 1,833 | |||||||||||||||||||||||||||||||||
Value-at-risk (VaR) | 2,024 | 2,024 | 225 | 225 | ||||||||||||||||||||||||||||||||||||
Stressed value-at-risk (SVaR) | 4,115 | 4,115 | 458 | 458 | ||||||||||||||||||||||||||||||||||||
Add-on for risks-not-in-VaR (RNiV) | 5,911 | 5,911 | 657 | 657 | ||||||||||||||||||||||||||||||||||||
Incremental risk charge (IRC) | 3,039 | 3,039 | 338 | 338 | ||||||||||||||||||||||||||||||||||||
Comprehensive risk measure (CRM) | 131 | 131 | 15 | 15 | ||||||||||||||||||||||||||||||||||||
Securitization/re-securitization in the trading book5 | 1,610 | 1,610 | 1,610 | 1,262 | 1,262 | 140 | 140 | |||||||||||||||||||||||||||||||||
Operational risk | 76,734 | 76,734 | 8,532 | 8,532 | ||||||||||||||||||||||||||||||||||||
of which: incremental RWA6 |
17,451 | 17,451 | 1,940 | 1,940 | ||||||||||||||||||||||||||||||||||||
Total Swiss SRB | 743,774 | 555,398 | 166,147 | 721,545 | 179,498 | 41,379 | 220,877 | 1 | 19,958 | 4,601 | 24,559 | |||||||||||||||||||||||||||||
1 Refer to the Capital management section of our Annual Report 2014 for more information on the differences between phase-in and fully applied RWA. 2 Calculated based on our Swiss SRB Basel III total capital requirement of 11.1% of RWA. 3 Includes sEPE, most of which relates to exposures to Banks and Corporates. 4 Simple risk weight method. 5 The EAD of securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. 6 Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS and FINMA.
11
Table 3: Regulatory gross credit risk by exposure segment and RWA
This table shows the derivation of RWA from the regulatory gross credit exposure including sEPE broken down by major types of credit exposure according to classes of financial instruments.
Exposure |
Average regulatory risk weighting |
RWA1 | ||||||||||||||||||||||||||||
CHF million |
Average regulatory gross credit exposure2 |
Regulatory gross credit exposure |
Less: regulatory credit risk offsets and adjustments |
Regulatory net credit exposure |
||||||||||||||||||||||||||
Cash and balances with central banks | 75,543 | 83,412 | 83,412 | 0 | % | 143 | ||||||||||||||||||||||||
Due from banks3 | 11,946 | 12,535 | (1,225 | ) | 11,309 | 24 | % | 2,662 | ||||||||||||||||||||||
Loans | 311,945 | 311,828 | (12,751 | ) | 299,077 | 16 | % | 47,316 | ||||||||||||||||||||||
Financial assets designated at fair value | 3,063 | 2,918 | (363 | ) | 2,555 | 31 | % | 794 | ||||||||||||||||||||||
Guarantees, commitments and forward starting transactions | 31,870 | 33,929 | (4,295 | ) | 29,634 | 33 | % | 9,714 | ||||||||||||||||||||||
Banking products | 434,368 | 444,622 | (18,634 | ) | 425,988 | 14 | % | 60,630 | ||||||||||||||||||||||
Derivatives | 81,490 | 76,187 | 76,187 | 23 | % | 17,368 | ||||||||||||||||||||||||
Cash collateral on derivative instruments | 45,010 | 42,890 | 42,890 | 4 | % | 1,731 | ||||||||||||||||||||||||
Securities financing | 56,772 | 58,430 | 58,430 | 8 | % | 4,729 | ||||||||||||||||||||||||
Traded products | 183,273 | 177,506 | 177,506 | 13 | % | 23,829 | ||||||||||||||||||||||||
Trading portfolio assets | 1,427 | 1,178 | 1,178 | 101 | % | 1,184 | ||||||||||||||||||||||||
Financial investments available-for-sale | 67,374 | 65,206 | 65,206 | 2 | % | 1,445 | ||||||||||||||||||||||||
Other assets | 11,632 | 11,303 | (1,175 | ) | 10,128 | 74 | % | 7,509 | ||||||||||||||||||||||
Other products | 80,433 | 77,686 | (1,175 | ) | 76,511 | 13 | % | 10,139 | ||||||||||||||||||||||
Total 30.6.15 | 698,073 | 699,814 | (19,809 | ) | 680,005 | 14 | % | 94,598 | ||||||||||||||||||||||
Total 31.12.14 | 671,762 | 709,293 | (22,221 | ) | 687,072 | 13 | % | 91,099 | ||||||||||||||||||||||
1 The derivation of RWA is based on the various credit risk parameters of the A-IRB approach and the standardized approach, respectively. 2 The average regulatory gross credit exposure represents the average of the applicable quarter-end exposures for the relevant reporting periods. 3 Includes non-bank financial institutions.
12
Table 4: Regulatory gross credit exposure by geographical region
This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by geographical regions. The geographical distribution is based on the legal domicile of the counterparty or issuer.
CHF million | Asia Pacific | Latin America |
Middle East and Africa |
North America |
Switzerland | Rest of Europe |
Total regulatory gross credit exposure |
Total regulatory net credit exposure |
||||||||||||||||||||||||
Cash and balances with central banks | 2,834 | 1 | 40,310 | 32,488 | 7,779 | 83,412 | 83,412 | |||||||||||||||||||||||||
Due from banks1 | 3,666 | 101 | 219 | 3,686 | 918 | 3,945 | 12,535 | 11,309 | ||||||||||||||||||||||||
Loans | 24,287 | 6,086 | 4,570 | 77,373 | 164,792 | 34,720 | 311,828 | 299,077 | ||||||||||||||||||||||||
Financial assets designated at fair value | 583 | 4 | 1,727 | 0 | 604 | 2,918 | 2,555 | |||||||||||||||||||||||||
Guarantees, commitments and forward starting transactions | 838 | 362 | 410 | 16,272 | 7,216 | 8,830 | 33,929 | 29,634 | ||||||||||||||||||||||||
Banking products | 32,208 | 6,554 | 5,200 | 139,369 | 205,414 | 55,878 | 444,622 | 425,988 | ||||||||||||||||||||||||
Derivatives | 8,209 | 843 | 428 | 26,038 | 6,297 | 34,373 | 76,187 | 76,187 | ||||||||||||||||||||||||
Cash collateral on derivative instruments |
4,916 | 473 | 82 | 17,776 | 211 | 19,431 | 42,890 | 42,890 | ||||||||||||||||||||||||
Securities financing | 4,901 | 349 | 1,084 | 25,450 | 2,091 | 24,555 | 58,430 | 58,430 | ||||||||||||||||||||||||
Traded products | 18,026 | 1,665 | 1,594 | 69,264 | 8,598 | 78,359 | 177,506 | 177,506 | ||||||||||||||||||||||||
Trading portfolio assets | 87 | 23 | 19 | 729 | 9 | 310 | 1,178 | 1,178 | ||||||||||||||||||||||||
Financial investments available-for-sale | 2,013 | 93 | 28,721 | 1,374 | 33,004 | 65,206 | 65,206 | |||||||||||||||||||||||||
Other assets | 581 | 74 | 37 | 5,422 | 1,203 | 3,986 | 11,303 | 10,128 | ||||||||||||||||||||||||
Other products | 2,682 | 190 | 56 | 34,871 | 2,587 | 37,300 | 77,686 | 76,511 | ||||||||||||||||||||||||
Total 30.6.15 | 52,915 | 8,409 | 6,850 | 243,504 | 216,599 | 171,537 | 699,814 | 680,005 | ||||||||||||||||||||||||
Total 31.12.14 | 55,198 | 8,658 | 7,632 | 261,607 | 211,551 | 164,646 | 709,293 | 687,072 | ||||||||||||||||||||||||
1 Includes non-bank financial institutions.
Table 5: Regulatory gross credit exposure by counterparty type
This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by counterparty type. The counterparty type is different from the BIS-defined exposure segments used in certain other tables in this section.
CHF million | Private individuals | Corporates1 | Public entities (including sovereigns and central banks) |
Banks and multilateral institutions |
Total regulatory gross credit exposure |
Total regulatory net credit exposure |
||||||||||||||||||
Cash and balances with central banks |
83,099 | 313 | 83,412 | 83,412 | ||||||||||||||||||||
Due from banks1 |
580 | 11,955 | 12,535 | 11,309 | ||||||||||||||||||||
Loans |
195,798 | 113,028 | 3,002 | 311,828 | 299,077 | |||||||||||||||||||
Financial assets designated at fair value |
2,531 | 387 | 2,918 | 2,555 | ||||||||||||||||||||
Guarantees, commitments and forward starting transactions | 2,217 | 29,786 | 97 | 1,828 | 33,929 | 29,634 | ||||||||||||||||||
Banking products |
198,016 | 145,345 | 86,779 | 14,483 | 444,622 | 425,988 | ||||||||||||||||||
Derivatives |
2,330 | 45,133 | 5,555 | 23,168 | 76,187 | 76,187 | ||||||||||||||||||
Cash collateral on derivative financial instruments |
48 | 41,783 | 232 | 828 | 42,890 | 42,890 | ||||||||||||||||||
Securities financing |
76 | 41,267 | 3,915 | 13,173 | 58,430 | 58,430 | ||||||||||||||||||
Traded products |
2,453 | 128,183 | 9,702 | 37,169 | 177,506 | 177,506 | ||||||||||||||||||
Trading portfolio assets |
1,006 | 134 | 37 | 1,178 | 1,178 | |||||||||||||||||||
Financial investments available-for-sale |
9,738 | 39,629 | 15,839 | 65,206 | 65,206 | |||||||||||||||||||
Other assets |
4,361 | 4,140 | 1,559 | 1,242 | 11,303 | 10,128 | ||||||||||||||||||
Other products |
4,361 | 14,884 | 41,322 | 17,119 | 77,686 | 76,511 | ||||||||||||||||||
Total 30.6.15 |
204,830 | 288,411 | 137,802 | 68,770 | 699,814 | 680,005 | ||||||||||||||||||
Total 31.12.14 | 205,470 | 283,300 | 153,477 | 67,046 | 709,293 | 687,072 | ||||||||||||||||||
1 Includes non-bank financial institutions.
13
Table 6: Regulatory gross credit exposure by residual contractual maturity
This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by residual contractual maturity, not taking into account any early redemption features.
CHF million | On demand1 | Due in 1 year or less |
Due between 1 year and 5 years |
Due over 5 years |
Total regulatory gross credit exposure |
Total regulatory net credit exposure |
||||||||||||||||||
Cash and balances with central banks |
83,412 | 83,412 | 83,412 | |||||||||||||||||||||
Due from banks2 |
10,525 | 1,887 | 98 | 25 | 12,535 | 11,309 | ||||||||||||||||||
Loans |
40,163 | 153,674 | 70,015 | 47,977 | 311,828 | 299,077 | ||||||||||||||||||
Financial assets designated at fair value |
589 | 1,978 | 352 | 2,918 | 2,555 | |||||||||||||||||||
Guarantees, commitments and forward starting transactions | 87 | 11,203 | 19,427 | 3,212 | 33,929 | 29,634 | ||||||||||||||||||
Banking products | 134,187 | 167,353 | 91,517 | 51,565 | 444,622 | 425,988 | ||||||||||||||||||
Derivatives |
990 | 45,052 | 16,220 | 13,924 | 76,187 | 76,187 | ||||||||||||||||||
Cash collateral on derivative instruments |
9,119 | 7,251 | 9,156 | 17,363 | 42,890 | 42,890 | ||||||||||||||||||
Securities financing |
44,415 | 13,445 | 571 | 58,430 | 58,430 | |||||||||||||||||||
Traded products |
54,524 | 65,748 | 25,947 | 31,288 | 177,506 | 177,506 | ||||||||||||||||||
Trading portfolio assets |
225 | 424 | 528 | 1,178 | 1,178 | |||||||||||||||||||
Financial investments available-for-sale |
29 | 25,243 | 35,937 | 3,997 | 65,206 | 65,206 | ||||||||||||||||||
Other assets |
7,057 | 1,202 | 1,604 | 1,440 | 11,303 | 10,128 | ||||||||||||||||||
Other products |
7,085 | 26,670 | 37,965 | 5,965 | 77,686 | 76,511 | ||||||||||||||||||
Total 30.6.15 |
195,796 | 259,771 | 155,429 | 88,817 | 699,814 | 680,005 | ||||||||||||||||||
Total 31.12.14 | 239,564 | 250,598 | 141,195 | 77,935 | 709,293 | 687,072 | ||||||||||||||||||
1 Includes loans without a fixed term, collateral swaps and cash collateral on derivative instruments and securities financing transactions, on which notice of termination has not been given. 2 Includes non-bank financial institutions.
Table 7: Derivation of regulatory net credit exposure
This table provides a derivation of the regulatory net credit exposure from the regulatory gross credit exposure including sEPE according to the A-IRB approach and the standardized approach.
CHF million | Advanced IRB approach |
Standardized approach |
Total 30.6.15 | Total 31.12.14 | ||||||||||||
Total regulatory gross credit exposure |
522,967 | 176,847 | 699,814 | 709,293 | ||||||||||||
Less: regulatory credit risk offsets and adjustments |
(9,181 | ) | (10,628 | ) | (19,809 | ) | (22,221 | ) | ||||||||
Total regulatory net credit exposure |
513,786 | 166,219 | 680,005 | |||||||||||||
Total 31.12.14 |
543,230 | 143,841 | 687,072 | |||||||||||||
è | Refer to the Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets section of this report for more information on the regulatory net credit exposure by exposure segment |
14
Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives
This table provides a breakdown of regulatory gross credit exposures including sEPE covered by guarantees and credit derivatives, according to BIS-defined exposure segments. The amounts in the table reflect the values used for determining regulatory capital to the extent collateral is eligible under the BIS framework.
CHF million | Regulatory gross credit exposure |
of which: covered
by guarantees1 |
of which: covered by credit derivatives |
|||||||||
Exposure segment | ||||||||||||
Sovereigns | 152,467 | 117 | 9 | |||||||||
Banks | 55,313 | 248 | ||||||||||
Corporates | 165,775 | 3,455 | 6,964 | |||||||||
Central counterparties | 72,768 | |||||||||||
Retail | ||||||||||||
Residential mortgages |
136,860 | 2 | ||||||||||
Lombard lending |
112,238 | 570 | ||||||||||
Qualifying revolving retail exposures |
1,512 | 55 | ||||||||||
Other retail |
2,882 | 2 | ||||||||||
Total 30.6.15 | 699,814 | 4,448 | 6,972 | |||||||||
Total 31.12.14 | 709,293 | 4,507 | 9,392 | |||||||||
1 Includes guarantees and standby letters of credit provided by third parties, mainly banks.
15
Table 9a: Sovereigns A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
30.6.15 | ||||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | 78,093 | 3 | 0.0 | 29.2 | 0 | 0.0 | ||||||||||||||||||||
Rating 1 | 3,989 | 96 | 0.0 | 30.5 | 137 | 3.4 | ||||||||||||||||||||
Rating 2 | 1,966 | 0.0 | 40.6 | 198 | 10.1 | |||||||||||||||||||||
Rating 3 | 2,683 | 0.1 | 50.0 | 360 | 13.4 | |||||||||||||||||||||
Rating 4 | 124 | 0.2 | 67.8 | 53 | 43.0 | |||||||||||||||||||||
Rating 5 | 429 | 9 | 0.4 | 41.6 | 200 | 46.6 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 9 | 0.6 | 18.5 | 3 | 31.7 | |||||||||||||||||||||
Rating 7 | 3 | 0 | 1.0 | 13.0 | 1 | 27.3 | ||||||||||||||||||||
Rating 8 | 2 | 0 | 1.7 | 59.9 | 3 | 130.8 | ||||||||||||||||||||
Rating 9 | 6 | 0 | 2.7 | 13.3 | 3 | 44.3 | ||||||||||||||||||||
Rating 10 | 6 | 4.6 | 40.9 | 9 | 137.6 | |||||||||||||||||||||
Rating 11 | 3 | 0 | 7.8 | 13.0 | 1 | 52.9 | ||||||||||||||||||||
Rating 12 | 6 | 13.0 | 27.3 | 8 | 130.9 | |||||||||||||||||||||
Rating 13 | 0 | 22.0 | 10.0 | 0 | 60.3 | |||||||||||||||||||||
Impaired and defaulted2 | 16 | 1 | 16 | 106.0 | ||||||||||||||||||||||
Total 30.6.15 | 87,334 | 109 | 0.0 | 2 | 30.3 | 2 | 992 | 1.1 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | 95,107 | 1 | 0.0 | 33.1 | 29 | 0.0 | ||||||||||||||||||||
Rating 1 | 6,888 | 79 | 0.0 | 32.9 | 243 | 3.5 | ||||||||||||||||||||
Rating 2 | 2,277 | 4 | 0.0 | 44.2 | 223 | 9.8 | ||||||||||||||||||||
Rating 3 | 4,142 | 0.1 | 51.6 | 584 | 14.1 | |||||||||||||||||||||
Rating 4 | 185 | 0.2 | 58.9 | 67 | 36.4 | |||||||||||||||||||||
Rating 5 | 286 | 0.4 | 42.4 | 126 | 44.0 | |||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 8 | 0.6 | 10.2 | 2 | 21.0 | |||||||||||||||||||||
Rating 7 | 9 | 0 | 1.0 | 42.6 | 6 | 63.0 | ||||||||||||||||||||
Rating 8 | 1 | 1.7 | 85.8 | 1 | 175.7 | |||||||||||||||||||||
Rating 9 | 7 | 0 | 2.7 | 12.6 | 3 | 42.3 | ||||||||||||||||||||
Rating 10 | 3 | 4.6 | 39.8 | 4 | 121.8 | |||||||||||||||||||||
Rating 11 | 1 | 0 | 7.8 | 16.1 | 0 | 66.4 | ||||||||||||||||||||
Rating 12 | 9 | 13.0 | 30.7 | 13 | 154.3 | |||||||||||||||||||||
Rating 13 | 0 | 22.0 | 10.0 | 0 | 54.5 | |||||||||||||||||||||
Impaired and defaulted2 | 17 | 1 | 18 | 106.0 | ||||||||||||||||||||||
Total 31.12.14 | 108,939 | 84 | 0.0 | 2 | 34.1 | 2 | 1,319 | 1.2 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
16
Table 9b: Banks A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 23,957 | 1,965 | 0.0 | 37.5 | 2,358 | 9.8 | ||||||||||||||||||||
Rating 3 | 12,441 | 3,125 | 0.1 | 39.5 | 1,418 | 11.4 | ||||||||||||||||||||
Rating 4 | 3,983 | 692 | 0.2 | 39.1 | 1,047 | 26.3 | ||||||||||||||||||||
Rating 5 | 1,900 | 12 | 0.4 | 41.8 | 865 | 45.5 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 1,075 | 118 | 0.6 | 44.3 | 618 | 57.5 | ||||||||||||||||||||
Rating 7 | 579 | 185 | 1.0 | 36.8 | 335 | 57.8 | ||||||||||||||||||||
Rating 8 | 133 | 52 | 1.7 | 33.8 | 66 | 49.5 | ||||||||||||||||||||
Rating 9 | 174 | 19 | 2.7 | 38.8 | 185 | 106.2 | ||||||||||||||||||||
Rating 10 | 113 | 81 | 4.6 | 36.4 | 51 | 45.5 | ||||||||||||||||||||
Rating 11 | 24 | 7.8 | 44.8 | 44 | 185.0 | |||||||||||||||||||||
Rating 12 | 13 | 0 | 13.0 | 43.4 | 27 | 218.1 | ||||||||||||||||||||
Rating 13 | 1 | 22.0 | 34.8 | 3 | 207.9 | |||||||||||||||||||||
Impaired and defaulted2 | 0 | 0 | 106.0 | |||||||||||||||||||||||
Total 30.6.15 | 44,393 | 6,248 | 0.12 | 38.52 | 7,017 | 15.8 | ||||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 29,231 | 5,550 | 0.0 | 35.9 | 2,859 | 9.8 | ||||||||||||||||||||
Rating 3 | 12,022 | 1,567 | 0.1 | 35.6 | 2,028 | 16.9 | ||||||||||||||||||||
Rating 4 | 3,644 | 106 | 0.2 | 39.3 | 1,135 | 31.1 | ||||||||||||||||||||
Rating 5 | 2,197 | 6 | 0.4 | 44.9 | 940 | 42.8 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 779 | 7 | 0.6 | 43.0 | 484 | 62.1 | ||||||||||||||||||||
Rating 7 | 425 | 1.0 | 43.9 | 253 | 59.5 | |||||||||||||||||||||
Rating 8 | 80 | 1.7 | 30.6 | 58 | 72.6 | |||||||||||||||||||||
Rating 9 | 141 | 2.7 | 36.2 | 149 | 105.5 | |||||||||||||||||||||
Rating 10 | 45 | 4.6 | 35.5 | 53 | 116.8 | |||||||||||||||||||||
Rating 11 | 31 | 7.8 | 43.0 | 56 | 179.5 | |||||||||||||||||||||
Rating 12 | 11 | 1 | 13.0 | 43.3 | 25 | 225.5 | ||||||||||||||||||||
Rating 13 | 5 | 22.0 | 43.6 | 12 | 259.1 | |||||||||||||||||||||
Impaired and defaulted2 | 17 | 18 | 106.0 | |||||||||||||||||||||||
Total 31.12.14 | 48,628 | 7,236 | 0.1 | 2 | 36.7 | 2 | 8,070 | 16.6 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
17
Table 9c: Corporates A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 44,950 | 2,345 | 0.0 | 18.4 | 4,755 | 10.6 | ||||||||||||||||||||
Rating 3 | 17,410 | 4,745 | 0.1 | 33.3 | 3,806 | 21.9 | ||||||||||||||||||||
Rating 4 | 14,468 | 1,521 | 0.2 | 34.3 | 4,179 | 28.9 | ||||||||||||||||||||
Rating 5 | 10,983 | 948 | 0.4 | 36.4 | 5,031 | 45.8 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 12,779 | 407 | 0.6 | 28.0 | 6,030 | 47.2 | ||||||||||||||||||||
Rating 7 | 12,907 | 867 | 1.0 | 24.3 | 6,147 | 47.6 | ||||||||||||||||||||
Rating 8 | 10,027 | 1,019 | 1.7 | 17.5 | 4,091 | 40.8 | ||||||||||||||||||||
Rating 9 | 6,174 | 435 | 2.7 | 21.0 | 3,430 | 55.6 | ||||||||||||||||||||
Rating 10 | 3,710 | 1,033 | 4.6 | 18.5 | 2,241 | 60.4 | ||||||||||||||||||||
Rating 11 | 1,253 | 390 | 7.8 | 17.4 | 836 | 66.7 | ||||||||||||||||||||
Rating 12 | 418 | 97 | 13.0 | 15.6 | 287 | 68.7 | ||||||||||||||||||||
Rating 13 | 191 | 6 | 22.0 | 14.2 | 143 | 75.0 | ||||||||||||||||||||
Impaired and defaulted2 | 1,473 | 9 | 1,561 | 106.0 | ||||||||||||||||||||||
Total 30.6.15 | 136,743 | 3 | 13,822 | 0.7 | 2 | 25.1 | 2 | 42,538 | 4 | 31.1 | ||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. 3 Includes exposures to managed funds with a regulatory net credit exposure of approximately CHF 38,963 million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. 4 Includes high volatility commercial real estate (HVCRE) exposures related to specialized lending secured by properties sharing higher volatilities in portfolio default rates (RWA: CHF 120 million as of 30 June 2015).
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 53,700 | 2,568 | 0.0 | 19.2 | 3,744 | 7.0 | ||||||||||||||||||||
Rating 3 | 20,974 | 5,431 | 0.1 | 36.8 | 4,108 | 19.6 | ||||||||||||||||||||
Rating 4 | 11,427 | 1,354 | 0.2 | 37.9 | 3,728 | 32.6 | ||||||||||||||||||||
Rating 5 | 12,071 | 992 | 0.4 | 36.4 | 5,417 | 44.9 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 13,741 | 708 | 0.6 | 26.9 | 6,114 | 44.5 | ||||||||||||||||||||
Rating 7 | 12,287 | 500 | 1.0 | 22.8 | 5,424 | 44.1 | ||||||||||||||||||||
Rating 8 | 8,250 | 611 | 1.7 | 18.5 | 3,492 | 42.3 | ||||||||||||||||||||
Rating 9 | 5,579 | 586 | 2.7 | 20.8 | 3,038 | 54.4 | ||||||||||||||||||||
Rating 10 | 3,994 | 1,575 | 4.6 | 21.1 | 3,028 | 75.8 | ||||||||||||||||||||
Rating 11 | 1,416 | 452 | 7.8 | 17.5 | 1,068 | 75.4 | ||||||||||||||||||||
Rating 12 | 300 | 82 | 13.0 | 14.6 | 186 | 62.1 | ||||||||||||||||||||
Rating 13 | 108 | 21 | 22.0 | 23.1 | 135 | 124.3 | ||||||||||||||||||||
Impaired and defaulted2 | 1,552 | 4 | 1,645 | 106.0 | ||||||||||||||||||||||
Total 31.12.14 | 145,399 | 3 | 14,884 | 0.7 | 2 | 25.8 | 2 | 41,126 | 4 | 28.3 | ||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures. 3 Includes exposures to managed funds with a regulatory net credit exposure of approximately CHF 45,653 million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. 4 Includes high volatility commercial real estate (HVCRE) exposures related to specialized lending secured by properties sharing higher volatilities in portfolio default rates (RWA: CHF 159 million as of 31 December 2014).
18
Table 9d: Residential mortgages A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 37,982 | 167 | 0.0 | 10.6 | 687 | 1.8 | ||||||||||||||||||||
Rating 3 | 16,615 | 47 | 0.1 | 11.0 | 621 | 3.7 | ||||||||||||||||||||
Rating 4 | 17,340 | 50 | 0.2 | 11.2 | 1,160 | 6.7 | ||||||||||||||||||||
Rating 5 | 15,133 | 49 | 0.4 | 11.4 | 1,622 | 10.7 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 11,583 | 49 | 0.6 | 12.4 | 1,796 | 15.5 | ||||||||||||||||||||
Rating 7 | 11,611 | 199 | 1.0 | 12.1 | 2,518 | 21.7 | ||||||||||||||||||||
Rating 8 | 9,010 | 65 | 1.7 | 12.1 | 2,733 | 30.3 | ||||||||||||||||||||
Rating 9 | 5,736 | 22 | 2.7 | 11.3 | 2,379 | 41.5 | ||||||||||||||||||||
Rating 10 | 3,145 | 13 | 4.6 | 10.9 | 1,741 | 55.4 | ||||||||||||||||||||
Rating 11 | 1,454 | 6 | 7.8 | 10.8 | 1,051 | 72.3 | ||||||||||||||||||||
Rating 12 | 587 | 4 | 13.0 | 10.8 | 516 | 87.9 | ||||||||||||||||||||
Rating 13 | 223 | 3 | 22.0 | 11.1 | 230 | 103.4 | ||||||||||||||||||||
Impaired and defaulted2 | 509 | 0 | 540 | 106.0 | ||||||||||||||||||||||
Total 30.6.15 | 130,928 | 674 | 0.8 | 2 | 11.3 | 2 | 17,596 | 13.4 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 37,281 | 156 | 0.0 | 10.6 | 579 | 1.6 | ||||||||||||||||||||
Rating 3 | 16,673 | 45 | 0.1 | 11.0 | 540 | 3.2 | ||||||||||||||||||||
Rating 4 | 17,109 | 48 | 0.2 | 11.2 | 995 | 5.8 | ||||||||||||||||||||
Rating 5 | 15,197 | 47 | 0.4 | 11.4 | 1,433 | 9.4 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 11,824 | 60 | 0.6 | 12.4 | 1,658 | 14.0 | ||||||||||||||||||||
Rating 7 | 12,011 | 236 | 1.0 | 12.0 | 2,331 | 19.4 | ||||||||||||||||||||
Rating 8 | 9,318 | 57 | 1.7 | 12.1 | 2,517 | 27.0 | ||||||||||||||||||||
Rating 9 | 5,829 | 34 | 2.7 | 11.3 | 2,132 | 36.6 | ||||||||||||||||||||
Rating 10 | 3,144 | 9 | 4.6 | 11.0 | 1,525 | 48.5 | ||||||||||||||||||||
Rating 11 | 1,452 | 13 | 7.8 | 10.8 | 909 | 62.6 | ||||||||||||||||||||
Rating 12 | 581 | 4 | 13.0 | 10.8 | 443 | 76.3 | ||||||||||||||||||||
Rating 13 | 224 | 5 | 22.0 | 11.0 | 199 | 89.1 | ||||||||||||||||||||
Impaired and defaulted2 | 477 | 506 | 106.0 | |||||||||||||||||||||||
Total 31.12.14 | 131,121 | 714 | 0.8 | 2 | 11.3 | 2 | 15,767 | 12.0 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
19
Table 9e: Lombard lending A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 59,044 | 205 | 0.0 | 20.0 | 1,467 | 2.5 | ||||||||||||||||||||
Rating 3 | 38,317 | 65 | 0.1 | 20.0 | 1,568 | 4.1 | ||||||||||||||||||||
Rating 4 | 2,999 | 3 | 0.2 | 20.0 | 179 | 6.0 | ||||||||||||||||||||
Rating 5 | 6,819 | 7 | 0.4 | 20.0 | 832 | 12.2 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 2,374 | 10 | 0.6 | 20.0 | 383 | 16.1 | ||||||||||||||||||||
Rating 7 | 1,345 | 1 | 1.0 | 20.0 | 259 | 19.3 | ||||||||||||||||||||
Rating 8 | 389 | 15 | 1.7 | 20.0 | 101 | 25.9 | ||||||||||||||||||||
Rating 9 | 104 | 2.7 | 20.0 | 30 | 29.1 | |||||||||||||||||||||
Rating 10 | 488 | 26 | 4.6 | 20.0 | 151 | 31.1 | ||||||||||||||||||||
Rating 11 | 348 | 11 | 7.8 | 20.0 | 116 | 33.3 | ||||||||||||||||||||
Rating 12 | ||||||||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||||
Impaired and defaulted2 | 11 | 11 | 106.0 | |||||||||||||||||||||||
Total 30.6.15 | 112,238 | 343 | 0.2 | 2 | 20.0 | 2 | 5,097 | 4.5 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 56,020 | 199 | 0.0 | 20.0 | 1,473 | 2.6 | ||||||||||||||||||||
Rating 3 | 35,336 | 102 | 0.1 | 20.0 | 1,577 | 4.5 | ||||||||||||||||||||
Rating 4 | 3,257 | 6 | 0.2 | 20.0 | 250 | 7.7 | ||||||||||||||||||||
Rating 5 | 6,651 | 32 | 0.4 | 19.6 | 807 | 12.1 | ||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 3,007 | 2 | 0.6 | 20.0 | 520 | 17.3 | ||||||||||||||||||||
Rating 7 | 1,463 | 1 | 1.0 | 20.0 | 315 | 21.6 | ||||||||||||||||||||
Rating 8 | 358 | 11 | 1.7 | 20.2 | 111 | 31.0 | ||||||||||||||||||||
Rating 9 | 38 | 2.7 | 20.0 | 11 | 29.1 | |||||||||||||||||||||
Rating 10 | 503 | 28 | 4.6 | 20.0 | 156 | 31.0 | ||||||||||||||||||||
Rating 11 | 398 | 11 | 7.8 | 20.0 | 132 | 33.3 | ||||||||||||||||||||
Rating 12 | ||||||||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||||
Impaired and defaulted2 | 6 | 6 | 106.0 | |||||||||||||||||||||||
Total 31.12.14 | 107,036 | 393 | 0.2 | 2 | 20.0 | 2 | 5,359 | 5.0 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
20
Table 9f: Qualifying revolving retail exposures A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||
Investment grade | ||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||
Rating 2 | ||||||||||||||||||||||||
Rating 3 | ||||||||||||||||||||||||
Rating 4 | ||||||||||||||||||||||||
Rating 5 | ||||||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||
Rating 6 | ||||||||||||||||||||||||
Rating 7 | ||||||||||||||||||||||||
Rating 8 | 132 | 1.7 | 47.0 | 37 | 28.0 | |||||||||||||||||||
Rating 9 | 1,373 | 2.7 | 42.0 | 483 | 35.2 | |||||||||||||||||||
Rating 10 | ||||||||||||||||||||||||
Rating 11 | ||||||||||||||||||||||||
Rating 12 | ||||||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||
Impaired and defaulted2 | 7 | 7 | 106.0 | |||||||||||||||||||||
Total 30.6.15 | 1,512 | 2.6 | 2 | 42.4 | 2 | 527 | 34.9 | |||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||
Investment grade | ||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||
Rating 2 | ||||||||||||||||||||||||
Rating 3 | ||||||||||||||||||||||||
Rating 4 | ||||||||||||||||||||||||
Rating 5 | ||||||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||
Rating 6 | ||||||||||||||||||||||||
Rating 7 | ||||||||||||||||||||||||
Rating 8 | 124 | 1.7 | 47.0 | 35 | 28.0 | |||||||||||||||||||
Rating 9 | 1,394 | 2.7 | 42.0 | 490 | 35.2 | |||||||||||||||||||
Rating 10 | ||||||||||||||||||||||||
Rating 11 | ||||||||||||||||||||||||
Rating 12 | ||||||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||
Impaired and defaulted2 | 7 | 7 | 106.0 | |||||||||||||||||||||
Total 31.12.14 | 1,524 | 2.6 | 2 | 42.4 | 2 | 532 | 34.9 | |||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
21
Table 9g: Other Retail A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
30.6.15 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 152 | 0.0 | 17.8 | 6 | 3.9 | |||||||||||||||||||||
Rating 3 | 25 | 0.1 | 17.0 | 1 | 4.0 | |||||||||||||||||||||
Rating 4 | 5 | 0.2 | 7.8 | 0 | 3.2 | |||||||||||||||||||||
Rating 5 | 8 | 0.4 | 12.1 | 1 | 8.1 | |||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 5 | 0.6 | 15.5 | 1 | 14.3 | |||||||||||||||||||||
Rating 7 | 206 | 1.0 | 40.0 | 90 | 43.8 | |||||||||||||||||||||
Rating 8 | 5 | 1.7 | 40.0 | 2 | 48.6 | |||||||||||||||||||||
Rating 9 | 204 | 2 | 2.7 | 55.5 | 164 | 80.5 | ||||||||||||||||||||
Rating 10 | 12 | 4.6 | 33.3 | 6 | 52.7 | |||||||||||||||||||||
Rating 11 | 6 | 7.8 | 33.0 | 3 | 55.1 | |||||||||||||||||||||
Rating 12 | 1 | 13.0 | 28.3 | 0 | 51.1 | |||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||||
Impaired and defaulted2 | 7 | 8 | 106.0 | |||||||||||||||||||||||
Total 30.6.15 | 638 | 2 | 1.4 | 2 | 37.7 | 2 | 283 | 44.4 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets.
|
31.12.14 | |||||||||||||||||||||||||
CHF million, except where indicated | Regulatory net credit exposure |
of which: loan commitments |
Average PD in %1 |
Average LGD in % |
RWA | Average risk weight in % |
||||||||||||||||||||
Investment grade | ||||||||||||||||||||||||||
Rating 0 | ||||||||||||||||||||||||||
Rating 1 | ||||||||||||||||||||||||||
Rating 2 | 146 | 0.0 | 18.0 | 7 | 4.8 | |||||||||||||||||||||
Rating 3 | 63 | 0.1 | 18.4 | 3 | 4.3 | |||||||||||||||||||||
Rating 4 | 7 | 0.2 | 12.4 | 0 | 5.1 | |||||||||||||||||||||
Rating 5 | 10 | 0.4 | 11.3 | 1 | 7.3 | |||||||||||||||||||||
Sub-investment grade | ||||||||||||||||||||||||||
Rating 6 | 2 | 0.6 | 14.1 | 0 | 12.9 | |||||||||||||||||||||
Rating 7 | 107 | 1.0 | 32.8 | 38 | 35.7 | |||||||||||||||||||||
Rating 8 | 3 | 1.7 | 22.7 | 1 | 28.1 | |||||||||||||||||||||
Rating 9 | 217 | 1 | 2.7 | 51.8 | 163 | 75.0 | ||||||||||||||||||||
Rating 10 | 8 | 4.6 | 26.4 | 3 | 42.0 | |||||||||||||||||||||
Rating 11 | 10 | 7.8 | 49.7 | 8 | 81.1 | |||||||||||||||||||||
Rating 12 | 0 | 13.0 | 16.5 | 0 | 30.2 | |||||||||||||||||||||
Rating 13 | ||||||||||||||||||||||||||
Impaired and defaulted2 | 8 | 9 | 106.0 | |||||||||||||||||||||||
Total 31.12.14 | 582 | 1 | 1.5 | 2 | 34.1 | 2 | 233 | 40.1 | ||||||||||||||||||
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
22
Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized approach
This table provides a breakdown of the regulatory gross and net credit exposure by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.
CHF million |
Total exposure | Total exposure | ||||||||||||||||||||||||||
Risk weight | 0% | >020% | 2150% | 51100% | over 100% | 30.6.15 | 31.12.14 | |||||||||||||||||||||
Regulatory gross credit exposure |
||||||||||||||||||||||||||||
Sovereigns |
64,774 | 103 | 205 | 45 | 5 | 65,132 | 57,321 | |||||||||||||||||||||
Banks |
8,129 | 513 | 118 | 8,760 | 8,044 | |||||||||||||||||||||||
Corporates |
2 | 4,996 | 966 | 16,027 | 21 | 22,012 | 21,065 | |||||||||||||||||||||
Central counterparties |
31,822 | 1 | 39,947 | 364 | 92 | 543 | 72,768 | 54,291 | ||||||||||||||||||||
Retail |
||||||||||||||||||||||||||||
Residential mortgages |
5,662 | 269 | 5,932 | 6,038 | ||||||||||||||||||||||||
Lombard lending |
||||||||||||||||||||||||||||
Qualifying revolving retail exposures |
||||||||||||||||||||||||||||
Other retail |
2,244 | 2,244 | 2,377 | |||||||||||||||||||||||||
Total 30.6.15 |
96,598 | 53,175 | 7,710 | 18,795 | 570 | 176,847 | ||||||||||||||||||||||
Total 31.12.14 |
86,387 | 35,861 | 9,823 | 16,823 | 243 | 149,136 | ||||||||||||||||||||||
Regulatory net credit exposure |
||||||||||||||||||||||||||||
Sovereigns |
64,774 | 103 | 205 | 45 | 5 | 65,132 | 57,321 | |||||||||||||||||||||
Banks |
8,129 | 513 | 57 | 8,699 | 7,916 | |||||||||||||||||||||||
Corporates |
2 | 4,996 | 958 | 9,671 | 21 | 15,648 | 15,899 | |||||||||||||||||||||
Central counterparties |
31,822 | 1 | 35,746 | 364 | 92 | 543 | 68,567 | 54,291 | ||||||||||||||||||||
Retail |
||||||||||||||||||||||||||||
Residential mortgages |
5,662 | 268 | 5,931 | 6,038 | ||||||||||||||||||||||||
Lombard lending |
||||||||||||||||||||||||||||
Qualifying revolving retail exposures |
||||||||||||||||||||||||||||
Other retail |
2,243 | 2,243 | 2,376 | |||||||||||||||||||||||||
Total 30.6.15 |
96,598 | 48,974 | 7,702 | 12,376 | 570 | 166,219 | ||||||||||||||||||||||
Total 31.12.14 |
86,387 | 35,859 | 9,705 | 11,662 | 228 | 143,841 | ||||||||||||||||||||||
1 A risk weight of 0% is applied for trades UBS has entered into with central counterparties on behalf of its client and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client.
23
Table 10b: Regulatory net credit exposure under the standardized approach risk weighted using external ratings
This table provides a breakdown of the rated and unrated regulatory net credit exposure by ECAI and by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.
CHF million |
Total exposure | Total exposure | ||||||||||||||||||||||||||||
Risk weight | 0% | >020% | 2150% | 51100% | over 100% | 30.6.15 | 31.12.14 | |||||||||||||||||||||||
Regulatory net credit exposure1 |
||||||||||||||||||||||||||||||
Sovereigns |
Rated2 | 64,736 | 103 | 205 | 0 | 5 | 65,049 | 57,249 | ||||||||||||||||||||||
Unrated | 39 | 45 | 83 | 72 | ||||||||||||||||||||||||||
Banks |
Rated2 | 4,389 | 21 | 14 | 4,424 | 3,720 | ||||||||||||||||||||||||
Unrated | 3,740 | 492 | 43 | 4,275 | 4,196 | |||||||||||||||||||||||||
Corporates |
Rated2 | 4,996 | 958 | 54 | 4 | 6,012 | 7,038 | |||||||||||||||||||||||
Unrated | 2 | 9,618 | 17 | 9,637 | 8,861 | |||||||||||||||||||||||||
Central counterparties |
Rated2 | 4,282 | 3 | 1,774 | 6,056 | 196 | ||||||||||||||||||||||||
Unrated4 | 27,540 | 3 | 33,972 | 364 | 92 | 543 | 62,511 | 54,095 | ||||||||||||||||||||||
Retail |
Rated2 | |||||||||||||||||||||||||||||
Unrated | 5,662 | 2,511 | 8,174 | 8,414 | ||||||||||||||||||||||||||
Total 30.6.15 |
96,598 | 48,974 | 7,702 | 12,376 | 570 | 166,219 | ||||||||||||||||||||||||
Total 31.12.14 |
86,387 | 35,859 | 9,705 | 11,662 | 228 | 143,841 | ||||||||||||||||||||||||
1 For a breakdown of securitization exposures by risk weight bands and rating clusters refer to tables 27a to 27c (banking book) and 31a to 31c (trading book) of this report. 2 We use three FINMA recognized ECAI for this purpose: Standard & Poors Ratings Group, Moodys Investors Service and Fitch Ratings. 3 A risk weight of 0% is applied for trades UBS has entered into with central counterparties on behalf of its client and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client. 4 In accordance with the regulations based on the Basel III framework, external ratings are not used for the risk weighting of trades with qualifing central counterparties.
Table 11: Eligible financial collateral recognized under standardized approach
This table provides a breakdown of the financial collateral eligible for recognition in the regulatory capital calculation under the standardized approach, according to BIS-defined exposure segments.
CHF million |
Regulatory net credit exposure under standardized approach |
Eligible financial collateral recognized in capital calculation1 |
||||||||||||||
30.6.15 | 31.12.14 | 30.6.15 | 31.12.14 | |||||||||||||
Exposure segment |
||||||||||||||||
Sovereigns |
65,132 | 57,321 | 3 | 3 | ||||||||||||
Banks |
8,699 | 7,916 | 1,058 | 1,662 | ||||||||||||
Corporates |
15,648 | 15,899 | 8,408 | 6,604 | ||||||||||||
Central counterparties |
68,567 | 54,291 | 29,824 | 9,465 | ||||||||||||
Retail |
||||||||||||||||
Residential mortgages |
5,931 | 6,038 | 1 | |||||||||||||
Lombard lending |
||||||||||||||||
Qualifying revolving retaill exposures |
||||||||||||||||
Other retail |
2,243 | 2,376 | 36 | 19 | ||||||||||||
Total |
166,219 | 143,841 | 39,331 | 17,752 | ||||||||||||
1 Reflects the impact of the application of regulatory haircuts for exposures not covered under an internal exposure model. The eligible financial collateral recognized in the capital calculation is based on the difference between the regulatory gross credit exposure and the regulatory net credit exposure.
24
Impairment, default and credit loss
The Risk management and control section and Note 12 Allowances and provisions for credit losses in the Financial information section of our Annual Report 2014 provide additional information on the impaired, default and credit loss-related disclosures.
Table 12: Impaired assets by geographical region
This table shows a breakdown by region of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses. Impaired asset exposures include loans, guarantees, loan commitments and securities financing transactions.
CHF million | Impaired assets |
Specific and provisions |
Impaired of specific and provisions |
Collective allowances and provisions |
Total and provisions |
Total and provisions |
||||||||||||||||||
Asia Pacific | 51 | (38 | ) | 13 | 0 | (38 | ) | (38 | ) | |||||||||||||||
Latin America | 20 | (17 | ) | 2 | 0 | (17 | ) | (19 | ) | |||||||||||||||
Middle East and Africa | 11 | (6 | ) | 6 | 0 | (6 | ) | (22 | ) | |||||||||||||||
North America | 67 | (46 | ) | 21 | (1 | ) | (47 | ) | (50 | ) | ||||||||||||||
Switzerland | 924 | (378 | ) | 546 | (4 | ) | (382 | ) | (411 | ) | ||||||||||||||
Rest of Europe | 230 | (156 | ) | 74 | 0 | (156 | ) | (194 | ) | |||||||||||||||
Total 30.6.15 | 1,303 | (640 | ) | 663 | (6 | ) | (646 | ) | ||||||||||||||||
Total 31.12.14 | 1,396 | (727 | ) | 668 | (8 | ) | (735 | ) | ||||||||||||||||
Table 13: Impaired assets by exposure segment
This table provides a breakdown by exposure segment of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses.
CHF million | Impaired assets |
Specific allowances and provisions |
Collective allowances and provisions |
Total and provisions |
Write-offs for the six-month period ended 30.6.15 |
Total and provisions |
||||||||||||||||||
Sovereigns | 13 | (10 | ) | 0 | (10 | ) | 0 | (11 | ) | |||||||||||||||
Banks | 7 | (6 | ) | 0 | (6 | ) | 0 | (15 | ) | |||||||||||||||
Corporates | 1,024 | (505 | ) | 0 | (505 | ) | (97 | ) | (560 | ) | ||||||||||||||
Central counterparties | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Retail | ||||||||||||||||||||||||
Residential mortgages |
130 | (38 | ) | 0 | (38 | ) | 0 | (38 | ) | |||||||||||||||
Lombard lending |
54 | (49 | ) | 0 | (49 | ) | (1 | ) | (54 | ) | ||||||||||||||
Qualifying revolving other retail exposures |
23 | (16 | ) | 0 | (16 | ) | (12 | ) | (16 | ) | ||||||||||||||
Other retail |
52 | (16 | ) | (1 | ) | (17 | ) | (1 | ) | (36 | ) | |||||||||||||
Not allocated segment1 | 0 | 0 | (4 | ) | (4 | ) | 0 | (5 | ) | |||||||||||||||
Total 30.6.15 | 1,303 | (640 | ) | (6 | ) | (646 | ) | (112 | ) | |||||||||||||||
Total 31.12.14 | 1,396 | (727 | ) | (8 | ) | (154 | ) | (735 | ) | |||||||||||||||
1 With the exception of Wealth Management Americas lombard lending, collective loan loss allowances are not allocated to individual counterparties.
25
Table 14: Changes in allowances and provisions
This table provides a breakdown of movements in the specific and collective allowances and provisions for credit losses for impaired assets.
è | Refer to Note 12 Allowances and provisions for credit losses in the Financial information section of our Annual Report 2014 for more information |
CHF million | Specific allowances and provisions for banking products and securities financing |
Collective allowances | For
the six-month period ended 30.6.15 |
For the year ended 31.12.14 |
||||||||||||
Balance at the beginning of the period | 727 | 8 | 735 | 750 | ||||||||||||
Write-offs/usage of provisions | (111 | ) | (1 | ) | (112 | ) | (154 | ) | ||||||||
Recoveries | 27 | 0 | 28 | 29 | ||||||||||||
Increase/(decrease) | 30 | (1 | ) | 29 | 78 | |||||||||||
Foreign currency translations | (31 | ) | 0 | (31 | ) | 21 | ||||||||||
Other | (3 | ) | (3 | ) | 11 | |||||||||||
Balance at the end of the period | 640 | 6 | 646 | 735 | ||||||||||||
Table 15: Total actual and expected credit losses
This table provides a breakdown by exposure segment of the actual credit (loss)/recovery amount (including credit valuation adjustments on derivatives) recognized in our income statement, as well as the corresponding expected loss. A comparison of our expected loss versus actual loss for 2015 will be provided in our full-year Basel III Pillar 3 disclosure to be included in our Annual Report 2015.
è | Refer to Comparison of actual versus expected loss in the Risk management and control section of our Annual Report 2014 for more information |
Actual loss1 |
Expected loss |
Actual loss1 |
||||||||||||||
CHF million | For
the six-month period ended 30.6.15 |
As of 31.12.13 for the year ended 31.12.14 |
For the year ended 31.12.14 |
|||||||||||||
Sovereigns | (2 | ) | (1 | ) | ||||||||||||
Banks | 21 | (39 | ) | (18 | ) | |||||||||||
Corporates | (29 | ) | (189 | ) | (135 | ) | ||||||||||
Central counterparties | 0 | 0 | ||||||||||||||
Retail | ||||||||||||||||
Residential mortgages |
(4 | ) | (111 | ) | 1 | |||||||||||
Lombard lending |
1 | (30 | ) | 12 | ||||||||||||
Qualifying revolving other retail exposures |
(1 | ) | (16 | ) | (5 | ) | ||||||||||
Other retail |
6 | (5 | ) | (2 | ) | |||||||||||
Not allocated segment2 | 5 | 15 | ||||||||||||||
Total gain (loss) | (1 | ) | (392 | ) | (133 | ) | ||||||||||
1 Reflects credit losses recognized in our IFRS income statement, including recoveries. Comparative figures for 31 December 2014 have been restated accordingly. 2 Includes changes in collective loan loss allowances.
26
Table 16: Credit exposure of derivative instruments
CHF million | 30.6.15 | 31.12.14 | ||||||
Gross positive replacement values | 173,681 | 256,978 | ||||||
Netting benefits recognized1 | (127,026 | ) | (198,744 | ) | ||||
Collateral held1 | (25,159 | ) | (30,794 | ) | ||||
of which: cash collateral |
(21,416 | ) | (25,128 | ) | ||||
of which: non-cash collateral |
(3,743 | ) | (5,666 | ) | ||||
Net current credit exposure | 21,496 | 27,439 | ||||||
Regulatory net credit exposure (total counterparty credit risk) | 76,187 | 82,961 | ||||||
of which: based on internal models (effective EPE) |
59,125 | 68,917 | ||||||
of which: based on supervisory approaches (current exposure method) |
17,062 | 14,044 | ||||||
1 For the purpose of this disclosure, the amounts of financial instruments and cash collateral not set off in the balance sheet have been capped by relevant netting agreements so as not to exceed the net amount of financial assets presented on the balance sheet; i.e., over-collateralization, where it exists, is not reflected in the table.
27
|
Regulatory banking book | Regulatory trading book | Total | |||||||||||||||||||||||||||||
Notional amounts, CHF million |
Protection bought |
Protection sold | Total | Protection bought |
Protection sold | Total | 30.6.15 | 31.12.14 | ||||||||||||||||||||||||
Credit default swaps | 11,784 | 786 | 12,570 | 159,388 | 155,386 | 314,775 | 327,345 | 483,875 | ||||||||||||||||||||||||
Total rate of return swaps | 232 | 232 | 4,370 | 4,724 | 9,094 | 9,326 | 8,899 | |||||||||||||||||||||||||
Options and warrants | 4,277 | 52 | 4,330 | 4,330 | 8,028 | |||||||||||||||||||||||||||
Total 30.6.15 | 12,017 | 786 | 12,803 | 168,036 | 160,162 | 328,198 | 341,001 | |||||||||||||||||||||||||
Total 31.12.14 | 13,970 | 751 | 14,722 | 248,849 | 237,231 | 486,080 | 500,802 | |||||||||||||||||||||||||
28
Equity instruments in the banking book
Table 18: Equity instruments in the banking book
As of | ||||||||
CHF million | 30.6.15 | 31.12.14 | ||||||
Equity instruments | ||||||||
Financial investments available-for-sale | 564 | 664 | ||||||
Investments in associates | 908 | 927 | ||||||
Total equity instruments under IFRS | 1,472 | 1,591 | ||||||
Regulatory capital adjustment1 | 620 | 780 | ||||||
Total equity instruments under regulatory capital2 | 2,092 | 2,371 | ||||||
of which: to be risk weighted |
||||||||
publicly traded (risk weighted at 300%) |
141 | 219 | ||||||
privately held (risk weighted at 400%)3 |
863 | 1,039 | ||||||
not deducted in application of threshold, but risk weighted at 250% |
736 | 738 | ||||||
of which: deduction from common equity tier 1 capital4 |
352 | 375 | ||||||
RWA according to simple risk weight method5 | 4,326 | 4,735 | ||||||
Capital requirement according to simple risk weight method5 | 546 | 526 | ||||||
Total capital charge | 898 | 901 | ||||||
Net realized gains/(losses) and unrealized gains from equity instruments | |
For the six months ended 30.6.15 |
|
|
For the year ended 31.12.14 |
| ||
Net realized gains/(losses) from disposals | 75 | 80 | ||||||
Unrealized revaluation gains | 220 | 285 | ||||||
of which: included in tier 2 capital |
99 | 128 | ||||||
1 Includes CHF 474 million of investment fund units treated as debt investments under IFRS as of 30 June 2015. 2 Total equity instruments under regulatory capital of CHF 2,092 million, as of 30 June 2015, excluding CHF 408 million booked in trust entities (compensation and benefit vehicles) and CHF 352 million goodwill of investments in associates, i.e., CHF 1,331 million net EAD is also disclosed in the Equity instruments in the banking book line of Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets. 3 Includes CHF 408 million exposure booked in trust entites (compensation and benefit vehicles) that did not generate risk-weighted assets. 4 Under the Basel III framework, goodwill of investments in associates is deducted from common equity tier 1 capital. 5 The risk-weighted assets of CHF 4,326 million and the capital requirement of CHF 546 million, as of 30 June 2015, are also disclosed in the Equity instruments in the banking book line of Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.
29
Table 19: Group: backtesting regulatory value-at-risk (1-day, 99% confidence, 5 years of historical data)
This table shows the Groups minimum, maximum, average and period-end regulatory backtesting VaR.
|
For the six months ended 30.6.15 | For the year ended 31.12.14 | ||||||||||||||
CHF million | Min. | Max. | Average | 30.6.15 | Min. | Max. | Average | 31.12.14 | ||||||||
Group | 14 | 35 | 20 | 20 | 15 | 38 | 22 | 20 | ||||||||
30
Table 20: Securitization/re-securitization
|
30.6.15 | 31.12.14 | ||||||||||||||||||||||||||||||
CHF million | Gross EAD | Net EAD | RWA | Capital requirement |
Gross EAD | Net EAD | RWA | Capital requirement |
||||||||||||||||||||||||
Securitization/re-securitization in the banking book | 5,125 | 5,125 | 1,273 | 161 | 9,048 | 9,048 | 2,650 | 295 | ||||||||||||||||||||||||
CC Non-core and Legacy Portfolio |
1,418 | 1,418 | 757 | 96 | 4,735 | 4,735 | 2,028 | 226 | ||||||||||||||||||||||||
Other business divisions1 |
3,708 | 3,708 | 516 | 65 | 4,313 | 4,313 | 622 | 69 | ||||||||||||||||||||||||
Securitization/re-securitization in the trading book | 1,668 | 1,668 | 959 | 121 | 1,610 | 1,610 | 1,262 | 140 | ||||||||||||||||||||||||
CC Non-core and Legacy Portfolio |
1,195 | 1,195 | 730 | 92 | 1,205 | 1,205 | 993 | 110 | ||||||||||||||||||||||||
Other business divisions1 |
474 | 474 | 229 | 29 | 405 | 405 | 268 | 30 | ||||||||||||||||||||||||
1 Mainly reflecting exposures in the Investment Bank.
31
32
33
Table 21: Securitization activity for the period in the banking book
|
Originator | Sponsor | ||||||||||||||||||||||||||
|
Traditional | Synthetic | Realized gains/(losses) on traditional securitizations |
Traditional | Synthetic | |||||||||||||||||||||||
CHF million | Securitization positions retained |
No securitization positions retained |
Securitization positions retained |
No securitization positions retained |
||||||||||||||||||||||||
Residential mortgages | ||||||||||||||||||||||||||||
Commercial mortgages | 222 | 367 | 16 | 2,616 | ||||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||
Leasing | ||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||
Student loans | ||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||
Re-securitizations | ||||||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||
Total 30.6.15 | 222 | 367 | 0 | 0 | 16 | 2,616 | 0 | |||||||||||||||||||||
Residential mortgages | ||||||||||||||||||||||||||||
Commercial mortgages | 1,680 | 1,262 | 68 | 9,258 | ||||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||
Leasing | ||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||
Student loans | ||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||
Re-securitizations | ||||||||||||||||||||||||||||
Other | 351 | |||||||||||||||||||||||||||
Total 31.12.14 | 1,680 | 1,262 | 351 | 0 | 68 | 9,258 | 0 | |||||||||||||||||||||
Securitization activity for the period in the trading book
In the first half of 2015 and in full year 2014, we had no securitization activity in the trading book.
34
Table 22: Outstanding securitized exposures
|
Banking book | Trading book1 | ||||||||||||||||||||||||||||||
|
Originator | Sponsor | Originator | Sponsor | ||||||||||||||||||||||||||||
CHF million | Traditional | Synthetic | Traditional | Synthetic | Traditional | Synthetic | Traditional2 | Synthetic | ||||||||||||||||||||||||
Residential mortgages | 1,273 | 1,053 | 4,894 | |||||||||||||||||||||||||||||
Commercial mortgages | 589 | 19,281 | 4,662 | |||||||||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||||||
Leasing | 249 | |||||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||||||
Student loans | 360 | 640 | ||||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||||||
Re-securitizations | 45 | 993 | 1,759 | |||||||||||||||||||||||||||||
Other | 4,683 | 406 | ||||||||||||||||||||||||||||||
Total 30.6.15 | 589 | 4,728 | 21,568 | 0 | 1,053 | 993 | 11,956 | 0 | ||||||||||||||||||||||||
Residential mortgages | 1,008 | 7,307 | ||||||||||||||||||||||||||||||
Commercial mortgages | 2,942 | 17,234 | 2,437 | |||||||||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||||||
Leasing | 282 | |||||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||||||
Student loans | 405 | 742 | ||||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||||||
Re-securitizations | 243 | 1,106 | 199 | 1,057 | ||||||||||||||||||||||||||||
Other | 7,306 | 463 | ||||||||||||||||||||||||||||||
Total 31.12.14 | 2,942 | 7,549 | 19,489 | 0 | 1,207 | 1,057 | 10,487 | 0 | ||||||||||||||||||||||||
1 In line with our disclosure principles, we disclose the UBS originated and sponsored deals only where the positions result in an RWA or capital deduction under Pillar 1. 2 This disclosure excludes sponsor-only activity where we do not retain a position. In such cases, we advised the originator or placed securities in the market for a fee, and this activity did not otherwise impact our capital.
35
Table 23: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book
|
30.6.15 | 31.12.14 | ||||||||||||||||||||||||||||||
|
Originator | Sponsor | Originator | Sponsor | ||||||||||||||||||||||||||||
CHF million | Impaired or past due in securitized exposures |
Recognized losses in income statement |
Impaired or past due in securitized exposures |
Recognized losses in income statement |
Impaired or past due in securitized exposures |
Recognized losses in income statement |
Impaired or past due in securitized exposures |
Recognized losses in income statement |
||||||||||||||||||||||||
Residential mortgages | 11 | 0 | ||||||||||||||||||||||||||||||
Commercial mortgages | 42 | 1 | 30 | |||||||||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||||||
Leasing | 0 | |||||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||||||
Student loans | 6 | 8 | ||||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||||||
Re-securitizations | ||||||||||||||||||||||||||||||||
Other | 6 | |||||||||||||||||||||||||||||||
Total | 0 | 0 | 60 | 1 | 0 | 6 | 38 | 1 | ||||||||||||||||||||||||
36
Table 24: Exposures intended to be securitized in the banking and trading book
This table provides the amount of exposures by exposure type we intend to securitize in the banking and trading book. We disclose our intention to securitize exposures as an originator if assets are designated for securitization and a tentative pricing date for a transaction is known at the balance sheet date or if a pricing of a transaction has been fixed.
30.6.15 | 31.12.14 | |||||||||||||||||||
CHF million | Banking book | Trading book | Banking book | Trading book | ||||||||||||||||
Residential mortgages | ||||||||||||||||||||
Commercial mortgages | 307 | 144 | ||||||||||||||||||
Credit card receivables | ||||||||||||||||||||
Leasing | ||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
||||||||||||||||||||
Consumer loans | ||||||||||||||||||||
Student loans | ||||||||||||||||||||
Trade receivables | ||||||||||||||||||||
Re-securitizations | ||||||||||||||||||||
Other | ||||||||||||||||||||
Total | 307 | 0 | 144 | 0 | ||||||||||||||||
Table 25: Securitization positions retained or purchased in the banking book
This table provides a breakdown of securitization positions we retained or purchased in the banking book, irrespective of our role in the securitization transaction. The value disclosed is the net exposure amount at default subject to risk-weighting at the balance sheet date.
|
30.6.15 | 31.12.14 | ||||||||||||||||||||||
CHF million | On balance sheet | Off balance sheet1 | Total | On balance sheet | Off balance sheet1 | Total | ||||||||||||||||||
Residential mortgages | 383 | 383 | 499 | 499 | ||||||||||||||||||||
Commercial mortgages | 15 | 15 | 31 | 31 | ||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||
Leasing | 1 | 1 | 1 | 1 | ||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises |
0 | 0 | 173 | 173 | ||||||||||||||||||||
Consumer loans | 1 | 1 | 1 | 1 | ||||||||||||||||||||
Student loans | 167 | 167 | 402 | 402 | ||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||
Re-securitizations | 12 | 0 | 12 | 452 | 39 | 492 | ||||||||||||||||||
Other2 | 4,546 | 4,546 | 7,449 | 7,449 | ||||||||||||||||||||
Total3 | 5,125 | 0 | 5,125 | 9,009 | 39 | 9,048 | ||||||||||||||||||
1 Synthetic long exposures through sold CDS positions are classified as off balance sheet exposures. 2 Other primarily includes securitization of portfolios of counterparty credit risk in over-the-counter (OTC) derivatives and loan exposures. 3 The total exposure of CHF 5,125 million as of 30 June 2015 is also disclosed in Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets in line Securitization/re-securitization in the banking book.
37
Table 26: Securitization positions retained or purchased in the trading book
|
Cash positions | Derivative positions | Total | |||||||||||||||||||||||||
CHF million | Gross long | Gross short | Gross long | Gross short | Net long | Net short | Net Total1,2 | |||||||||||||||||||||
Residential mortgages | 9 | 2 | 376 | 486 | 6 | 23 | 28 | |||||||||||||||||||||
Commercial mortgages | 259 | 0 | 1,276 | 1,298 | 435 | 30 | 465 | |||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||
Leasing | ||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises | ||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||
Student loans | ||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||
Re-securitizations | 23 | 1 | 78 | 23 | 14 | 1 | 15 | |||||||||||||||||||||
Other | 3 | 0 | 201 | 192 | 12 | 12 | ||||||||||||||||||||||
Total 30.6.15 | 294 | 4 | 1,931 | 1,998 | 467 | 54 | 521 | |||||||||||||||||||||
Residential mortgages | 14 | 3 | 481 | 633 | 16 | 45 | 61 | |||||||||||||||||||||
Commercial mortgages | 238 | 1,299 | 1,332 | 427 | 6 | 433 | ||||||||||||||||||||||
Credit card receivables | ||||||||||||||||||||||||||||
Leasing | ||||||||||||||||||||||||||||
Loans to corporates or small and medium-sized enterprises | ||||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||||
Student loans | ||||||||||||||||||||||||||||
Trade receivables | ||||||||||||||||||||||||||||
Re-securitizations | 28 | 1 | 106 | 39 | 15 | 4 | 18 | |||||||||||||||||||||
Other | 3 | 0 | 203 | 203 | 3 | 3 | ||||||||||||||||||||||
Total 31.12.14 | 283 | 4 | 2,090 | 2,208 | 461 | 55 | 515 | |||||||||||||||||||||
1 Since 1 January 2014, both net long and net short positions are underpinned in the trading book and EAD capped at maximum possible loss. 2 30 June 2015 does not include CHF 1,147 million related to leveraged super senior tranches treated under the supervisory formula approach which are reported in Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters-trading book. Including these exposures, net total exposures were CHF 1,668 million, which equals the gross and net exposure of securitization/re-securitization in the trading book disclosed in Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.
38
Table 27a: Capital requirement for securitization/re-securitization positions retained or purchased in the banking book
|
30.6.15 | 31.12.14 | ||||||||||||||||||||||||||||||||||||||
|
Ratings-based approach |
Supervisory formula approach |
|
Ratings-based approach |
Supervisory formula approach |
|
||||||||||||||||||||||||||||||||||
CHF million | Securitiza- tion |
Re- securitiza- tion |
Securitiza- tion |
Re- securitiza- tion |
Total | Securitiza- tion |
Re- securitiza- tion |
Securitiza- tion |
Re- securitiza- tion |
Total | ||||||||||||||||||||||||||||||
over 020% | 12 | 37 | 49 | 20 | 16 | 45 | 81 | |||||||||||||||||||||||||||||||||
over 2035% | 2 | 0 | 3 | 5 | 5 | 2 | 53 | 60 | ||||||||||||||||||||||||||||||||
over 3550% | 0 | 0 | 0 | 6 | 18 | 24 | ||||||||||||||||||||||||||||||||||
over 5075% | 7 | 0 | 7 | 11 | 0 | 11 | ||||||||||||||||||||||||||||||||||
over 75100% | 15 | 15 | 7 | 7 | ||||||||||||||||||||||||||||||||||||
over 100250% | 1 | 0 | 1 | 6 | 0 | 6 | ||||||||||||||||||||||||||||||||||
over 2501,249% | 0 | 0 | 0 | 5 | 1 | 6 | ||||||||||||||||||||||||||||||||||
1,250% rated | 31 | 18 | 48 | 34 | 10 | 44 | ||||||||||||||||||||||||||||||||||
1,250% unrated | 0 | 34 | 34 | 16 | 2 | 37 | 55 | |||||||||||||||||||||||||||||||||
Total1 | 69 | 18 | 74 | 0 | 161 | 110 | 49 | 135 | 0 | 295 | ||||||||||||||||||||||||||||||
1 Refer to Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets. On 30 June 2015, CHF 5,125 million banking book securitization RWA translated to an overall capital requirement of CHF 161 million.
Table 27b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters banking book
|
|
30.6.15 |
|
31.12.14 | ||||||||||||||||
CHF million |
|
Exposure amount | Capital requirement |
|
Exposure amount | Capital requirement | ||||||||||||||
AAA | 203 | 3 | 223 | 4 | ||||||||||||||||
AA | 290 | 6 | 917 | 27 | ||||||||||||||||
A+ | 32 | 1 | 54 | 1 | ||||||||||||||||
A | 107 | 3 | 335 | 8 | ||||||||||||||||
A | 46 | 2 | 119 | 5 | ||||||||||||||||
BBB+ | 3 | 0 | 121 | 10 | ||||||||||||||||
BBB | 86 | 7 | 126 | 11 | ||||||||||||||||
BBB | 111 | 15 | 69 | 12 | ||||||||||||||||
BB+ | 3 | 1 | 26 | 10 | ||||||||||||||||
BB | 0 | 0 | 9 | 5 | ||||||||||||||||
BB | 0 | 0 | 6 | 6 | ||||||||||||||||
Below BB/unrated | 31 | 49 | 44 | 62 | ||||||||||||||||
Total | 913 | 87 | 2,050 | 159 | ||||||||||||||||
Table 27c: Securitization/re-securitization exposures treated under the supervisory formula approach by risk-weight clusters banking book
|
30.6.15 | 31.12.14 | ||||||||||||||
CHF million | Exposure amount | Capital requirement | Exposure amount | Capital requirement | ||||||||||||
over 020% | 4,058 | 37 | 5,190 | 45 | ||||||||||||
over 2035% | 132 | 3 | 1,782 | 53 | ||||||||||||
1,250% | 22 | 34 | 27 | 37 | ||||||||||||
Total | 4,212 | 74 | 6,998 | 135 | ||||||||||||
39
Gains on sale securitization exposures to be deducted from Basel III tier 1 capital
In the first half of 2015 and in full year 2014, we have not retained any significant exposures relating to securitization for which we have recorded gains on sale requiring deduction from Basel III tier 1 capital.
Securitization exposures subject to early amortization in the banking and trading book
In the first half of 2015 and in full year 2014, we had no securitization structures in the banking and trading book that are subject to early amortization treatment.
Table 28: Re-securitization positions retained or purchased in the banking book
CHF million | With credit risk mitigation |
Without credit risk mitigation |
Total | |||||||||
Total 30.6.15 | 0 | 12 | 12 | |||||||||
Total 31.12.14 | 0 | 492 | 492 | |||||||||
Table 29: Re-securitization positions retained or purchased in the trading book
CHF million | Gross long | Gross short | Net long | Net short | ||||||||||||
Total 30.6.15 | 102 | 24 | 14 | 1 | ||||||||||||
Total 31.12.14 | 134 | 41 | 15 | 4 | ||||||||||||
Outstanding notes issued by securitization vehicles related to UBSs retained exposures subject to the market risk approach
40
Table 30: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk
|
Cash positions | Derivative positions | ||||||||||||||||||||||
30.6.15 |
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||
CHF million | Market value | Market value | Positive replacement value |
Positive replacement value notionals |
Negative replacement value |
Negative replacement value notionals |
||||||||||||||||||
Positions subject to comprehensive risk measure | 112 | 531 | 34 | 2,083 | 340 | 3,157 | ||||||||||||||||||
Positions subject to securitization framework1 | 3 | 2,658 | 3 | 2,658 | ||||||||||||||||||||
31.12.14 | ||||||||||||||||||||||||
Positions subject to comprehensive risk measure | 137 | 609 | 254 | 4,019 | 627 | 5,610 | ||||||||||||||||||
Positions subject to securitization framework1 | 1 | 3,095 | 1 | 3,095 | ||||||||||||||||||||
1 Includes leveraged super senior tranches.
Table 31a: Securitization positions and capital requirement for trading book positions subject to the securitization framework
|
30.6.15 | 31.12.14 | ||||||||||||||||||||||||||||||
|
Ratings-based approach | Ratings-based approach | ||||||||||||||||||||||||||||||
CHF million | Net long |
Net short |
Net Total |
Capital requirement |
Net long |
Net short |
Net Total |
Capital requirement |
||||||||||||||||||||||||
over 020% | 360 | 25 | 385 | 6 | 346 | 0 | 347 | 5 | ||||||||||||||||||||||||
over 2035% | 57 | 0 | 57 | 2 | 51 | 51 | 2 | |||||||||||||||||||||||||
over 3550% | 2 | 0 | 2 | 0 | 17 | 0 | 18 | 1 | ||||||||||||||||||||||||
over 5075% | 5 | 0 | 5 | 0 | 8 | 3 | 11 | 1 | ||||||||||||||||||||||||
over 75100% | 6 | 5 | 10 | 2 | 0 | 6 | 6 | 1 | ||||||||||||||||||||||||
over 100250% | 1 | 1 | 0 | 8 | 8 | 2 | ||||||||||||||||||||||||||
over 2501,249% | 0 | 0 | 1 | 0 | 0 | 0 | ||||||||||||||||||||||||||
1,250% rated | 6 | 29 | 35 | 55 | 13 | 42 | 55 | 76 | ||||||||||||||||||||||||
1,250% unrated | 21 | 4 | 25 | 26 | 18 | 2 | 20 | 28 | ||||||||||||||||||||||||
Total1 | 458 | 63 | 521 | 92 | 2 | 461 | 55 | 516 | 116 | |||||||||||||||||||||||
1 Leveraged super senior tranches (subject to the securitization framework) are not included in this table, but disclosed in Table 30: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk. 2 The capital requirement of CHF 121 million as of 30 June 2015 disclosed in Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets in line Securitization/re-securitization in the trading book is comprised of the total ratings-based approach charge of CHF 92 million and CHF 29 million capital requirement for leveraged super senior tranches as disclosed in Table 32: Capital requirement for securitization positions related to correlation products.
41
Table 31b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters trading book
|
30.6.15 | 31.12.14 | ||||||||||||||
CHF million | Exposure amount | Capital requirement | Exposure amount | Capital requirement | ||||||||||||
AAA | 385 | 6 | 301 | 4 | ||||||||||||
AA | 19 | 1 | 60 | 1 | ||||||||||||
A+ | ||||||||||||||||
A | 6 | 0 | 12 | 1 | ||||||||||||
A | 38 | 2 | 35 | 1 | ||||||||||||
BBB+ | 2 | 0 | 14 | 1 | ||||||||||||
BBB | 4 | 0 | ||||||||||||||
BBB | 10 | 1 | 6 | 1 | ||||||||||||
BB+ | 0 | 0 | 8 | 2 | ||||||||||||
BB | 1 | 1 | 0 | 0 | ||||||||||||
BB | ||||||||||||||||
Below BB/unrated | 60 | 81 | 75 | 104 | ||||||||||||
Total | 521 | 92 | 515 | 116 | ||||||||||||
Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by risk weight clusters trading book
|
30.6.15 | 31.12.14 | ||||||||||||||
CHF million | Exposure amount | Capital requirement | Exposure amount | Capital requirement | ||||||||||||
over 020% | 1,147 | 29 | 1,095 | 24 | ||||||||||||
Total | 1,147 | 29 | 1,095 | 24 | ||||||||||||
Table 32: Capital requirement for securitization positions related to correlation products
|
Capital requirement | |||||||
CHF million | 30.6.15 | 31.12.14 | ||||||
Positions subject to comprehensive risk measure | 13 | 15 | ||||||
Positions subject to securitization framework1 | 29 | 24 | ||||||
Total | 42 | 39 | ||||||
1 Leveraged super senior tranches.
42
Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
Balance sheet in of consolidation |
Effect of deconsolidated entities for regulatory consolidation |
Effect of additional consolidated consolidation |
Balance sheet in accordance with regulatory scope of consolidation |
References1 | ||||||||||||||||
CHF million | 30.6.15 | |||||||||||||||||||
Assets | ||||||||||||||||||||
Cash and balances with central banks | 84,646 | 84,646 | ||||||||||||||||||
Due from banks | 13,343 | (288 | ) | 13,056 | ||||||||||||||||
Cash collateral on securities borrowed | 27,689 | 27,689 | ||||||||||||||||||
Reverse repurchase agreements | 60,848 | 60,848 | ||||||||||||||||||
Trading portfolio assets | 128,476 | (17,286 | ) | 111,190 | ||||||||||||||||
Positive replacement values | 173,681 | 25 | 173,707 | |||||||||||||||||
Cash collateral receivables on derivative instruments | 24,842 | 24,842 | ||||||||||||||||||
Financial assets designated at fair value | 5,425 | 5,425 | ||||||||||||||||||
Loans | 313,852 | 106 | 313,958 | |||||||||||||||||
Financial investments available-for-sale | 66,771 | (80 | ) | 66,691 | ||||||||||||||||
Consolidated participations | 0 | 202 | 202 | |||||||||||||||||
Investments in associates | 908 | 908 | ||||||||||||||||||
of which: goodwill |
352 | 352 | 4 | |||||||||||||||||
Property, equipment and software | 7,050 | (86 | ) | 6,964 | ||||||||||||||||
Goodwill and intangible assets | 6,242 | 6,242 | ||||||||||||||||||
of which: goodwill |
5,885 | 5,885 | 4 | |||||||||||||||||
of which: intangible assets |
357 | 357 | 5 | |||||||||||||||||
Deferred tax assets | 10,000 | (1 | ) | 9,999 | ||||||||||||||||
of which: deferred tax assets recognized for tax loss carry-forwards |
5,907 | (1 | ) | 5,906 | 9 | |||||||||||||||
of which: deferred tax assets on temporary differences |
4,093 | 4,093 | 12 | |||||||||||||||||
Other assets | 26,394 | (90 | ) | 1 | 26,266 | |||||||||||||||
of which: goodwill related to assets of disposal group held for sale |
27 | 27 | 4 | |||||||||||||||||
Total assets | 950,168 | (17,537 | ) | 2 | 932,633 | |||||||||||||||
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 34: Composition of capital.
43
Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
Balance sheet in IFRS scope of consolidation |
Effect of deconsolidated entities for regulatory consolidation |
Effect of additional consolidated consolidation |
Balance sheet in regulatory scope of consolidation |
References1 | ||||||||||||||||
CHF million | 30.6.15 | |||||||||||||||||||
Liabilities | ||||||||||||||||||||
Due to banks | 13,270 | (51 | ) | 13,220 | ||||||||||||||||
Cash collateral on securities lent | 10,652 | 10,652 | ||||||||||||||||||
Repurchase agreements | 13,032 | 13,032 | ||||||||||||||||||
Trading portfolio liabilities | 32,181 | (10 | ) | 32,171 | ||||||||||||||||
Negative replacement values | 171,202 | 103 | 171,305 | |||||||||||||||||
Cash collateral payables on derivative instruments | 38,603 | 38,603 | ||||||||||||||||||
Financial liabilities designated at fair value | 66,366 | 14 | 66,380 | |||||||||||||||||
Due to customers | 377,054 | 139 | 377,192 | |||||||||||||||||
Debt issued | 100,558 | (22 | ) | 100,536 | ||||||||||||||||
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital2 |
1,158 | 1,158 | 13 | |||||||||||||||||
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital2 |
2,145 | 2,145 | 13 | |||||||||||||||||
of which: amount eligible for low-trigger loss-absorbing tier 2 capital3 |
9,613 | 9,613 | 7 | |||||||||||||||||
of which: amount eligible for capital instruments subject to phase-out from tier 2 capital4 |
1,798 | 1,798 | 8 | |||||||||||||||||
Provisions | 3,594 | (1 | ) | 3,593 | ||||||||||||||||
Other liabilities | 70,402 | (17,632 | ) | 1 | 52,771 | |||||||||||||||
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))5 |
855 | 855 | 13 | |||||||||||||||||
Total liabilities | 896,915 | (17,460 | ) | 1 | 879,456 | |||||||||||||||
Share capital | 375 | (1 | ) | 1 | 375 | 1 | ||||||||||||||
Share premium | 31,005 | 31,005 | 1 | |||||||||||||||||
Treasury shares | (1,624 | ) | (1,624 | ) | 3 | |||||||||||||||
Retained earnings | 25,704 | (205 | ) | 25,499 | 2 | |||||||||||||||
Other comprehensive income recognized directly in equity, net of tax | (5,249 | ) | 128 | (1 | ) | (5,121 | ) | 3 | ||||||||||||
of which: unrealized gains/(losses) from cash flow hedges according to regulatory scope of consolidation6 |
1,626 | 1,626 | 11 | |||||||||||||||||
Equity attributable to UBS Group AG shareholders | 50,211 | (78 | ) | 0 | 50,134 | |||||||||||||||
Equity attributable to non-controlling interests | 3,042 | 1 | 3,043 | 3, 6 | ||||||||||||||||
Total equity | 53,253 | (77 | ) | 0 | 53,177 | |||||||||||||||
Total liabilities and equity | 950,168 | (17,537 | ) | 2 | 932,633 | |||||||||||||||
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 34: Composition of capital. 2 Represents IFRS book value. 3 IFRS book value is CHF 9,625 million. 4 IFRS book value is CHF 3,754 million. 5 IFRS book value is CHF 977 million. Refer to the Compensation section of our Annual Report 2014 for more information on DCCP. 6 IFRS value is CHF 1,589 million, excluding non-controlling interests in UBS AG.
44
Table 34: Composition of capital
Phase-in amounts |
Effect of the transition phase |
References1 | ||||||||||||
CHF million, except where indicated | 30.6.15 | 30.6.15 | ||||||||||||
1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | 31,381 | 1 | |||||||||||
2 | Retained earnings | 25,499 | 2 | |||||||||||
3 | Accumulated other comprehensive income (and other reserves) | (6,746 | ) | 3 | ||||||||||
4 | Directly issued capital subject to phase-out from common equity tier 1 capital (only applicable to non-joint stock companies) | |||||||||||||
5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in Group common equity tier 1 capital) | 1,164 | 3 | |||||||||||
6 | Common equity tier 1 capital before regulatory adjustments | 51,298 | ||||||||||||
7 | Prudential valuation adjustments | (84 | ) | |||||||||||
8 | Goodwill, net of tax, less hybrid capital and additional tier 1 capital2 | (2,486 | ) | (3,729 | ) | 4 | ||||||||
9 | Intangible assets, net of tax2 | (351 | ) | 5 | ||||||||||
10 | Deferred tax assets recognized for tax loss carry-forwards3 | (2,525 | ) | (3,787 | ) | 9 | ||||||||
11 | Unrealized (gains)/losses from cash flow hedges, net of tax | (1,626 | ) | 11 | ||||||||||
12 | Expected losses on advanced internal ratings-based portfolio less general provisions | (314 | ) | |||||||||||
13 | Securitization gain on sale | |||||||||||||
14 | Own credit related to financial liabilities designated at fair value and replacement values, net of tax | (412 | ) | |||||||||||
15 | Defined benefit plans | |||||||||||||
16 | Compensation and own shares-related capital components (not recognized in net profit) | (1,523 | ) | |||||||||||
17 | Reciprocal crossholdings in common equity | |||||||||||||
17a | Qualifying interest where a controlling influence is exercised together with other owners (CET instruments) | |||||||||||||
17b | Consolidated investments (CET1 instruments) | |||||||||||||
18 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) | |||||||||||||
19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) | |||||||||||||
20 | Mortgage servicing rights (amount above 10% threshold) | |||||||||||||
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) | (115 | ) | (924 | ) | 12 | ||||||||
22 | Amount exceeding the 15% threshold | |||||||||||||
23 | of which: significant investments in the common stock of financials |
|||||||||||||
24 | of which: mortgage servicing rights |
|||||||||||||
25 | of which: deferred tax assets arising from temporary differences |
|||||||||||||
26 | Expected losses on equity investments treated according to the PD/LGD approach | |||||||||||||
26a | Other adjustments relating to the application of an internationally accepted accounting standard | (312 | ) | |||||||||||
26b | Other deductions | (2,844 | ) | 13 | ||||||||||
27 | Regulatory adjustments applied to common equity tier 1 due to insufficient additional tier 1 and tier 2 to cover deductions | |||||||||||||
28 | Total regulatory adjustments to common equity tier 1 | (12,592 | ) | (8,441 | ) | |||||||||
29 | Common equity tier 1 capital (CET1) | 38,706 | (8,441 | ) | ||||||||||
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 The CHF 6,215 million (CHF 2,486 million and CHF 3,729 million) reported in line 8 includes goodwill on investments in associates of CHF 352 million, DTL on goodwill of CHF 50 million and goodwill related to assets of disposal group held for sale of CHF 27 million reported in Other assets in table 33. The CHF 351 million reported in line 9 includes DTL on intangibles of CHF 5 million. 3 The CHF 6,312 million (CHF 2,525 million and CHF 3,787 million) deferred tax assets recognized for tax loss carry-forwards reported in line 10 differ from the CHF 5,907 million deferred tax assets shown in the line Deferred tax assets in table 33 because the latter figure is shown after the offset of deferred tax liabilities for cash flow hedge gains (CHF 423 million) and other temporary differences, which are adjusted out in line 11 and other lines of this table, respectively.
45
Table 34: Composition of capital (continued)
Phase-in amounts |
Effect of the transition phase |
References1 | ||||||||||||
CHF million, except where indicated | 30.6.15 | 30.6.15 | ||||||||||||
30 | Directly issued qualifying additional tier 1 instruments plus related stock surplus | 3,777 | ||||||||||||
31 | of which: classified as equity under applicable accounting standards |
|||||||||||||
32 | of which: classified as liabilities under applicable accounting standards2 |
3,777 | 13 | |||||||||||
33 | Directly issued capital instruments subject to phase-out from additional tier 1 | |||||||||||||
34 | Additional tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in Group additional tier 1) | 1,840 | (1,840 | ) | 6 | |||||||||
35 | of which: instruments issued by subsidiaries subject to phase-out |
1,840 | (1,840 | ) | ||||||||||
36 | Additional tier 1 capital before regulatory adjustments | 5,616 | (1,840 | ) | ||||||||||
37 | Investments in own additional tier 1 instruments | |||||||||||||
38 | Reciprocal crossholdings in additional tier 1 instruments | |||||||||||||
38a | Qualifying interest where a controlling influence is exercised together with other owners (AT1 instruments) | |||||||||||||
38b | Holdings in companies which are to be consolidated (additional tier1 instruments) | |||||||||||||
39 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) | |||||||||||||
40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) | |||||||||||||
41 | National specific regulatory adjustments | (3,729 | ) | 3,729 | ||||||||||
42 | Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions | |||||||||||||
Tier 1 adjustments on impact of transitional arrangements | (3,729 | ) | 3,729 | |||||||||||
of which: prudential valuation adjustment |
||||||||||||||
of which: own CET1 instruments |
||||||||||||||
of which: goodwill net of tax, offset against hybrid capital and loss-absorbing capital |
(3,729 | ) | 3,729 | |||||||||||
of which: intangible assets (net of related tax liabilities) |
||||||||||||||
of which: gains from the calculation of cash flow hedges |
||||||||||||||
of which: IRB shortfall of provisions to expected losses |
||||||||||||||
of which: gains on sales related to securitization transactions |
||||||||||||||
of which: gains/losses in connection with own credit risk |
||||||||||||||
of which: investments |
||||||||||||||
of which: expected loss amount for equity exposures under the PD/LGD approach |
||||||||||||||
of which: mortgage servicing rights |
||||||||||||||
42a | Excess of the adjustments which are allocated to the common equity tier 1 capital | |||||||||||||
43 | Total regulatory adjustments to additional tier 1 capital | (3,729 | ) | 3,729 | ||||||||||
44 | Additional tier 1 capital (AT1) | 1,887 | 1,889 | |||||||||||
45 | Tier 1 capital (T1 = CET1 + AT1) | 40,593 | (6,552 | ) | ||||||||||
46 | Directly issued qualifying tier 2 instruments plus related stock surplus3 | 10,537 | 7 | |||||||||||
47 | Directly issued capital instruments subject to phase-out from tier 2 | 1,831 | (1,831 | ) | 8 | |||||||||
48 | Tier 2 instruments (and CET1 and additional tier 1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Group tier 2) | |||||||||||||
49 | of which: instruments issued by subsidiaries subject to phase-out |
|||||||||||||
50 | Provisions | |||||||||||||
51 | Tier 2 capital before regulatory adjustments | 12,368 | (1,831 | ) | ||||||||||
52 | Investments in own tier 2 instruments | (38 | ) | 33 | 7, 8 | |||||||||
53 | Reciprocal cross holdings in tier 2 instruments | |||||||||||||
53a | Qualifying interest where a controlling influence is exercised together with other owners (tier 2 instruments) | |||||||||||||
53b | Investments to be consolidated (tier 2 instruments) | |||||||||||||
54 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above the 10% threshold) | |||||||||||||
55 | Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) | |||||||||||||
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF 1,158 million and CHF 2,145 million recognized in the line Debit issued in table 33, CHF 855 million DCCP recognized in the line Other liabilities in table 33 and CHF 536 million recognized in DCCP-related charges for regulatory capital purposes in the line 26b Other deductions of this table. 3 The CHF 10,537 million in the line 46 includes CHF 9,613 million low-trigger loss-absorbing tier 2 capital recognized in line Debt issue in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in line 52 and high-trigger loss-absorbing capital of CHF 918 million reported in line 58 of this table.
46
Table 34: Composition of capital (continued)
Phase-in amounts |
Effect of the transition phase |
References1 | ||||||||||||
CHF million, except where indicated | 30.6.15 | 30.6.15 | ||||||||||||
56 | National specific regulatory adjustments | |||||||||||||
56a | Excess of the adjustments which are allocated to the additional tier 1 capital | |||||||||||||
57 | Total regulatory adjustments to tier 2 capital | (38 | ) | 33 | ||||||||||
58 | Tier 2 capital (T2) | 12,329 | (1,798 | ) | ||||||||||
of which: high-trigger loss-absorbing capital2, 3 |
918 | 13 | ||||||||||||
of which: low-trigger loss-absorbing capital3 |
9,613 | 7 | ||||||||||||
59 | Total capital (TC = T1 + T2) | 52,923 | (8,350 | ) | ||||||||||
Amount with risk weight pursuant the transitional arrangement (phase-in) | (2,311 | ) | ||||||||||||
of which: DTA on temporary differences, excess over threshold |
(2,311 | ) | ||||||||||||
60 | Total risk-weighted assets | 212,088 | (2,311 | ) | ||||||||||
Capital ratios and buffers | ||||||||||||||
61 | Common equity tier 1 (as a percentage of risk-weighted assets) | 18.2 | ||||||||||||
62 | Tier 1 (Pos 45 as a percentage of risk-weighted assets) | 19.1 | ||||||||||||
63 | Total capital (pos 59 as a percentage of risk-weighted assets) | 25.0 | ||||||||||||
64 | CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of risk-weighted assets | 7.5 | ||||||||||||
65 | of which: capital buffer requirement |
2.9 | ||||||||||||
66 | of which: bank-specific countercyclical buffer requirement |
0.2 | ||||||||||||
67 | of which: G-SIB buffer requirement |
|||||||||||||
68 | Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets) | 17.2 | ||||||||||||
68af | Not applicable for systemically relevant banks according to FINMA RS 11/2 | |||||||||||||
72 | Non significant investments in the capital of other financials | 1,104 | ||||||||||||
73 | Significant investments in the common stock of financials | 738 | ||||||||||||
74 | Mortgage servicing rights (net of related tax liability) | |||||||||||||
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 4,170 | ||||||||||||
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 respective lines of this table to the respective reference numbers provided in the column References in Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF 1,158 million and CHF 2,145 million recognized in the line Debit issued in table 33, CHF 855 million DCCP recognized in the line Other liabilities in table 33 and CHF 536 million recognized in DCCP-related charge for regulatory capital purpose in the line 26b Other deductions of this table. 3 The CHF 10,537 million in the line 46 includes CHF 9,613 million low-trigger loss-absorbing tier 2 capital recognized in line Debt issue in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in the line 52 and high-trigger loss-absorbing capital of CHF 918 million reported in line 58 of this table.
47
Notice to investors | 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 UBSs second quarter 2015 report and its Annual Report 2014 for additional information. These reports are available at www.ubs.com/investors.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages, percent changes and absolute variances are calculated based on rounded figures displayed in the tables and text and may not precisely reflect the percentages, percent changes and absolute variances that would be derived based on figures that are not rounded.
Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
This Form 6-K is hereby incorporated by reference into (1) each of the registration statements of UBS AG on Form F-3 (Registration Number 333-204908) and of UBS Group AG on Form S-8 (Registration Numbers 333-200634; 333-200635; 333-200641; and 333-200665) and Form F-4 (Registration number 333-199011), and into each prospectus outstanding under any of the foregoing registration statements, (2) any outstanding offering circular or similar document issued or authorized by UBS AG that incorporates by reference any Form 6-Ks of UBS AG that are incorporated into its registration statements filed with the SEC, and (3) the base prospectus of Corporate Asset Backed Corporation (CABCO) dated June 23, 2004 (Registration Number 333-111572), the Form 8-K of CABCO filed and dated June 23, 2004 (SEC File Number 001-13444), and the Prospectus Supplements relating to the CABCO Series 2004-101 Trust dated May 10, 2004 and May 17, 2004 (Registration Number 033-91744 and 033-91744-05).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
UBS Group AG | ||
By: | /s/ David Kelly | |
Name: | David Kelly | |
Title: | Managing Director | |
By: | /s/ Sarah M. Starkweather | |
Name: | Sarah M. Starkweather | |
Title: | Executive Director | |
UBS AG | ||
By: | /s/ David Kelly | |
Name: | David Kelly | |
Title: | Managing Director | |
By: | /s/ Sarah M. Starkweather | |
Name: | Sarah M. Starkweather | |
Title: | Executive Director |
Date: August 21, 2015
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