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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 | |
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0.57 | 2.18% | 26.76 | 1,083 | 10:24:44 |
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 17, 2016
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive office)
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the Basel III Pillar 3 disclosure for first half 2016 of UBS Group AG and UBS AG, which appears immediately following this page.
Basel III Pillar 3
First Half 2016 report
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Table 11: Eligible financial collateral recognized under the standardized approach |
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Table 22: Incremental risk charge by business division and Corporate Center unit |
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Contacts
Switchboards
For all general inquiries.
Zurich +41-44-234 1111
London +44-20-7567 8000
New York +1-212-821 3000
Hong Kong +852-2971 8888
www.ubs.com/contact
Investor Relations
UBS’s Investor Relations team
supports institutional, professional and retail investors from
our offices in Zurich, London,
New York and Singapore.
UBS Group AG, Investor Relations
P.O. Box, CH-8098 Zurich, Switzerland
www.ubs.com/investors
Hotline Zurich +41-44-234 4100
Hotline New York +1-212-882 5734
Fax (Zurich) +41-44-234 3415
Media Relations
UBS’s
Media Relations team supports
global media and journalists
from our offices in Zurich, London, New York and Hong Kong.
www.ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5857
mediarelations-ny@ubs.com
Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company Secretary
The Group Company Secretary receives inquiries on compensation and related issues addressed to members of the Board of Directors.
UBS Group AG, Office of the Group
Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Hotline +41-44-235 6652
Fax +41-44-235 8220
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company Secretary Office, is responsible
for the registration of the global registered shares.
UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Hotline +41-44-235 6652
Fax +41-44-235 8220
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
P.O. Box 30170
College Station
TX 77842-3170, USA
Shareholder online inquiries:
https://www-us.computershare.com/
investor/Contact
Shareholder website:
www.computershare.com/investor
Calls from the US +1-866-305-9566
Calls from outside
the US +1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich,
Switzerland | www.ubs.com
Language: English
© UBS 2016. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
3
Basel III Pillar 3 First Half 2016 report
Introduction
The capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 aims to encourage market discipline by requiring banks to publish a range of disclosures, mainly on risk and capital.
The Swiss Financial Market Supervisory Authority (FINMA) requires us to publish comprehensive quantitative and qualitative Pillar 3 disclosures annually, as well as an update of quantitative disclosures and any significant changes to qualitative information semi-annually. This report relates to UBS Group AG on a consolidated basis and is based on phase-in rules under the Bank for International Settlements (BIS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and required by FINMA regulation. It provides an update to our BIS Basel III Pillar 3 disclosures as presented in our Annual Report 2015, to the extent that this information was not already provided in our first and second quarter 2016 reports. In the first half of 2016, we did not have any significant changes to qualitative information.
Capital information as of 30 June 2016 for UBS Group AG (consolidated) is provided in the “Capital management” section of our second quarter 2016 report. Total and tier 1 capital ratios related to the significant bank subsidiaries UBS AG, UBS Switzerland AG and UBS Limited, are also disclosed in the “Legal entity financial and regulatory information” section of our second quarter 2016 report. Moreover, selected regulatory information for UBS AG (consolidated) is presented in the “Capital management” section of the UBS AG second quarter 2016 report.
® Refer to the “Capital management” section of our second quarter 2016 report for more information on regulatory requirements
® Refer to “Pillar 3, SEC filings & other disclosures” at www.ubs.com/investors for more information on G-SIB indicators and previous Pillar 3 reports
Revised requirements for Swiss systemically relevant banks
In May 2016, the Swiss Federal Council adopted the amendments to the too big to fail (TBTF) provisions, based on the cornerstones announced by the Swiss Federal Council in October 2015. The revised Capital Adequacy Ordinance forms the basis of a revised Swiss SRB framework which became effective on 1 July 2016. Disclosures in this report are prepared on the basis of the Swiss SRB requirements applicable as of 30 June 2016.
® Refer to the “Capital management” section of our second quarter 2016 report for more information on the regulatory framework and requirements
Revised Pillar 3 disclosure requirements
In January 2015, the Basel Committee on Banking Supervision (BCBS) issued revised Pillar 3 disclosure requirements that aim to improve comparability and consistency of disclosures, through the introduction of harmonized templates. The revised requirements will be applicable to our Pillar 3 disclosures from 31 December 2016 onward.
4
Location of Pillar 3 disclosures
The following table provides an overview of Pillar 3 disclosures in our UBS Group AG Annual Report 2015 and in other locations, including our second quarter 2016 report, where relevant .
Pillar 3 disclosures |
Location in our UBS Group AG Annual Report 2015 |
Location in our second quarter 2016 report or elsewhere |
Scope of consolidation and transfer restrictions |
Consolidated financial statements – Note 1 Summary of significant accounting policies – Note 25 Restricted and transferred financial assets – Note 30 Interests in subsidiaries and other entities Consolidated supplemental disclosures required under Basel III Pillar 3 regulations Scope of regulatory consolidation (on page 654) Table 1: Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation
|
|
Capital structure |
Capital management (on pages 253 – 257, 260) |
Capital management (on pages 60 and 63) Legal entity information (on pages 131, 135 and 138) |
Capital adequacy |
Capital management (on page 249) |
Capital management (on pages 58 – 73) Legal entity information (on pages 131, 135 and 138) |
Capital instruments |
Capital management (on pages 258 – 259) “Bondholder information” at www.ubs.com/investors |
Capital management (on page 59) “Bondholder information” at www.ubs.com/investors |
BIS Basel III leverage ratio |
Capital management (on page 275) “Pillar 3, SEC filings & other disclosures” at www.ubs.com/investors |
|
Risk management objectives, policies and methodologies – qualitative disclosures |
Risk management and control (on pages 165 – 233) Currency management (on page 247) Capital management (on page 250) |
|
Risk-weighted assets |
Capital management (on pages 263 – 266) Consolidated supplemental disclosures required under Basel III Pillar 3 regulations Overview of exposures and risk-weighted assets (on pages 655 – 657) Table 2: Detailed segmentation of exposures and risk-weighted assets |
Capital management (on pages 67 – 68) |
5
Basel III Pillar 3 First Half 2016 report
Location of Pillar 3 disclosures (continued )
6
Location of Pillar 3 disclosures (continued)
7
Basel III Pillar 3 First Half 2016 report
Location of Pillar 3 disclosures (continued)
Our approach to measuring risk exposure and risk-weighted assets
Measures of risk exposure may differ, depending on whether the exposures are calculated for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirement or for risk management and control purposes. Our Basel III Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required to underpin those risks.
The table on the next page provides a summary of the approaches we use for the main risk categories to derive risk-weighted assets (RWA).
The naming conventions for the exposure
segments used in the following tables are based on BIS rules and may differ
from
those under Swiss and EU regulations. For example, “sovereigns” under the BIS
naming convention are termed “central governments and central banks” under the
Swiss and EU regulations. Similarly, “banks” are “institutions” and
“residential mortgages” are “claims secured by residential real estate.”
Our RWA are calculated according to the BIS Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and required under FINMA regulation.
® Refer to the “Capital management” section of our second quarter 2016 report for more information on differences between Swiss SRB and BIS Basel III capital regulations
8
® Refer to the “Risk management and control” section of our Annual Report 2015 for more information
9
Basel III Pillar 3 First Half 2016 report
Scope of regulatory consolidation
The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS and includes subsidiaries directly or indirectly controlled by UBS Group AG that are active in the banking and finance sector. However, subsidiaries consolidated under IFRS that are active in sectors other than banking and finance are excluded from the regulatory scope of consolidation.
® Refer to “Note 1 Summary of significant accounting policies” and “Note 30 Interests in subsidiaries and other entities” in the “Consolidated financial statements” section of our Annual Report 2015 for more information
The main differences in the basis of consolidation between IFRS and regulatory capital purposes relate to the following entities as of 30 June 2016:
– Investments in insurance, real estate and commercial companies as well as investment vehicles that were consolidated under IFRS, but not for regulatory capital purposes, and were subject to risk weighting;
– Joint ventures that were fully consolidated for regulatory capital purposes, but were accounted for under the equity method under IFRS;
– One entity that has issued preferred securities that were consolidated for regulatory capital purposes but not consolidated under IFRS. This entity holds bonds issued by UBS AG, which are eliminated in the consolidated regulatory capital accounts. This entity does not have material third-party asset balances and its equity is attributable to non-controlling interests in UBS Group AG consolidated accounts.
The table below provides a list of the most significant entities that were included in the IFRS scope of consolidation, but not in the regulatory capital scope of consolidation. As of 30 June 2016, entities consolidated under IFRS, but not included in the regulatory scope of consolidation, did not report any significant capital deficiencies.
In the banking book, certain equity investments are not required to be consolidated under IFRS or in the regulatory scope. These investments mainly consist of infrastructure holdings and joint operations (for example, settlement and clearing institutions, stock and financial futures exchanges) and included our participation in the SIX Group.
® Refer to “Table 18 : Equity instruments in the banking book ” of this report for more information on the measurement of equity instruments
® Refer to “Table 37 : Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation ” of this report for more information
® Refer to “Note 25 Restricted and transferred financial assets” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on transferability restrictions under IFRS 12
® Refer to “Asset encumbrance” in the “Treasury management” section of our Annual Report 2015 for more information
Table 1: Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation
10
Overview of exposures and risk-weighted assets
“Table 2: Detailed segmentation of exposures and risk-weighted assets” and subsequent tables provide a breakdown according to BIS-defined exposure segments as follows:
– Sovereigns, consisting of exposures relating to sovereign states and their central banks, the BIS, the International Monetary Fund, the EU (including the European Central Bank) and eligible multilateral development banks.
– Banks, consisting of exposures to legal entities holding a banking license. This segment also includes securities firms subject to supervisory and regulatory arrangements, including risk-based capital requirements, which are comparable to those applied to banks according to the framework and exposures to public sector entities with tax-raising power or entities whose liabilities are fully guaranteed by a public entity.
– Corporates, consisting of all exposures that do not fit into any of the other exposure segments. This segment includes private commercial entities such as corporations, partnerships or proprietorships, insurance companies and funds, including managed funds.
– Central counterparties (CCP) consisting of clearing houses that interpose themselves between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer. A CCP becomes a counterparty to trades with market participants through novation, an open offer system, or another legally binding arrangement.
– Retail, Residential mortgages, consisting of residential mortgages, regardless of exposure size, if the debtor occupies or rents out the mortgaged property.
– Retail, Lombard lending , consisting of loans made against the pledge of eligible marketable securities, guarantees and other forms of collateral.
– Retail, Qualifying revolving retail exposures, consisting of unsecured revolving credits that exhibit appropriate loss characteristics relating to credit card relationships treated under the advanced internal ratings-based (A-IRB) approach.
– Retail, Other retail, consisting of exposures to small businesses, private clients and other retail customers without mortgage financing.
Table 2 also shows the gross and net exposure at default (EAD) per risk type and exposure segment, which form the basis for the calculation of RWA, as well as the capital requirement per exposure segment.
Gross EAD increased by CHF 18 billion to CHF 742 billion and net EAD by CHF 19 billion to CHF 729 billion in the first half of 2016. Both increases were mainly driven by an increase of CHF 21 billion related to credit risk, partly offset by a reduction of CHF 2 billion related to non-counterparty-related risk. This increase in credit risk was primarily a result of higher exposure to sovereigns due to an increase in high-quality liquid assets (HQLA), mainly to meet liquidity requirements applicable to our US operations from July 2016. The lower non-counterparty-related risk EAD was driven by the phase-in effect of a higher capital deduction of deferred tax assets on temporary differences from common equity tier 1 capital. This capital deduction increased from 40% in 2015 to 60% in 2016 .
RWA increased by CHF 4 billion to CHF 217 billion as of 30 June 2016. Higher credit risk RWA and higher operational risk RWA were partly offset by lower non-counterparty-related risk RWA and market risk RWA.
Capital requirements presented in the following tables are calculated based on our Swiss SRB total capital requirement of 14.3% of RWA as of 30 June 2016 and 12.6% of RWA as of 31 December 2015.
® Refer to the table “Risk-weighted assets by business division and Corporate Center unit” in the “Capital management” section of our first and second quarter 2016 reports for more information
® Refer to the table “Risk-weighted assets movement by key driver – fully applied” in the “Capital management” section of our first and second quarter 2016 reports for more information on RWA movements
11
Basel III Pillar 3 First Half 2016 report
12
Table 2: Detailed segmentation of exposures and risk-weighted assets (continued)
13
Basel III Pillar 3 First Half 2016 report
Credit risk
The tables in this section provide details on the exposures used to determine the firm’s credit risk-related regulatory capital requirement. The parameters applied under the A-IRB approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section therefore differs from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from that required under IFRS. The following credit risk-related tables are based on Swiss SRB phase-in requirements and correspond to the credit risk by exposure segment which is shown above in “Table 2: Detailed segmentation of exposures and risk-weighted assets .”
® Refer to the “Risk management and control” section of our Annual Report 2015 for more information
The regulatory gross credit exposure for banking products is equal to the drawn loan amounts represented on the balance sheet, with the exception of off-balance sheet commitments where the regulatory gross credit exposure is calculated by applying a credit conversion factor to the undrawn amount or contingent claim.
Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EPE) and stressed EPE (sEPE) as defined in the Basel III framework. However, for the rest of the portfolio we apply the current exposure method (CEM) based on the replacement value of derivatives in combination with a regulatory prescribed add-on. For the majority of securities financing transactions (securities borrowing / lending and repurchase agreements / reverse repurchase agreements), we determine the regulatory gross credit exposure using the close-out period (COP) approach. The regulatory gross credit exposure for traded products is equal to regulatory net credit exposure in “Table 2: Detailed segmentation of exposures and risk-weighted assets“ and the credit risk tables on the following pages.
The regulatory net credit risk exposure detailed in the tables on the following pages is shown as the regulatory exposure at default after applying collateral, netting and other eligible risk mitigants permitted by the relevant regulations. The information on impaired and defaulted assets, consistent with the regulatory capital treatment, is presented in the “Impairment, default and credit loss” section of this report.
14
This table shows the derivation of RWA from the regulatory gross credit risk exposure broken down by major types of regulatory gross credit risk exposure according to classes of financial instruments.
This table provides a breakdown of our portfolio by major types of regulatory gross credit risk exposure according to classes of financial instruments by geographical regions. The geographical distribution is based on the legal domicile of the counterparty or issuer.
15
Basel III Pillar 3 First Half 2016 report
This table provides a breakdown of our portfolio by major types of regulatory gross credit risk exposure according to 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 risk exposure |
Total regulatory net credit risk exposure |
Cash and balances with central banks |
|
|
93,408 |
|
93,408 |
93,408 |
Due from banks¹ |
|
|
|
11,092 |
11,092 |
11,092 |
Loans |
196,418 |
105,801 |
2,660 |
|
304,879 |
293,468 |
Financial assets designated at fair value |
522 |
4,332 |
47,793 |
9,420 |
62,067 |
61,656 |
Guarantees, commitments and forward starting transactions |
2,381 |
23,369 |
28 |
1,805 |
27,583 |
26,855 |
Banking products |
199,321 |
133,502 |
143,888 |
22,317 |
499,029 |
486,479 |
Derivatives |
2,947 |
53,130 |
5,508 |
20,987 |
82,572 |
82,572 |
Cash collateral on derivative financial instruments |
19 |
34,810 |
570 |
1,214 |
36,613 |
36,613 |
Securities financing |
38 |
39,567 |
5,930 |
15,943 |
61,478 |
61,478 |
Traded products |
3,004 |
127,507 |
12,008 |
38,144 |
180,663 |
180,663 |
Trading portfolio assets |
|
2,000 |
5,446 |
164 |
7,611 |
7,611 |
Financial assets available for sale and held to maturity |
|
6,894 |
6,907 |
7,264 |
21,065 |
21,065 |
Other assets |
4,739 |
3,403 |
1,466 |
851 |
10,459 |
10,164 |
Other products |
4,739 |
12,297 |
13,819 |
8,280 |
39,134 |
38,840 |
Total 30.6.16 |
207,064 |
273,307 |
169,715 |
68,741 |
718,826 |
705,982 |
Total 31.12.15 |
206,984 |
282,478 |
144,763 |
63,015 |
697,240 |
683,725 |
1 Includes non-bank financial institutions. |
This table provides a breakdown of our portfolio by major types of regulatory gross credit risk exposure according to classes of financial instruments by residual contractual maturity, not taking into account any early redemption features.
16
This table provides a derivation of the regulatory net credit risk exposure from the regulatory gross credit risk exposure, after the application of credit risk mitigation according to the A-IRB and the standardized approach.
CHF million |
Advanced IRB approach |
Standardized approach |
Total 30.6.16 |
Total 31.12.15 |
Total regulatory gross credit risk exposure |
583,204 |
135,622 |
718,826 |
697,240 |
Less: regulatory credit risk offsets and adjustments |
(6,681) |
(6,164) |
(12,844) |
(13,515) |
Total regulatory net credit risk exposure |
576,524 |
129,458 |
705,982 |
|
Total 31.12.15 |
566,121 |
117,604 |
|
683,725 |
® Refer to “Table 2: Detailed segmentation of exposures and risk-weighted assets ” for more information on the regulatory net credit exposure by exposure segment
This table provides a breakdown of regulatory gross credit risk exposure 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.
Advanced internal ratings-based approach
UBS uses the advanced internal ratings-based (A-IRB) approach for calculating certain credit risk exposures. Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval.
® Refer to the “Risk management and control” section of our Annual Report 2015 for more information
Tables 9a to 9g provide a breakdown of the regulatory net credit risk exposure, weighted average PD, LGD, RWA and the average risk weight under the A-IRB approach by internal UBS ratings across BIS-defined exposure segments.
17
Basel III Pillar 3 First Half 2016 report
Table 9a: Sovereigns – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
18
Table 9b: Banks – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
19
Basel III Pillar 3 First Half 2016 report
Table 9c: Corporates – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
20
Table 9d: Residential mortgages – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
21
Basel III Pillar 3 First Half 2016 report
Table 9e: Lombard lending – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
22
Table 9f: Qualifying revolving retail exposures – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
23
Basel III Pillar 3 First Half 2016 report
Table 9g: Other retail – Advanced IRB approach: Regulatory net credit risk exposure, weighted average PD, LGD and RWA by internal UBS ratings
24
Standardized approach
The standardized approach is applied where mandated by regulations or where it is not possible to use the A-IRB approach . Where possible, banks have to use risk assessments prepared by external credit assessment institutions (ECAI) or export credit agencies to determine the risk weightings applied to rated counterparties.
We use three FINMA-recognized ECAI for this purpose: Standard & Poor’s, Moody’s Investors Service and Fitch Ratings. The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its website.
Table 10a: Regulatory gross and net credit risk exposure by risk weight under the standardized approach
This table provides a breakdown of the regulatory gross and net credit risk exposure by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.
25
Basel III Pillar 3 First Half 2016 report
Table 10b: Regulatory net credit risk exposure under the standardized approach risk-weighted using external ratings
This table provides a breakdown of the rated and unrated regulatory net credit risk exposure by ECAI and by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the 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.
26
Impairment, default and credit loss
The “Risk management and control” section and “Note 12 Allowances and provisions for credit losses” in the “Consolidated financial statements” section of our Annual Report 2015 provide additional information on impairment, default and credit loss.
Table 12: Impaired assets by geographical region
This table provides a regional breakdown 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 financial instruments |
Specific allowances and provisions |
Impaired financial instruments net of specific allowances and provisions |
Collective allowances |
Total allowances and provisions 30.6.16 |
Total allowances and provisions 31.12.15 |
Asia Pacific |
93 |
(60) |
33 |
0 |
(60) |
(58) |
Latin America |
30 |
(23) |
7 |
0 |
(23) |
(21) |
Middle East and Africa |
12 |
(6) |
6 |
0 |
(6) |
(6) |
North America |
187 |
(96) |
91 |
(7) |
(103) |
(108) |
Switzerland |
890 |
(335) |
555 |
(5) |
(340) |
(369) |
Rest of Europe |
218 |
(160) |
59 |
0 |
(160) |
(165) |
Total 30.6.16 |
1,431 |
(679) |
751 |
(11) |
(691) |
|
Total 31.12.15 |
1,518 |
(721) |
797 |
(6) |
|
(727) |
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 financial instruments |
Specific allowances and provisions |
Collective allowances |
Total allowances and provisions 30.6.16 |
Write-offs for the six months ended 30.6.16 |
Total allowances and provisions 31.12.15 |
Sovereigns |
14 |
(15) |
0 |
(15) |
0 |
(14) |
Banks |
7 |
(3) |
0 |
(3) |
0 |
(6) |
Corporates |
1,179 |
(585) |
0 |
(585) |
(42) |
(589) |
Central Counterparties |
0 |
0 |
0 |
0 |
0 |
0 |
Retail |
|
|
|
|
|
|
Residential mortgages |
111 |
(36) |
0 |
(36) |
0 |
(40) |
Lombard lending |
59 |
(17) |
0 |
(17) |
(1) |
(47) |
Qualifying revolving other retail exposures |
23 |
(16) |
0 |
(16) |
(4) |
(17) |
Other retail |
39 |
(8) |
0 |
(8) |
(1) |
(9) |
Non-allocated segment |
0 |
0 |
(11) |
(11) |
0 |
(6) |
Total 30.6.16 |
1,431 |
(679) |
(11) |
(691) |
(49) |
|
Total 31.12.15 |
1,518 |
(721) |
(6) |
|
|
(727) |
|
27
Basel III Pillar 3 First Half 2016 report
Table 14: Changes in allowances and provisions
This table outlines the movements in the specific and collective allowances and provisions for credit losses for impaired assets.
® Refer to “Note 12 Allowances and provisions for credit losses” in the “Consolidated financial statements” section of our Annual Report 2015 for more information
CHF million |
Specific allowances and provisions for banking products and securities financing |
Collective allowances |
For the six months ended 30.6.16 |
For the year ended 31.12.15 |
Balance at the beginning of the period |
721 |
6 |
727 |
735 |
Write-offs / usage of provisions |
(48) |
(1) |
(49) |
(164) |
Recoveries |
8 |
0 |
8 |
48 |
Increase / (decrease) recognized in the income statement |
3 |
6 |
9 |
117 |
Foreign currency translations |
(10) |
0 |
(10) |
(11) |
Other |
6 |
|
6 |
2 |
Balance at the end of the period |
679 |
11 |
691 |
727 |
Table 15: Total actual and expected credit losses
The table below provides a breakdown of expected loss estimates on our credit exposures (covering banking and traded products) and actual losses recognized in our income statement, broken down by exposure segments. Both expected and actual losses relate to defaulted and non-defaulted counterparties, include specific credit valuation adjustments on derivatives and are presented net of recoveries.
Although such a comparison may provide some insight, the comparison between expected and actual losses has limitations and the two measures are not directly comparable. For example, our estimates of expected loss are calibrated on a through the cycle basis, taking into account observed losses over a prolonged historical period. In contrast, the actual loss figures presented are a point in time view of our credit loss expenses, equal to the amount recognized in the income statement in a specific financial period. Moreover, the estimated expected loss at the start of the period assumes that the portfolio will be unchanged throughout the coming year. In reality, the portfolio composition changes on an ongoing basis, affecting the actual loss experience.
® Refer to the “Risk management and control” section of our Annual Report 2015 and “Note 12 Allowances and provisions for credit losses” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on the impaired, default and credit loss-related disclosures
28
Derivatives credit risk
This table provides an overview of our credit risk exposures arising from derivatives. Exposures are provided based on the balance sheet carrying values of derivatives as well as regulatory net credit risk exposures. The net balance sheet credit exposure differs from the regulatory net credit risk exposures because of differences in valuation methods, netting and collateral deductions used for accounting and regulatory capital purposes. Net current credit risk exposure is derived from gross positive replacement values which reflect the balance sheet carrying values of derivatives after netting and eligible financial collateral, where an enforceable Master Netting Agreement is in place. Regulatory net credit exposure is calculated using our internal models or the supervisory approach.
® Refer to “Note 14 Derivative instruments and hedge accounting” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on derivative instruments
29
Basel III Pillar 3 First Half 2016 report
Other credit risk information
Our derivatives trading is predominantly conducted on a collateralized basis. This means that our mark-to-market exposures arising from derivatives activities with collateralized counterparties are typically closed out in full or reduced to nominal levels on a regular basis by the use of collateral.
Over-the-counter (OTC) derivatives trading
with counterparties is typically conducted under an International Swaps and
Derivatives Association (ISDA) master netting agreement. Credit exposures to
those counterparties from credit default swaps (CDS), together with exposures
from other OTC derivatives, are netted and included in the calculation of
the collateral that is required to be posted. In many cases, agreements may
additionally require one or both parties to post initial margin.
We receive collateral from or post collateral to our counterparties based on our open net receivable or net payable from OTC derivative activities. Under the terms of the ISDA master agreement and similar agreements, this collateral, which generally takes the form of cash or highly liquid debt securities, is available to cover any amounts due under those derivative transactions.
This table provides an overview of the notional amount of credit derivatives, including those used to manage risks within our banking and trading books. Notional amounts of credit derivatives do not include any netting benefits. For capital underpinning of the counterparty credit risk of derivative positions, the effective EPE or exposure according to current exposure method is applied. Notional amounts are reported based on the regulatory scope of consolidation.
Measured on a notional basis, our counterparties for buying and selling protection are mainly banks and central counterparties and to a lesser extent broker-dealers.
® Refer to “Note 14 Derivative instruments and hedge accounting” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on credit derivatives by instrument and counterparty
|
|
Regulatory banking book |
|
Regulatory trading book |
|
Total |
|||||
Notional amounts, CHF million |
|
Protection bought |
Protection sold |
Total |
|
Protection bought |
Protection sold |
Total |
|
30.6.16 |
31.12.15 |
Credit default swaps |
|
9,989 |
338 |
10,327 |
|
143,884 |
140,837 |
284,721 |
|
295,049 |
318,365 |
Total rate of return swaps |
|
2,714 |
0 |
2,714 |
|
4,053 |
497 |
4,550 |
|
7,264 |
9,085 |
Options and warrants |
|
0 |
0 |
0 |
|
4,175 |
54 |
4,230 |
|
4,230 |
4,280 |
Total 30.6.16 |
|
12,703 |
338 |
13,041 |
|
152,113 |
141,388 |
293,501 |
|
306,542 |
|
Total 31.12.15 |
|
13,463 |
369 |
13,832 |
|
162,938 |
154,959 |
317,897 |
|
|
331,729 |
30
Equity instruments in the banking book
The regulatory capital view for equity instruments in the banking book differs from the IFRS view, primarily due to:
– Differences in the basis of valuation, for example, financial assets available for sale are subject to fair value accounting under IFRS but for regulatory capital purposes the “lower of cost or market” or “cost less impairment” concept is applied.
– Certain instruments which are held as debt investments on the IFRS balance sheet, mainly investment fund units, are treated as equity instruments for regulatory capital purposes.
– Certain instruments that are held as trading portfolio assets on the IFRS balance sheet, but are not part of the regulatory VaR framework, are included as equity instruments in the banking book for regulatory capital purposes.
– Differences in the scope of consolidation.
® Refer to the “Scope of regulatory consolidation” section of this report for more information
The table below shows the different equity instruments categories held in the banking book on the basis of amounts recognized under IFRS, followed by the regulatory capital adjustment amount. This adjustment considers those situations where the treatment under IFRS and regulatory capital guidance differ, resulting in the total regulatory equity instruments exposure under the BIS framework, the corresponding RWA and the capital requirement.
The table also shows net realized gains and losses and unrealized revaluation gains relating to equity instruments.
31
Basel III Pillar 3 First Half 2016 report
Market risk
The information presented in this section provides details on our regulatory value-at-risk and related backtesting exceptions, stressed value-at-risk, incremental risk charge and comprehensive risk measure. The “Risk management and control” section of our annual report provides additional information on market risk-related disclosures.
® Refer to “ Market risk ” in the “ Risk management and control ” section of our Annual Report 2015
Table 19: Regulatory value-at-risk (10-day, 99% confidence, five years of historical data) by business division and Corporate Center unit and general market risk type¹
32
Table 20: Group: backtesting regulatory value-at-risk (1-day, 99% confidence, five years of historical data)
|
|
For the six months ended 30.6.16 |
|
For the year ended 31.12.15 |
||||||
CHF million |
|
Min. |
Max. |
Average |
30.6.16 |
|
Min. |
Max. |
Average |
31.12.15 |
Group |
|
14 |
25 |
18 |
17 |
|
14 |
35 |
21 |
18 |
Backtesting of VaR
For backtesting purposes, we compute backtesting VaR using a 99% confidence level and one-day holding period for the population included within regulatory VaR. The backtesting process compares backtesting VaR calculated on positions at the close of each business day with the revenues generated by those positions on the following business day. Backtesting revenues exclude non-trading revenues, such as fees and commissions and revenues from intraday trading, to ensure a like-for-like comparison. A backtesting exception occurs when backtesting revenues are negative and the absolute value of those revenues is greater than the previous day’s backtesting VaR.
There were five new Group VaR negative backtesting exceptions during the first six months of 2016. This brought the total number of negative exceptions within a 250-business-day window to nine, increasing the FINMA VaR multiplier for the market risk RWA calculation from 3.0 to 3.85. We have investigated the cause of each of the backtesting exceptions and identified several factors which contributed to the increase in the number of occurrences. In particular, with market risk being managed at such low levels of VaR, the impact of these factors on the backtesting results became relatively more significant, contributing to the higher frequency of exceptions.
– The increase in market volatility relative to the volatility in the historical five-year time series led to daily profit and loss exceeding that predicted by the VaR model. Significant market volatility following the UK referendum on EU membership was also a factor in the most recent backtesting exception.
– Adjustments to trading revenues arising from non-daily marking or valuation processes can result in the recognition of profits and losses disconnected from the previous day’s backtesting VaR. We have ongoing initiatives to reduce such adjustments.
– Profit and loss on risks accounted for in the capital underpinning of risks-not-in-VaR (RniV) is captured in the backtesting revenue even though the risks are not covered by the VaR model. We continue to focus on extending the VaR model to better capture these risks.
33
Basel III Pillar 3 First Half 2016 report
Given the factors outlined above, combined with a review of the VaR model to confirm that it is performing consistent with its design and expectations considering the current risk profile and the market behavior, we do not believe that the recent increase in the number of negative backtesting exceptions indicates a deficiency in our VaR model.
The histogram “Investment Bank and Corporate Center – Non-core and Legacy Portfolio daily revenue distribution” shows the daily revenue distribution for the Investment Bank and Corporate Center – Non-core and Legacy Portfolio for the first six months of 2016. This includes, in addition to backtesting revenues, revenues such as commissions and fees, revenues from intraday trading and own credit.
Table 21: Stressed value-at-risk (10-day, 99% confidence, historical data from 1 January 2007 to present) by business division and Corporate Center unit and general market risk type¹
34
|
|
For the six months ended 30.6.16 |
|
For the year ended 31.12.15 |
||||||
CHF million |
|
Min. |
Max. |
Average |
30.6.16 |
|
Min. |
Max. |
Average |
31.12.15 |
Total comprehensive risk measure, Group |
|
4 |
11 |
7 |
5 |
|
4 |
12 |
8 |
5 |
35
Basel III Pillar 3 First Half 2016 report
Securitization
This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the Basel III framework. Securitized exposures are generally risk weighted, based on their external ratings. This section also provides details of the regulatory capital requirement associated with these exposures.
In a traditional securitization, a pool of loans (or other debt obligations) is typically transferred to structured entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of loans. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained, but associated credit risk is transferred to structured entities typically through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.
We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which are then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party investors. As sponsor, we manage, provide financing or advise securitization programs. In line with the Basel framework, sponsoring includes underwriting, that is, placing securities in the market. In all other cases, we act in the role of investor by taking securitization positions.
RWA attributable to securitization positions decreased to CHF 1.1 billion as of 30 June 2016 from CHF 1.4 billion as of 31 December 2015. Banking book RWA in Corporate Center – Non-core and Legacy Portfolio, decreased by CHF 0.2 billion, mainly due to early redemption of other asset backed securities. Trading book RWA decreased by CHF 0.1 billion due to residential and commercial mortgage-related positions.
® Refer to “Note 30 Interests in subsidiaries and other entities” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on structured entities
® Refer to the “Corporate Center” section of our second quarter 2016 report for more information on RWA by portfolio composition and exposure category
|
|
30.6.16 |
|
31.12.15 |
||||||
CHF million |
|
Gross EAD |
Net EAD |
RWA |
Capital requirement |
|
Gross EAD |
Net EAD |
RWA |
Capital requirement |
Securitization/resecuritization in the banking book |
|
3,254 |
3,254 |
544 |
78 |
|
4,207 |
4,207 |
707 |
89 |
CC – Non-core and Legacy Portfolio |
|
691 |
691 |
164 |
23 |
|
1,089 |
1,089 |
319 |
40 |
Other business divisions¹ |
|
2,562 |
2,562 |
381 |
55 |
|
3,119 |
3,119 |
388 |
49 |
Securitization/resecuritization in the trading book |
|
1,170 |
1,170 |
598 |
86 |
|
1,263 |
1,263 |
672 |
85 |
CC – Non-core and Legacy Portfolio |
|
959 |
959 |
475 |
68 |
|
925 |
925 |
518 |
65 |
Other business divisions¹ |
|
211 |
211 |
123 |
18 |
|
338 |
338 |
154 |
19 |
1 Mainly reflecting exposures in the Investment Bank. |
|
|
|
|
|
|
|
|
|
|
36
Objectives, roles and involvement
Securitization in the banking book
Securitization positions held in the banking book include tranches of synthetic securitization of loan exposures. These were primarily hedging transactions executed by synthetically transferring credit risk. In addition, securitization in the banking book includes legacy risk positions in Corporate Center – Non-core and Legacy Portfolio.
In the first half of 2016, we acted in the roles of both originator and sponsor. As originator, we sold originated commercial mortgage loans into securitization programs. As sponsor, we managed or advised securitization programs and helped to place the securities in the market. Refer to “Table 25: Securitization activity for the period in the banking book ” for an overview of our originating and sponsoring activities in the first half of 2016 and for the full year 2015.
Securitization and resecuritization positions in the banking book are measured either at fair value or at amortized cost less impairment. The impairment assessment for a securitized position is generally based on the net present value of future cash flows expected from the underlying pool of assets.
Securitization in the trading book
Securitizations, including correlation products, held in the trading book are part of the trading activities, which typically include market-making and client facilitation. The trading book includes positions in our correlation book and legacy positions in leveraged super senior tranches. In the trading book, securitization and resecuritization positions are measured at fair value, reflecting market prices where available or are based on our internal pricing models.
In the first half of 2016, we acted in the role of sponsor where we managed or advised securitization programs and helped to place the securities in the market. Refer to “Table 26: Securitization activity for the period in the trading book” for an overview of our sponsoring activities in the first half of 2016 and for the full year 2015.
Type of structured entities and
affiliated entities involved in
the securitization transactions
For the securitization of third-party exposures, the type of structured entities employed is selected as appropriate based on the type of transaction undertaken. Examples include limited liability companies, common law trusts and depositor entities.
We also manage or advise significant groups of affiliated entities that invest in exposures we have securitized or in structured entities that we sponsor.
® Refer to “Note 30 Interests in subsidiaries and other entities” in the “Consolidated financial statements” section of our Annual Report 2015 for more information on structured entities
® Refer to the “Corporate Center” section of our second quarter 2016 report for more information on RWA by portfolio composition and exposure category
Managing and monitoring of the credit and market risk of securitization positions
The banking book securitization and resecuritization portfolio is subject to specific risk monitoring, which may include interest rate and credit spread sensitivity analysis, as well as inclusion in firm-wide earnings-at-risk, capital-at-risk and combined stress test metrics.
The trading book securitization and resecuritization positions are also subject to multiple risk limits, such as management VaR and stress limits as well as market value limits. As part of managing risks within predefined risk limits, traders may utilize hedging and risk mitigation strategies. Hedging may, however, expose the firm to basis risks as the hedging instrument and the position being hedged may not always move in parallel. Such basis risks are managed within the overall limits. Any retained securitization from origination activities and any purchased securitization positions are governed by risk limits together with any other trading positions. Legacy trading book securitization exposure is subject to the same management VaR limit framework. Additionally, risk limits are used to control the unwind, novation and asset sales process on an ongoing basis.
Regulatory capital treatment of securitization structures
Generally, in both the banking and the trading book we apply the ratings-based approach to securitization positions using ratings, if available, from Standard & Poor’s, Moody’s Investors Service and Fitch Ratings for all securitization and resecuritization exposures. The selection of the External Credit Assessment Institutions (ECAI) is based on the primary rating agency concept. This concept is applied, in principle, to avoid having the credit assessment by one ECAI applied to one or more tranches and another ECAI for the other tranches, unless this is the result of the application of the specific rules for multiple assessments. If any two of the aforementioned rating agencies have issued a rating for a particular position, we would apply the lower of the two credit ratings. If all three rating agencies have issued a rating for a particular position, we would apply the middle of the three credit ratings. Under the ratings-based approach, the amount of capital required for securitization and resecuritization exposures in the banking book is capped at the level of the capital requirement that would have been assessed against the underlying assets had they not been securitized. This treatment has been applied in particular to the US and European reference-linked note programs. For the purposes of determining regulatory capital and the Pillar 3 disclosure for these positions, the underlying exposures are reported under the standardized approach, the advanced internal ratings-based approach or the securitization approach, depending on the category of the underlying security. If the underlying security is reported under the standardized approach or the advanced internal ratings-based approach, the related positions are excluded from the tables on the following pages.
37
Basel III Pillar 3 First Half 2016 report
The supervisory formula approach is applied to synthetic securitizations of portfolios of counterparty credit risk inherent in derivatives and loan exposures for which an external rating was not sought. The supervisory formula approach is also applied to leveraged super senior tranches.
In the trading book, the comprehensive risk measure is used for the correlation portfolio as defined by Basel III requirements. This measure broadly covers securitizations of liquid corporate underlying assets as well as associated hedges that are not necessarily securitizations, for example, single-name credit default swaps and credit default swaps on indices.
We do not apply the concentration ratio approach or the internal assessment approach to securitization positions.
The counterparty risk of interest rate or foreign currency derivatives with securitization vehicles is treated under the advanced internal ratings-based approach and is therefore not part of this disclosure.
Accounting policies
Refer to “Note 1 Summary of significant accounting policies” in the “Consolidated financial statements” section of our Annual Report 2015 for information on accounting policies that relate to securitization activities, primarily “Note 1a item 3 Subsidiaries and structured entities” and “Note 1a item 12 Securitization structures set up by UBS.”
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 as of the balance sheet date or if a pricing of a transaction has been fixed. Exposures intended to be securitized continue to be valued in the same way until such time as the securitization transaction takes place.
Presentation principles
It is our policy to present Pillar 3 disclosures for securitization transactions and balances in line with the capital adequacy treatments which were applied under Pillar 1 in the respective period presented.
We do not amend comparative prior-period numbers for presentational changes triggered by new and revised information from third-party data providers, as long as the updated information does not impact the Pillar 1 treatments of prior periods.
Good practice guidelines
Disclosures within this section consider the “Industry good practice guidelines on Pillar 3 disclosure requirement for securitization” as published by the European Banking Federation, the Association for Financial Markets in Europe, the European Savings Banks Group and the European Association of Public Banks and Funding Agencies.
Securitization exposures in the banking and trading book
Tables 25 and 26 outline the exposures measured as the transaction size we securitized at inception in the banking and trading book in the first half of 2016 and in full year 2015. The activity is further broken down by our role (originator / sponsor) and by type (traditional / synthetic).
Amounts disclosed under the “Traditional” column of these tables reflect the total outstanding notes at par value issued by the securitization vehicle at issuance. For synthetic securitization transactions, the amounts disclosed generally reflect the balance sheet carrying values of the securitized exposures at issuance.
For securitization transactions where we acted as originator, exposures are split into two parts: those in which we have retained securitization positions and / or continue to be involved on an ongoing basis (for example credit enhancement or implicit support), and those in which we do not have retained securitization positions and / or have no further involvement.
Where we acted as both originator and sponsor to a securitization, originated assets are reported under Originator and the total amount of the underlying assets securitized is reported under Sponsor. Therefore, as of 30 June 2016 and 31 December 2015, amounts of CHF 1.0 billion and CHF 2.8 billion, respectively, were included in “Table 25: Securitization activity for the period in the banking book ” and in “Table 26: Securitization activity for the period in the trading book ” under both Originator and Sponsor.
38
|
|
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 |
|
482 |
477 |
|
|
|
|
17 |
|
1,508 |
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
Resecuritizations |
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.16 |
|
482 |
477 |
|
0 |
0 |
|
17 |
|
1,508 |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
973 |
1,784 |
|
|
|
|
51 |
|
7,891 |
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
Resecuritizations |
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
2,718 |
|
|
|
|
|
|
Total 31.12.15 |
|
973 |
1,784 |
|
2,718 |
0 |
|
51 |
|
7,891 |
0 |
39
Basel III Pillar 3 First Half 2016 report
Table 26: Securitization activity for the period in the trading book
In full year 2015, we had no securitization activity in the trading book.
40
This table outlines the outstanding transaction size of securitization exposures which we have originated / sponsored and retained securitization positions at the balance sheet date in the banking or trading book and / or are otherwise involved on an ongoing basis, for example through the provision of credit enhancement or implicit support.
Amounts disclosed under the "Traditional" column in this table reflect the total outstanding notes at par value issued by the securitization vehicle. For synthetic securitization transactions, we generally disclose the balance sheet carrying values of the exposures securitized or, for hybrid structures, the outstanding notes at par value issued by the securitization vehicle.
The table also includes securitization activities conducted in the first half of 2016 and full year 2015 in which we retained and / or purchased positions. These are also provided in “Table 25: Securitization activity for the period in the banking book. ” Where no positions were retained, the outstanding transaction size is only disclosed in the year of inception for originator transactions.
All values in this table are as of the balance sheet date.
41
Basel III Pillar 3 First Half 2016 report
Table 28: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book
This table provides a breakdown of the outstanding impaired or past due exposures at the balance sheet date as well as losses recognized in our income statement for transactions in which we acted as originator or sponsor in the banking book. Losses are reported after taking into account the offsetting effects of any credit protection from eligible risk mitigation instruments under the Basel III framework for the retained or purchased positions.
Where we did not retain positions, impaired or past due information is only reported in the year of inception of a transaction. Where available, past due information is derived from investor reports. Past due is generally defined as delinquency above 60 days. Where investor reports do not provide this information, alternative methods have been applied, which may include an assessment of the fair value of the retained position or reference assets, or identification of any credit events.
|
|
30.6.16 |
|
31.12.15 |
||||||||
|
|
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 |
|
|
|
|
10 |
|
|
|
|
|
13 |
|
Commercial mortgages |
|
|
|
|
72 |
|
|
|
|
|
36 |
1 |
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
0 |
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
5 |
|
|
|
|
|
6 |
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
Resecuritizations |
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
2 |
|
|
|
|
|
2 |
|
|
0 |
Total |
|
0 |
2 |
|
87 |
0 |
|
0 |
2 |
|
55 |
2 |
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.
|
|
30.6.16 |
|
31.12.15 |
||
CHF million |
|
Banking book |
Trading book |
|
Banking book |
Trading book |
Residential mortgages |
|
|
|
|
|
|
Commercial mortgages |
|
139 |
|
|
323 |
|
Credit card receivables |
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
Resecuritizations |
|
|
|
|
|
|
Other |
|
|
|
|
|
|
Total |
|
139 |
0 |
|
323 |
0 |
42
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.
43
Basel III Pillar 3 First Half 2016 report
This table provides a breakdown of securitization positions we purchased or retained in the trading book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction. Gross long and gross short amounts reflect the positions prior to the eligible offsetting of cash and derivative positions. Net long and net short amounts are the result of offsetting cash and derivative positions to the extent eligible under the Basel III framework. The amounts disclosed are either the fair value or, in the case of derivative positions, the aggregate of the notional amount and the associated replacement value at the balance sheet date.
44
Table 32a: Capital requirement for securitization / resecuritization positions retained or purchased in the banking book
Tables 32a to 32c provide the capital requirements for securitization and resecuritization positions we purchased or retained in the banking book, irrespective of our role in the securitization transaction, split by risk weight bands and regulatory capital approach. We use three FINMA-recognized ECAI for this purpose: Fitch Ratings, Moody’s Investors Service and Standard & Poor’s.
Table 32b: Securitization / resecuritization exposures treated under the ratings-based approach by rating clusters – banking book
Table 32c : Securitization / resecuritization exposures treated under the supervisory formula approach by rating clusters – banking book
|
|
30.6.16 |
|
31.12.15 |
||
CHF million |
|
Exposure amount |
Capital charge |
|
Exposure amount |
Capital charge |
over 0–20% |
|
2,581 |
25 |
|
3,247 |
28 |
over 20–35% |
|
|
|
|
68 |
1 |
1,250% |
|
16 |
29 |
|
15 |
23 |
Total |
|
2,597 |
54 |
|
3,329 |
52 |
45
Basel III Pillar 3 First Half 2016 report
Gains on sale – securitization exposures to be deducted from Swiss SRB tier 1 capital
In the first half of 2016 and in full year 2015, we did not commit to purchase or retain a significant exposure relating to securitization originated by UBS for which we have recorded gains on sale that would require deduction from Swiss SRB tier 1 capital.
In the first half of 2016 and in full year 2015, we did not retain any securitization structures in the banking and trading book that are subject to early amortization treatment.
Resecuritization positions retained or purchased in the banking book
As of 30 June 2016, we had not retained or purchased material resecuritization positions in the banking book.
The table below outlines resecuritization
positions retained or purchased subject to the securitization framework for
specific market risk held in the trading book on a gross long and gross short
basis, including synthetic long and short positions resulting from derivative
transactions. It also includes positions on a net
long and net short basis, that is, gross long and short positions after
offsetting to the extent such offsetting is eligible under the Basel III
framework. As of 30 June 2016, none of the retained or purchased trading book
resecuritization positions had an integrated insurance wrapper
.
CHF million |
Gross long |
Gross short |
Net long |
Net short |
Total 30.6.16 |
31 |
14 |
7 |
1 |
Total 31.12.15 |
48 |
19 |
9 |
1 |
Outstanding notes issued by securitization vehicles related to UBS’s retained exposures subject to the market risk approach
Refer to the “Trading Book” information in “Table 27: Outstanding securitized exposures” in this report. In the first half of 2016 and in full year 2015, there was no origination activity for securitization vehicles in the trading book.
46
Table 34: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk
This table outlines products in the correlation portfolio that we retained or purchased in the trading book, irrespective of our role in the securitization transaction. They are subject to either the comprehensive risk measure or the securitization framework for specific risk. Correlation products subject to the securitization framework are leveraged super senior positions. The values disclosed are market values for cash positions, and replacement values and notional values for derivative positions. Derivatives are split by positive replacement value and negative replacement value. For positions subject to the comprehensive risk measure, the decrease in notional values related to positive and negative replacement values resulted mainly from trades maturing during the period. The increase in notional values for products subject to the securitization framework is due to currency movements.
|
|
Cash positions |
|
Derivative positions |
||||||
CHF million |
|
Assets |
|
Liabilities |
|
Assets |
|
Liabilities |
||
30.6.16 |
|
Market value |
|
Market value |
|
Positive replacement value |
Positive replacement value notionals |
|
Negative replacement value |
Negative replacement value notionals |
Positions subject to comprehensive risk measure |
|
64 |
|
477 |
|
43 |
1,309 |
|
255 |
1,855 |
Positions subject to securitization framework¹ |
|
|
|
|
|
|
2,679 |
|
|
2,679 |
|
|
|
|
|
|
|
|
|
|
|
31.12.15 |
|
|
|
|
|
|
|
|
||
Positions subject to comprehensive risk measure |
|
59 |
|
481 |
|
60 |
1,371 |
|
305 |
2,011 |
Positions subject to securitization framework¹ |
|
|
|
|
|
|
2,569 |
|
|
2,569 |
1 Includes leveraged super senior tranches. |
Table 35a: Securitization positions and capital requirement for trading book positions subject to the securitization framework
Tables 35a–35c outline securitization positions we purchased or retained and the capital requirement in the trading book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction, broken down by risk weight bands and regulatory capital approach. The amounts disclosed for securitization positions are market values at the balance sheet date after eligible netting under the Basel III framework.
47
Basel III Pillar 3 First Half 2016 report
Table 35b: Securitization / resecuritization exposures treated under the ratings-based approach by rating clusters – trading book
|
|
30.6.16 |
|
31.12.15 |
||
CHF million |
|
Exposure amount |
Capital requirement |
|
Exposure amount |
Capital requirement |
AAA |
|
142 |
3 |
|
224 |
4 |
AA |
|
18 |
0 |
|
40 |
1 |
A+ |
|
|
|
|
|
|
A |
|
|
|
|
4 |
0 |
A– |
|
4 |
0 |
|
37 |
2 |
BBB+ |
|
0 |
0 |
|
9 |
1 |
BBB |
|
|
|
|
1 |
0 |
BBB– |
|
33 |
5 |
|
16 |
2 |
BB+ |
|
0 |
0 |
|
0 |
0 |
BB |
|
12 |
7 |
|
5 |
3 |
BB– |
|
|
|
|
0 |
0 |
Below BB– /unrated |
|
24 |
44 |
|
32 |
50 |
Total |
|
234 |
59 |
|
369 |
62 |
Table 35c: Securitization / resecuritization exposures treated under the supervisory formula approach by rating clusters – trading book
|
|
30.6.16 |
|
31.12.15 |
||
CHF million |
|
Exposure amount |
Capital requirement |
|
Exposure amount |
Capital requirement |
over 0–20% |
|
936 |
27 |
|
894 |
23 |
Total |
|
936 |
27 |
|
894 |
23 |
This table outlines the capital requirement for securitization positions in the trading book for correlation products, including positions subject to the comprehensive risk measure and positions related to leveraged super senior positions and certain resecuritized corporate credit exposure positions subject to the securitization framework. Our model does not distinguish between “default risk,” “migration risk” and “correlation risk.”
|
|
30.6.16 |
|
31.12.15 |
CHF million |
|
Capital requirement |
|
Capital requirement |
Positions subject to comprehensive risk measure |
|
14 |
|
11 |
Positions subject to securitization framework¹ |
|
27 |
|
23 |
Total |
|
41 |
|
34 |
1 Leveraged super senior tranches. |
|
|
|
|
48
Balance sheet reconciliation
Table 37 : Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
The table below provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by BIS and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in “Table 38: Composition of capital.”
® Refer to the “Introduction” section of this report for more information
|
Balance sheet in accordance with IFRS scope of consolidation |
Effect of deconsolidated entities for regulatory consolidation |
Effect of additional consolidated entities for regulatory consolidation |
Balance sheet in accordance with regulatory scope of consolidation |
References¹ |
CHF million |
30.6.16 |
|
|
|
|
Assets |
|
|
|
|
|
Cash and balances with central banks |
94,246 |
|
|
94,246 |
|
Due from banks |
12,964 |
(259) |
|
12,704 |
|
Loans |
306,881 |
56 |
|
306,936 |
|
Cash collateral on securities borrowed |
29,367 |
|
|
29,367 |
|
Reverse repurchase agreements |
73,289 |
|
|
73,289 |
|
Trading portfolio assets |
101,217 |
(14,651) |
|
86,566 |
|
Positive replacement values |
198,441 |
24 |
|
198,464 |
|
Cash collateral receivables on derivative instruments |
29,955 |
|
|
29,955 |
|
Financial assets designated at fair value |
64,241 |
|
|
64,241 |
|
Financial assets available for sale |
18,211 |
(33) |
|
18,178 |
|
Financial assets held to maturity |
4,798 |
|
|
4,798 |
|
Consolidated participations |
0 |
116 |
|
116 |
|
Investments in associates |
950 |
|
|
950 |
|
of which: goodwill |
344 |
|
|
344 |
4 |
Property, equipment and software |
7,967 |
(74) |
|
7,893 |
|
Goodwill and intangible assets |
6,402 |
|
|
6,402 |
|
of which: goodwill |
6,125 |
|
|
6,125 |
4 |
of which: intangible assets |
277 |
|
|
277 |
5 |
Deferred tax assets |
12,154 |
(1) |
|
12,152 |
|
of which: deferred tax assets recognized for tax loss carry-forwards |
7,214 |
(1) |
|
7,213 |
9 |
of which: deferred tax assets on temporary differences |
4,940 |
0 |
|
4,939 |
12 |
Other assets |
28,314 |
(330) |
1 |
27,984 |
|
of which: net defined benefit pension and other post-employment assets |
99 |
|
|
99 |
10 |
Total assets |
989,397 |
(15,155) |
1 |
974,243 |
|
49
Basel III Pillar 3 First Half 2016 report
Table 37 : Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
50
Composition of capital
The table on the next pages provides the “Composition of capital” as defined by the Basel Committee on Banking Supervision (BCBS) and FINMA. The naming convention does not always reflect the UBS naming convention. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in “Table 37: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.” Where relevant, the effect of phase-in arrangements is disclosed as well.
An overview of the main features of our regulatory capital instruments, as well as the full terms and conditions, are published under “Bondholder information” at www.ubs.com/investors .
® Refer to “Bondholder information” at www.ubs.com/investors for more information on the capital instruments of UBS Group AG and UBS AG on a consolidated and on a standalone basis
® Refer to “UBS Switzerland AG (standalone) regulatory information,” in “Disclosure for subsidiaries and branches” at www.ubs.com/investors , for more information on the capital instruments of UBS Switzerland AG
51
Basel III Pillar 3 First Half 2016 report
|
|
Numbers phase-in |
Effect of the transition phase |
References¹ |
CHF million, except where indicated |
30.6.16 |
30.6.16 |
|
|
1 |
Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus |
28,245 |
|
1 |
2 |
Retained earnings |
30,457 |
|
2 |
3 |
Accumulated other comprehensive income (and other reserves) |
(5,954) |
|
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) |
|
|
|
6 |
Common equity tier 1 capital before regulatory adjustments |
52,748 |
|
|
7 |
Prudential valuation adjustments |
(63) |
|
|
8 |
Goodwill, net of tax, less hybrid capital and additional tier 1 capital² |
(3,847) |
(2,565) |
4 |
9 |
Intangible assets, net of tax² |
(272) |
|
5 |
10 |
Deferred tax assets recognized for tax loss carry-forwards³ |
(4,619) |
(3,079) |
9 |
11 |
Unrealized (gains) / losses from cash flow hedges, net of tax |
(2,332) |
|
11 |
12 |
Expected losses on advanced internal ratings-based portfolio less general provisions |
(349) |
|
|
13 |
Securitization gain on sale |
|
|
|
14 |
Own credit related to financial liabilities designated at fair value, net of tax, and replacement values |
(390) |
|
|
15 |
Defined benefit plans |
(59) |
(40) |
10 |
16 |
Compensation and own shares-related capital components (not recognized in net profit) |
(1,348) |
|
|
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)⁴ |
(822) |
(1,116) |
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 |
(339) |
|
|
26b |
Other deductions |
(1,242) |
|
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 |
(15,684) |
(6,800) |
|
29 |
Common equity tier 1 capital (CET1) |
37,064 |
(6,800) |
|
52
Table 38: Composition of capital (continued)
|
|
Numbers phase-in |
Effect of the transition phase |
References¹ |
CHF million, except where indicated |
30.6.16 |
30.6.16 |
|
|
30 |
Directly issued qualifying additional tier 1 instruments plus related stock surplus |
7,785 |
|
|
31 |
of which: classified as equity under applicable accounting standards |
|
|
|
32 |
of which: classified as liabilities under applicable accounting standards⁵ |
7,785 |
|
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) |
649 |
(649) |
6 |
35 |
of which: instruments issued by subsidiaries subject to phase-out |
649 |
(649) |
|
36 |
Additional tier 1 capital before regulatory adjustments |
8,434 |
(649) |
|
37 |
Investments in own additional tier 1 instruments |
|
|
|
38 |
Reciprocal crossholdings in additional tier 1 instruments |
|
|
|
38a |
Qualifying interest where a controlling influence is exercised together with other owner (AT1 instruments) |
|
|
|
38b |
Holdings in companies which are to be consolidated (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 |
(2,565) |
2,565 |
|
42 |
Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions |
|
|
|
|
Tier 1 adjustments on impact of transitional arrangements |
(2,565) |
2,565 |
|
|
of which: prudential valuation adjustment |
|
|
|
|
of which: own CET1 instruments |
|
|
|
|
of which: goodwill net of tax, offset against hybrid capital and low-trigger loss-absorbing capital |
(2,565) |
2,565 |
|
|
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 |
(2,565) |
2,565 |
|
44 |
Additional tier 1 capital (AT1) |
5,870 |
1,916 |
|
45 |
Tier 1 capital (T1 = CET1 + AT1) |
42,934 |
(4,885) |
|
46 |
Directly issued qualifying tier 2 instruments plus related stock surplus⁶ |
11,332 |
|
7 |
47 |
Directly issued capital instruments subject to phase-out from tier 2⁶ |
742 |
(742) |
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 |
12,074 |
(742) |
|
53
Basel III Pillar 3 First Half 2016 report
Table 38: Composition of capital (continued)
|
|
Numbers phase-in |
Effect of the transition phase |
References¹ |
CHF million, except where indicated |
30.6.16 |
30.6.16 |
|
|
52 |
Investments in own tier 2 instruments⁶ |
(3) |
1 |
7, 8 |
53 |
Reciprocal cross holdings in tier 2 instruments |
|
|
|
53a |
Qualifying interest where a controlling influence is exercised together with other owner (tier 2 instruments) |
|
|
|
53b |
Investments to be consolidated (tier 2 instruments) |
|
|
|
54 |
Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above the 10% threshold) |
|
|
|
55 |
Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
|
56 |
National specific regulatory adjustments |
|
|
|
56a |
Excess of the adjustments which are allocated to the additional tier 1 capital |
|
|
|
57 |
Total regulatory adjustments to tier 2 capital |
(3) |
1 |
|
58 |
Tier 2 capital (T2) |
12,072 |
(741) |
|
|
of which: high-trigger loss-absorbing capital⁵ |
890 |
|
13 |
|
of which: low-trigger loss-absorbing capital⁶ |
10,441 |
|
7 |
59 |
Total capital (TC = T1 + T2) |
55,006 |
(5,625) |
|
|
Amount with risk weight pursuant to the transitional arrangement (phase-in) |
|
(2,831) |
|
|
of which: net defined benefit pension assets |
|
(40) |
|
|
of which: DTA on temporary differences |
|
(2,791) |
|
60 |
Total risk-weighted assets |
216,671 |
(2,831) |
|
|
Capital ratios and buffers |
|
|
|
61 |
Common equity tier 1 (as a percentage of risk-weighted assets) |
17.1 |
|
|
62 |
Tier 1 (pos 45 as a percentage of risk-weighted assets) |
19.8 |
|
|
63 |
Total capital (pos 59 as a percentage of risk-weighted assets) |
25.4 |
|
|
64 |
CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of risk-weighted assets |
8.3 |
|
|
65 |
of which: capital buffer requirement⁷ |
3.6 |
|
|
66 |
of which: bank-specific countercyclical buffer requirement |
0.2 |
|
|
67 |
of which: G-SIB buffer requirement⁷ |
0.3 |
|
|
68 |
Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets) |
17.4 |
|
|
68a–f |
Not applicable for systemically relevant banks according to FINMA RS 11/2 |
|
|
|
72 |
Non-significant investments in the capital of other financials |
762 |
|
|
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) |
5,159 |
|
|
|
Applicable caps on the inclusion of provisions in tier 2 |
|
|
|
76 |
Provisions eligible for inclusion in tier 2 in respect of exposures subject to standardized approach (prior to application of cap) |
|
|
|
77 |
Cap on inclusion of provisions in tier 2 under standardized approach |
|
|
|
78 |
Provisions eligible for inclusion in tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) |
|
|
|
79 |
Cap for inclusion of provisions in tier 2 under internal ratings-based approach |
|
|
|
1 References link the lines of this table to the respective reference numbers provided in the “References” column in “Table 37: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation." 2 The CHF 6,412 million (CHF 3,847 million and CHF 2,565 million) reported in line 8 includes goodwill on investments in associates of CHF 344 million and DTL on goodwill of CHF 56 million. The CHF 272 million reported in line 9 includes DTL on intangible assets of CHF 5 million. 3 The CHF 7,699 million (CHF 4,619 million and CHF 3,079 million) deferred tax assets recognized for tax loss carry-forwards reported in line 10 differ from the CHF 7,213 million deferred tax assets shown in the "Deferred tax assets" line in Table 37, because the latter figure is shown after the offset of deferred tax liabilities for cash flow hedge gains (CHF 427 million) and other temporary differences, which are adjusted out in line 11 and other lines of this table, respectively. 4 The CHF 1,938 million (CHF 822 million and CHF 1,116 million) deferred tax assets arising from temporary differences in line 21 differ from the CHF 4,939 million deferred tax assets on temporary differences shown in the “Deferred tax assets” line in Table 37, as the former relates only to the amount above the 10% threshold. 5 CHF 7,785 million and CHF 890 million reported in lines 32 and 58, respectively, of this table, include the following positions: CHF 4,397 million and CHF 2,411 million recognized in the "Debt issued" line in Table 37, CHF 1,209 million DCCP recognized in the "Other liabilities" line in Table 37 and CHF 658 million recognized in DCCP-related charge for regulatory capital purpose in line 16 of this table. 6 The CHF 12,074 million in line 51 includes CHF 10,441 million low-trigger loss-absorbing tier 2 capital recognized in the "Debt issued" line in Table 37, which is shown net of CHF 1 million investments in own tier 2 instruments reported in line 52 of this table and CHF 741 million phase-out capital recognized in the "Debt issued" line in Table 37, which is shown net of CHF 1 million investments in own tier 2 reported in line 52 of this table and high-trigger loss-absorbing capital of CHF 890 million reported in line 58. 7 The BCBS G-SIB requirements of 0.25% (line 67) are exceeded by our Swiss SRB capital buffer requirements (line 65) and therefore have no incremental impact on our buffer requirements. |
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Basel III capital requirements for G-SIBs
The BCBS has defined minimum Basel III capital requirements, which are being phased in from 1 January 2013 to 31 December 2018 and become fully effective on 1 January 2019. As of 30 June 2016, the minimum ratio requirements for common equity tier 1 (CET1) including capital conservation buffer and for total capital including capital conservation buffer were 5.125% and 8.625%, respectively. Moreover, global systemically important banks (G-SIBs) are subject to additional CET1 capital buffer requirements in the range from 1.0% to 3.5%. These additional buffer requirements are being phased in from 1 January 2016 to 31 December 2018 and become fully effective on 1 January 2019. The Financial Stability Board (FSB) has determined that UBS is a G-SIB, using an indicator-based methodology adopted by the BCBS. In November 2015, the FSB confirmed that, based on the year-end 2014 indicators, the relevant requirement for UBS Group is 1.0%.
BCBS requirements are minimum requirements that regulators must put in place in their respective jurisdictions. As our Swiss SRB capital requirements exceed the BCBS requirements, including the G-SIB buffer, UBS is not affected by these additional G-SIB requirements.
® Refer to the “Capital management” section of our second quarter 2016 report for more information on phase-in arrangements, regulatory requirements and differences between the Swiss SRB and BIS capital regulations
® Refer to “Pillar 3, SEC filings & other disclosures" at www.ubs.com/investors for more information on our G-SIB indicators
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Cautionary Statement | This report and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s second quarter 2016 report and its Annual Report 2015 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 on the basis of rounded figures displayed in the tables and text and may not precisely reflect the percentages, percent changes and absolute variances that would be calculated on the basis of 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. Percentage changes are presented as a mathematical calculation of the change between periods.
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 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-K’s 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 registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS GROUP AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ 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 17, 2016
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