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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 | |
---|---|---|---|---|---|---|---|---|
-0.45 | -1.68% | 26.40 | 26.57 | 26.005 | 26.29 | 1,789,015 | 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: April 23, 2018
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the Basel III Pillar 3 UBS Group AG First Quarter 2018 Report, which appears immediately following this page.
31 March 2018 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
Table of contents |
|
|
|
UBS Group AG consolidated |
|
4 |
|
8 |
Section 2 Going and gone concern requirements and eligible capital |
15 |
|
18 |
|
|
|
Significant regulated subsidiaries and sub-groups |
|
22 |
|
22 |
|
25 |
|
30 |
|
30 |
Contacts
Switchboards
For all general inquiries
www.ubs.com/contact
Zurich +41-44-234 1111
London +44-20-7568 0000
New York +1-212-821 3000
Hong Kong +852-2971 8888
Investor Relations
UBS’s Investor Relations team
supports institutional, professional and retail investors from
our offices in Zurich, London,
New York and Krakow.
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
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 UBS Group AG 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 2018. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
UBS Group AG consolidated
Scope and location of Basel III Pillar 3 disclosures
The Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for UBS Group AG on a consolidated basis, as well as prudential key figures and regulatory information for our significant regulated subsidiaries and sub-groups. These Pillar 3 disclosures are supplemented by specific additional requirements of the Swiss Financial Market Supervisory Authority (FINMA) and voluntary disclosures on our part.
As UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital information as of 31 March 2018 for UBS Group AG consolidated is provided in the “Capital management” section of our first quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors . Capital and other regulatory information as of 31 March 2018 for UBS AG consolidated is provided in the UBS AG first quarter 2018 report, which will be available as of 27 April 2018 under “Quarterly reporting” at www.ubs.com/investors .
We are also required to disclose certain regulatory information for UBS AG standalone, UBS Switzerland AG standalone and UBS Limited standalone, as well as UBS Americas Holding LLC consolidated. This information is provided under “Significant regulated subsidiaries and sub-groups” in this report.
Local regulators may also require publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors .
Significant BCBS and FINMA capital adequacy, liquidity and funding and related disclosure requirements
This report has been prepared in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016 / 01 “Disclosure – banks”), the underlying Basel Committee on Banking Supervision (BCBS) guidance “Revised Pillar 3 disclosure requirements” issued in January 2015 and related “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016. The legal entities UBS AG and UBS Switzerland AG are subject to standalone capital adequacy, liquidity and funding, and disclosure requirements defined by FINMA. This information is provided under “Significant regulated subsidiaries and sub-groups” in this report.
Changes to significant BCBS and FINMA capital adequacy, liquidity and funding and related disclosure requirements
Changes to Pillar 1 requirements
As of 1 January 2018, we are subject to the revised Basel III securitization framework, which had an immaterial effect on our risk-weighted assets (RWA).
Changes to Pillar 3 disclosure requirements
The “OV1: Overview of RWA” table has been enhanced to early adopt the revised template introduced with the second phase of revised Pillar 3 disclosure requirements to reflect changes to the abovementioned revised securitization framework.
Changes to IFRS impacting Pillar 1
Effective 1 January 2018, we adopted IFRS 9, Financial Instruments for UBS Group AG and UBS AG consolidated.
In March 2017, the BCBS finalized guidance on an interim approach for the regulatory treatment of accounting provisions and defined standards for transitional arrangements, following the introduction of IFRS 9. The BCBS confirmed that for an interim period the current treatment of accounting provisions, under both the standardized approach and the internal ratings-based approach, should continue to be applied until the longer-term treatment is confirmed. Jurisdictions may implement transitional arrangements to spread the adoption impacts over time, using either a static or a dynamic approach, including limiting the transition period to a maximum of five years. The related FINMA guidance is expected to be finalized during 2018 with an effective date of 1 January 2019. As of 1 January 2018, the common equity tier 1 (CET1) capital calculation for UBS Group AG and UBS AG consolidated include a full deduction of these effects.
The aforementioned FINMA consultation paper also included guidance related to classification and measurement changes, which we have applied for the purpose of our capital adequacy-related calculations.
Our calculations might be subject to change in accordance with the finalized FINMA guidance.
® Refer to “Note 1 Basis of accounting” of our first quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors for more information on the adoption of IFRS 9
® Refer to the “Introduction and basis for preparation” section of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors for more information
Format, frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure. We generally provide quantitative comparative information for all disclosures as of 31 December 2017. For more information on disclosure frequency, refer to the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors .
2
UBS Group AG consolidated
Our approach to measuring risk exposure and risk-weighted assets
Measures of risk exposure may differ, depending on whether the exposures are measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirement or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council.
® Refer to the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at www.ubs.com/investors for more information
RWA development in the first quarter 2018
The “OV1: Overview of RWA” table on the next page provides an overview of RWA and the related minimum capital requirements by risk type. As of 1 January 2018, we are subject to the revised Basel III securitization framework.
This table has been enhanced to early adopt the new template introduced with the second phase of revised Pillar 3 disclosure requirements to reflect changes to the abovementioned securitization framework. The template includes rows that are currently not applicable to UBS and therefore have been left empty.
During the first quarter of 2018, RWA increased by CHF 15.4 billion to CHF 253.8 billion, driven by higher market risk RWA and credit and counterparty credit risk RWA in the amount of CHF 10.1 billion and CHF 5.5 billion, respectively. These were partly offset by a CHF 1.0 billion decrease in the line Amounts below thresholds for deduction (250% risk weight), mainly driven by the additional, 2018-related, phase-in effect of capital deductions for deferred tax assets resulting in lower RWA. The flow tables on the subsequent pages provide further detail on the movements in credit risk, counterparty credit risk and market risk RWA in the first quarter of 2018. More information on capital management and RWA, including detail on movements in RWA during the first quarter of 2018, is provided on pages 57–59 of our first quarter 2018 report under “Quarterly reporting” at www.ubs.com/investors .
4
5
UBS Group AG consolidated
The “CR8: RWA flow statements of credit risk exposures under IRB” and “CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” tables below provide a breakdown of the credit risk and counterparty credit risk (CCR) RWA movements in the first quarter of 2018 across BCBS-defined movement categories. These categories are described on page 42 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, which is available under “Pillar 3 disclosures” at www.ubs.com/investors .
Credit risk RWA development in the first quarter 2018
Credit risk RWA under the advanced
internal ratings-based
(A-IRB) approach increased by CHF 3.5 billion to CHF 77.2
billion as of 31 March 2018.
T he RWA increase of CHF 9.8 billion from model updates was primarily driven by the implementation of revised probability of default (PD) and loss given default (LGD) models as part of our continuous efforts to enhance models to reflect market developments and newly available data for residential mortgages and income-producing real estate, as well as for the new LGD model for unsecured financing and commercial self-used real estate resulting in an increase of CHF 8.1 billion in Personal & Corporate Banking and CHF 1.6 billion in Global Wealth Management.
This increase was partly offset by a net CHF 7.8 billion reduction in regulatory add-ons, which decreased by CHF 6.4 billion in Personal & Corporate Banking and CHF 1.7 billion in Global Wealth Management, following the aforementioned updates to PD and LGD parameters for residential mortgages. The increase from a higher IRB multiplier on Investment Bank exposures to corporates was CHF 0.3 billion.
The RWA increase from asset size movements of CHF 1.1 billion was mainly driven by higher Lombard lending balances in Global Wealth Management.
RWA increased by CHF 1.1 billion due to changes in asset quality, primarily in our Investment Bank’s Corporate Client Solutions business driven by the termination of certain hedges.
A decrease of CHF 0.5 billion was driven by foreign exchange movements.
Counterparty credit risk RWA development in the first quarter 2018
CCR RWA under internal model method (IMM) and value-at-risk (VaR) increased by CHF 1.6 billion during the first quarter of 2018. This was primarily driven by an asset size movement of CHF 1.4 billion. A CHF 1.1 billion increase in derivative exposures was mainly due to increased client activity, primarily in our Investment Bank’s Equities and Foreign Exchange, Rates and Credit businesses.
The increase from a higher IRB multiplier on Investment Bank exposures to corporates was CHF 0.3 billion. A decrease of CHF 0.2 billion was driven by foreign exchange movements.
6
Market risk RWA development in the first quarter 2018
The four main components that contribute to market risk RWA are VaR, stressed value-at-risk (SVaR), incremental risk charge (IRC) and comprehensive risk measure (CRM). VaR and SVaR components include the RWA charge for risks-not-in-VaR.
The “MR2: RWA flow statements of market risk exposures under an internal models approach” table below provides a breakdown of the market risk RWA movement in the first quarter of 2018 across these components, according to BCBS-defined movement categories. These categories are described on page 75 of our 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups, which is available under “Pillar 3 disclosures” at www.ubs.com/investors .
Market risk RWA increased by CHF 10.1 billion, mainly due to asset size and other movements. This increase mainly resulted from higher average regulatory and stressed value-at-risk (VaR) levels observed during the quarter in the Investment Bank’s equities, rates and credit businesses, mainly due to option expiries and client activity during a period of increased market volatility. The VaR multiplier remained unchanged at 3.0.
7
UBS Group AG consolidated
Section 2 Going and gone concern requirements and eligible capital
The table below provides details on the Swiss SRB going and gone concern requirements as required by FINMA. More information on capital management is provided on pages 51–61 of our first quarter 2018 report, available under “Quarterly reporting” at www.ubs.com/investors .
Swiss SRB going and gone concern requirements and information 1 |
||||||||||
As of 31.3.18 |
|
Swiss SRB, including transitional arrangements |
|
Swiss SRB as of 1.1.20 |
||||||
CHF million, except where indicated |
|
RWA |
LRD |
|
RWA |
LRD |
||||
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing capacity |
|
in % |
|
in % |
|
|
in % |
|
in % |
|
Common equity tier 1 capital |
|
9.68 |
24,568 |
2.90 |
25,592 |
|
10.22 |
25,938 |
3.50 |
30,886 |
of which: minimum capital |
|
5.40 |
13,703 |
1.90 |
16,767 |
|
4.50 |
11,419 |
1.50 |
13,237 |
of which: buffer capital |
|
4.06 |
10,302 |
1.00 |
8,825 |
|
5.50 |
13,956 |
2.00 |
17,649 |
of which: countercyclical buffer 2 |
|
0.22 |
563 |
|
|
|
0.22 |
563 |
|
|
Maximum additional tier 1 capital |
|
3.40 |
8,628 |
1.10 |
9,707 |
|
4.30 |
10,911 |
1.50 |
13,237 |
of which: high-trigger loss-absorbing additional tier 1 minimum capital |
|
2.60 |
6,598 |
1.10 |
9,707 |
|
3.50 |
8,881 |
1.50 |
13,237 |
of which: high-trigger loss-absorbing additional tier 1 buffer capital |
|
0.80 |
2,030 |
|
|
|
0.80 |
2,030 |
|
|
Total going concern capital |
|
13.08 |
33,196 |
4.00 |
35,299 |
|
14.52 3 |
36,850 |
5.00 3 |
44,123 |
Base gone concern loss-absorbing capacity, including applicable add-ons and rebate |
|
7.65 4 |
19,422 |
2.58 4 |
22,768 |
|
12.30 5 |
31,206 |
4.30 5 |
37,946 |
Total gone concern loss-absorbing capacity |
|
7.65 |
19,422 |
2.58 |
22,768 |
|
12.30 |
31,206 |
4.30 |
37,946 |
Total loss-absorbing capacity |
|
20.74 |
52,618 |
6.58 |
58,066 |
|
26.82 |
68,056 |
9.30 |
82,070 |
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing capacity |
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital |
|
13.06 |
33,151 |
3.76 |
33,151 |
|
13.06 |
33,151 |
3.76 |
33,151 |
High-trigger loss-absorbing additional tier 1 capital 6,7 |
|
7.49 |
19,001 |
2.15 |
19,001 |
|
4.29 |
10,875 |
1.23 |
10,875 |
of which: high-trigger loss-absorbing additional tier 1 capital |
|
3.36 |
8,533 |
0.97 |
8,533 |
|
3.36 |
8,533 |
0.97 |
8,533 |
of which: low-trigger loss-absorbing additional tier 1 capital |
|
0.92 |
2,342 |
0.27 |
2,342 |
|
0.92 |
2,342 |
0.27 |
2,342 |
of which: high-trigger loss-absorbing tier 2 capital |
|
0.17 |
429 |
0.05 |
429 |
|
|
|
|
|
of which: low-trigger loss-absorbing tier 2 capital |
|
3.03 |
7,698 |
0.87 |
7,698 |
|
|
|
|
|
Total going concern capital |
|
20.55 |
52,153 |
5.91 |
52,153 |
|
17.35 |
44,026 |
4.99 |
44,026 |
Gone concern loss-absorbing capacity |
|
10.83 |
27,480 |
3.11 |
27,480 |
|
13.86 |
35,178 |
3.99 |
35,178 |
of which: TLAC-eligible senior unsecured debt |
|
10.42 |
26,431 |
3.00 |
26,431 |
|
10.42 |
26,431 |
3.00 |
26,431 |
Total gone concern loss-absorbing capacity |
|
10.83 |
27,480 |
3.11 |
27,480 |
|
13.86 |
35,178 |
3.99 |
35,178 |
Total loss-absorbing capacity |
|
31.38 |
79,632 |
9.02 |
79,632 |
|
31.21 |
79,204 |
8.98 |
79,204 |
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets |
|
|
253,753 |
|
|
|
|
253,753 |
|
|
Leverage ratio denominator |
|
|
|
|
882,469 |
|
|
|
|
882,469 |
1 This table includes a rebate equal to 35% of the maximum rebate on the gone concern requirements, which was granted by FINMA and will be phased in until 1 January 2020. This table does not include a rebate for the usage of low-trigger loss-absorbing additional tier 1 or tier 2 capital instruments to meet the gone concern requirements. 2 Going concern capital ratio requirements include countercyclical buffer requirements of 0.22%. 3 Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio denominator (LRD). 4 Includes applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.25% for RWA and 0.42% for LRD. 5 Includes applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2% for RWA and 0.7% for LRD. 6 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until their first call date, even if the first call date is after 31 December 2019. As of their first call date, these instruments are eligible to meet the gone concern requirements. 7 Includes outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, which are available under the transitional rules of the Swiss SRB framework to meet the going concern requirements until the earlier of (i) their maturity or first call date or (ii) 31 December 2019, and to meet gone concern requirements thereafter. Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject to amortization starting five years prior to their maturity, with the amortized portion qualifying as gone concern loss-absorbing capacity. Instruments available to meet gone concern requirements are eligible until one year before maturity, with a haircut of 50% applied in the last year of eligibility. |
8
Explanation of the difference between the IFRS and regulatory scope of consolidation
The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under International Financial Reporting Standards (IFRS) and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation.
The key difference between the IFRS and regulatory capital scope of consolidation relates to the following entities as of 31 March 2018 :
– investments in insurance, real estate and commercial companies as well as investment vehicles that are consolidated under IFRS, but not for regulatory capital purposes, where they are subject to risk-weighting
– joint ventures that are fully consolidated for regulatory capital purposes, but which are accounted for using the equity method under IFRS
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. These entities account for most of the difference between the “Balance sheet in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table and such difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 31 March 2018 , entities consolidated under either the IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.
In the banking book, certain equity investments are consolidated neither under IFRS nor under the regulatory scope. As of 31 March 2018, these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, stock and financial futures exchanges) and included our participation in the SIX Group. These investments were risk-weighted based on applicable threshold rules.
More information on the legal structure of the UBS Group and on the IFRS scope of consolidation is provided on pages 12–13 and 325–326, respectively, of our Annual Report 2017, available under “Annual reporting” at www.ubs.com/investors .
9
UBS Group AG consolidated
The table below and on the next page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the BCBS and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “Composition of capital” table.
10
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation ( continued)
11
UBS Group AG consolidated
Composition of capital
The table below and on the following pages provides the “Composition of capital” as defined by the BCBS and FINMA. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table.
Refer to “Capital instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt” under “Bondholder information” at www.ubs.com/investors for an overview of the key features of our regulatory capital instruments, as well as the full terms and conditions.
Composition of capital |
|
|
|
|
As of 31.3.18 |
Numbers phase-in |
Effect of the transition phase |
References 1 |
|
CHF million, except where indicated |
|
|
|
|
1 |
Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus |
25,648 |
|
1 |
2 |
Retained earnings |
33,652 |
|
2 |
3 |
Accumulated other comprehensive income (and other reserves) |
(8,100) |
|
3 |
4 |
Directly issued capital subject to phase-out from common equity tier 1 (CET1) capital (only applicable to non-joint stock companies) |
|
|
|
5 |
Common share capital issued by subsidiaries and held by third parties (amount allowed in Group CET1 capital) |
|
|
|
6 |
Common equity tier 1 capital before regulatory adjustments |
51,199 |
|
|
7 |
Prudential valuation adjustments |
(120) |
|
|
8 |
Goodwill, net of tax, less additional tier 1 (AT1) capital |
(6,336) |
|
4 |
9 |
Intangible assets, net of tax |
(192) |
|
5 |
10 |
Deferred tax assets recognized for tax loss carry-forwards 2 |
(5,907) |
|
6 |
11 |
Unrealized (gains) / losses from cash flow hedges, net of tax |
103 |
|
7 |
12 |
Expected losses on advanced internal ratings-based portfolio less provisions 3 |
(359) |
|
|
13 |
Securitization gain on sale |
|
|
|
14 |
Own credit related to financial liabilities designated at fair value, net of tax, and replacement values |
(46) |
|
|
15 |
Defined benefit plans |
(1) |
|
8 |
16 |
Compensation and own shares-related capital components (not recognized in net profit) 4 |
(1,581) |
|
9 |
17 |
Reciprocal crossholdings in common equity |
|
|
|
17a |
Qualifying interest where a controlling influence is exercised together with other owners (CET1 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) |
(458) |
|
10 |
22 |
Amount exceeding the 15% threshold |
|
|
|
23 |
of which: significant investments in the common stock of financials |
|
|
|
24 |
of which: mortgage servicing rights |
|
|
|
25 |
of which: deferred tax assets arising from temporary differences |
|
|
|
26 |
Expected losses on equity investments treated according to the PD/LGD approach |
|
|
|
26a |
Other adjustments relating to the application of an internationally accepted accounting standard |
|
|
|
26b |
Other deductions |
(3,152) |
|
|
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 |
(18,048) |
|
|
12
Composition of capital (continued)
As of 31.3.18 |
Numbers phase-in |
Effect of the transition phase |
References 1 |
|
CHF million, except where indicated |
|
|
|
|
29 |
Common equity tier 1 capital (CET1) |
33,151 |
|
|
30 |
Directly issued qualifying additional tier 1 instruments plus related stock surplus |
10,875 |
|
|
31 |
of which: classified as equity under applicable accounting standards |
|
|
|
32 |
of which: classified as liabilities under applicable accounting standards |
10,875 |
|
9 |
33 |
Directly issued capital instruments subject to phase-out from additional tier 1 |
|
|
|
34 |
Additional tier 1 instruments (and CET1 instruments not included in line 5) issued by subsidiaries and held by third parties (amount allowed in Group AT1) |
|
|
|
35 |
of which: instruments issued by subsidiaries subject to phase-out |
|
|
|
36 |
Additional tier 1 capital before regulatory adjustments |
10,875 |
|
|
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 (AT1 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 |
|
|
|
42 |
Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions |
|
|
|
|
Tier 1 adjustments on impact of transitional arrangements |
|
|
|
|
of which: goodwill net of tax, offset against additional loss-absorbing tier 1 capital |
|
|
|
42a |
Excess of the adjustments, which are allocated to the common equity tier 1 capital |
|
|
|
43 |
Total regulatory adjustments to additional tier 1 capital |
|
|
|
44 |
Additional tier 1 capital (AT1) |
10,875 |
|
|
45 |
Tier 1 capital (T1 = CET1 + AT1) |
44,026 |
|
|
46 |
Directly issued qualifying tier 2 instruments plus related stock surplus |
7,698 |
|
11 |
47 |
Directly issued capital instruments subject to phase-out from tier 2 |
700 |
(700) |
12 |
48 |
Tier 2 instruments (and CET1 and AT1 instruments not included in lines 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 |
8,398 |
|
|
52 |
Investments in own tier 2 instruments |
(16) |
16 |
12 |
53 |
Reciprocal crossholdings 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 of 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 AT1 capital |
|
|
|
57 |
Total regulatory adjustments to tier 2 capital |
(16) |
16 |
|
13
UBS Group AG consolidated
Composition of capital (continued)
14
Section 3 Leverage ratio
The Basel Committee on Banking Supervision (BCBS) leverage ratio is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD). The LRD consists of IFRS on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement value and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions. In addition, balance sheet assets deducted from our tier 1 capital are excluded from LRD, which led to a difference between phase-in and fully applied LRD for deferred tax assets and net defined benefit pension plan assets until 31 December 2017.
The “Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions” table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures, which are the starting point for calculating the BCBS LRD as shown in the “BCBS Basel III leverage ratio common disclosure” table on the next page. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying values for derivative financial instruments and securities financing transactions are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the “BCBS Basel III leverage ratio common disclosure” table on the next page.
As of 31 March 2018, our BCBS Basel III leverage ratio was 5.0% and the BCBS Basel III LRD was CHF 882 billion. Information on our Swiss SRB leverage ratio and the movement in our LRD compared with the prior quarter is provided on pages 60–61 of our first quarter 2018 report, available under “Quarterly reporting” at www.ubs.com/investors .
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is the same under Swiss SRB and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules, only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB we are required to meet going as well as gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or TLAC-eligible senior unsecured debt.
15
UBS Group AG consolidated
16
BCBS Basel III leverage ratio |
|
|
|
|
CHF million, except where indicated |
|
|
|
|
Phase-in |
31.3.18 |
31.12.17 |
30.9.17 |
30.6.17 |
Total tier 1 capital |
|
43,438 |
44,315 |
43,421 |
BCBS total exposures (leverage ratio denominator) |
|
887,635 |
886,969 |
862,975 |
BCBS Basel III leverage ratio (%) |
|
4.9 |
5.0 |
5.0 |
|
|
|
|
|
Fully applied |
31.3.18 |
31.12.17 |
30.9.17 |
30.6.17 |
Total tier 1 capital |
44,026 |
41,911 |
41,493 |
40,668 |
BCBS total exposures (leverage ratio denominator) |
882,469 |
886,116 |
884,834 |
860,879 |
BCBS Basel III leverage ratio (%) |
5.0 |
4.7 |
4.7 |
4.7 |
17
UBS Group AG consolidated
Section 4 Liquidity coverage ratio
High-quality liquid assets (HQLA) must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing on a developed and recognized exchange, an active and sizeable market and low volatility. Based on these characteristics, HQLA are categorized as Level 1 (primarily central bank reserves and government bonds) or Level 2 (primarily US and European agency bonds as well as non-financial corporate covered bonds). Level 2 assets are subject to regulatory haircuts and caps.
18
Liquidity coverage ratio
In the first quarter of 2018, our liquidity coverage ratio (LCR) decreased by 7 percentage points to 136%, remaining above the 110% Group LCR minimum communicated by FINMA. The decrease in LCR was mainly driven by higher average net cash outflows due to revised regulatory requirements affecting inflows from fully performing exposures and other cash outflows. In addition, unsecured wholesale funding led to higher net cash outflows driven by maturities.
19
Significant regulated subsidiaries and sub-groups
Section 1 Introduction
The sections below include capital and other regulatory information UBS AG standalone, UBS Switzerland AG standalone, UBS Limited standalone and UBS Americas Holding LLC consolidated. UBS AG consolidated capital and other regulatory information is provided in the UBS AG first quarter 2018 report, which will be available as of 27 April 2018 under “Quarterly reporting” at www.ubs.com/investors .
Capital information in this section is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
Section 2 UBS AG standalone
Swiss SRB going concern requirements and information
Under Swiss systemically relevant bank (SRB) regulations, article 125 “Reliefs for financial groups and individual institutions” of the Capital Adequacy Ordinance stipulates that Swiss Financial Market Supervisory Authority (FINMA) may grant, under certain conditions, capital relief to individual institutions to ensure that an individual institution’s compliance with the capital requirements does not lead to a de facto overcapitalization of the group of which it is a part.
FINMA granted relief concerning the regulatory capital requirements of UBS AG on a standalone basis by means of decrees issued on 20 December 2013 and 20 October 2017, the latter effective as of 1 July 2017 and partly replacing the former.
More information is provided in “ Section 2 UBS AG standalone ” of the 31 December 2017 Pillar 3 report – UBS Group and significant regulated subsidiaries and sub-groups under “ Pillar 3 disclosures ” at www.ubs.com/investors .
22
23
Significant regulated subsidiaries and sub-groups
Leverage ratio information
Liquidity coverage ratio
UBS AG is required to maintain a minimum liquidity coverage ratio of 105% as communicated by FINMA.
24
Section 3 UBS Switzerland AG standalone
Swiss SRB going and gone concern requirements and information
UBS Switzerland AG is considered a systemically relevant bank (SRB) under Swiss banking law and is subject to capital regulations on a standalone basis . As of 31 March 2018, the transitional going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.39% and 4.0%, respectively. The gone concern requirements under transitional arrangements were 7.65% for the RWA-based requirement and 2.58% for the LRD-based requirement.
25
Significant regulated subsidiaries and sub-groups
Swiss SRB loss-absorbing capacity
Swiss SRB going and gone concern information |
|
|
|
|||
|
|
Swiss SRB, including transitional arrangements |
|
Swiss SRB as of 1.1.20 |
||
CHF million, except where indicated |
|
31.3.18 |
31.12.17 |
|
31.3.18 |
31.12.17 |
|
|
|
|
|
|
|
Going concern capital |
|
|
|
|
|
|
Common equity tier 1 capital |
|
10,118 |
10,160 |
|
10,118 |
10,160 |
High-trigger loss-absorbing additional tier 1 capital |
|
3,000 |
3,000 |
|
3,000 |
3,000 |
Total tier 1 capital |
|
13,118 |
13,160 |
|
13,118 |
13,160 |
Total going concern capital |
|
13,118 |
13,160 |
|
13,118 |
13,160 |
|
|
|
|
|
|
|
Gone concern loss-absorbing capacity |
|
|
|
|
|
|
TLAC-eligible debt |
|
8,400 |
8,400 |
|
8,400 |
8,400 |
Total gone concern loss-absorbing capacity |
|
8,400 |
8,400 |
|
8,400 |
8,400 |
|
|
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
|
|
Total loss-absorbing capacity |
|
21,518 |
21,560 |
|
21,518 |
21,560 |
|
|
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
|
|
Risk-weighted assets |
|
94,311 |
92,894 |
|
94,311 |
92,894 |
Leverage ratio denominator |
|
301,968 |
302,987 |
|
301,968 |
302,987 |
|
|
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
|
|
Going concern capital ratio |
|
13.9 |
14.2 |
|
13.9 |
14.2 |
of which: common equity tier 1 capital ratio |
|
10.7 |
10.9 |
|
10.7 |
10.9 |
Gone concern loss-absorbing capacity ratio |
|
8.9 |
9.0 |
|
8.9 |
9.0 |
Total loss-absorbing capacity ratio |
|
22.8 |
23.2 |
|
22.8 |
23.2 |
|
|
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
|
|
Going concern leverage ratio |
|
4.3 |
4.3 |
|
4.3 |
4.3 |
of which: common equity tier 1 leverage ratio |
|
3.4 |
3.4 |
|
3.4 |
3.4 |
Gone concern leverage ratio |
|
2.8 |
2.8 |
|
2.8 |
2.8 |
Total loss-absorbing capacity leverage ratio |
|
7.1 |
7.1 |
|
7.1 |
7.1 |
|
26
Leverage ratio information
Liquidity coverage ratio
UBS Switzerland AG, as a Swiss SRB, is required to maintain a minimum liquidity coverage ratio of 100%.
27
Significant regulated subsidiaries and sub-groups
Capital instruments
28
29
Significant regulated subsidiaries and sub-groups
The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Limited standalone based on the Pillar 1 capital requirements. Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
Section 5 UBS Americas Holding LLC consolidated
The table below includes required information on the regulatory capital components and capital ratios, as well as leverage ratio, of UBS Americas Holding LLC consolidated based on Pillar 1 capital requirements. Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
30
|
A
ABS asset-backed security
AEI automatic exchange of information
AGM annual general meeting of shareholders
A-IRB advanced internal ratings-based
AIV alternative investment vehicle
ALCO Asset and Liability Management Committee
AMA advanced measurement approach
AoA Articles of Association of UBS Group AG
ASFA advanced supervisory formula approach
AT1 additional tier 1
B
BCBS Basel Committee on
Banking Supervision
BD business division
BEAT base erosion and anti-abuse tax
BIS Bank for International Settlements
BoD Board of Directors
BVG Swiss occupational pension plan
C
CC Corporate Center
CCAR Comprehensive Capital Analysis and Review
CCB countercyclical buffer
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CDO collateralized
debt
obligation
CDR constant default rate
CDS credit default swap
CEA Commodity Exchange Act
CECL current expected credit loss
CEM current exposure method
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CFTC US Commodity Futures Trading Commission
CHF Swiss franc
CLN credit-linked note
CLO collateralized loan obligation
CMBS commercial mortgage-backed security
COP close-out period
CRD IV EU Capital Requirements Directive of 2013
CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)
CST combined stress test
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DOJ US Department of Justice
DOL US Department of Labor
D-SIB domestic systemically important bank
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EBA European Banking Authority
EC European Commission
ECAI external credit assessment institution
ECB European Central Bank
ECL expected credit loss
EEPE effective expected positive exposure
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and Africa
EOP Equity Ownership Plan
EPE expected positive exposure
EPS earnings per share
ERISA Employee Retirement Income Security Act of 1974
ETD exchange-traded derivative
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
F
FCA UK Financial
Conduct
Authority
FCT foreign currency translation
FDIC US Federal Deposit Insurance Corporation
FINMA Swiss Financial Market Supervisory Authority
FINRA US Financial Industry Regulatory Authority
FMIA Swiss Federal Act on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading
FMIO FINMA Ordinance on Financial Market Infrastructure
FRA forward rate agreement
FSA UK Financial Services Authority
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FTD first to default
FTP funds transfer price
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP British pound
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GIIPS Greece, Italy,
Ireland,
Portugal and Spain
GMD Group Managing Director
GRI Global Reporting Initiative
Group ALM Group Asset and Liability Management
G-SIB global systemically important bank
</BCLPAGE> 31
|
Abbreviations frequently used in our financial reports (continued)
H
HQLA high-quality liquid assets
I
IAA internal assessment approach
IAS International Accounting Standards
IASB International Accounting Standards Board
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IMA internal models approach
IMM internal model method
IRB internal ratings-based
IRC incremental risk charge
ISDA International Swaps and Derivatives Association
K
KPI key performance indicator
KRT Key Risk Taker
L
LAC loss-absorbing capacity
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC Limited liability company
LRD leverage ratio denominator
LTV loan-to-value
M
MiFID II Markets in Financial Instruments Directive II
MiFIR Markets in Financial Instruments associated Regulation
MRT Material Risk Taker
MTN medium-term note
N
NAV net asset value
NII net interest income
NPA non-prosecution agreement
NRV negative replacement value
NSFR net stable funding ratio
O
OCI other comprehensive income
OTC over-the-counter
P
PD probability of default
PFE potential future exposure
PIT point in time
P&L profit and loss
PRA UK Prudential Regulation Authority
PRV positive replacement value
Q
QRRE qualifying revolving retail exposures
R
RBA ratings-based approach
RBC risk-based capital
RLN reference-linked note
RMBS residential mortgage-backed security
RniV risks-not-in-VaR
RoAE return on attributed equity
RoE return on equity
RoTE return on tangible equity
RV replacement value
RW risk weight
RWA risk-weighted assets
S
SA standardized approach
SA-CCR standardized approach for counterparty credit risk
SAR stock appreciation right
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SESTA Swiss Federal Act on Stock Exchanges and Securities Trading
SESTO FINMA Ordinance on Stock Exchanges and Securities Trading
SFA supervisory formula approach
SFT securities financing transaction
SI sustainable investing
SICR significant increase in credit risk
SME small and medium-sized enterprises
SMF Senior Management Function
SNB Swiss National Bank
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SSFA simplified supervisory formula approach
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and Jobs Act
TLAC total loss-absorbing capacity
TRS total return swap
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.
|
|
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 first quarter 2018 report and its Annual Report 2017, available at www.ubs.com/investors , for additional information.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Starting in 2018, percentages, percent changes and adjusted results presented in the tables and text are calculated on the basis of unrounded figures, with the exception of movement information provided in text that can be derived from figures displayed in the tables, which is calculated on a rounded basis. For prior periods, these values are calculated on the basis of rounded figures displayed in the tables and text.
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.
</BCLPAGE> 33
UBS Group AG
P.O. Box
CH-8098 Zurich
www.ubs.com
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/ Ella Campi _____
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi _____
Name: Ella Campi
Title: Executive Director
Date: April 23, 2018
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