UBS Group AG
UBS Group AG
04/27/2021 | Press release | Distributed by Public on 04/27/2021 05:30
Current Report by Foreign Issuer (SEC Filing - 6-K)
ubsbaselIIIpillar36k1q21
Contacts
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 27, 2021
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 2021 Report, which appears immediately following this page.
31 March 2021 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
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Table of contents |
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Introduction and basis for preparation |
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UBS Group |
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6 |
Section 1 |
Key metrics |
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8 |
Section 2 |
Risk-weighted assets |
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12 |
Section 3 |
Going and gone concern requirements |
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13 |
Section 4 |
Leverage ratio |
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15 |
Section 5 |
Liquidity coverage ratio |
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Significant regulated subsidiaries and sub-groups |
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18 |
Section 1 |
Introduction |
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18 |
Section 2 |
UBS AG standalone |
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23 |
Section 3 |
UBS Switzerland AG standalone |
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29 |
Section 4 |
UBS Europe SE consolidated |
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30 |
Section 5 |
UBS Americas Holding LLC consolidated |
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Appendix |
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31 |
Abbreviations frequently used in our financial reports |
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33 |
Cautionary statement |
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For all general inquiries
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[email protected]
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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
+41-44-235 6652
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
+41-44-235 6652
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For global registered share-related
inquiries in the US.
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P.O. Box 505000
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Shareholder online inquiries:
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Shareholder website:
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Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2021. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
Introduction and basis for preparation
Terms used in this report, unless the context requires otherwise
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'UBS,' 'UBS Group,' 'UBS Group AG consolidated,' 'Group,' 'the Group,' 'we,' 'us' and 'our' |
UBS Group AG and its consolidated subsidiaries |
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'UBS AG consolidated' |
UBS AG and its consolidated subsidiaries |
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'UBS Group AG' and 'UBS Group AG standalone' |
UBS Group AG on a standalone basis |
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'UBS AG' and 'UBS AG standalone' |
UBS AG on a standalone basis |
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'UBS Switzerland AG' and 'UBS Switzerland AG standalone' |
UBS Switzerland AG on a standalone basis |
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'UBS Europe SE consolidated' |
UBS Europe SE and its consolidated subsidiaries |
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'UBS Americas Holding LLC' and 'UBS Americas Holding LLC consolidated' |
UBS Americas Holding LLC and its consolidated subsidiaries |
Introduction and basis for preparation
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for the UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under 'Significant regulated subsidiaries and sub-groups.'
As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 31 March 2021 for UBS Group AG consolidated is provided in the 'Capital management' section of our first quarter 2021 report and for UBS AG consolidated in the 'Capital management' section of the UBS AG first quarter 2021 report, both available under 'Quarterly reporting' at ubs.com/investors.
Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under 'Holding company and significant regulated subsidiaries and sub-groups' at ubs.com/investors.
Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements
This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 'Disclosure - banks') as revised on 31 October 2019, the underlying BCBS guidance 'Revised Pillar 3 disclosure requirements' issued in January 2015, the 'Frequently asked questions on the revised Pillar 3 disclosure requirements' issued in August 2016, the 'Pillar 3 disclosure requirements - consolidated and enhanced framework' issued in March 2017 and the subsequent 'Technical Amendment - Pillar 3 disclosure requirements - regulatory treatment of accounting provisions' issued in August 2018.
Significant regulatory developments, and disclosure requirements and changes effective in this quarter
COVID-19 temporary regulatory measures
The program established by the Swiss Federal Council in March 2020 to support small and medium-sized entities (SMEs) by granting loans closed on 31 July 2020. As of that date, we had committed CHF 2.7 billion of loans up to CHF 0.5 million, which are 100% guaranteed by the Swiss government, and CHF 0.6 billion of loans between CHF 0.5 million and CHF 20 million, which are 85% government-guaranteed. The total amount drawn on our loan commitments under the program was CHF 1.8 billion on 31 March 2021.
We remain committed to donating any economic profits from the government-backed lending program to COVID-19 relief efforts. However, we did not make any profits from this program in the first quarter of 2021.
In addition, the temporary exemption from FINMA for banks to exclude central bank sight deposits from the leverage ratio denominator (the LRD) for the purpose of calculating going concern ratios applied until 1 January 2021 and was not extended thereafter.
2
FINMA's assessment of the recovery and resolution planning
In March 2021, FINMA published its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. The report noted that FINMA had approved UBS's group recovery plan and assessed its Swiss Emergency Plan as effective. It also highlighted that UBS has made further progress in improving its global resolvability by building up the necessary capabilities and removing obstacles to the implementation of the resolution strategy, while pointing out areas for further improvement.
US measures on capital adequacy, capital distribution restrictions and leverage capital relief
In March 2021, US banking regulators decided to not extend the temporary exclusion of central bank deposits and US Treasury securities from the leverage exposure calculation for the supplementary leverage ratio beyond March 2021. The temporary exemption was applicable to UBS Americas Holding LLC (UBSAH) with respect to US regulatory capital requirements. In addition, the Federal Reserve announced that the limits on capital distributions imposed during the COVID-19 pandemic would be removed after 30 June 2021. As a result, capital distributions by UBSAH will generally be permitted for as long as it meets regulatory capital requirements, including the incremental stress capital buffer set by the Federal Reserve Board as part of its Comprehensive Capital Analysis and Review stress test (CCAR). UBSAH's stress capital buffer requirement, currently 6.7%, will be assessed and may be revised in the 2021 CCAR process, the results of which are expected to be announced by the Federal Reserve Board in June 2021.
Methodology change for credit valuation adjustment risk related to Lombard derivative exposures
A methodology change related to credit valuation adjustment (CVA) risk for derivative exposures with Lombard clients resulted in an increase of USD 1.1 billion in risk-weighted assets (RWA) in the first quarter of 2021.
Phase-in of RWA effects
Effective from the third quarter of 2020, we began to phase in RWA increases related to the fourth quarter of 2020 release of new probability of default (PD) and loss given default (LGD) parameters for mortgage portfolios in the US. As agreed with FINMA, the RWA effects of such model updates will be phased in over six quarters, until the end of 2021, with an estimated quarterly RWA increase of USD 0.5 billion.
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7-9 of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 December 2020 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
3
UBS Group
UBS Group
Section 1 Key metrics
Key metrics of the first quarter of 2021
The KM1 and KM2 tables on the following pages are based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.
During the first quarter of 2021, our common equity tier 1 (CET1) capital increased by USD 0.5 billion to USD 40.4 billion, mainly reflecting operating profit before tax of USD 2.3 billion, partly offset by negative foreign currency translation effects of USD 0.8 billion, current tax expenses of USD 0.4 billion, accruals for capital returns to shareholders of USD 0.3 billion and negative defined benefit plans effects of USD 0.2 billion.
Total capital decreased by USD 2.4 billion to USD 58.8 billion, mainly reflecting the call of a EUR 2 billion tier 2 capital instrument amounting to USD 2.4 billion.
The TLAC available as of 31 March 2021 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes
45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 March 2021, but is included as available TLAC in the KM2 table in this section.
Our available TLAC decreased by USD 1.1 billion to USD 100.7 billion, mainly reflecting the aforementioned call of a EUR 2 billion tier 2 capital instrument, partly offset by a net increase of USD 1.3 billion from non-regulatory capital elements of TLAC.
Risk-weighted assets (RWA) decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and counterparty credit risk RWA of USD 0.3 billion.
The leverage ratio exposure was stable at USD 1,038 billion as the increases in derivative and securities financing transactions (SFTs) exposures were largely offset by the decrease in on-balance sheet exposures (excluding derivatives and SFTs).
The average high-quality liquid assets (HQLA) increased by USD 7.1 billion to USD 221.4 billion, due to higher cash balances, partly offset by higher funding consumption in the business divisions. Average total net cash outflows increased by USD 5.4 billion to USD 146.3 billion, due to an increase in average customer deposit balances.
6
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KM1: Key metrics |
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USD million, except where indicated |
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31.3.21 |
31.12.20 |
30.9.20 |
30.6.20 |
31.3.20 |
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Available capital (amounts) |
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1 |
Common equity tier 1 (CET1) |
40,426 |
39,890 |
38,197 |
38,114 |
36,659 |
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1a |
Fully loaded ECL accounting model CET11 |
40,403 |
39,856 |
38,162 |
38,070 |
36,624 |
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2 |
Tier 1 |
56,288 |
56,178 |
54,396 |
53,505 |
51,884 |
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2a |
Fully loaded ECL accounting model Tier 11 |
56,264 |
56,144 |
54,360 |
53,460 |
51,850 |
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3 |
Total capital |
58,822 |
61,226 |
59,382 |
58,876 |
57,752 |
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3a |
Fully loaded ECL accounting model total capital1 |
58,799 |
61,193 |
59,347 |
58,831 |
57,718 |
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Risk-weighted assets (amounts) |
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4 |
Total risk-weighted assets (RWA) |
287,828 |
289,101 |
283,133 |
286,436 |
286,256 |
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4a |
Minimum capital requirement2 |
23,026 |
23,128 |
22,651 |
22,915 |
22,901 |
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4b |
Total risk-weighted assets (pre-floor) |
287,828 |
289,101 |
283,133 |
286,436 |
286,256 |
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Risk-based capital ratios as a percentage of RWA |
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5 |
Common equity tier 1 ratio (%) |
14.05 |
13.80 |
13.49 |
13.31 |
12.81 |
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5a |
Fully loaded ECL accounting model Common equity tier 1 ratio (%)1 |
14.04 |
13.79 |
13.48 |
13.29 |
12.79 |
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6 |
Tier 1 ratio (%) |
19.56 |
19.43 |
19.21 |
18.68 |
18.12 |
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6a |
Fully loaded ECL accounting model Tier 1 ratio (%)1 |
19.55 |
19.42 |
19.20 |
18.66 |
18.11 |
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7 |
Total capital ratio (%) |
20.44 |
21.18 |
20.97 |
20.55 |
20.17 |
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7a |
Fully loaded ECL accounting model total capital ratio (%)1 |
20.43 |
21.17 |
20.96 |
20.54 |
20.16 |
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Additional CET1 buffer requirements as a percentage of RWA |
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8 |
Capital conservation buffer requirement (%) |
2.50 |
2.50 |
2.50 |
2.50 |
2.50 |
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9 |
Countercyclical buffer requirement (%) |
0.02 |
0.02 |
0.02 |
0.02 |
0.02 |
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9a |
Additional countercyclical buffer for Swiss mortgage loans (%) |
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10 |
Bank G-SIB and / or D-SIB additional requirements (%) |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
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11 |
Total of bank CET1-specific buffer requirements (%) |
3.52 |
3.52 |
3.52 |
3.52 |
3.52 |
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12 |
CET1 available after meeting the bank's minimum capital requirements (%) |
9.55 |
9.30 |
8.99 |
8.81 |
8.31 |
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Basel III leverage ratio3 |
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13 |
Total Basel III leverage ratio exposure measure |
1,038,225 |
1,037,150 |
994,366 |
974,359 |
955,943 |
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14 |
Basel III leverage ratio (%) |
5.42 |
5.42 |
5.47 |
5.49 |
5.43 |
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14a |
Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
5.42 |
5.41 |
5.47 |
5.49 |
5.42 |
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Liquidity coverage ratio4 |
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15 |
Total HQLA |
221,371 |
214,276 |
211,185 |
206,693 |
170,630 |
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16 |
Total net cash outflow |
146,314 |
140,891 |
137,345 |
133,786 |
122,383 |
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17 |
LCR (%) |
151 |
152 |
154 |
155 |
139 |
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1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 'Eligible capital - banks.' 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to 'Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits' in the 'Going and gone concern requirements and eligible capital' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 4 Calculated based on quarterly average. Refer to the 'Liquidity coverage ratio' section of this report for more information. |
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KM2: Key metrics - TLAC requirements (at resolution group level)1 |
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USD million, except where indicated |
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31.3.21 |
31.12.20 |
30.9.20 |
30.6.20 |
31.3.20 |
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1 |
Total loss-absorbing capacity (TLAC) available |
100,720 |
101,814 |
97,753 |
93,626 |
93,686 |
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1a |
Fully loaded ECL accounting model TLAC available2 |
100,697 |
101,780 |
97,717 |
93,581 |
93,652 |
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2 |
Total RWA at the level of the resolution group |
287,828 |
289,101 |
283,133 |
286,436 |
286,256 |
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3 |
TLAC as a percentage of RWA (%) |
34.99 |
35.22 |
34.53 |
32.69 |
32.73 |
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3a |
Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)2 |
34.98 |
35.21 |
34.51 |
32.67 |
32.72 |
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4 |
Leverage ratio exposure measure at the level of the resolution group3 |
1,038,225 |
1,037,150 |
994,366 |
974,359 |
955,943 |
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5 |
TLAC as a percentage of leverage ratio exposure measure (%) |
9.70 |
9.82 |
9.83 |
9.61 |
9.80 |
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5a |
Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)2,3 |
9.70 |
9.81 |
9.83 |
9.60 |
9.80 |
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6a |
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
No |
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6b |
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? |
No |
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6c |
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%) |
N/A - Refer to our response to 6b. |
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1 Resolution group level is defined as the UBS Group AG consolidated level. 2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 'Eligible capital - banks.' 3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to 'Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits' in the 'Going and gone concern requirements and eligible capital' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. |
7
UBS Group
Section 2 Risk-weighted assets
Our approach to measuring risk exposure and risk-weighted assets
Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements 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 (the BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).
For information about the measurement of risk exposures and RWA, refer to pages 13-15 of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' atubs.com/investors.
Overview of RWA and capital requirements
The OV1 table on the following page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.
During the first quarter of 2021, RWA decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and as counterparty credit risk RWA of USD 0.3 billion.
Credit risk RWA under the internal ratings-based approach and the standardized approach decreased by USD 2.4 billion, mainly driven by a reduction related to currency effects, partially offset by increases in loans and loan commitments in the Investment Bank and loans in Global Wealth Management. The RWA increase related to investments in funds of USD 1.2 billion was due to a business-driven investment in Asset Management. The increase in credit valuation adjustment RWA of USD 1.1 billion was primarily due to a methodology and policy change related to derivatives for Lombard clients in Global Wealth Management. Counterparty credit risk RWA increased by USD 0.3 billion, driven by higher derivatives RWA due to higher trading activity, partially offset by currency effects.
Market risk RWA decreased by USD 1.5 billion, driven by a decrease in asset size and other movements in the Investment Bank's Global Markets business resulting from lower stressed value-at-risk (SVaR) levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.
The flow tables for credit risk, counterparty credit risk and market risk RWA in this section provide further details regarding the movements in RWA in the first quarter of 2021.
More information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2021, is provided on pages 39-40 of the 'Capital management' section of our first quarter 2021 report, available under 'Quarterly reporting' at ubs.com/investors.
8
|
OV1: Overview of RWA |
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USD million |
RWA |
Minimum capital requirements1 |
||||
|
31.3.21 |
31.12.20 |
31.3.21 |
||||
|
1 |
Credit risk (excluding counterparty credit risk) |
137,485 |
139,846 |
10,999 |
||
|
2 |
of which: standardized approach (SA) |
31,299 |
31,565 |
2,504 |
||
|
2a |
of which: non-counterparty-related risk |
12,922 |
13,393 |
1,034 |
||
|
3 |
of which: foundation internal ratings-based (F-IRB) approach |
|||||
|
4 |
of which: supervisory slotting approach |
|||||
|
5 |
of which: advanced internal ratings-based (A-IRB) approach |
106,186 |
108,281 |
8,495 |
||
|
6 |
Counterparty credit risk2 |
40,691 |
40,354 |
3,255 |
||
|
7 |
of which: SA for counterparty credit risk (SA-CCR) |
7,193 |
6,006 |
575 |
||
|
8 |
of which: internal model method (IMM) |
19,352 |
19,380 |
1,548 |
||
|
8a |
of which: value-at-risk (VaR) |
7,353 |
8,386 |
588 |
||
|
9 |
of which: other CCR |
6,793 |
6,581 |
543 |
||
|
10 |
Credit valuation adjustment (CVA) |
4,080 |
2,945 |
326 |
||
|
11 |
Equity positions under the simple risk-weight approach |
2,794 |
2,795 |
223 |
||
|
12 |
Equity investments in funds - look-through approach |
893 |
882 |
71 |
||
|
13 |
Equity investments in funds - mandate-based approach |
1,916 |
648 |
153 |
||
|
14 |
Equity investments in funds - fallback approach |
86 |
126 |
7 |
||
|
15 |
Settlement risk |
341 |
372 |
27 |
||
|
16 |
Securitization exposures in banking book |
281 |
314 |
23 |
||
|
17 |
of which: securitization internal ratings-based approach (SEC-IRBA) |
|||||
|
18 |
of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA) |
265 |
301 |
21 |
||
|
19 |
of which: securitization standardized approach (SEC-SA) |
16 |
13 |
1 |
||
|
20 |
Market risk |
10,354 |
11,841 |
828 |
||
|
21 |
of which: standardized approach (SA) |
588 |
456 |
47 |
||
|
22 |
of which: internal models approach (IMA) |
9,767 |
11,385 |
781 |
||
|
23 |
Capital charge for switch between trading book and banking book3 |
|||||
|
24 |
Operational risk |
75,775 |
75,775 |
6,062 |
||
|
25 |
Amounts below thresholds for deduction (250% risk weight)4 |
13,133 |
13,202 |
1,051 |
||
|
25a |
of which: deferred tax assets |
9,906 |
9,981 |
793 |
||
|
26 |
Floor adjustment5 |
|||||
|
27 |
Total |
287,828 |
289,101 |
23,026 |
||
|
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 'Settlement risk.' Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences. 5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. |
9
UBS Group
RWA flow statements of credit risk exposures under IRB
The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2021 across movement categories defined by the BCBS. These categories are described on page 48 of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors.
Credit risk RWA under the advanced internal ratings-based (A-IRB) approach decreased by USD 2.1 billion to USD 106.2 billion during the first quarter of 2021.
The RWA increase from asset size movements of USD 2.8 billion was predominantly due to new loan commitments in the Investment Bank and an increase in Lombard loans in Global Wealth Management.
The RWA from asset quality decreased by USD 1.5 billion, mainly due to improvements in counterparty ratings and loss given default during the first quarter of 2021 in Global Wealth Management and Personal & Corporate Banking. Model updates of USD 0.6 billion were mainly driven by the recalibration of risk parameters for real estate and sovereign portfolios in Global Wealth Management and Group Functions. RWA decreased by USD 4 billion related to foreign exchange movements, mainly due to the strengthening of the US dollar against the Swiss franc, primarily in the Swiss mortgages portfolio in Personal & Corporate Banking and Global Wealth Management.
|
CR8: RWA flow statements of credit risk exposures under IRB |
||
|
USD million |
RWA |
|
|
1 |
RWA as of 31.12.20 |
108,281 |
|
2 |
Asset size |
2,762 |
|
3 |
Asset quality |
(1,456) |
|
4 |
Model updates |
550 |
|
5 |
Methodology and policy |
|
|
5a |
of which: regulatory add-ons |
|
|
6 |
Acquisitions and disposals |
|
|
7 |
Foreign exchange movements |
(3,951) |
|
8 |
Other |
|
|
9 |
RWA as of 31.3.21 |
106,186 |
RWA flow statements of counterparty credit risk exposures under the IMM and VaR
Counterparty credit risk (CCR) RWA on derivatives under the internal model method (IMM) was unchanged at USD 19.4 billion during the first quarter of 2021, primarily as an asset size increase in the Investment Bank, mainly as a result of higher trading activity, was offset by a decrease in RWA related to foreign exchange movements, credit quality, and model updates.
CCR RWA on securities financing transactions (SFTs) under the VaR approach decreased by USD 1 billion to USD 7.4 billion during the first quarter of 2021, mainly due to an asset size decrease primarily related to market volatility, as well as foreign exchange movements.
|
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR) |
|||||||
|
Derivatives |
SFTs |
Total |
|||||
|
USD million |
Subject to IMM |
Subject to VaR |
|||||
|
1 |
RWA as of 31.12.20 |
19,380 |
8,386 |
27,767 |
|||
|
2 |
Asset size |
911 |
(767) |
144 |
|||
|
3 |
Credit quality of counterparties |
(338) |
(37) |
(376) |
|||
|
4 |
Model updates |
(211) |
(90) |
(301) |
|||
|
5 |
Methodology and policy |
||||||
|
5a |
of which: regulatory add-ons |
||||||
|
6 |
Acquisitions and disposals |
||||||
|
7 |
Foreign exchange movements |
(390) |
(139) |
(529) |
|||
|
8 |
Other |
||||||
|
9 |
RWA as of 31.3.21 |
19,352 |
7,353 |
26,705 |
10
RWA flow statements of market risk exposures
under an IMA
The three main components that contribute to market risk RWA are value-at-risk (VaR), stressed value-at-risk (SVaR) and incremental risk charge (IRC). VaR and SVaR components include the RWA charge for risks not in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in the first quarter of 2021 under an internal models approach across those components, pursuant to the movement categories defined by the BCBS. These categories are described on page 78 of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors.
Market risk RWA under an internal models approach decreased by USD 1.6 billion to USD 9.8 billion in the first quarter of 2021, driven primarily by a decrease in asset size and other movements in the Investment Bank's Global Markets business resulting from lower stressed VaR levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.
The VaR multiplier was unchanged compared with the prior quarter, at 3.0.
|
MR2: RWA flow statements of market risk exposures under an internal models approach1 |
|||||||
|
USD million |
VaR |
Stressed VaR |
IRC |
CRM |
Other |
Total RWA |
|
|
1 |
RWA as of 31.12.20 |
2,170 |
7,257 |
1,958 |
11,385 |
||
|
1a |
Regulatory adjustment |
(1,332) |
(4,034) |
(5,366) |
|||
|
1b |
RWA at previous quarter-end (end of day) |
838 |
3,223 |
1,958 |
6,019 |
||
|
2 |
Movement in risk levels |
2,033 |
(1,950) |
102 |
185 |
||
|
3 |
Model updates / changes |
(102) |
98 |
(4) |
|||
|
4 |
Methodology and policy |
||||||
|
5 |
Acquisitions and disposals |
||||||
|
6 |
Foreign exchange movements |
||||||
|
7 |
Other |
(77) |
(21) |
(98) |
|||
|
8a |
RWA at the end of the reporting period (end of day) |
2,692 |
1,350 |
2,060 |
6,102 |
||
|
8b |
Regulatory adjustment |
3,664 |
3,664 |
||||
|
8c |
RWA as of 31.3.21 |
2,692 |
5,014 |
2,060 |
9,766 |
||
|
1 Components that describe movements in RWA are presented in italics. |
11
UBS Group
Section 3 Going and gone concern requirements and eligible capital
The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided on pages 33-42 in the 'Capital management' section of our first quarter 2021 report, available under 'Quarterly reporting' at ubs.com/investors.
|
Swiss SRB going and gone concern requirements and information |
||||||
|
As of 31.3.21 |
RWA |
LRD |
||||
|
USD million, except where indicated |
in % |
in % |
||||
|
Required going concern capital |
||||||
|
Total going concern capital |
13.961 |
40,193 |
4.881 |
50,613 |
||
|
Common equity tier 1 capital |
9.66 |
27,816 |
3.382 |
35,040 |
||
|
of which: minimum capital |
4.50 |
12,952 |
1.50 |
15,573 |
||
|
of which: buffer capital |
5.14 |
14,794 |
1.88 |
19,467 |
||
|
of which: countercyclical buffer |
0.02 |
70 |
||||
|
Maximum additional tier 1 capital |
4.30 |
12,377 |
1.50 |
15,573 |
||
|
of which: additional tier 1 capital |
3.50 |
10,074 |
1.50 |
15,573 |
||
|
of which: additional tier 1 buffer capital |
0.80 |
2,303 |
||||
|
Eligible going concern capital |
||||||
|
Total going concern capital |
19.56 |
56,288 |
5.42 |
56,288 |
||
|
Common equity tier 1 capital |
14.05 |
40,426 |
3.89 |
40,426 |
||
|
Total loss-absorbing additional tier 1 capital3 |
5.51 |
15,862 |
1.53 |
15,862 |
||
|
of which: high-trigger loss-absorbing additional tier 1 capital |
4.64 |
13,361 |
1.29 |
13,361 |
||
|
of which: low-trigger loss-absorbing additional tier 1 capital |
0.87 |
2,501 |
0.24 |
2,501 |
||
|
Required gone concern capital4 |
||||||
|
Total gone concern loss-absorbing capacity5 |
10.59 |
30,468 |
3.76 |
39,012 |
||
|
of which: base requirement |
12.86 |
37,015 |
4.50 |
46,720 |
||
|
of which: additional requirement for market share and LRD |
1.08 |
3,109 |
0.38 |
3,893 |
||
|
of which: applicable reduction on requirements |
(3.35) |
(9,655) |
(1.12) |
(11,601) |
||
|
of which: rebate granted (equivalent to 47.5% of maximum rebate) |
(2.54) |
(7,301) |
(0.89) |
(9,247) |
||
|
of which: reduction for usage of low-trigger tier 2 capital instruments |
(0.82) |
(2,355) |
(0.23) |
(2,355) |
||
|
Eligible gone concern capital |
||||||
|
Total gone concern loss-absorbing capacity |
15.42 |
44,381 |
4.27 |
44,381 |
||
|
Total tier 2 capital |
1.82 |
5,253 |
0.51 |
5,253 |
||
|
of which: low-trigger loss-absorbing tier 2 capital |
1.64 |
4,709 |
0.45 |
4,709 |
||
|
of which: non-Basel III-compliant tier 2 capital |
0.19 |
544 |
0.05 |
544 |
||
|
TLAC-eligible senior unsecured debt |
13.59 |
39,129 |
3.77 |
39,129 |
||
|
Total loss-absorbing capacity |
||||||
|
Required total loss-absorbing capacity |
24.55 |
70,661 |
8.63 |
89,626 |
||
|
Eligible total loss-absorbing capacity |
34.98 |
100,669 |
9.70 |
100,669 |
||
|
Risk-weighted assets / leverage ratio denominator |
||||||
|
Risk-weighted assets |
287,828 |
|||||
|
Leverage ratio denominator |
1,038,225 |
|||||
|
1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 2 Our minimum CET1 leverage ratio requirement of 3.375% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.125% market share add-on requirement based on our Swiss credit business. 3 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the Swiss SRB framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 5 The gone concern requirement after the application of the rebate for resolvability measures and the reduction for the use of higher quality capital instruments is floored at 8.6% and 3% for the RWA- and LRD-based requirements, respectively. This means that the combined reduction may not exceed 5.34 percentage points for the RWA-based requirement of 13.94% and 1.875 percentage points for the LRD-based requirement of 4.875%. |
12
Section 4 Leverage ratio
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the 'KM1: Key metrics' table in section 1 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD).
The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement values 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 (SFTs).
The table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table in this section.
The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules we are required to meet going and gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.
|
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions |
||
|
USD million |
31.3.21 |
31.12.201 |
|
On-balance sheet exposures |
||
|
IFRS total assets |
1,107,712 |
1,125,765 |
|
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation |
(21,535) |
(21,166) |
|
Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes |
||
|
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
||
|
Less carrying amount of derivative financial instruments in IFRS total assets2 |
(183,352) |
(192,370) |
|
Less carrying amount of securities financing transactions in IFRS total assets3 |
(112,593) |
(105,587) |
|
Adjustments to accounting values |
||
|
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral |
790,233 |
806,642 |
|
Asset amounts deducted in determining BCBS Basel III tier 1 capital |
(12,632) |
(12,754) |
|
Total on-balance sheet exposures (excluding derivatives and securities financing transactions) |
777,601 |
793,888 |
|
1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to 'Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits' in the 'Going and gone concern requirements and eligible capital' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 2 Consists of derivative financial instruments and cash collateral receivables on derivative instruments in accordance with the regulatory scope of consolidation. 3 Consists of receivables from securities financing transactions (SFTs), margin loans, prime brokerage receivables and financial assets at fair value not held for trading related to SFTs in accordance with the regulatory scope of consolidation. |
13
UBS Group
During the first quarter of 2021, the LRD was stable at USD 1,038 billion. On-balance sheet exposures (excluding derivatives and SFTs) decreased by USD 16 billion, mainly driven by currency effects of USD 25 billion and lower high-quality liquid asset (HQLA) securities, partly offset by increases in
lending assets and cash and balances at central banks. Derivative exposures increased by USD 10 billion, mainly reflecting higher potential future exposure and market-driven movements. SFTs increased by USD 8 billion, mainly driven by excess cash re-investment and an increase in securities borrowing activities.
|
LR2: BCBS Basel III leverage ratio common disclosure |
|||
|
USD million, except where indicated |
31.3.21 |
31.12.201 |
|
|
On-balance sheet exposures |
|||
|
1 |
On-balance sheet items excluding derivatives and SFTs, but including collateral |
790,233 |
806,642 |
|
2 |
(Asset amounts deducted in determining Basel III tier 1 capital) |
(12,632) |
(12,754) |
|
3 |
Total on-balance sheet exposures (excluding derivatives and SFTs) |
777,601 |
793,888 |
|
Derivative exposures |
|||
|
4 |
Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin) |
59,145 |
54,049 |
|
5 |
Add-on amounts for PFE associated with all derivatives transactions |
84,270 |
79,901 |
|
6 |
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework |
0 |
0 |
|
7 |
(Deductions of receivables assets for cash variation margin provided in derivatives transactions) |
(23,146) |
(21,420) |
|
8 |
(Exempted CCP leg of client-cleared trade exposures) |
(15,139) |
(16,760) |
|
9 |
Adjusted effective notional amount of all written credit derivatives2 |
80,570 |
85,274 |
|
10 |
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)3 |
(79,504) |
(84,451) |
|
11 |
Total derivative exposures |
106,195 |
96,592 |
|
Securities financing transaction exposures |
|||
|
12 |
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions |
197,482 |
198,077 |
|
13 |
(Netted amounts of cash payables and cash receivables of gross SFT assets) |
(84,890) |
(92,490) |
|
14 |
CCR exposure for SFT assets |
10,648 |
9,759 |
|
15 |
Agent transaction exposures |
||
|
16 |
Total securities financing transaction exposures |
123,240 |
115,346 |
|
Other off-balance sheet exposures |
|||
|
17 |
Off-balance sheet exposure at gross notional amount |
100,243 |
105,084 |
|
18 |
(Adjustments for conversion to credit equivalent amounts) |
(69,053) |
(73,760) |
|
19 |
Total off-balance sheet items |
31,189 |
31,324 |
|
Total exposures (leverage ratio denominator) |
1,038,225 |
1,037,150 |
|
|
Capital and total exposures (leverage ratio denominator) |
|||
|
20 |
Tier 1 capital |
56,288 |
56,178 |
|
21 |
Total exposures (leverage ratio denominator) |
1,038,225 |
1,037,150 |
|
Leverage ratio |
|||
|
22 |
Basel III leverage ratio (%) |
5.4 |
5.4 |
|
1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to 'Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits' in the 'Going and gone concern requirements and eligible capital' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 2 Includes protection sold, including agency transactions. 3 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met. |
|
LR1: BCBS Basel III leverage ratio summary comparison |
|||
|
USD million |
31.3.21 |
31.12.201 |
|
|
1 |
Total consolidated assets as per published financial statements |
1,107,712 |
1,125,765 |
|
2 |
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation2 |
(34,167) |
(33,919) |
|
3 |
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure |
||
|
4 |
Adjustments for derivative financial instruments |
(77,157) |
(95,778) |
|
5 |
Adjustment for securities financing transactions (i.e., repos and similar secured lending) |
10,648 |
9,759 |
|
6 |
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures) |
31,189 |
31,324 |
|
7 |
Other adjustments |
||
|
8 |
Leverage ratio exposure (leverage ratio denominator) |
1,038,225 |
1,037,150 |
|
1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to 'Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits' in the 'Going and gone concern requirements and eligible capital' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 2 Includes assets that are deducted from tier 1 capital. |
14
Section 5 Liquidity coverage ratio
Liquidity coverage ratio
We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.
|
Pillar 3 disclosure requirement |
First quarter 2021 report section |
Disclosure |
First quarter 2021 report page number |
||||
|
Concentration of funding sources |
Balance sheet and off-balance sheet |
- |
Liabilities by product and currency |
47 |
|||
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 of the assets on a developed and recognized exchange, existence of an active and sizeable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.
|
High-quality liquid assets |
||||||||
|
Average 1Q211 |
Average 4Q201 |
|||||||
|
USD billion |
Level 1 weighted liquidity value2 |
Level 2 weighted liquidity value2 |
Total weighted liquidity value2 |
Level 1 weighted liquidity value2 |
Level 2 weighted liquidity value2 |
Total weighted liquidity value2 |
||
|
Cash balances3 |
145 |
145 |
133 |
133 |
||||
|
Securities (on- and off-balance sheet) |
58 |
18 |
76 |
63 |
18 |
81 |
||
|
Total high-quality liquid assets4 |
203 |
18 |
221 |
196 |
18 |
214 |
||
|
1 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020. 2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements. |
15
UBS Group
LCR development during the first quarter of 2021
In the first quarter of 2021, the UBS Group LCR decreased 1 percentage point to 151%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The average LCR decrease was primarily driven by increased net cash outflows from higher customer deposit balances. These outflows were mostly offset by higher high-quality liquid assets (HQLA) due to higher cash balances, partly offset by higher funding consumption in the business divisions.
|
LIQ1: Liquidity coverage ratio |
|||||||
|
Average 1Q211 |
Average 4Q201 |
||||||
|
USD billion, except where indicated |
Unweighted value |
Weighted value2 |
Unweighted value |
Weighted value2 |
|||
|
High-quality liquid assets |
|||||||
|
1 |
High-quality liquid assets |
225 |
221 |
218 |
214 |
||
|
Cash outflows |
|||||||
|
2 |
Retail deposits and deposits from small business customers |
299 |
34 |
296 |
33 |
||
|
3 |
of which: stable deposits |
41 |
1 |
41 |
1 |
||
|
4 |
of which: less stable deposits |
257 |
32 |
255 |
32 |
||
|
5 |
Unsecured wholesale funding |
241 |
130 |
224 |
119 |
||
|
6 |
of which: operational deposits (all counterparties) |
53 |
13 |
52 |
13 |
||
|
7 |
of which: non-operational deposits (all counterparties) |
172 |
101 |
157 |
92 |
||
|
8 |
of which: unsecured debt |
16 |
16 |
14 |
14 |
||
|
9 |
Secured wholesale funding |
79 |
73 |
||||
|
10 |
Additional requirements |
90 |
26 |
88 |
27 |
||
|
11 |
of which: outflows related to derivatives and other transactions |
47 |
17 |
45 |
18 |
||
|
12 |
of which: outflows related to loss of funding on debt products3 |
0 |
0 |
0 |
0 |
||
|
13 |
of which: committed credit and liquidity facilities |
43 |
9 |
43 |
9 |
||
|
14 |
Other contractual funding obligations |
12 |
10 |
13 |
11 |
||
|
15 |
Other contingent funding obligations |
254 |
5 |
256 |
6 |
||
|
16 |
Total cash outflows |
285 |
269 |
||||
|
Cash inflows |
|||||||
|
17 |
Secured lending |
321 |
85 |
314 |
81 |
||
|
18 |
Inflows from fully performing exposures |
78 |
36 |
71 |
33 |
||
|
19 |
Other cash inflows |
18 |
18 |
15 |
15 |
||
|
20 |
Total cash inflows |
417 |
138 |
400 |
128 |
||
|
Average 1Q211 |
Average 4Q201 |
||||||
|
USD billion, except where indicated |
Total adjusted value4 |
Total adjusted value4 |
|||||
|
Liquidity coverage ratio |
|||||||
|
21 |
High-quality liquid assets |
221 |
214 |
||||
|
22 |
Net cash outflows |
146 |
141 |
||||
|
23 |
Liquidity coverage ratio (%) |
151 |
152 |
||||
|
1 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020. 2 Calculated after the application of haircuts and inflow and outflow rates. 3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. |
16
Significant regulated subsidiaries and sub-groups
Significant regulated subsidiaries and sub-groups
Section 1 Introduction
The sections on the following pages include capital and other regulatory information as of 31 March 2021 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.
Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
Section 2 UBS AG standalone
Key metrics of the first quarter of 2021
The table on the next page is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.
During the first quarter of 2021, common equity tier 1 (CET1) capital was stable at USD 50.2 billion, as the operating profit before tax was offset by accruals for capital returns to UBS Group AG, current tax expenses and other items. Total capital decreased by USD 2.5 billion to USD 67.1 billion, mainly reflecting the call of a EUR 2 billion on-lend tier 2 capital instrument amounting to USD 2.4 billion.
Risk-weighted assets (RWA) increased by USD 12.2 billion to USD 317.8 billion during the first quarter of 2021, primarily driven by increases in credit and counterparty credit risk RWA,
including the gradual increase of risk weights for investments in the Swiss and foreign-domiciled subsidiaries in accordance with the relevant FINMA decree.
The leverage ratio exposure increased by USD 16 billion to USD 611 billion, mainly driven by higher derivative exposures and higher exposures from securities financing transactions.
The average high-quality liquid assets (HQLA) decreased by USD 1.9 billion to USD 82.0 billion driven by a reduction of cash balances. Average total net cash outflows decreased by USD 4.9 billion to USD 47.9 billion due to higher inflows from interbank funding provided.
18
|
KM1: Key metrics |
||||||||||
|
USD million, except where indicated |
||||||||||
|
31.3.21 |
31.12.20 |
30.9.20 |
30.6.20 |
31.3.20 |
||||||
|
Available capital (amounts) |
||||||||||
|
1 |
Common equity tier 1 (CET1) |
50,223 |
50,269 |
51,793 |
51,810 |
48,998 |
||||
|
1a |
Fully loaded ECL accounting model CET11 |
50,189 |
50,266 |
51,791 |
51,808 |
48,994 |
||||
|
2 |
Tier 1 |
64,652 |
64,699 |
66,145 |
65,361 |
62,382 |
||||
|
2a |
Fully loaded ECL accounting model tier 11 |
64,618 |
64,696 |
66,143 |
65,359 |
62,379 |
||||
|
3 |
Total capital |
67,126 |
69,639 |
71,020 |
70,612 |
68,130 |
||||
|
3a |
Fully loaded ECL accounting model total capital1 |
67,091 |
69,636 |
71,018 |
70,610 |
68,127 |
||||
|
Risk-weighted assets (amounts) |
||||||||||
|
4 |
Total risk-weighted assets (RWA) |
317,824 |
305,575 |
309,019 |
310,752 |
317,621 |
||||
|
4a |
Minimum capital requirement2 |
25,426 |
24,446 |
24,722 |
24,860 |
25,410 |
||||
|
4b |
Total risk-weighted assets (pre-floor) |
317,824 |
305,575 |
309,019 |
310,752 |
317,621 |
||||
|
Risk-based capital ratios as a percentage of RWA |
||||||||||
|
5 |
Common equity tier 1 ratio (%) |
15.80 |
16.45 |
16.76 |
16.67 |
15.43 |
||||
|
5a |
Fully loaded ECL accounting model CET1 ratio (%)1 |
15.79 |
16.45 |
16.76 |
16.67 |
15.43 |
||||
|
6 |
Tier 1 ratio (%) |
20.34 |
21.17 |
21.40 |
21.03 |
19.64 |
||||
|
6a |
Fully loaded ECL accounting model tier 1 ratio (%)1 |
20.33 |
21.17 |
21.40 |
21.03 |
19.64 |
||||
|
7 |
Total capital ratio (%) |
21.12 |
22.79 |
22.98 |
22.72 |
21.45 |
||||
|
7a |
Fully loaded ECL accounting model total capital ratio (%)1 |
21.11 |
22.79 |
22.98 |
22.72 |
21.45 |
||||
|
Additional CET1 buffer requirements as a percentage of RWA |
||||||||||
|
8 |
Capital conservation buffer requirement (%) |
2.50 |
2.50 |
2.50 |
2.50 |
2.50 |
||||
|
9 |
Countercyclical buffer requirement (%) |
0.02 |
0.01 |
0.02 |
0.02 |
0.01 |
||||
|
9a |
Additional countercyclical buffer for Swiss mortgage loans (%) |
|||||||||
|
10 |
Bank G-SIB and / or D-SIB additional requirements (%)3 |
|||||||||
|
11 |
Total of bank CET1-specific buffer requirements (%) |
2.52 |
2.51 |
2.52 |
2.52 |
2.51 |
||||
|
12 |
CET1 available after meeting the bank's minimum capital requirements (%) |
11.30 |
11.95 |
12.26 |
12.17 |
10.93 |
||||
|
Basel III leverage ratio4 |
||||||||||
|
13 |
Total Basel III leverage ratio exposure measure |
611,022 |
595,017 |
588,204 |
573,741 |
574,692 |
||||
|
14 |
Basel III leverage ratio (%) |
10.58 |
10.87 |
11.25 |
11.39 |
10.85 |
||||
|
14a |
Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
10.58 |
10.87 |
11.24 |
11.39 |
10.85 |
||||
|
Liquidity coverage ratio5 |
||||||||||
|
15 |
Total HQLA |
82,041 |
83,905 |
88,424 |
91,877 |
67,963 |
||||
|
16 |
Total net cash outflow |
47,927 |
52,851 |
52,463 |
52,209 |
48,320 |
||||
|
17 |
LCR (%) |
172 |
159 |
169 |
178 |
141 |
||||
|
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 'Eligible capital - banks.' 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided on the following pages in this section. 4 The temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19 had no net effect on UBS AG standalone in 2020. Refer to the 'Introduction and basis for preparation' section and to the 'UBS AG standalone' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 5 Calculated based on quarterly average. Refer to 'Liquidity coverage ratio' in this section for more information. |
19
Significant regulated subsidiaries and sub-groups
Swiss SRB going and gone concern requirements and information
The tables below and on the next page provide details of the Swiss systematically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are provided on the next page.
More information about the going and gone concern requirements and information is provided on page 112 of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors.
|
Swiss SRB going and gone concern requirements and information |
|||||||||
|
As of 31.3.21 |
RWA, phase-in |
RWA, fully applied as of 1.1.28 |
LRD |
||||||
|
USD million, except where indicated |
in % |
in % |
in % |
||||||
|
Required going concern capital |
|||||||||
|
Total going concern capital |
13.961 |
44,363 |
13.961 |
53,313 |
4.881 |
29,787 |
|||
|
Common equity tier 1 capital |
9.66 |
30,696 |
9.66 |
36,890 |
3.38 |
20,622 |
|||
|
of which: minimum capital |
4.50 |
14,302 |
4.50 |
17,188 |
1.50 |
9,165 |
|||
|
of which: buffer capital |
5.14 |
16,336 |
5.14 |
19,632 |
1.88 |
11,457 |
|||
|
of which: countercyclical buffer |
0.02 |
58 |
0.02 |
70 |
|||||
|
Maximum additional tier 1 capital |
4.30 |
13,666 |
4.30 |
16,424 |
1.50 |
9,165 |
|||
|
of which: additional tier 1 capital |
3.50 |
11,124 |
3.50 |
13,368 |
1.50 |
9,165 |
|||
|
of which: additional tier 1 buffer capital |
0.80 |
2,543 |
0.80 |
3,056 |
|||||
|
Eligible going concern capital |
|||||||||
|
Total going concern capital |
20.34 |
64,652 |
16.93 |
64,652 |
10.58 |
64,652 |
|||
|
Common equity tier 1 capital |
15.80 |
50,223 |
13.15 |
50,223 |
8.22 |
50,223 |
|||
|
Total loss-absorbing additional tier 1 capital |
4.54 |
14,429 |
3.78 |
14,429 |
2.36 |
14,429 |
|||
|
of which: high-trigger loss-absorbing additional tier 1 capital |
3.75 |
11,930 |
3.12 |
11,930 |
1.95 |
11,930 |
|||
|
of which: low-trigger loss-absorbing additional tier 1 capital |
0.79 |
2,499 |
0.65 |
2,499 |
0.41 |
2,499 |
|||
|
Risk-weighted assets / leverage ratio denominator |
|||||||||
|
Risk-weighted assets |
317,824 |
381,948 |
|||||||
|
Leverage ratio denominator |
611,022 |
||||||||
|
Required gone concern capital2 |
Higher of RWA- or LRD-based |
||||||||
|
Total gone concern loss-absorbing requirement |
37,576 |
||||||||
|
Eligible gone concern capital |
|||||||||
|
Total gone concern loss-absorbing capacity |
44,365 |
||||||||
|
Gone concern coverage capital ratio |
118.07 |
||||||||
|
1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. |
20
|
Swiss SRB going and gone concern information |
|||
|
USD million, except where indicated |
31.3.21 |
31.12.20 |
|
|
Eligible going concern capital |
|||
|
Total going concern capital |
64,652 |
64,699 |
|
|
Total tier 1 capital |
64,652 |
64,699 |
|
|
Common equity tier 1 capital |
50,223 |
50,269 |
|
|
Total loss-absorbing additional tier 1 capital |
14,429 |
14,430 |
|
|
of which: high-trigger loss-absorbing additional tier 1 capital |
11,930 |
11,854 |
|
|
of which: low-trigger loss-absorbing additional tier 1 capital |
2,499 |
2,575 |
|
|
Eligible gone concern capital |
|||
|
Total gone concern loss-absorbing capacity |
44,365 |
45,520 |
|
|
Total tier 2 capital |
5,236 |
7,719 |
|
|
of which: low-trigger loss-absorbing tier 2 capital |
4,700 |
7,184 |
|
|
of which: non-Basel III-compliant tier 2 capital |
536 |
535 |
|
|
TLAC-eligible senior unsecured debt |
39,129 |
37,801 |
|
|
Total loss-absorbing capacity |
|||
|
Total loss-absorbing capacity |
109,017 |
110,219 |
|
|
Risk-weighted assets / leverage ratio denominator |
|||
|
Risk-weighted assets, phase-in |
317,824 |
305,575 |
|
|
of which: direct and indirect investments in Switzerland-domiciled subsidiaries1 |
37,834 |
38,370 |
|
|
of which: direct and indirect investments in foreign-domiciled subsidiaries1 |
107,648 |
99,635 |
|
|
Risk-weighted assets, fully applied as of 1.1.28 |
381,948 |
379,307 |
|
|
of which: direct and indirect investments in Switzerland-domiciled subsidiaries1 |
43,993 |
45,678 |
|
|
of which: direct and indirect investments in foreign-domiciled subsidiaries1 |
165,612 |
166,058 |
|
|
Leverage ratio denominator2 |
611,022 |
595,017 |
|
|
Capital and loss-absorbing capacity ratios (%) |
|||
|
Going concern capital ratio, phase-in |
20.3 |
21.2 |
|
|
of which: common equity tier 1 capital ratio, phase-in |
15.8 |
16.5 |
|
|
Going concern capital ratio, fully applied as of 1.1.28 |
16.9 |
17.1 |
|
|
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28 |
13.1 |
13.3 |
|
|
Leverage ratios (%)2 |
|||
|
Going concern leverage ratio |
10.6 |
10.9 |
|
|
of which: common equity tier 1 leverage ratio |
8.2 |
8.4 |
|
|
Gone concern capital coverage ratio (%) |
|||
|
Gone concern capital coverage ratio |
118.1 |
135.7 |
|
|
1 Carrying amounts for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries (31 March 2021: USD 17,597 million; 31 December 2020: USD 18,271 million) and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 March 2021: USD 41,403 million; 31 December 2020: USD 41,515 million) are risk-weighted at 215% and 260%, respectively, for the current year (31 December 2020: 210% and 240%, respectively). 2 The leverage ratio denominator (LRD) and leverage ratios for 31 December 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to the 'UBS AG standalone' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. |
21
Significant regulated subsidiaries and sub-groups
Leverage ratio information
|
Swiss SRB leverage ratio denominator |
||||
|
USD billion |
31.3.21 |
31.12.201 |
||
|
Leverage ratio denominator |
||||
|
Swiss GAAP total assets |
517.6 |
509.0 |
||
|
Difference between Swiss GAAP and IFRS total assets |
146.1 |
160.0 |
||
|
Less: derivative exposures and SFTs2 |
(266.5) |
(271.8) |
||
|
Less: funding provided to significant regulated subsidiaries eligible as gone concern capital |
(20.5) |
(20.2) |
||
|
On-balance sheet exposures (excluding derivative exposures and SFTs) |
376.7 |
377.0 |
||
|
Derivative exposures |
109.1 |
98.2 |
||
|
Securities financing transactions |
104.3 |
99.4 |
||
|
Off-balance sheet items |
22.2 |
21.6 |
||
|
Items deducted from Swiss SRB tier 1 capital |
(1.3) |
(1.2) |
||
|
Total exposures (leverage ratio denominator) |
611.0 |
595.0 |
||
|
1 The temporary exemption granted by FINMA in connection with COVID-19 had no net effect on UBS AG standalone. 2 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table. |
Liquidity coverage ratio
In the first quarter of 2021, the UBS AG liquidity coverage ratio (LCR) was 172%, remaining above the prudential requirements communicated by FINMA.
|
Liquidity coverage ratio |
|||
|
Weighted value1 |
|||
|
USD billion, except where indicated |
Average 1Q212 |
Average 4Q202 |
|
|
High-quality liquid assets |
82 |
84 |
|
|
Total net cash outflows |
48 |
53 |
|
|
of which: cash outflows |
172 |
166 |
|
|
of which: cash inflows |
124 |
113 |
|
|
Liquidity coverage ratio (%) |
172 |
159 |
|
|
1 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. 2 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020. |
22
Section 3 UBS Switzerland AG standalone
Key metrics of the first quarter of 2021
The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.
During the first quarter of 2021, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 12.4 billion, mainly as a result of net profit. Tier 1 capital and total capital increased by CHF 0.4 billion to CHF 17.8 billion, reflecting the aforementioned increase in CET1 capital and a new additional tier 1 (AT1) capital issuance of CHF 0.7 billion, partly offset by the call of a CHF 0.5 billion AT1 capital instrument.
Risk-weighted assets (RWA) increased by CHF 2.9 billion to CHF 110.2 billion, primarily due to increased exposures across Lombard loans and securities financing transactions.
The leverage ratio exposure increased by CHF 10 billion to CHF 345 billion, mainly driven by on-balance sheet exposures from lending assets, as well as securities financing transactions.
The average high-quality liquid assets (HQLA) increased by CHF 4.5 billion to CHF 96.4 billion driven by higher cash balances. Average total net cash outflows increased by CHF 3.8 billion to CHF 65.8 billion, due to higher customer deposit balances.
|
KM1: Key metrics |
|||||||
|
CHF million, except where indicated |
|||||||
|
31.3.21 |
31.12.20 |
30.9.20 |
30.6.20 |
31.3.20 |
|||
|
Available capital (amounts) |
|||||||
|
1 |
Common equity tier 1 (CET1) |
12,417 |
12,234 |
11,992 |
11,776 |
11,427 |
|
|
1a |
Fully loaded ECL accounting model CET11 |
12,416 |
12,233 |
11,989 |
11,774 |
11,422 |
|
|
2 |
Tier 1 |
17,819 |
17,410 |
16,683 |
16,479 |
16,137 |
|
|
2a |
Fully loaded ECL accounting model tier 11 |
17,818 |
17,409 |
16,680 |
16,476 |
16,132 |
|
|
3 |
Total capital |
17,819 |
17,410 |
16,683 |
16,479 |
16,137 |
|
|
3a |
Fully loaded ECL accounting model total capital1 |
17,818 |
17,409 |
16,680 |
16,476 |
16,132 |
|
|
Risk-weighted assets (amounts) |
|||||||
|
4 |
Total risk-weighted assets (RWA) |
110,194 |
107,253 |
107,066 |
105,304 |
104,489 |
|
|
4a |
Minimum capital requirement2 |
8,816 |
8,580 |
8,565 |
8,424 |
8,359 |
|
|
4b |
Total risk-weighted assets (pre-floor) |
93,149 |
92,164 |
92,755 |
92,740 |
92,981 |
|
|
Risk-based capital ratios as a percentage of RWA |
|||||||
|
5 |
Common equity tier 1 ratio (%) |
11.27 |
11.41 |
11.20 |
11.18 |
10.94 |
|
|
5a |
Fully loaded ECL accounting model CET1 ratio (%)1 |
11.27 |
11.41 |
11.20 |
11.18 |
10.93 |
|
|
6 |
Tier 1 ratio (%) |
16.17 |
16.23 |
15.58 |
15.65 |
15.44 |
|
|
6a |
Fully loaded ECL accounting model tier 1 ratio (%)1 |
16.17 |
16.23 |
15.58 |
15.65 |
15.44 |
|
|
7 |
Total capital ratio (%) |
16.17 |
16.23 |
15.58 |
15.65 |
15.44 |
|
|
7a |
Fully loaded ECL accounting model total capital ratio (%)1 |
16.17 |
16.23 |
15.58 |
15.65 |
15.44 |
|
|
Additional CET1 buffer requirements as a percentage of RWA |
|||||||
|
8 |
Capital conservation buffer requirement (%) |
2.50 |
2.50 |
2.50 |
2.50 |
2.50 |
|
|
9 |
Countercyclical buffer requirement (%) |
0.02 |
0.01 |
0.01 |
0.01 |
0.01 |
|
|
9a |
Additional countercyclical buffer for Swiss mortgage loans (%) |
||||||
|
10 |
Bank G-SIB and / or D-SIB additional requirements (%)3 |
||||||
|
11 |
Total of bank CET1-specific buffer requirements (%) |
2.52 |
2.51 |
2.51 |
2.51 |
2.51 |
|
|
12 |
CET1 available after meeting the bank's minimum capital requirements (%) |
6.77 |
6.91 |
6.70 |
6.68 |
6.44 |
|
|
Basel III leverage ratio4 |
|||||||
|
13 |
Total Basel III leverage ratio exposure measure |
344,925 |
335,251 |
327,113 |
323,068 |
317,071 |
|
|
14 |
Basel III leverage ratio (%) |
5.17 |
5.19 |
5.10 |
5.10 |
5.09 |
|
|
14a |
Fully loaded ECL accounting model Basel III leverage ratio (%)1 |
5.17 |
5.19 |
5.10 |
5.10 |
5.09 |
|
|
Liquidity coverage ratio5 |
|||||||
|
15 |
Total HQLA |
96,366 |
91,909 |
87,254 |
85,180 |
74,602 |
|
|
16 |
Total net cash outflow |
65,829 |
62,074 |
59,930 |
61,847 |
53,059 |
|
|
17 |
LCR (%) |
146 |
148 |
146 |
138 |
141 |
|
|
1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 'Eligible capital - banks.' 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are provided on the next page. 4 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to the 'UBS Switzerland AG standalone' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 5 Calculated based on quarterly average. Refer to 'Liquidity coverage ratio' in this section for more information. |
23
Significant regulated subsidiaries and sub-groups
Swiss SRB going and gone concern requirements and information
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 31 March 2021, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.96%, including a countercyclical buffer of 0.02%, and 4.875%, respectively.
The gone concern requirements were 8.64% for the RWA-based requirement and 3.02% for the leverage ratio denominator (LRD)-based requirement.
The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone concern requirement effective from 1 January 2020, corresponding to 62% of the Group's gone concern requirement (before applicable reductions).
|
Swiss SRB going and gone concern requirements and information |
||||||
|
As of 31.3.21 |
RWA |
LRD |
||||
|
CHF million, except where indicated |
in % |
in % |
||||
|
Required going concern capital |
||||||
|
Total going concern capital |
13.961 |
15,381 |
4.881 |
16,815 |
||
|
Common equity tier 1 capital |
9.66 |
10,643 |
3.38 |
11,641 |
||
|
of which: minimum capital |
4.50 |
4,959 |
1.50 |
5,174 |
||
|
of which: buffer capital |
5.14 |
5,664 |
1.88 |
6,467 |
||
|
of which: countercyclical buffer |
0.02 |
20 |
||||
|
Maximum additional tier 1 capital |
4.30 |
4,738 |
1.50 |
5,174 |
||
|
of which: additional tier 1 capital |
3.50 |
3,857 |
1.50 |
5,174 |
||
|
of which: additional tier 1 buffer capital |
0.80 |
882 |
||||
|
Eligible going concern capital |
||||||
|
Total going concern capital |
16.17 |
17,819 |
5.17 |
17,819 |
||
|
Common equity tier 1 capital |
11.27 |
12,417 |
3.60 |
12,417 |
||
|
Total loss-absorbing additional tier 1 capital |
4.90 |
5,402 |
1.57 |
5,402 |
||
|
of which: high-trigger loss-absorbing additional tier 1 capital |
4.90 |
5,402 |
1.57 |
5,402 |
||
|
Required gone concern capital2 |
||||||
|
Total gone concern loss-absorbing capacity |
8.64 |
9,524 |
3.02 |
10,425 |
||
|
of which: base requirement |
7.97 |
8,786 |
2.79 |
9,623 |
||
|
of which: additional requirement for market share and LRD |
0.67 |
738 |
0.23 |
802 |
||
|
Eligible gone concern capital |
||||||
|
Total gone concern loss-absorbing capacity |
9.88 |
10,890 |
3.16 |
10,890 |
||
|
TLAC-eligible senior unsecured debt |
9.88 |
10,890 |
3.16 |
10,890 |
||
|
Total loss-absorbing capacity |
||||||
|
Required total loss-absorbing capacity |
22.60 |
24,905 |
7.90 |
27,240 |
||
|
Eligible total loss-absorbing capacity |
26.05 |
28,709 |
8.32 |
28,709 |
||
|
Risk-weighted assets / leverage ratio denominator |
||||||
|
Risk-weighted assets |
110,194 |
|||||
|
Leverage ratio denominator |
344,925 |
|||||
|
1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. |
24
Swiss SRB loss-absorbing capacity
|
Swiss SRB going and gone concern information |
|||
|
CHF million, except where indicated |
31.3.21 |
31.12.20 |
|
|
Eligible going concern capital |
|||
|
Total going concern capital |
17,819 |
17,410 |
|
|
Total tier 1 capital |
17,819 |
17,410 |
|
|
Common equity tier 1 capital |
12,417 |
12,234 |
|
|
Total loss-absorbing additional tier 1 capital |
5,402 |
5,176 |
|
|
of which: high-trigger loss-absorbing additional tier 1 capital |
5,402 |
5,176 |
|
|
Eligible gone concern capital |
|||
|
Total gone concern loss-absorbing capacity |
10,890 |
10,824 |
|
|
TLAC-eligible senior unsecured debt |
10,890 |
10,824 |
|
|
Total loss-absorbing capacity |
|||
|
Total loss-absorbing capacity |
28,709 |
28,234 |
|
|
Risk-weighted assets / leverage ratio denominator |
|||
|
Risk-weighted assets |
110,194 |
107,253 |
|
|
Leverage ratio denominator1 |
344,925 |
335,251 |
|
|
Capital and loss-absorbing capacity ratios (%) |
|||
|
Going concern capital ratio |
16.2 |
16.2 |
|
|
of which: common equity tier 1 capital ratio |
11.3 |
11.4 |
|
|
Gone concern loss-absorbing capacity ratio |
9.9 |
10.1 |
|
|
Total loss-absorbing capacity ratio |
26.1 |
26.3 |
|
|
Leverage ratios (%)1 |
|||
|
Going concern leverage ratio |
5.2 |
5.2 |
|
|
of which: common equity tier 1 leverage ratio |
3.6 |
3.6 |
|
|
Gone concern leverage ratio |
3.2 |
3.2 |
|
|
Total loss-absorbing capacity leverage ratio |
8.3 |
8.4 |
|
|
1 The leverage ratio denominator (LRD) and leverage ratios for 31 December 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to the 'UBS Switzerland AG standalone' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. |
25
Significant regulated subsidiaries and sub-groups
Leverage ratio information
|
Swiss SRB leverage ratio denominator |
|||
|
CHF billion |
31.3.21 |
31.12.201 |
|
|
Leverage ratio denominator |
|||
|
Swiss GAAP total assets |
325.9 |
316.8 |
|
|
Difference between Swiss GAAP and IFRS total assets |
4.5 |
4.5 |
|
|
Less: derivative exposures and SFTs2 |
(14.9) |
(10.6) |
|
|
On-balance sheet exposures (excluding derivative exposures and SFTs) |
315.5 |
310.7 |
|
|
Derivative exposures |
5.8 |
5.7 |
|
|
Securities financing transactions |
8.1 |
3.8 |
|
|
Off-balance sheet items |
15.7 |
15.2 |
|
|
Items deducted from Swiss SRB tier 1 capital |
(0.2) |
(0.2) |
|
|
Total exposures (leverage ratio denominator) |
344.9 |
335.3 |
|
|
1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the 'Introduction and basis for preparation' section and to the 'UBS Switzerland AG standalone' section of our 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for more information. 2 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table. |
Liquidity coverage ratio
In the first quarter of 2021, the liquidity coverage ratio (LCR) of UBS Switzerland AG, which is a Swiss SRB, was 146%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA) in connection with the Swiss Emergency Plan.
|
Liquidity coverage ratio |
|||
|
Weighted value1 |
|||
|
CHF billion, except where indicated |
Average 1Q212 |
Average 4Q202 |
|
|
High-quality liquid assets |
96 |
92 |
|
|
Total net cash outflows |
66 |
62 |
|
|
of which: cash outflows |
94 |
89 |
|
|
of which: cash inflows |
29 |
27 |
|
|
Liquidity coverage ratio (%) |
146 |
148 |
|
|
1 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. 2 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020. |
26
Capital instruments
|
Capital instruments of UBS Switzerland AG - key features |
|||||||||||
|
Presented according to issuance date. |
|||||||||||
|
Share capital |
Additional tier 1 capital |
||||||||||
|
1 |
Issuer |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
UBS Switzerland AG, Switzerland |
||
|
1a |
Instrument number |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
||
|
2 |
Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement) |
- |
- |
||||||||
|
3 |
Governing law(s) of the instrument |
Swiss |
Swiss |
||||||||
|
3a |
Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law) |
n/a |
n/a |
||||||||
|
Regulatory treatment |
|||||||||||
|
4 |
Transitional Basel III rules1 |
CET1 - Going concern capital |
Additional tier 1 capital |
||||||||
|
5 |
Post-transitional Basel III rules2 |
CET1 - Going concern capital |
Additional tier 1 capital |
||||||||
|
6 |
Eligible at solo / group / group and solo |
UBS Switzerland AG consolidated and standalone |
UBS Switzerland AG consolidated and standalone |
||||||||
|
7 |
Instrument type (types to be specified by each jurisdiction) |
Ordinary shares |
Loan3 |
||||||||
|
8 |
Amount recognized in regulatory capital (currency in millions, as of most recent reporting date)1 |
CHF 10.0 |
CHF 1,500 |
CHF 1,000 |
CHF 825 |
USD 425 |
CHF 475 |
CHF 500 |
CHF 700 |
||
|
9 |
Par value of instrument |
CHF 10.0 |
CHF 1,500 |
CHF 1,000 |
CHF 825 |
USD 425 |
CHF 475 |
CHF 500 |
CHF 700 |
||
|
10 |
Accounting classification4 |
Equity attributable to UBS Switzerland AG shareholders |
Due to banks held at amortized cost |
||||||||
|
11 |
Original date of issuance |
- |
1 April 2015 |
18 December 2017 |
12 December 2018 |
12 December 2018 |
11 December 2019 |
29 October 2020 |
11 March 2021 |
||
|
12 |
Perpetual or dated |
- |
Perpetual |
||||||||
|
13 |
Original maturity date |
- |
- |
||||||||
|
14 |
Issuer call subject to prior supervisory approval |
- |
Yes |
||||||||
|
15 |
Optional call date, contingent call dates and redemption amount |
- |
First optional repayment date: 1 April 2020 |
First optional repayment date: 18 December 2022 |
First optional repayment date: 12 December 2023 |
First optional repayment date: 12 December 2023 |
First optional repayment date: 11 December 2024 |
First optional repayment date: 29 October 2025 |
First optional repayment date: 11 March 2026 |
||
|
Repayable at any time after the first optional repayment date. Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest thereon |
|||||||||||
|
16 |
Subsequent call dates, if applicable |
- |
Early repayment possible due to a tax or regulatory event. Repayment due to tax event subject to FINMA approval. Repayment amount: principal amount, together with accrued and unpaid interest |
27
Significant regulated subsidiaries and sub-groups
|
Capital instruments of UBS Switzerland AG - key features (continued) |
|||||||||||
|
Coupons |
|||||||||||
|
17 |
Fixed or floating dividend / coupon |
- |
Floating |
||||||||
|
18 |
Coupon rate and any related index |
- |
6-month CHF LIBOR + 370 bps per annum semi-annually |
3-month CHF LIBOR + 250 bps per annum quarterly |
3-month CHF LIBOR + 489 bps per annum quarterly |
3-month USD LIBOR + 547 bps per annum quarterly |
3-month CHF LIBOR + 433 bps per annum quarterly |
3-month SARON Compound Rate + 397 bps |
3-month SARON Compound Rate + 337 bps |
||
|
19 |
Existence of a dividend stopper |
- |
No |
||||||||
|
20 |
Fully discretionary, partially discretionary or mandatory |
Fully discretionary |
Fully discretionary |
||||||||
|
21 |
Existence of step-up or other incentive to redeem |
- |
No |
||||||||
|
22 |
Non-cumulative or cumulative |
Non-cumulative |
Non-cumulative |
||||||||
|
23 |
Convertible or non-convertible |
- |
Non-convertible |
||||||||
|
24 |
If convertible, conversion trigger(s) |
- |
- |
||||||||
|
25 |
If convertible, fully or partially |
- |
- |
||||||||
|
26 |
If convertible, conversion rate |
- |
- |
||||||||
|
27 |
If convertible, mandatory or optional conversion |
- |
- |
||||||||
|
28 |
If convertible, specify instrument type convertible into |
- |
- |
||||||||
|
29 |
If convertible, specify issuer of instrument it converts into |
- |
- |
||||||||
|
30 |
Write-down feature |
- |
Yes |
||||||||
|
31 |
If write-down, write-down trigger(s) |
- |
Trigger: CET1 ratio is less than 7% |
||||||||
|
FINMA determines a write-down necessary to ensure UBS Switzerland AG's viability; or UBS Switzerland AG receives a commitment of governmental support that FINMA determines necessary to ensure UBS Switzerland AG's viability. Subject to applicable conditions |
|||||||||||
|
32 |
If write-down, fully or partially |
- |
Fully |
||||||||
|
33 |
If write-down, permanent or temporary |
- |
Permanent |
||||||||
|
34 |
If temporary write-down, description of write-up mechanism |
- |
- |
||||||||
|
34a |
Type of subordination |
Statutory |
Contractual |
||||||||
|
35 |
Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument in the insolvency creditor hierarchy of the legal entity concerned) |
Unless otherwise stated in the articles of association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (Art. 745, Swiss Code of Obligations) |
Subject to any obligations that are mandatorily preferred by law, each obligation of USB Switzerland AG that is unsubordinated or is subordinated and not ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments) |
||||||||
|
36 |
Non-compliant transitioned features |
- |
- |
||||||||
|
37 |
If yes, specify non-compliant features |
- |
- |
||||||||
|
1 Based on Swiss SRB (including transitional arrangement) requirements. 2 Based on Swiss SRB requirements applicable as of 1 January 2020. 3 Loans granted by UBS AG, Switzerland. 4 As applied in UBS Switzerland AG's financial statements under Swiss GAAP. |
28
Section 4 UBS Europe SE consolidated
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements.
During the first quarter of 2021, common equity tier 1 (CET1) capital remained stable. Risk-weighted assets increased by EUR 1 billion to EUR 14.1 billion, driven by increases in market risk due to a change in model permissions and credit risk. Leverage ratio exposure increased by EUR 2.2 billion to EUR 43.6 billion, mainly reflecting an increase in securities financing transactions, derivative instruments and other cash balances, partly offset by a decrease in high-quality liquid asset (HQLA)-eligible bonds.
The average liquidity coverage ratio increased by 6%, mainly due to a EUR 0.3 billion decrease in total net cash outflows.
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.
|
KM1: Key metrics1,2 |
|||||||
|
EUR million, except where indicated |
|||||||
|
31.3.21 |
31.12.20 |
30.9.20 |
30.6.203 |
31.3.203 |
|||
|
Available capital (amounts) |
|||||||
|
1 |
Common equity tier 1 (CET1) |
3,721 |
3,703 |
3,728 |
3,736 |
3,603 |
|
|
2 |
Tier 1 |
4,011 |
3,993 |
4,018 |
4,026 |
3,893 |
|
|
3 |
Total capital |
4,011 |
3,993 |
4,018 |
4,026 |
3,893 |
|
|
Risk-weighted assets (amounts) |
|||||||
|
4 |
Total risk-weighted assets (RWA) |
14,125 |
13,175 |
13,285 |
13,559 |
15,154 |
|
|
4a |
Minimum capital requirement4 |
1,130 |
1,054 |
1,063 |
1,085 |
1,212 |
|
|
Risk-based capital ratios as a percentage of RWA |
|||||||
|
5 |
Common equity tier 1 ratio (%) |
26.3 |
28.1 |
28.1 |
27.6 |
23.8 |
|
|
6 |
Tier 1 ratio (%) |
28.4 |
30.3 |
30.2 |
29.7 |
25.7 |
|
|
7 |
Total capital ratio (%) |
28.4 |
30.3 |
30.2 |
29.7 |
25.7 |
|
|
Additional CET1 buffer requirements as a percentage of RWA |
|||||||
|
8 |
Capital conservation buffer requirement (%) |
2.5 |
2.5 |
2.5 |
2.5 |
2.5 |
|
|
9 |
Countercyclical buffer requirement (%) |
0.1 |
0.0 |
0.0 |
0.0 |
0.1 |
|
|
10 |
Bank G-SIB and / or D-SIB additional requirements (%) |
||||||
|
11 |
Total of bank CET1-specific buffer requirements (%) |
2.6 |
2.5 |
2.5 |
2.5 |
2.6 |
|
|
12 |
CET1 available after meeting the bank's minimum capital requirements (%)5 |
20.4 |
22.3 |
22.2 |
21.7 |
17.7 |
|
|
Basel III leverage ratio |
|||||||
|
13 |
Total Basel III leverage ratio exposure measure |
43,620 |
41,376 |
43,371 |
42,172 |
49,004 |
|
|
14 |
Basel III leverage ratio (%)6 |
9.2 |
9.7 |
9.3 |
9.6 |
7.9 |
|
|
Liquidity coverage ratio7 |
|||||||
|
15 |
Total HQLA |
17,175 |
17,074 |
16,257 |
15,540 |
14,839 |
|
|
16 |
Total net cash outflow |
11,003 |
11,334 |
11,276 |
11,062 |
10,457 |
|
|
17 |
LCR (%) |
157 |
151 |
144 |
141 |
142 |
|
|
1 Based on applicable EU regulatory rules. 2 There is no local disclosure requirement for the net stable funding ratio as at 31 March 2021. 3 Comparative figures have been restated to align with the UBS Europe SE Pillar 3 report and other regulatory reports as submitted to the European Central Bank (the ECB), which reflect the ECB's recommendation to EU financial institutions to refrain from making capital distributions until the ECB changes its guidance on dividend payments. 4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 5 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1. 6 On the basis of tier 1 capital. 7 Figures are calculated on a twelve-month average. |
29
Significant regulated subsidiaries and sub-groups
Section 5 UBS Americas Holding LLC consolidated
The table below provides information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements and in accordance with US Basel III rules.
Effective 1 October 2020, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 6.7%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the annual Dodd-Frank Act Stress Testing (DFAST) and the Comprehensive Capital Analysis and Review (and based on DFAST results and planned future dividends). The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.
During the first quarter of 2021, the common equity tier 1 (CET1) ratio decreased from 22.5% to 21.2%, due to a USD 5.6 billion increase of risk-weighted assets (RWA), mainly driven by an increase in credit risk RWA. Leverage ratio exposure, calculated on an average basis, increased by USD 14.8 billion to USD 169.4 billion. The increase was due to a USD 14.7 billion increase in average assets, resulting from increases in cash held at Federal Reserve Banks and lending exposure.
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.
|
KM1: Key metrics1,2 |
|||||||||||
|
USD million, except where indicated |
|||||||||||
|
31.3.213 |
31.12.203 |
30.9.203 |
30.6.203,4 |
31.3.204 |
|||||||
|
Available capital (amounts) |
|||||||||||
|
1 |
Common equity tier 1 (CET1) |
14,716 |
14,384 |
13,840 |
13,535 |
11,932 |
|||||
|
2 |
Tier 1 |
17,763 |
17,431 |
16,883 |
16,578 |
14,980 |
|||||
|
3 |
Total capital |
18,498 |
18,166 |
17,626 |
17,344 |
15,735 |
|||||
|
Risk-weighted assets (amounts) |
|||||||||||
|
4 |
Total risk-weighted assets (RWA) |
69,481 |
63,929 |
65,084 |
64,351 |
53,812 |
|||||
|
4a |
Minimum capital requirement5 |
5,558 |
5,114 |
5,207 |
5,148 |
4,305 |
|||||
|
Risk-based capital ratios as a percentage of RWA |
|||||||||||
|
5 |
Common equity tier 1 ratio (%) |
21.2 |
22.5 |
21.3 |
21.0 |
22.2 |
|||||
|
6 |
Tier 1 ratio (%) |
25.6 |
27.3 |
25.9 |
25.8 |
27.8 |
|||||
|
7 |
Total capital ratio (%) |
26.6 |
28.4 |
27.1 |
27.0 |
29.2 |
|||||
|
Additional CET1 buffer requirements as a percentage of RWA |
|||||||||||
|
8 |
Capital conservation buffer requirement (%) |
2.5 |
2.5 |
2.5 |
2.5 |
2.5 |
|||||
|
8a |
Stress capital buffer requirement (%) |
6.7 |
6.7 |
||||||||
|
9 |
Countercyclical buffer requirement (%) |
||||||||||
|
10 |
Bank G-SIB and / or D-SIB additional requirements (%) |
||||||||||
|
11 |
Total of bank CET1-specific buffer requirements (%) |
2.5 |
2.5 |
2.5 |
2.5 |
2.5 |
|||||
|
11a |
Total bank specific capital requirements (%) |
6.7 |
6.7 |
||||||||
|
12 |
CET1 available after meeting the bank's minimum capital requirements (%)6 |
16.7 |
18.0 |
16.8 |
16.5 |
17.7 |
|||||
|
Basel III leverage ratio |
|||||||||||
|
13 |
Total Basel III leverage ratio exposure measure |
169,386 |
154,609 |
148,038 |
146,652 |
135,534 |
|||||
|
14 |
Basel III leverage ratio (%)7 |
10.5 |
11.3 |
11.4 |
11.3 |
11.1 |
|||||
|
14a |
Total Basel III supplementary leverage ratio exposure measure8 |
159,587 |
150,019 |
150,609 |
147,683 |
||||||
|
14b |
Basel III supplementary leverage ratio (%)7,8 |
11.1 |
11.6 |
11.2 |
11.2 |
||||||
|
1 The adoption of ASU 2019-12 in the second quarter of 2020 resulted in a retrospective removal of cumulative tax expense and related balances pertaining to UBS Americas Holding LLC within the IHC tax group for financial reporting purposes. For the purpose of regulatory reporting, this accounting change has been applied prospectively and the corresponding comparative regulatory key figures have not been restated. 2 There is no local disclosure requirement for liquidity coverage ratio or net stable funding ratio for UBS Americas Holding LLC. 3 UBS Americas Holding LLC, as a designated category III bank, has been subject to a simplification of regulatory capital rules since 1 April 2020. The revisions simplify the framework for regulatory capital deductions and increase risk weights for certain assets, impacting the CET1 ratio by 0.3% as of 31 March 2021, 31 December 2020, 30 September 2020 and 30 June 2020. 4 Refer to the 'Introduction and basis for preparation' section of the 31 December 2020 Pillar 3 report, available under 'Pillar 3 disclosures' at ubs.com/investors, for information on the restatement of comparative information, as applicable. 5 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 6 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%. 7 On the basis of tier 1 capital. 8 UBS Americas Holding LLC, as a designated category III bank, has been subject to supplementary leverage ratio (SLR) reporting since 1 April 2020. US Regulatory authorities temporarily eased the requirements for the SLR, allowing for the exclusion of US Treasury securities and deposits at the Federal Reserve Banks from the SLR denominator through March 2021. This exclusion resulted in an increase in the SLR of 187 bps on 31 March 2021, 170 bps on 31 December 2020, 136 bps on 30 September 2020 and 135 bps on 30 June 2020. |
30
Abbreviations frequently used in our financial reports
A
ABS asset-backed securities
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 Committee
AMA advanced measurement approach
AML anti-money laundering
AoA Articles of Association
APAC Asia Pacific
APM alternative performance measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BEAT base erosion and anti-abuse tax
BIS Bank for International Settlements
BoD Board of Directors
BVG Swiss occupational
pension plan
C
CAO Capital Adequacy Ordinance
CCAR Comprehensive Capital Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CCyB countercyclical buffer
CDO collateralized debt
obligation
CDS credit default swap
CEA Commodity Exchange Act
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
CIC Corporate & Institutional Clients
CIO Chief Investment Office
CLS Continuous Linked Settlement
CMBS commercial mortgage-backed security
C&ORC Compliance & Operational Risk Control
CRD IV EU Capital Requirements Directive of 2013
CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)
CRR Capital Requirements Regulation
CST combined stress test
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DJSI Dow Jones Sustainability Indices
DM discount margin
DOJ US Department of Justice
D-SIB domestic systemically important bank
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EBA European Banking Authority
EC European Commission
ECB European Central Bank
ECL expected credit loss
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
ESG environmental, social and governance
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
Euribor Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young (Ltd)
F
FA financial advisor
FCA UK Financial Conduct
Authority
FCT foreign currency translation
FINMA Swiss Financial Market Supervisory Authority
FMIA Swiss Financial Market Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GDP gross domestic product
GEB Group Executive Board
GIA Group Internal Audit
GIIPS Greece, Italy, Ireland,
Portugal and Spain
GMD Group Managing Director
GRI Global Reporting Initiative
GSE government sponsored entities
G-SIB global systemically important bank
H
HQLAhigh-quality liquid assets
HR human resources
31
Appendix
Abbreviations frequently used in our financial reports (continued)
I
IAA internal assessment approach
IAS International Accounting Standards
IASB International Accounting Standards Board
IBOR interbank offered rate
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IHC intermediate holding company
IMA internal models approach
IMM internal model method
IRB internal ratings-based
IRC incremental risk charge
IRRBB interest rate risk in the banking book
ISDA International Swaps and Derivatives Association
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC limited liability company
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MiFID II Markets in Financial Instruments Directive II
MRT Material Risk Taker
N
NAV net asset value
NCL Non-core and Legacy Portfolio
NII net interest income
NRV negative replacement value
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
OTC over-the-counter
P
PD probability of default
PFE potential future exposure
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
PRA UK Prudential Regulation Authority
PRV positive replacement value
Q
QCCP qualifying central counterparty
QRRE qualifying revolving retail exposures
R
RBA role-based allowances
RBC risk-based capital
RbM risk-based monitoring
RMBS residential mortgage-backed securities
RniV risks not in VaR
RoAE return on attributed equity
RoCET1 return on CET1 capital
RoTE return on tangible equity
RoU right-of-use
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 or Special Administrative Region
SBC Swiss Bank Corporation
SDG Sustainable Development Goal
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SFT securities financing transaction
SI sustainable investing
SICR significant increase in credit risk
SIX SIX Swiss Exchange
SME small and medium-sized entity
SMF Senior Management Function
SNB Swiss National Bank
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and Jobs Act
TLAC total loss-absorbing capacity
TTC through-the-cycle
U
UBS RESI UBS Real Estate Securities Inc.
UoM units of measure
USD US dollar
V
VaR value-at-risk
VAT value added tax
W
WEKO Swiss Competition Commission
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.
32
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 2021 report and its Annual Report 2020, available at ubs.com/investors, for additional information.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages and percent changes are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and which can be derived from figures displayed in the tables, is calculated on a rounded basis.
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.
33
UBS Group AG
P.O. Box
CH-8098 Zurich
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 27, 2021