UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: October 28, 2022
Commission File Number: 1-15060
(Registrant’s Name)
Bahnhofstrasse 45, Zurich, Switzerland
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the Third Quarter 2022 Report of UBS AG, which appears immediately following this page.
3 | |
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1. | Risk and capital |
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7 | |
2. | Consolidated |
13 | |
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| Appendix |
46 | |
49 | |
51 | |
52 |
Corporate calendar UBS AG
Publication of the Annual Report 2022: Monday, 6 March 2023
Publication of the first quarter 2023 report: Friday, 28 April 2023
Publication dates of future quarterly and annual reports and results are made available as part of the corporate calendar of UBS AG at ubs.com/investors.
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Imprint
Publisher: UBS AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2022. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
UBS AG consolidated key figures
UBS AG consolidated key figures |
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| As of or for the quarter ended |
| As of or year-to-date | ||||
USD m, except where indicated |
| 30.9.22 | 30.6.22 | 31.12.21 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Results |
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Total revenues |
| 8,308 | 9,036 | 8,819 | 9,210 |
| 26,838 | 27,008 |
Credit loss expense / (release) |
| (3) | 7 | (27) | (14) |
| 22 | (121) |
Operating expenses |
| 6,152 | 6,577 | 7,227 | 6,512 |
| 19,644 | 19,785 |
Operating profit / (loss) before tax |
| 2,159 | 2,452 | 1,619 | 2,712 |
| 7,171 | 7,345 |
Net profit / (loss) attributable to shareholders |
| 1,598 | 1,964 | 1,255 | 2,154 |
| 5,566 | 5,777 |
Profitability and growth |
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Return on equity (%) |
| 11.7 | 13.9 | 8.7 | 15.3 |
| 13.2 | 13.6 |
Return on tangible equity (%) |
| 13.2 | 15.7 | 9.8 | 17.3 |
| 14.8 | 15.3 |
Return on common equity tier 1 capital (%) |
| 15.2 | 18.7 | 12.1 | 21.1 |
| 17.7 | 19.5 |
Return on leverage ratio denominator, gross (%) |
| 3.3 | 3.4 | 3.3 | 3.5 |
| 3.4 | 3.5 |
Cost / income ratio (%) |
| 74.0 | 72.8 | 81.9 | 70.7 |
| 73.2 | 73.3 |
Net profit growth (%) |
| (25.8) | 2.6 | (19.7) | 6.8 |
| (3.6) | 24.7 |
Resources |
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Total assets |
| 1,111,926 | 1,112,474 | 1,116,145 | 1,088,246 |
| 1,111,926 | 1,088,246 |
Equity attributable to shareholders |
| 54,610 | 54,746 | 58,102 | 57,085 |
| 54,610 | 57,085 |
Common equity tier 1 capital1 |
| 42,064 | 42,317 | 41,594 | 41,356 |
| 42,064 | 41,356 |
Risk-weighted assets1 |
| 308,571 | 313,448 | 299,005 | 299,612 |
| 308,571 | 299,612 |
Common equity tier 1 capital ratio (%)1 |
| 13.6 | 13.5 | 13.9 | 13.8 |
| 13.6 | 13.8 |
Going concern capital ratio (%)1 |
| 18.1 | 18.0 | 18.5 | 18.5 |
| 18.1 | 18.5 |
Total loss-absorbing capacity ratio (%)1 |
| 32.8 | 32.8 | 33.3 | 32.6 |
| 32.8 | 32.6 |
Leverage ratio denominator1 |
| 989,909 | 1,024,811 | 1,067,679 | 1,044,438 |
| 989,909 | 1,044,438 |
Common equity tier 1 leverage ratio (%)1 |
| 4.25 | 4.13 | 3.90 | 3.96 |
| 4.25 | 3.96 |
Other |
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Invested assets (USD bn)2 |
| 3,706 | 3,912 | 4,596 | 4,432 |
| 3,706 | 4,432 |
Personnel (full-time equivalents) |
| 47,429 | 46,807 | 47,067 | 47,293 |
| 47,429 | 47,293 |
1 Based on the Swiss systemically relevant bank framework as of 1 January 2020. Refer to the “Capital management” section of this report for more information. 2 Consists of invested assets for Global Wealth Management, Asset Management and Personal & Corporate Banking. Refer to “Note 32 Invested assets and net new money” in the “Consolidated financial statements” section of our Annual Report 2021 for more information. |
Alternative performance measures
An alternative performance measure (an APM) is a financial measure of historical or future financial performance, financial position or cash flows other than a financial measure defined or specified in the applicable recognized accounting standards or in other applicable regulations. We report a number of APMs in our external reports (annual, quarterly and other reports). We use APMs to provide a more complete picture of our operating performance and to reflect management’s view of the fundamental drivers of our business results. A definition of each APM, the method used to calculate it and the information content are presented under “Alternative performance measures” in the appendix to this report. Our APMs may qualify as non-GAAP measures as defined by US Securities and Exchange Commission (SEC) regulations.
Terms used in this report, unless the context requires otherwise |
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“1m” | One million, i.e., 1,000,000 |
“1bn” | One billion, i.e., 1,000,000,000 |
“1trn” | One trillion, i.e., 1,000,000,000,000 |
UBS AG Third quarter 2022 report 2
Overview
UBS Group AG is the holding company for the UBS Group and the parent company of UBS AG. UBS Group AG holds 100% of the issued shares in UBS AG. Financial information for UBS AG consolidated does not differ materially from that for UBS Group AG consolidated.
This report includes risk and capital management information for UBS AG consolidated and the interim consolidated financial statements for the quarter ended 30 September 2022. Regulatory information for UBS AG standalone is provided in the 30 September 2022 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.
› Refer to the UBS Group third quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for more information
Comparison between UBS Group AG consolidated and UBS AG consolidated
The table on the following page contains a comparison of selected financial and capital information between UBS Group AG consolidated and UBS AG consolidated.
The accounting policies applied under International Financial Reporting Standards (IFRS) to both the UBS Group AG and the UBS AG consolidated financial statements are identical. However, there are certain scope and presentation differences as noted below.
Assets, liabilities, revenues, operating expenses and tax expenses / (benefits) relating to UBS Group AG and its directly held subsidiaries, including UBS Business Solutions AG, are reflected in the consolidated financial statements of UBS Group AG but not of UBS AG. UBS AG’s assets, liabilities, revenues and operating expenses related to transactions with UBS Group AG and its directly held subsidiaries, including UBS Business Solutions AG and other shared services subsidiaries, are not subject to elimination in the UBS AG consolidated financial statements, but are eliminated in the UBS Group AG consolidated financial statements.
Differences in net profit between UBS Group AG consolidated and UBS AG consolidated mainly arise as UBS Business Solutions AG and other shared services subsidiaries of UBS Group AG charge other legal entities within the UBS AG consolidation scope for services provided, including a markup on costs incurred. In addition, and to a lesser extent, differences arise as a result of certain compensation-related matters, including pensions.
The equity of UBS Group AG consolidated was USD 1.1bn higher than the equity of UBS AG consolidated as of 30 September 2022. This difference was mainly driven by higher dividends paid by UBS AG to UBS Group AG compared with the dividend distributions of UBS Group AG, as well as higher retained earnings in the UBS Group AG consolidated financial statements, largely related to the aforementioned markup charged by shared services subsidiaries of UBS Group AG to other legal entities in the UBS AG scope of consolidation. In addition, UBS Group AG is the grantor of the majority of the compensation plans of the Group and recognizes share premium for equity-settled awards granted. These effects were partly offset by treasury shares acquired as part of our share repurchase programs and those held to hedge share delivery obligations associated with Group compensation plans, as well as additional share premium recognized at the UBS AG consolidated level related to the establishment of UBS Group AG and UBS Business Solutions AG, a wholly owned subsidiary of UBS Group AG.
The going concern capital of UBS Group AG consolidated was USD 3.6bn higher than the going concern capital of UBS AG consolidated as of 30 September 2022, reflecting higher common equity tier 1 (CET1) capital of USD 2.6bn and going concern loss-absorbing additional tier 1 (AT1) capital of USD 1.0bn.
The CET1 capital of UBS Group AG consolidated was USD 2.6bn higher than that of UBS AG consolidated as of 30 September 2022. The higher CET1 capital of UBS Group AG consolidated was primarily due to lower UBS Group AG accruals for dividends to shareholders and higher UBS Group AG consolidated IFRS equity of USD 1.1bn. The aforementioned factors were partly offset by compensation-related regulatory capital accruals at the UBS Group AG level.
UBS AG Third quarter 2022 report | Introduction 3
The going concern loss-absorbing AT1 capital of UBS Group AG consolidated was USD 1.0bn higher than that of UBS AG consolidated as of 30 September 2022, mainly reflecting Deferred Contingent Capital Plan awards granted at the Group level to eligible employees for the performance years 2017 to 2021, partly offset by four loss-absorbing AT1 capital instruments on-lent by UBS Group AG to UBS AG.
› Refer to “Holding company and significant regulated subsidiaries and sub-groups” under “Complementary financial information” at ubs.com/investors for an illustration of the consolidation scope differences between UBS AG and UBS Group AG
› Refer to the “Capital management” section of this report for more information about differences in the loss-absorbing capacity between UBS Group AG consolidated and UBS AG consolidated
Comparison between UBS Group AG consolidated and UBS AG consolidated | ||||
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| As of or for the quarter ended 30.9.22 | ||
USD m, except where indicated |
| UBS Group AG consolidated | UBS AG consolidated | Difference (absolute) |
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Income statement |
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Total revenues |
| 8,236 | 8,308 | (73) |
Credit loss expense / (release) |
| (3) | (3) | 0 |
Operating expenses |
| 5,916 | 6,152 | (236) |
Operating profit / (loss) before tax |
| 2,323 | 2,159 | 164 |
of which: Global Wealth Management |
| 1,453 | 1,434 | 18 |
of which: Personal & Corporate Banking |
| 442 | 437 | 5 |
of which: Asset Management |
| 140 | 139 | 1 |
of which: Investment Bank |
| 447 | 436 | 11 |
of which: Group Functions |
| (158) | (287) | 129 |
Net profit / (loss) |
| 1,742 | 1,608 | 135 |
of which: net profit / (loss) attributable to shareholders |
| 1,733 | 1,598 | 135 |
of which: net profit / (loss) attributable to non-controlling interests |
| 9 | 9 | 0 |
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Statement of comprehensive income |
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Other comprehensive income |
| (1,791) | (1,753) | (38) |
of which: attributable to shareholders |
| (1,773) | (1,735) | (38) |
of which: attributable to non-controlling interests |
| (17) | (17) | 0 |
Total comprehensive income |
| (48) | (145) | 97 |
of which: attributable to shareholders |
| (40) | (137) | 97 |
of which: attributable to non-controlling interests |
| (8) | (8) | 0 |
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Balance sheet |
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Total assets |
| 1,111,753 | 1,111,926 | (172) |
Total liabilities |
| 1,055,666 | 1,056,985 | (1,319) |
Total equity |
| 56,087 | 54,941 | 1,146 |
of which: equity attributable to shareholders |
| 55,756 | 54,610 | 1,146 |
of which: equity attributable to non-controlling interests |
| 330 | 330 | 0 |
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Capital information |
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Common equity tier 1 capital |
| 44,664 | 42,064 | 2,600 |
Going concern capital |
| 59,359 | 55,733 | 3,626 |
Risk-weighted assets |
| 310,615 | 308,571 | 2,044 |
Common equity tier 1 capital ratio (%) |
| 14.4 | 13.6 | 0.7 |
Going concern capital ratio (%) |
| 19.1 | 18.1 | 1.0 |
Total loss-absorbing capacity ratio (%) |
| 33.7 | 32.8 | 1.0 |
Leverage ratio denominator |
| 989,787 | 989,909 | (122) |
Common equity tier 1 leverage ratio (%) |
| 4.51 | 4.25 | 0.26 |
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UBS AG Third quarter 2022 report | Introduction 4
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As of or for the quarter ended 30.6.22 |
| As of or for the quarter ended 31.12.21 | ||||
UBS Group AG consolidated | UBS AG consolidated | Difference (absolute) |
| UBS Group AG consolidated | UBS AG consolidated | Difference (absolute) |
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8,917 | 9,036 | (119) |
| 8,705 | 8,819 | (114) |
7 | 7 | 0 |
| (27) | (27) | 0 |
6,295 | 6,577 | (282) |
| 7,003 | 7,227 | (224) |
2,615 | 2,452 | 163 |
| 1,729 | 1,619 | 109 |
1,157 | 1,130 | 27 |
| 563 | 541 | 22 |
413 | 409 | 4 |
| 365 | 362 | 3 |
959 | 959 | 0 |
| 334 | 328 | 6 |
410 | 388 | 22 |
| 713 | 710 | 3 |
(324) | (433) | 110 |
| (246) | (321) | 75 |
2,118 | 1,974 | 144 |
| 1,359 | 1,266 | 93 |
2,108 | 1,964 | 144 |
| 1,348 | 1,255 | 93 |
10 | 10 | 0 |
| 11 | 11 | 0 |
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(1,039) | (1,009) | (30) |
| (181) | (197) | 16 |
(1,011) | (981) | (30) |
| (177) | (194) | 16 |
(28) | (28) | 0 |
| (4) | (4) | 0 |
1,079 | 965 | 114 |
| 1,178 | 1,069 | 109 |
1,097 | 982 | 114 |
| 1,171 | 1,062 | 109 |
(17) | (17) | 0 |
| 7 | 7 | 0 |
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1,113,193 | 1,112,474 | 719 |
| 1,117,182 | 1,116,145 | 1,037 |
1,056,010 | 1,057,390 | (1,380) |
| 1,056,180 | 1,057,702 | (1,522) |
57,184 | 55,085 | 2,099 |
| 61,002 | 58,442 | 2,559 |
56,845 | 54,746 | 2,099 |
| 60,662 | 58,102 | 2,559 |
339 | 339 | 0 |
| 340 | 340 | 0 |
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44,798 | 42,317 | 2,481 |
| 45,281 | 41,594 | 3,687 |
59,907 | 56,359 | 3,548 |
| 60,488 | 55,434 | 5,054 |
315,685 | 313,448 | 2,238 |
| 302,209 | 299,005 | 3,204 |
14.2 | 13.5 | 0.7 |
| 15.0 | 13.9 | 1.1 |
19.0 | 18.0 | 1.0 |
| 20.0 | 18.5 | 1.5 |
33.7 | 32.8 | 0.9 |
| 34.7 | 33.3 | 1.3 |
1,025,422 | 1,024,811 | 612 |
| 1,068,862 | 1,067,679 | 1,183 |
4.37 | 4.13 | 0.24 |
| 4.24 | 3.90 | 0.34 |
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UBS AG Third quarter 2022 report | Introduction 5
Management report
UBS AG consolidated risk profile
The risk profile of UBS AG consolidated does not differ materially from that of UBS Group AG consolidated and the risk information provided in the UBS Group third quarter 2022 report is equally applicable to UBS AG consolidated.
The credit risk profile of UBS AG consolidated differs from that of UBS Group AG consolidated primarily in relation to receivables of UBS AG and UBS Switzerland AG from UBS Group AG. The total banking products exposure of UBS AG consolidated as of 30 September 2022 was USD 1.6bn, or 0.2%, higher than the exposure of UBS Group AG consolidated, compared with USD 0.8bn, or 0.1%, as of 30 June 2022.
› Refer to the “Risk management and control” section of the UBS Group third quarter 2022 report for more information
› Refer to the “Recent developments” section of the UBS Group third quarter 2022 report for more information about our exposure and response to the war in Ukraine
UBS AG Third quarter 2022 report | Risk and capital management | Risk management and control 6
Going and gone concern requirements and information
UBS is considered a systemically relevant bank (an SRB) under Swiss banking law and, on a consolidated basis, both UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable for Swiss SRBs. The Swiss SRB framework and requirements applicable to UBS AG consolidated are consistent with those applicable to UBS Group AG consolidated.
On 30 September 2022, the Swiss countercyclical capital buffer was reactivated at a maximum level of 2.5% on risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. This increased our common equity tier 1 (CET1) minimum capital requirement by 26 basis points. Overall, countercyclical capital buffers contributed 29 basis points to our CET1 minimum capital requirement as of 30 September 2022.
The applicable gone concern requirement floor as of 30 September 2022 was 10% for risk-weighted-asset (RWA) and 3.75% for leverage-ratio-denominator (LRD) purposes. This floor was increased by 1.4 percentage points for RWA and 0.75 percentage points for LRD in the first quarter of 2022.
Based on the actions we completed up to December 2021 to improve resolvability, the Swiss Financial Market Supervisory Authority (FINMA) granted an increase of the rebate on the gone concern requirement from 55.0% to 65.0% of the maximum rebate, effective from 1 July 2022, with an effective maximum rebate of 1.25 percentage points for the LRD-based requirements and an effective maximum rebate of 3.56 percentage points for the RWA-based requirements. UBS AG is subject to going and gone concern requirements on a standalone basis.
› Refer to “Capital management” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2021 for more information about the Swiss SRB framework and requirements
› Refer to “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors and our 30 September 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information relating to capital and other regulatory information for UBS AG standalone
UBS AG Third quarter 2022 report | Risk and capital management | Capital management 7
Swiss SRB going and gone concern requirements and information | ||||||
As of 30.9.22 |
| RWA |
| LRD | ||
USD m, except where indicated |
| in % |
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Required going concern capital |
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Total going concern capital |
| 14.591 | 45,008 |
| 5.001 | 49,495 |
Common equity tier 1 capital |
| 10.29 | 31,739 |
| 3.502 | 34,647 |
of which: minimum capital |
| 4.50 | 13,886 |
| 1.50 | 14,849 |
of which: buffer capital |
| 5.50 | 16,971 |
| 2.00 | 19,798 |
of which: countercyclical buffer |
| 0.29 | 882 |
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Maximum additional tier 1 capital |
| 4.30 | 13,269 |
| 1.50 | 14,849 |
of which: additional tier 1 capital |
| 3.50 | 10,800 |
| 1.50 | 14,849 |
of which: additional tier 1 buffer capital |
| 0.80 | 2,469 |
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Eligible going concern capital |
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Total going concern capital |
| 18.06 | 55,733 |
| 5.63 | 55,733 |
Common equity tier 1 capital |
| 13.63 | 42,064 |
| 4.25 | 42,064 |
Total loss-absorbing additional tier 1 capital |
| 4.43 | 13,669 |
| 1.38 | 13,669 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 4.04 | 12,481 |
| 1.26 | 12,481 |
of which: low-trigger loss-absorbing additional tier 1 capital3 |
| 0.38 | 1,188 |
| 0.12 | 1,188 |
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Required gone concern capital |
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Total gone concern loss-absorbing capacity4 |
| 10.35 | 31,927 |
| 3.75 | 37,122 |
of which: base requirement5 |
| 12.86 | 39,682 |
| 4.50 | 44,546 |
of which: additional requirement for market share and LRD |
| 1.44 | 4,443 |
| 0.50 | 4,950 |
of which: applicable reduction on requirements |
| (3.95) | (12,199) |
| (1.25) | (12,374) |
of which: rebate granted6 |
| (3.56) | (10,993) |
| (1.25) | (12,374) |
of which: reduction for usage of low-trigger tier 2 capital instruments |
| (0.39) | (1,206) |
| 0.00 | 0 |
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Eligible gone concern capital |
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Total gone concern loss-absorbing capacity |
| 14.71 | 45,385 |
| 4.58 | 45,385 |
Total tier 2 capital |
| 0.96 | 2,959 |
| 0.30 | 2,959 |
of which: low-trigger loss-absorbing tier 2 capital |
| 0.79 | 2,427 |
| 0.25 | 2,427 |
of which: non-Basel III-compliant tier 2 capital |
| 0.17 | 531 |
| 0.05 | 531 |
TLAC-eligible senior unsecured debt |
| 13.75 | 42,426 |
| 4.29 | 42,426 |
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Total loss-absorbing capacity |
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Required total loss-absorbing capacity |
| 24.93 | 76,935 |
| 8.75 | 86,617 |
Eligible total loss-absorbing capacity |
| 32.77 | 101,118 |
| 10.21 | 101,118 |
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Risk-weighted assets / leverage ratio denominator | ||||||
Risk-weighted assets |
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| 308,571 |
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Leverage ratio denominator |
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| 989,909 |
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business. 3 Existing outstanding low-trigger AT1 capital instruments qualify as going concern capital at the UBS AG consolidated level, as agreed with FINMA, until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 5 The gone concern requirement after the application of the rebate for resolvability measures and the reduction for the use of higher-quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements, respectively. This means that the combined reduction may not exceed 4.3 percentage points for the RWA-based requirement of 14.3% and 1.25 percentage points for the LRD-based requirement of 5.0%. 6 Based on the actions we completed up to December 2021 to improve resolvability, FINMA granted an increase in the rebate on the gone concern requirement from 55.0% to 65.0% of the maximum rebate, effective from 1 July 2022, with an effective maximum rebate of 1.25 percentage points for the LRD-based requirements and – given the risk density of 35% underlying the regulatory requirements – an effective maximum rebate of 3.56 percentage points for the RWA-based requirements. |
UBS AG Third quarter 2022 report | Risk and capital management | Capital management 8
The table below provides the RWA- and LRD-based requirements and information as of 30 September 2022 for UBS AG consolidated.
Swiss SRB going and gone concern information | ||||
USD m, except where indicated |
| 30.9.22 | 30.6.22 | 31.12.21 |
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Eligible going concern capital |
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Total going concern capital |
| 55,733 | 56,359 | 55,434 |
Total tier 1 capital |
| 55,733 | 56,359 | 55,434 |
Common equity tier 1 capital |
| 42,064 | 42,317 | 41,594 |
Total loss-absorbing additional tier 1 capital |
| 13,669 | 14,042 | 13,840 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 12,481 | 12,825 | 11,414 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 1,188 | 1,217 | 2,426 |
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Eligible gone concern capital |
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Total gone concern loss-absorbing capacity |
| 45,385 | 46,342 | 44,264 |
Total tier 2 capital |
| 2,959 | 3,009 | 3,144 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2,427 | 2,471 | 2,596 |
of which: non-Basel III-compliant tier 2 capital |
| 531 | 538 | 547 |
TLAC-eligible senior unsecured debt |
| 42,426 | 43,333 | 41,120 |
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|
|
Total loss-absorbing capacity |
|
|
|
|
Total loss-absorbing capacity |
| 101,118 | 102,700 | 99,698 |
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
|
|
|
Risk-weighted assets |
| 308,571 | 313,448 | 299,005 |
Leverage ratio denominator |
| 989,909 | 1,024,811 | 1,067,679 |
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
Going concern capital ratio |
| 18.1 | 18.0 | 18.5 |
of which: common equity tier 1 capital ratio |
| 13.6 | 13.5 | 13.9 |
Gone concern loss-absorbing capacity ratio |
| 14.7 | 14.8 | 14.8 |
Total loss-absorbing capacity ratio |
| 32.8 | 32.8 | 33.3 |
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
Going concern leverage ratio |
| 5.6 | 5.5 | 5.2 |
of which: common equity tier 1 leverage ratio |
| 4.25 | 4.13 | 3.90 |
Gone concern leverage ratio |
| 4.6 | 4.5 | 4.1 |
Total loss-absorbing capacity leverage ratio |
| 10.2 | 10.0 | 9.3 |
|
UBS AG Third quarter 2022 report | Risk and capital management | Capital management 9
UBS Group AG vs UBS AG consolidated loss-absorbing capacity and leverage ratio information
Swiss SRB going and gone concern information (UBS Group AG vs UBS AG consolidated) | ||||
As of 30.9.22 |
|
| ||
USD m, except where indicated |
| UBS Group AG (consolidated) | UBS AG (consolidated) | Difference |
|
|
|
|
|
Eligible going concern capital |
|
|
|
|
Total going concern capital |
| 59,359 | 55,733 | 3,626 |
Total tier 1 capital |
| 59,359 | 55,733 | 3,626 |
Common equity tier 1 capital |
| 44,664 | 42,064 | 2,600 |
Total loss-absorbing additional tier 1 capital |
| 14,695 | 13,669 | 1,026 |
of which: high-trigger loss-absorbing additional tier 1 capital |
| 13,504 | 12,481 | 1,023 |
of which: low-trigger loss-absorbing additional tier 1 capital |
| 1,190 | 1,188 | 3 |
|
|
|
|
|
Eligible gone concern capital |
|
|
|
|
Total gone concern loss-absorbing capacity |
| 45,385 | 45,385 | 0 |
Total tier 2 capital |
| 2,959 | 2,959 | 0 |
of which: low-trigger loss-absorbing tier 2 capital |
| 2,427 | 2,427 | 0 |
of which: non-Basel III-compliant tier 2 capital |
| 531 | 531 | 0 |
TLAC-eligible senior unsecured debt |
| 42,426 | 42,426 | 0 |
|
|
|
|
|
Total loss-absorbing capacity |
|
|
|
|
Total loss-absorbing capacity |
| 104,744 | 101,118 | 3,626 |
|
|
|
|
|
Risk-weighted assets / leverage ratio denominator |
|
| ||
Risk-weighted assets |
| 310,615 | 308,571 | 2,044 |
Leverage ratio denominator |
| 989,787 | 989,909 | (122) |
|
|
|
|
|
Capital and loss-absorbing capacity ratios (%) |
|
|
|
|
Going concern capital ratio |
| 19.1 | 18.1 | 1.0 |
of which: common equity tier 1 capital ratio |
| 14.4 | 13.6 | 0.7 |
Gone concern loss-absorbing capacity ratio |
| 14.6 | 14.7 | (0.1) |
Total loss-absorbing capacity ratio |
| 33.7 | 32.8 | 1.0 |
|
|
|
|
|
Leverage ratios (%) |
|
|
|
|
Going concern leverage ratio |
| 6.0 | 5.6 | 0.4 |
of which: common equity tier 1 leverage ratio |
| 4.51 | 4.25 | 0.26 |
Gone concern leverage ratio |
| 4.6 | 4.6 | 0.0 |
Total loss-absorbing capacity leverage ratio |
| 10.6 | 10.2 | 0.4 |
|
Reconciliation of IFRS equity to Swiss SRB common equity tier 1 capital (UBS Group AG vs UBS AG consolidated) | ||||
As of 30.9.22 |
|
|
| |
USD m |
| UBS Group AG (consolidated) | UBS AG (consolidated) | Difference |
Total IFRS equity |
| 56,087 | 54,941 | 1,146 |
Equity attributable to non-controlling interests |
| (330) | (330) |
|
Defined benefit plans, net of tax |
| (568) | (568) |
|
Deferred tax assets recognized for tax loss carry-forwards |
| (4,163) | (4,163) |
|
Deferred tax assets on temporary differences, excess over threshold |
|
| (164) | 164 |
Goodwill, net of tax |
| (5,699) | (5,699) |
|
Intangible assets, net of tax |
| (150) | (150) |
|
Compensation-related components (not recognized in net profit) |
| (1,974) |
| (1,974) |
Expected losses on advanced internal ratings-based portfolio less provisions |
| (486) | (486) |
|
Unrealized (gains) / losses from cash flow hedges, net of tax |
| 4,346 | 4,346 |
|
Own credit related to (gains) / losses on financial liabilities measured at fair value that existed at the balance sheet date, net of tax |
| (778) | (778) |
|
Own credit related to (gains) / losses on derivative financial instruments that existed at the balance sheet date |
| (134) | (134) |
|
Prudential valuation adjustments |
| (238) | (238) |
|
Other1 |
| (1,247) | (4,511) | 3,264 |
Total common equity tier 1 capital |
| 44,664 | 42,064 | 2,600 |
1 Includes dividend accruals for the current year and other items. |
UBS AG Third quarter 2022 report | Risk and capital management | Capital management 10
The going concern capital of UBS AG consolidated was USD 3.6bn lower than the going concern capital of UBS Group AG consolidated as of 30 September 2022, reflecting lower CET1 capital of USD 2.6bn and lower going concern loss-absorbing additional tier 1 (AT1) capital of USD 1.0bn.
The aforementioned difference in CET1 capital was primarily due to higher UBS Group AG consolidated IFRS equity of USD 1.1bn and lower UBS Group AG dividend accruals, partly offset by compensation-related regulatory capital accruals at the UBS Group AG level.
The going concern loss-absorbing AT1 capital of UBS AG consolidated was USD 1.0bn lower than that of UBS Group AG consolidated as of 30 September 2022, mainly reflecting Deferred Contingent Capital Plan awards granted at the Group level to eligible employees for the performance years 2017 to 2021, partly offset by four loss-absorbing AT1 capital instruments on-lent by UBS Group AG to UBS AG.
Differences in capital between UBS Group AG consolidated and UBS AG consolidated related to employee compensation plans will reverse to the extent underlying services are performed by employees of, and are consequently charged to, UBS AG and its subsidiaries. Such reversal generally occurs over the service period of the employee compensation plans.
The leverage ratio framework for UBS AG consolidated is consistent with that of UBS Group AG consolidated. As of 30 September 2022, the going concern leverage ratio of UBS AG consolidated was 0.4 percentage points lower than that of UBS Group AG consolidated, mainly because the going concern capital of UBS AG consolidated was USD 3.6bn lower.
› Refer to the “Introduction” section of this report for more information about the differences in equity between UBS AG consolidated and UBS Group AG consolidated
› Refer to the “Capital management” section of the UBS Group third quarter 2022 report, available under “Quarterly reporting” at ubs.com/investors, for information about the developments of loss-absorbing capacity, RWA and LRD for UBS Group AG consolidated
UBS AG Third quarter 2022 report | Risk and capital management | Capital management 11
Consolidated financial statements
Unaudited
| UBS AG interim consolidated financial |
|
|
|
|
13 |
| |
14 |
| |
15 |
| |
16 |
| |
17 |
| |
|
|
|
18 |
| |
19 |
| |
20 |
| |
20 |
| |
20 |
| |
21 |
| |
21 |
| |
21 |
| |
22 |
| |
29 |
| |
35 |
| |
36 |
| |
37 |
| |
37 |
| |
38 |
| |
38 |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 12
UBS AG interim consolidated
financial statements (unaudited)
Income statement |
|
|
|
|
|
|
|
|
|
|
|
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| Note |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Interest income from financial instruments measured at amortized cost and fair value through other comprehensive income |
| 3 |
| 3,081 | 2,381 | 2,178 |
| 7,607 | 6,382 |
Interest expense from financial instruments measured at amortized cost |
| 3 |
| (1,794) | (1,103) | (853) |
| (3,706) | (2,572) |
Net interest income from financial instruments measured at fair value through profit or loss |
| 3 |
| 278 | 356 | 339 |
| 1,045 | 1,049 |
Net interest income |
| 3 |
| 1,565 | 1,634 | 1,664 |
| 4,946 | 4,860 |
Other net income from financial instruments measured at fair value through profit or loss |
|
|
| 1,792 | 1,620 | 1,695 |
| 5,637 | 4,480 |
Fee and commission income |
| 4 |
| 4,971 | 5,235 | 6,124 |
| 16,074 | 18,369 |
Fee and commission expense |
| 4 |
| (476) | (450) | (510) |
| (1,410) | (1,472) |
Net fee and commission income |
| 4 |
| 4,495 | 4,785 | 5,615 |
| 14,664 | 16,897 |
Other income |
| 5 |
| 456 | 996 | 237 |
| 1,591 | 772 |
Total revenues |
|
|
| 8,308 | 9,036 | 9,210 |
| 26,838 | 27,008 |
|
|
|
|
|
|
|
|
|
|
Credit loss expense / (release) |
| 9 |
| (3) | 7 | (14) |
| 22 | (121) |
Personnel expenses |
| 6 |
| 3,617 | 3,762 | 3,951 |
| 11,613 | 12,109 |
General and administrative expenses |
| 7 |
| 2,077 | 2,364 | 2,101 |
| 6,674 | 6,312 |
Depreciation, amortization and impairment of non-financial assets |
|
|
| 458 | 451 | 459 |
| 1,358 | 1,364 |
Operating expenses |
|
|
| 6,152 | 6,577 | 6,512 |
| 19,644 | 19,785 |
Operating profit / (loss) before tax |
|
|
| 2,159 | 2,452 | 2,712 |
| 7,171 | 7,345 |
Tax expense / (benefit) |
| 8 |
| 551 | 478 | 549 |
| 1,577 | 1,550 |
Net profit / (loss) |
|
|
| 1,608 | 1,974 | 2,163 |
| 5,594 | 5,795 |
Net profit / (loss) attributable to non-controlling interests |
|
|
| 9 | 10 | 9 |
| 28 | 18 |
Net profit / (loss) attributable to shareholders |
|
|
| 1,598 | 1,964 | 2,154 |
| 5,566 | 5,777 |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 13
Statement of comprehensive income |
|
|
|
|
|
|
|
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
|
|
|
|
|
|
|
|
Comprehensive income attributable to shareholders |
|
|
|
|
|
|
|
Net profit / (loss) |
| 1,598 | 1,964 | 2,154 |
| 5,566 | 5,777 |
Other comprehensive income that may be reclassified to the income statement |
|
|
|
|
|
|
|
Foreign currency translation |
|
|
|
|
|
|
|
Foreign currency translation movements related to net assets of foreign operations, before tax |
| (1,097) | (994) | (383) |
| (2,556) | (1,342) |
Effective portion of changes in fair value of hedging instruments designated as net investment hedges, before tax |
| 467 | 434 | 174 |
| 1,113 | 676 |
Foreign currency translation differences on foreign operations reclassified to the income statement |
| 24 | 8 | 7 |
| 32 | (1) |
Effective portion of changes in fair value of hedging instruments designated as net investment hedges reclassified to the income statement |
| (3) | (4) | 0 |
| (7) | 7 |
Income tax relating to foreign currency translations, including the impact of net investment hedges |
| 6 | 5 | 53 |
| 14 | 59 |
Subtotal foreign currency translation, net of tax |
| (603) | (551) | (149) |
| (1,405) | (601) |
Financial assets measured at fair value through other comprehensive income |
|
|
|
|
|
|
|
Net unrealized gains / (losses), before tax |
| (3) | (3) | (44) |
| (445) | (154) |
Net realized gains / (losses) reclassified to the income statement from equity |
| 0 | 0 | 0 |
| 0 | (9) |
Reclassification of financial assets to Other financial assets measured at amortized cost1 |
|
| 449 |
|
| 449 |
|
Income tax relating to net unrealized gains / (losses) |
| 0 | (116) | 11 |
| (3) | 42 |
Subtotal financial assets measured at fair value through other comprehensive income, net of tax |
| (3) | 330 | (33) |
| 0 | (121) |
Cash flow hedges of interest rate risk |
|
|
|
|
|
|
|
Effective portion of changes in fair value of derivative instruments designated as cash flow hedges, before tax2 |
| (2,053) | (1,298) | (112) |
| (5,816) | (742) |
Net (gains) / losses reclassified to the income statement from equity |
| 16 | (149) | (282) |
| (370) | (804) |
Income tax relating to cash flow hedges |
| 373 | 276 | 77 |
| 1,168 | 292 |
Subtotal cash flow hedges, net of tax |
| (1,664) | (1,171) | (316) |
| (5,018) | (1,254) |
Cost of hedging |
|
|
|
|
|
|
|
Cost of hedging, before tax |
| 17 | 21 | 5 |
| 114 | (18) |
Income tax relating to cost of hedging |
| (3) | 0 | 0 |
| (3) | 0 |
Subtotal cost of hedging, net of tax |
| 14 | 21 | 5 |
| 111 | (18) |
Total other comprehensive income that may be reclassified to the income statement, net of tax |
| (2,257) | (1,370) | (493) |
| (6,312) | (1,992) |
|
|
|
|
|
|
|
|
Other comprehensive income that will not be reclassified to the income statement |
|
|
|
|
|
|
|
Defined benefit plans |
|
|
|
|
|
|
|
Gains / (losses) on defined benefit plans, before tax |
| 146 | 127 | 15 |
| 401 | (20) |
Income tax relating to defined benefit plans |
| 40 | (8) | (10) |
| 14 | (6) |
Subtotal defined benefit plans, net of tax |
| 186 | 119 | 6 |
| 415 | (25) |
Own credit on financial liabilities designated at fair value |
|
|
|
|
|
|
|
Gains / (losses) from own credit on financial liabilities designated at fair value, before tax |
| 452 | 296 | (98) |
| 1,171 | (8) |
Income tax relating to own credit on financial liabilities designated at fair value |
| (116) | (26) | 0 |
| (142) | 0 |
Subtotal own credit on financial liabilities designated at fair value, net of tax |
| 335 | 271 | (98) |
| 1,029 | (8) |
Total other comprehensive income that will not be reclassified to the income statement, net of tax |
| 521 | 389 | (92) |
| 1,444 | (34) |
|
|
|
|
|
|
|
|
Total other comprehensive income |
| (1,735) | (981) | (584) |
| (4,868) | (2,026) |
Total comprehensive income attributable to shareholders |
| (137) | 982 | 1,570 |
| 698 | 3,751 |
|
|
|
|
|
|
|
|
Comprehensive income attributable to non-controlling interests |
|
|
|
|
|
|
|
Net profit / (loss) |
| 9 | 10 | 9 |
| 28 | 18 |
Total other comprehensive income that will not be reclassified to the income statement, net of tax |
| (17) | (28) | (14) |
| (27) | (12) |
Total comprehensive income attributable to non-controlling interests |
| (8) | (17) | (5) |
| 1 | 6 |
|
|
|
|
|
|
|
|
Total comprehensive income |
|
|
|
|
|
|
|
Net profit / (loss) |
| 1,608 | 1,974 | 2,163 |
| 5,594 | 5,795 |
Other comprehensive income |
| (1,753) | (1,009) | (598) |
| (4,895) | (2,038) |
of which: other comprehensive income that may be reclassified to the income statement |
| (2,257) | (1,370) | (493) |
| (6,312) | (1,992) |
of which: other comprehensive income that will not be reclassified to the income statement |
| 504 | 361 | (106) |
| 1,416 | (46) |
Total comprehensive income |
| (145) | 965 | 1,565 |
| 699 | 3,757 |
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information. 2 The result for the first nine months of 2022 mainly reflects net unrealized losses on US dollar hedging derivatives, resulting from significant increases in the relevant US dollar long-term interest rates. |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 14
Balance sheet |
|
|
|
|
|
|
USD m |
| Note |
| 30.9.22 | 30.6.22 | 31.12.21 |
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
Cash and balances at central banks |
|
|
| 166,406 | 190,353 | 192,817 |
Loans and advances to banks |
|
|
| 14,403 | 16,435 | 15,360 |
Receivables from securities financing transactions |
|
|
| 66,926 | 63,291 | 75,012 |
Cash collateral receivables on derivative instruments |
| 11 |
| 48,210 | 43,766 | 30,514 |
Loans and advances to customers |
| 9 |
| 374,747 | 384,878 | 398,693 |
Other financial assets measured at amortized cost |
| 12 |
| 47,045 | 37,551 | 26,236 |
Total financial assets measured at amortized cost |
|
|
| 717,738 | 736,274 | 738,632 |
Financial assets at fair value held for trading |
| 10 |
| 84,833 | 99,730 | 131,033 |
of which: assets pledged as collateral that may be sold or repledged by counterparties |
|
|
| 26,810 | 33,830 | 43,397 |
Derivative financial instruments |
| 10,11 |
| 195,208 | 160,524 | 118,145 |
Brokerage receivables |
| 10 |
| 22,510 | 19,289 | 21,839 |
Financial assets at fair value not held for trading |
| 10 |
| 53,418 | 57,240 | 59,642 |
Total financial assets measured at fair value through profit or loss |
|
|
| 355,969 | 336,784 | 330,659 |
Financial assets measured at fair value through other comprehensive income |
| 10 |
| 2,243 | 2,251 | 8,844 |
Investments in associates |
|
|
| 1,032 | 1,094 | 1,243 |
Property, equipment and software |
|
|
| 10,939 | 11,109 | 11,712 |
Goodwill and intangible assets |
|
|
| 6,210 | 6,312 | 6,378 |
Deferred tax assets |
|
|
| 9,276 | 9,083 | 8,839 |
Other non-financial assets |
| 12 |
| 8,519 | 9,567 | 9,836 |
Total assets |
|
|
| 1,111,926 | 1,112,474 | 1,116,145 |
Liabilities |
|
|
|
|
|
|
Amounts due to banks |
|
|
| 13,870 | 15,202 | 13,101 |
Payables from securities financing transactions |
|
|
| 4,540 | 5,956 | 5,533 |
Cash collateral payables on derivative instruments |
| 11 |
| 44,321 | 40,468 | 31,801 |
Customer deposits |
|
|
| 498,239 | 514,344 | 544,834 |
Funding from UBS Group AG measured at amortized cost |
|
|
| 55,663 | 57,089 | 57,295 |
Debt issued measured at amortized cost |
| 14 |
| 55,425 | 65,820 | 82,432 |
Other financial liabilities measured at amortized cost |
| 12 |
| 9,990 | 10,516 | 9,765 |
Total financial liabilities measured at amortized cost |
|
|
| 682,047 | 709,395 | 744,762 |
Financial liabilities at fair value held for trading |
| 10 |
| 30,741 | 30,450 | 31,688 |
Derivative financial instruments |
| 10,11 |
| 192,300 | 156,892 | 121,309 |
Brokerage payables designated at fair value |
| 10 |
| 48,093 | 49,798 | 44,045 |
Debt issued designated at fair value |
| 10,13 |
| 67,696 | 70,457 | 71,460 |
Other financial liabilities designated at fair value |
| 10,12 |
| 27,116 | 30,373 | 32,414 |
Total financial liabilities measured at fair value through profit or loss |
|
|
| 365,946 | 337,970 | 300,916 |
Provisions |
| 16 |
| 3,235 | 3,407 | 3,452 |
Other non-financial liabilities |
| 12 |
| 5,757 | 6,618 | 8,572 |
Total liabilities |
|
|
| 1,056,985 | 1,057,390 | 1,057,702 |
|
|
|
|
|
|
|
Equity |
|
|
|
|
|
|
Share capital |
|
|
| 338 | 338 | 338 |
Share premium |
|
|
| 24,663 | 24,661 | 24,653 |
Retained earnings |
|
|
| 30,681 | 28,592 | 27,912 |
Other comprehensive income recognized directly in equity, net of tax |
|
|
| (1,072) | 1,154 | 5,200 |
Equity attributable to shareholders |
|
|
| 54,610 | 54,746 | 58,102 |
Equity attributable to non-controlling interests |
|
|
| 330 | 339 | 340 |
Total equity |
|
|
| 54,941 | 55,085 | 58,442 |
Total liabilities and equity |
|
|
| 1,111,926 | 1,112,474 | 1,116,145 |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 15
Statement of changes in equity |
|
|
|
|
|
|
USD m | Share capital and share premium | Retained earnings | OCI recognized directly in equity, net of tax1 | of which: foreign currency translation | of which: cash flow hedges | Total equity attributable to shareholders |
Balance as of 1 January 20222 | 24,991 | 27,912 | 5,200 | 4,617 | 628 | 58,102 |
Tax (expense) / benefit | 6 |
|
|
|
| 6 |
Dividends |
| (4,200) |
|
|
| (4,200) |
Translation effects recognized directly in retained earnings |
| (44) | 44 |
| 44 | 0 |
Share of changes in retained earnings of associates and joint ventures |
| 0 |
|
|
| 0 |
New consolidations / (deconsolidations) and other increases / (decreases) | 4 | 3 | (3) |
|
| 4 |
Total comprehensive income for the period |
| 7,010 | (6,312) | (1,405) | (5,018) | 698 |
of which: net profit / (loss) |
| 5,566 |
|
|
| 5,566 |
of which: OCI, net of tax |
| 1,444 | (6,312) | (1,405) | (5,018) | (4,868) |
Balance as of 30 September 20222 | 25,001 | 30,681 | (1,072) | 3,212 | (4,346) | 54,610 |
Non-controlling interests as of 30 September 2022 |
|
|
|
|
| 330 |
Total equity as of 30 September 2022 |
|
|
|
|
| 54,941 |
|
|
|
|
|
|
|
Balance as of 1 January 20212 | 24,918 | 25,251 | 7,585 | 5,126 | 2,321 | 57,754 |
Tax (expense) / benefit | (67) |
|
|
|
| (67) |
Dividends |
| (4,539) |
|
|
| (4,539) |
Translation effects recognized directly in retained earnings |
| 23 | (23) |
| (23) | 0 |
Share of changes in retained earnings of associates and joint ventures |
| 1 |
|
|
| 1 |
New consolidations / (deconsolidations) and other increases / (decreases) | 185 |
|
|
|
| 185 |
Total comprehensive income for the period |
| 5,743 | (1,992) | (601) | (1,254) | 3,751 |
of which: net profit / (loss) |
| 5,777 |
|
|
| 5,777 |
of which: OCI, net of tax |
| (34) | (1,992) | (601) | (1,254) | (2,026) |
Balance as of 30 September 20212 | 25,036 | 26,480 | 5,569 | 4,526 | 1,044 | 57,085 |
Non-controlling interests as of 30 September 2021 |
|
|
|
|
| 333 |
Total equity as of 30 September 2021 |
|
|
|
|
| 57,418 |
1 Excludes other comprehensive income related to defined benefit plans and own credit that is recorded directly in Retained earnings. 2 Excludes non-controlling interests. |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 16
Statement of cash flows |
|
|
|
|
| Year-to-date | |
USD m |
| 30.9.22 | 30.9.21 |
|
|
|
|
Cash flow from / (used in) operating activities |
|
|
|
Net profit / (loss) |
| 5,594 | 5,795 |
Non-cash items included in net profit and other adjustments: |
|
|
|
Depreciation, amortization and impairment of non-financial assets |
| 1,358 | 1,364 |
Credit loss expense / (release) |
| 22 | (121) |
Share of net (profit) / loss of associates and joint ventures and impairment related to associates |
| (31) | (72) |
Deferred tax expense / (benefit) |
| 553 | 426 |
Net loss / (gain) from investing activities |
| (934) | (321) |
Net loss / (gain) from financing activities |
| (22,615) | (217) |
Other net adjustments |
| 14,674 | 5,395 |
Net change in operating assets and liabilities: |
|
|
|
Loans and advances to banks and amounts due to banks |
| 1,808 | 2,626 |
Securities financing transactions at amortized cost |
| 5,347 | (1,926) |
Cash collateral on derivative instruments |
| (5,320) | (3,174) |
Loans and advances to customers and customer deposits |
| (17,474) | (14,510) |
Financial assets and liabilities at fair value held for trading and derivative financial instruments |
| 23,045 | (3,808) |
Brokerage receivables and payables |
| 3,243 | 10,715 |
Financial assets at fair value not held for trading and other financial assets and liabilities |
| 4,185 | 18,157 |
Provisions and other non-financial assets and liabilities |
| (4) | 1,766 |
Income taxes paid, net of refunds |
| (1,230) | (674) |
Net cash flow from / (used in) operating activities |
| 12,219 | 21,421 |
|
|
|
|
Cash flow from / (used in) investing activities |
|
|
|
Purchase of subsidiaries, associates and intangible assets |
| 0 | (1) |
Disposal of subsidiaries, associates and intangible assets |
| 1,6821 | 564 |
Purchase of property, equipment and software |
| (1,066) | (1,146) |
Disposal of property, equipment and software |
| 9 | 268 |
Purchase of financial assets measured at fair value through other comprehensive income |
| (3,958) | (3,118) |
Disposal and redemption of financial assets measured at fair value through other comprehensive income |
| 3,234 | 2,798 |
Net (purchase) / redemption of debt securities measured at amortized cost |
| (8,228) | 223 |
Net cash flow from / (used in) investing activities |
| (8,329) | (414) |
|
|
|
|
Cash flow from / (used in) financing activities |
|
|
|
Net short-term debt issued / (repaid) |
| (16,249) | (7,717) |
Distributions paid on UBS AG shares |
| (4,200) | (4,539) |
Issuance of debt designated at fair value and long-term debt measured at amortized cost2 |
| 68,812 | 81,146 |
Repayment of debt designated at fair value and long-term debt measured at amortized cost2 |
| (54,184) | (65,416) |
Net cash flows from other financing activities |
| (460) | (129) |
Net cash flow from / (used in) financing activities |
| (6,282) | 3,345 |
|
|
|
|
Total cash flow |
|
|
|
Cash and cash equivalents at the beginning of the period |
| 207,755 | 173,430 |
Net cash flow from / (used in) operating, investing and financing activities |
| (2,391) | 24,352 |
Effects of exchange rate differences on cash and cash equivalents |
| (15,773) | (6,895) |
Cash and cash equivalents at the end of the period3 |
| 189,592 | 190,888 |
|
|
|
|
Additional information |
|
|
|
Net cash flow from / (used in) operating activities includes: |
|
|
|
Interest received in cash |
| 10,197 | 8,292 |
Interest paid in cash |
| 5,120 | 3,981 |
Dividends on equity investments, investment funds and associates received in cash |
| 1,556 | 1,969 |
1 Includes cash proceeds from the sales of: UBS AG’s shareholding in its Japanese real estate joint venture, Mitsubishi Corp.-UBS Realty Inc.; UBS AG’s wholly owned subsidiary UBS Swiss Financial Advisers AG; and UBS AG’s domestic wealth management business in Spain. 2 Includes funding from UBS Group AG measured at amortized cost (recognized in Funding from UBS Group AG measured at amortized cost in the balance sheet) and measured at fair value (recognized in Other financial liabilities designated at fair value in the balance sheet). 3 Consists of balances with an original maturity of three months or less. USD 3,855m and USD 3,823m (mainly reflected in Loans and advances to banks) were restricted as of 30 September 2022 and 30 September 2021, respectively. Refer to “Note 23 Restricted and transferred financial assets” in the “Consolidated financial statements” section of the Annual Report 2021 for more information. |
UBS AG Third quarter 2022 report | Consolidated financial statements | UBS AG interim consolidated financial statements (unaudited) 17
Notes to the UBS AG interim consolidated financial statements (unaudited)
The consolidated financial statements (the financial statements) of UBS AG and its subsidiaries (together, UBS AG) are prepared in accordance with International Financial Reporting Standards (IFRS), as issued by the International Accounting Standards Board (the IASB), and are presented in US dollars (USD). These interim financial statements are prepared in accordance with IAS 34, Interim Financial Reporting.
In preparing these interim financial statements, the same accounting policies and methods of computation have been applied as in the UBS AG consolidated annual financial statements for the period ended 31 December 2021, except for the changes described in this Note. These interim financial statements are unaudited and should be read in conjunction with UBS AG’s audited consolidated financial statements in the Annual Report 2021. In the opinion of management, all necessary adjustments have been made for a fair presentation of UBS AG’s financial position, results of operations and cash flows.
Preparation of these interim financial statements requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and disclosures of contingent assets and liabilities. These estimates and assumptions are based on the best available information. Actual results in the future could differ from such estimates and differences may be material to the financial statements. Revisions to estimates, based on regular reviews, are recognized in the period in which they occur. For more information about areas of estimation uncertainty that are considered to require critical judgment, refer to “Note 1a Material accounting policies” in the “Consolidated financial statements” section of the Annual Report 2021.
Changes to the presentation of the financial statements
Effective from the second quarter of 2022, UBS AG has made several changes to simplify the presentation of the income statement alongside other primary financial statements and disclosure notes and to align them with management information. In particular, Total operating income has been renamed Total revenues and excludes Credit loss expense / (release), which is now separately presented below Total revenues.
Reclassification of a portfolio from Financial assets measured at fair value through other comprehensive income to Other financial assets measured at amortized cost
Effective from 1 April 2022, UBS AG has reclassified a portfolio of financial assets from Financial assets measured at fair value through other comprehensive income (FVOCI) with a fair value of USD 6.9bn (the Portfolio) to Other financial assets measured at amortized cost in line with the principles in IFRS 9, Financial Instruments, which require a reclassification when an entity changes its business model for managing financial assets.
The Portfolio’s cumulative fair value losses of USD 449m pre-tax and USD 333m post-tax, previously recognized in Other comprehensive income, have been removed from equity and adjusted against the value of the assets at the reclassification date, so that the Portfolio is measured as if the assets had always been classified at amortized cost, with a value as of 1 April 2022 of USD 7.4bn.
The reclassification had no effect on the income statement.
The reclassified Portfolio is made up of high-quality liquid assets, primarily US government treasuries and US government agency mortgage-backed securities, held and separately managed by UBS Bank USA (BUSA).
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 18
Note 1 Basis of accounting (continued)
The accounting reclassification has arisen as a direct result of the transformation of UBS AG’s Global Wealth Management Americas business that has significantly impacted BUSA. This includes initiatives approved by the Group Executive Board to significantly grow and extend the business, as disclosed on 1 February 2022 during UBS’s fourth quarter 2021 earnings presentation. BUSA’s deposit base has grown by more than 100% in the last two years, generating substantial cash balances, with a number of new products being launched, including new deposit types that are longer in duration, additional lending and a broader range of customer segments targeted.
Following the commencement of these activities and the announcement made in the first quarter of 2022, the Portfolio is no longer held in a business model to collect the contractual cash flows and sell the assets, but is instead solely held to collect the contractual cash flows until the assets mature, requiring a reclassification of the Portfolio in line with IFRS 9 with effect from 1 April 2022.
The fair value of the Portfolio as of 30 September 2022 was USD 5.8bn (30 June 2022: USD 6.4bn). A pre-tax fair value loss of USD 515m would have been recognized in Other comprehensive income during the third quarter of 2022 (second quarter of 2022: USD 264m) if the Portfolio had not been reclassified.
The following table shows the rates of the main currencies used to translate the financial information of UBS AG’s operations with a functional currency other than the US dollar into US dollars.
|
| Closing exchange rate |
| Average rate1 | |||||||
|
| As of |
| For the quarter ended | Year-to-date | ||||||
|
| 30.9.22 | 30.6.22 | 31.12.21 | 30.9.21 |
| 30.9.22 | 30.6.22 | 30.9.21 | 30.9.22 | 30.9.21 |
1 CHF |
| 1.01 | 1.05 | 1.10 | 1.07 |
| 1.03 | 1.04 | 1.09 | 1.05 | 1.09 |
1 EUR |
| 0.98 | 1.05 | 1.14 | 1.16 |
| 0.99 | 1.06 | 1.17 | 1.05 | 1.19 |
1 GBP |
| 1.12 | 1.22 | 1.35 | 1.35 |
| 1.16 | 1.25 | 1.37 | 1.24 | 1.38 |
100 JPY |
| 0.69 | 0.74 | 0.87 | 0.90 |
| 0.72 | 0.76 | 0.90 | 0.78 | 0.91 |
1 Monthly income statement items of operations with a functional currency other than the US dollar are translated into US dollars using month-end rates. Disclosed average rates for a quarter represent an average of three month-end rates, weighted according to the income and expense volumes of all operations of UBS AG with the same functional currency for each month. Weighted average rates for individual business divisions may deviate from the weighted average rates for UBS AG. |
|
|
|
|
|
|
|
|
|
|
|
|
|
USD m |
| Global Wealth Management |
| Personal & Corporate Banking |
| Asset Management |
| Investment Bank |
| Group Functions |
| UBS AG |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended 30 September 20221 |
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income |
| 3,775 |
| 1,559 |
| (12) |
| (1) |
| (375) |
| 4,946 |
Non-interest income |
| 10,588 |
| 1,616 |
| 2,478 |
| 7,033 |
| 177 |
| 21,892 |
Total revenues |
| 14,363 |
| 3,175 |
| 2,466 |
| 7,031 |
| (197) |
| 26,838 |
Credit loss expense / (release) |
| (3) |
| 42 |
| 0 |
| (20) |
| 2 |
| 22 |
Operating expenses |
| 10,518 |
| 1,867 |
| 1,192 |
| 5,320 |
| 748 |
| 19,644 |
Operating profit / (loss) before tax |
| 3,847 |
| 1,266 |
| 1,274 |
| 1,731 |
| (947) |
| 7,171 |
Tax expense / (benefit) |
|
|
|
|
|
|
|
|
|
|
| 1,577 |
Net profit / (loss) |
|
|
|
|
|
|
|
|
|
|
| 5,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 30 September 20221 |
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
| 384,057 |
| 217,409 |
| 15,968 |
| 426,064 |
| 68,427 |
| 1,111,926 |
| ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended 30 September 20211 |
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income |
| 3,130 |
| 1,577 |
| (11) |
| 318 |
| (155) |
| 4,860 |
Non-interest income |
| 11,467 |
| 1,610 |
| 1,906 |
| 6,920 |
| 245 |
| 22,149 |
Total revenues |
| 14,597 |
| 3,187 |
| 1,896 |
| 7,238 |
| 90 |
| 27,008 |
Credit loss expense / (release) |
| (27) |
| (76) |
| 0 |
| (19) |
| 0 |
| (121) |
Operating expenses |
| 10,460 |
| 1,899 |
| 1,200 |
| 5,375 |
| 851 |
| 19,785 |
Operating profit / (loss) before tax |
| 4,165 |
| 1,365 |
| 695 |
| 1,882 |
| (762) |
| 7,345 |
Tax expense / (benefit) |
|
|
|
|
|
|
|
|
|
|
| 1,550 |
Net profit / (loss) |
|
|
|
|
|
|
|
|
|
|
| 5,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31 December 20211 |
|
|
|
|
|
|
|
|
|
|
|
|
Total assets2 |
| 395,235 |
| 225,425 |
| 25,202 |
| 346,641 |
| 123,641 |
| 1,116,145 |
1 Refer to “Note 2 Segment reporting” in the “Consolidated financial statements” section of the Annual Report 2021 for more information about UBS AG’s reporting segments. 2 In the first quarter of 2022, UBS AG refined the methodology applied to allocate balance sheet resources from Group Functions to the business divisions, with prospective effect. If the new methodology had been applied as of 31 December 2021, balance sheet assets allocated to business divisions would have been USD 17bn higher, of which USD 14bn would have related to the Investment Bank. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 19
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Interest income from loans and deposits1 |
| 2,523 | 1,887 | 1,644 |
| 6,071 | 4,843 |
Interest income from securities financing transactions2 |
| 415 | 209 | 132 |
| 742 | 393 |
Interest income from other financial instruments measured at amortized cost |
| 148 | 118 | 71 |
| 338 | 213 |
Interest income from debt instruments measured at fair value through other comprehensive income |
| 12 | 6 | 33 |
| 60 | 84 |
Interest income from derivative instruments designated as cash flow hedges |
| (17) | 160 | 297 |
| 396 | 849 |
Total interest income from financial instruments measured at amortized cost and fair value through other comprehensive income |
| 3,081 | 2,381 | 2,178 |
| 7,607 | 6,382 |
Interest expense on loans and deposits3 |
| 1,226 | 618 | 408 |
| 2,272 | 1,262 |
Interest expense on securities financing transactions4 |
| 282 | 288 | 299 |
| 794 | 850 |
Interest expense on debt issued |
| 265 | 176 | 122 |
| 576 | 385 |
Interest expense on lease liabilities |
| 21 | 21 | 24 |
| 64 | 75 |
Total interest expense from financial instruments measured at amortized cost |
| 1,794 | 1,103 | 853 |
| 3,706 | 2,572 |
Total net interest income from financial instruments measured at amortized cost and fair value through other comprehensive income |
| 1,287 | 1,278 | 1,325 |
| 3,901 | 3,810 |
Net interest income from financial instruments measured at fair value through profit or loss |
| 278 | 356 | 339 |
| 1,045 | 1,049 |
Total net interest income |
| 1,565 | 1,634 | 1,664 |
| 4,946 | 4,860 |
1 Consists of interest income from cash and balances at central banks, loans and advances to banks and customers, and cash collateral receivables on derivative instruments, as well as negative interest on amounts due to banks, customer deposits, and cash collateral payables on derivative instruments. 2 Includes interest income on receivables from securities financing transactions and negative interest, including fees, on payables from securities financing transactions. 3 Consists of interest expense on amounts due to banks, cash collateral payables on derivative instruments, customer deposits, and funding from UBS Group AG, as well as negative interest on cash and balances at central banks, loans and advances to banks, and cash collateral receivables on derivative instruments. 4 Includes interest expense on payables from securities financing transactions and negative interest, including fees, on receivables from securities financing transactions. |
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Underwriting fees |
| 188 | 122 | 353 |
| 512 | 1,165 |
M&A and corporate finance fees |
| 152 | 220 | 315 |
| 608 | 883 |
Brokerage fees |
| 780 | 870 | 1,017 |
| 2,728 | 3,412 |
Investment fund fees |
| 1,173 | 1,233 | 1,428 |
| 3,794 | 4,270 |
Portfolio management and related services |
| 2,178 | 2,298 | 2,517 |
| 6,938 | 7,227 |
Other |
| 500 | 492 | 495 |
| 1,494 | 1,411 |
Total fee and commission income1 |
| 4,971 | 5,235 | 6,124 |
| 16,074 | 18,369 |
of which: recurring |
| 3,453 | 3,593 | 3,951 |
| 10,905 | 11,395 |
of which: transaction-based |
| 1,504 | 1,632 | 2,139 |
| 5,126 | 6,803 |
of which: performance-based |
| 14 | 10 | 34 |
| 43 | 171 |
Fee and commission expense |
| 476 | 450 | 510 |
| 1,410 | 1,472 |
Net fee and commission income |
| 4,495 | 4,785 | 5,615 |
| 14,664 | 16,897 |
1 Reflects third-party fee and commission income for the third quarter of 2022 of USD 3,106m for Global Wealth Management (second quarter of 2022: USD 3,281m; third quarter of 2021: USD 3,663m), USD 398m for Personal & Corporate Banking (second quarter of 2022: USD 422m; third quarter of 2021: USD 429m), USD 682m for Asset Management (second quarter of 2022: USD 720m; third quarter of 2021: USD 815m), USD 782m for the Investment Bank (second quarter of 2022: USD 811m; third quarter of 2021: USD 1,214m) and USD 2m for Group Functions (second quarter of 2022: USD 1m; third quarter of 2021: USD 3m). |
UBS AG recognized other income of USD 456m in the third quarter of 2022, which included pre-tax gains in Global Wealth Management of USD 133m on the sale of UBS AG’s domestic wealth management business in Spain and USD 86m on the sale of UBS AG’s wholly owned subsidiary UBS Swiss Financial Advisers AG, as well as a USD 70m gain related to a legacy litigation settlement. In the second quarter of 2022, UBS AG recognized other income of USD 996m, which included a pre-tax gain of USD 848m in Asset Management on the sale of UBS AG’s minority shareholding in its Japanese real estate joint venture, Mitsubishi Corp.-UBS Realty Inc. In the third quarter of 2021, UBS AG recognized other income of USD 237m, which included a pre-tax gain of USD 100m from the sale of UBS AG’s domestic wealth management business in Austria.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 20
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Salaries and variable compensation |
| 2,057 | 2,194 | 2,212 |
| 6,716 | 7,013 |
Financial advisor compensation1 |
| 1,093 | 1,122 | 1,239 |
| 3,436 | 3,592 |
Contractors |
| 29 | 30 | 33 |
| 87 | 107 |
Social security |
| 179 | 164 | 205 |
| 571 | 603 |
Post-employment benefit plans |
| 122 | 137 | 140 |
| 442 | 459 |
Other personnel expenses |
| 136 | 116 | 123 |
| 361 | 335 |
Total personnel expenses |
| 3,617 | 3,762 | 3,951 |
| 11,613 | 12,109 |
1 Financial advisor compensation consists of formulaic compensation based directly on compensable revenues generated by financial advisors and supplemental compensation calculated on the basis of financial advisor productivity, firm tenure, new assets and other variables. It also includes expenses related to compensation commitments with financial advisors entered into at the time of recruitment that are subject to vesting requirements. |
|
| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Outsourcing costs |
| 109 | 115 | 112 |
| 331 | 296 |
IT expenses |
| 122 | 126 | 116 |
| 370 | 363 |
Consulting, legal and audit fees |
| 116 | 123 | 111 |
| 343 | 310 |
Real estate and logistics costs |
| 119 | 129 | 137 |
| 371 | 391 |
Market data services |
| 91 | 89 | 90 |
| 273 | 272 |
Marketing and communication |
| 45 | 43 | 34 |
| 119 | 101 |
Travel and entertainment |
| 39 | 43 | 17 |
| 101 | 37 |
Litigation, regulatory and similar matters1 |
| 21 | 220 | 12 |
| 298 | 84 |
Other |
| 1,416 | 1,475 | 1,473 |
| 4,467 | 4,459 |
of which: shared services costs charged by UBS Group AG or its subsidiaries |
| 1,237 | 1,348 | 1,288 |
| 3,975 | 3,957 |
Total general and administrative expenses |
| 2,077 | 2,364 | 2,101 |
| 6,674 | 6,312 |
1 Reflects the net increase in provisions for litigation, regulatory and similar matters recognized in the income statement. Refer to Note 16b for more information. |
UBS AG recognized income tax expenses of USD 551m for the third quarter of 2022, representing an effective tax rate of 25.6%, compared with USD 549m and an effective tax rate of 20.2% for the third quarter of 2021.
Current tax expenses were USD 347m, compared with USD 400m, and related to taxable profits of UBS Switzerland AG and other entities.
Deferred tax expenses were USD 204m, compared with USD 148m. These include an expense of USD 173m that primarily relates to the amortization of deferred tax assets that were previously recognized in relation to tax losses carried forward and deductible temporary differences of UBS Americas Inc. They also include an expense of USD 31m in respect of a decrease in the expected value of future tax deductions for deferred compensation awards, due to a decrease in the Group’s share price during the quarter.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 21
Total net credit loss releases in the third quarter of 2022 were USD 3m, reflecting USD 4m net credit loss expenses related to stage 1 and 2 positions and USD 7m net credit loss releases primarily related to stage 3 positions in Personal & Corporate Banking.
Stage 1 and 2 net expenses of USD 4m included scenario-update-related expenses of USD 13m, mainly from the update of interest rate forecasts, partly offset by the net effect of changes to models and portfolio quality and size.
Scenarios and scenario weights
The expected credit loss (ECL) scenarios, along with their related macroeconomic factors and market data, were reviewed in light of the economic and political conditions prevailing in the third quarter of 2022 through a series of governance meetings, with input and feedback from UBS AG Risk and Finance experts across the business divisions and regions. UBS AG decided to apply the same scenarios and weights in the third quarter of 2022 as in the second quarter of 2022.
The baseline scenario assumptions on a calendar-year basis are included in the table on the next page. Such baseline information includes interest rate increases by central banks in September 2022, as well as other updated macro-economic data.
The global crisis scenario and the asset price inflation scenario were updated with current macroeconomic factors, but remain materially unchanged compared with the second quarter of 2022. Shocks in equity prices in the global crisis scenario have been made slightly less severe in the third quarter of 2022 than in the second quarter to reflect the decline seen in the first half of 2022.
As a response to inflationary developments and the war in Ukraine, in the first quarter of 2022 UBS AG replaced the mild global interest rate steepening scenario applied at year-end 2021 with the severe global interest rate steepening scenario. In the second quarter of 2022, a new severe Russia–Ukraine conflict scenario was developed. It has similar dynamics to the severe global interest rate steepening scenario, but includes a deepening energy crisis and disruptions in the delivery of Russian energy. These factors have resulted in surging commodity prices and accelerated inflation in major economies, compared with the severe global interest rate steepening scenario. Eurozone economic activity in particular is impacted in this scenario, due to the region’s reliance on its supply of energy from Russia. Equity price shocks in the severe Russia–Ukraine conflict scenario have been made slightly less severe in the third quarter of 2022 than in the second quarter, to reflect the decline seen in the first half of 2022.
Refer to the table on the next page for scenarios and weights applied.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 22
Note 9 Expected credit loss measurement (continued)
Total stage 1 and 2 allowances and provisions amounted to USD 507m as of 30 September 2022 and included post-model adjustments (PMA) of USD 151m (30 June 2022: USD 155m; 31 December 2021: USD 224m).
The PMA represent uncertainty and risk related to substantially heightened geopolitical tensions and the continued COVID-19 pandemic, which cannot be fully and reliably modeled, due to a lack of sufficiently supportable data.
The PMA were reduced during the second and first quarters of 2022 as the application of different and more adverse scenarios and scenario assumptions in UBS AG’s models addressed some of the uncertainties that had been reflected in the PMA in prior periods.
Comparison of shock factors |
|
|
|
|
|
|
|
|
|
|
| Baseline | ||
Key parameters |
| 2021 | 2022 | 2023 |
Real GDP growth (annual percentage change) |
|
|
|
|
US |
| 5.5 | 1.7 | 0.6 |
Eurozone |
| 5.1 | 2.9 | 0.8 |
Switzerland |
| 3.1 | 2.1 | 0.6 |
Unemployment rate (%, annual average) |
|
|
|
|
US |
| 5.4 | 3.6 | 3.7 |
Eurozone |
| 7.7 | 6.7 | 6.9 |
Switzerland |
| 3.0 | 2.2 | 2.1 |
Fixed income: 10-year government bonds (%, Q4) |
|
|
|
|
USD |
| 1.5 | 3.8 | 3.7 |
EUR |
| (0.2) | 2.2 | 2.2 |
CHF |
| (0.1) | 1.3 | 1.4 |
Real estate (annual percentage change, Q4) |
|
|
|
|
US |
| 16.1 | 10.1 | 1.7 |
Eurozone |
| 7.9 | 3.3 | 0.5 |
Switzerland |
| 6.0 | 5.0 | 0.0 |
|
|
|
|
|
Economic scenarios and weights applied |
|
|
|
|
|
| Assigned weights in % | ||
ECL scenario |
| 30.9.22 | 30.6.22 | 31.12.21 |
Upside |
| 0.0 | 0.0 | 5.0 |
Baseline |
| 55.0 | 55.0 | 55.0 |
Mild global interest rate steepening |
| – | – | 10.0 |
Severe Russia–Ukraine conflict scenario |
| 25.0 | 25.0 | – |
Global crisis |
| 20.0 | 20.0 | 30.0 |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 23
Note 9 Expected credit loss measurement (continued)
c) ECL-relevant balance sheet and off-balance sheet positions including ECL allowances and provisions
The following tables provide information about financial instruments and certain non-financial instruments that are subject to ECL requirements. For amortized-cost instruments, the carrying amount represents the maximum exposure to credit risk, taking into account the allowance for credit losses. Financial assets measured at fair value through other comprehensive income (FVOCI) are also subject to ECL; however, unlike amortized-cost instruments, the allowance for credit losses for FVOCI instruments does not reduce the carrying amount of these financial assets. Instead, the carrying amount of financial assets measured at FVOCI represents the maximum exposure to credit risk.
In addition to recognized financial assets, certain off-balance sheet financial instruments and other credit lines are also subject to ECL. The maximum exposure to credit risk for off-balance sheet financial instruments is calculated based on the maximum contractual amounts.
USD m |
| 30.9.22 | ||||||||
|
| Carrying amount1 |
| ECL allowances | ||||||
Financial instruments measured at amortized cost |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Cash and balances at central banks |
| 166,406 | 166,350 | 56 | 0 |
| (15) | 0 | (15) | 0 |
Loans and advances to banks |
| 14,403 | 14,342 | 61 | 0 |
| (6) | (5) | (1) | 0 |
Receivables from securities financing transactions |
| 66,926 | 66,926 | 0 | 0 |
| (2) | (2) | 0 | 0 |
Cash collateral receivables on derivative instruments |
| 48,210 | 48,210 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Loans and advances to customers |
| 374,747 | 358,320 | 14,973 | 1,455 |
| (760) | (124) | (170) | (466) |
of which: Private clients with mortgages |
| 148,347 | 140,274 | 7,430 | 643 |
| (129) | (26) | (78) | (25) |
of which: Real estate financing |
| 42,647 | 38,981 | 3,658 | 8 |
| (55) | (17) | (38) | 0 |
of which: Large corporate clients |
| 11,775 | 10,035 | 1,458 | 282 |
| (119) | (20) | (18) | (81) |
of which: SME clients |
| 13,032 | 11,504 | 1,179 | 349 |
| (241) | (24) | (22) | (195) |
of which: Lombard |
| 134,535 | 134,455 | 0 | 79 |
| (34) | (8) | 0 | (26) |
of which: Credit cards |
| 1,737 | 1,352 | 358 | 27 |
| (36) | (10) | (10) | (17) |
of which: Commodity trade finance |
| 3,383 | 3,368 | 0 | 15 |
| (92) | (5) | 0 | (86) |
Other financial assets measured at amortized cost |
| 47,045 | 46,482 | 404 | 160 |
| (92) | (18) | (7) | (67) |
of which: Loans to financial advisors |
| 2,505 | 2,191 | 187 | 128 |
| (69) | (10) | (3) | (56) |
Total financial assets measured at amortized cost |
| 717,738 | 700,630 | 15,494 | 1,614 |
| (874) | (149) | (192) | (533) |
Financial assets measured at fair value through other comprehensive income |
| 2,243 | 2,243 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Total on-balance sheet financial assets in scope of ECL requirements |
| 719,981 | 702,872 | 15,494 | 1,614 |
| (874) | (149) | (192) | (533) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total exposure |
| ECL provisions | ||||||
Off-balance sheet (in scope of ECL) |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Guarantees |
| 20,835 | 19,652 | 1,054 | 128 |
| (36) | (12) | (8) | (16) |
of which: Large corporate clients |
| 3,537 | 2,714 | 748 | 75 |
| (12) | (2) | (3) | (7) |
of which: SME clients |
| 1,201 | 1,015 | 134 | 52 |
| (7) | (1) | (1) | (5) |
of which: Financial intermediaries and hedge funds |
| 10,950 | 10,882 | 68 | 0 |
| (11) | (8) | (4) | 0 |
of which: Lombard |
| 2,273 | 2,272 | 0 | 1 |
| (1) | 0 | 0 | (1) |
of which: Commodity trade finance |
| 2,062 | 2,061 | 0 | 0 |
| (1) | (1) | 0 | 0 |
Irrevocable loan commitments |
| 37,456 | 34,996 | 2,378 | 82 |
| (102) | (60) | (42) | 0 |
of which: Large corporate clients |
| 22,121 | 20,283 | 1,779 | 58 |
| (85) | (51) | (34) | 0 |
Forward starting reverse repurchase and securities borrowing agreements |
| 8,161 | 8,161 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Committed unconditionally revocable credit lines |
| 38,652 | 36,691 | 1,918 | 43 |
| (42) | (30) | (12) | 0 |
of which: Real estate financing |
| 8,223 | 8,099 | 124 | 0 |
| (5) | (5) | 0 | 0 |
of which: Large corporate clients |
| 3,889 | 3,448 | 436 | 5 |
| (8) | (2) | (6) | 0 |
of which: SME clients |
| 4,446 | 4,111 | 306 | 29 |
| (17) | (14) | (3) | 0 |
of which: Lombard |
| 6,884 | 6,879 | 0 | 5 |
| 0 | 0 | 0 | 0 |
of which: Credit cards |
| 8,976 | 8,537 | 435 | 3 |
| (6) | (4) | (2) | 0 |
of which: Commodity trade finance |
| 282 | 282 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Irrevocable committed prolongation of existing loans |
| 3,732 | 3,725 | 4 | 4 |
| (2) | (2) | 0 | 0 |
Total off-balance sheet financial instruments and other credit lines |
| 108,837 | 103,225 | 5,355 | 257 |
| (182) | (104) | (62) | (16) |
Total allowances and provisions |
|
|
|
|
|
| (1,056) | (253) | (254) | (549) |
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 24
Note 9 Expected credit loss measurement (continued)
USD m |
| 30.6.22 | ||||||||
|
| Carrying amount1 |
| ECL allowances | ||||||
Financial instruments measured at amortized cost |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Cash and balances at central banks |
| 190,353 | 190,296 | 57 | 0 |
| (13) | 0 | (13) | 0 |
Loans and advances to banks |
| 16,435 | 16,318 | 117 | 0 |
| (8) | (7) | (1) | 0 |
Receivables from securities financing transactions |
| 63,291 | 63,291 | 0 | 0 |
| (2) | (2) | 0 | 0 |
Cash collateral receivables on derivative instruments |
| 43,766 | 43,766 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Loans and advances to customers |
| 384,878 | 367,433 | 15,759 | 1,686 |
| (793) | (129) | (163) | (501) |
of which: Private clients with mortgages |
| 150,884 | 142,050 | 8,064 | 770 |
| (126) | (27) | (72) | (27) |
of which: Real estate financing |
| 43,291 | 39,358 | 3,925 | 7 |
| (59) | (17) | (42) | 0 |
of which: Large corporate clients |
| 12,208 | 10,791 | 1,088 | 329 |
| (141) | (27) | (17) | (98) |
of which: SME clients |
| 13,309 | 11,744 | 1,167 | 397 |
| (249) | (22) | (22) | (205) |
of which: Lombard |
| 140,333 | 140,251 | 0 | 82 |
| (37) | (7) | 0 | (29) |
of which: Credit cards |
| 1,760 | 1,384 | 349 | 27 |
| (36) | (10) | (9) | (17) |
of which: Commodity trade finance |
| 3,699 | 3,686 | 0 | 12 |
| (94) | (5) | 0 | (89) |
Other financial assets measured at amortized cost2 |
| 37,551 | 37,000 | 391 | 160 |
| (99) | (18) | (7) | (74) |
of which: Loans to financial advisors |
| 2,447 | 2,171 | 144 | 132 |
| (78) | (11) | (2) | (64) |
Total financial assets measured at amortized cost |
| 736,274 | 718,104 | 16,325 | 1,846 |
| (915) | (155) | (184) | (575) |
Financial assets measured at fair value through other comprehensive income2 |
| 2,251 | 2,251 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Total on-balance sheet financial assets in scope of ECL requirements |
| 738,525 | 720,355 | 16,325 | 1,846 |
| (915) | (155) | (184) | (575) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total exposure |
| ECL provisions | ||||||
Off-balance sheet (in scope of ECL) |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Guarantees |
| 22,556 | 21,381 | 1,028 | 146 |
| (40) | (16) | (9) | (15) |
of which: Large corporate clients |
| 3,539 | 2,710 | 734 | 95 |
| (10) | (3) | (3) | (4) |
of which: SME clients |
| 1,213 | 1,034 | 128 | 51 |
| (9) | (1) | (1) | (7) |
of which: Financial intermediaries and hedge funds |
| 12,113 | 12,021 | 92 | 0 |
| (16) | (11) | (5) | 0 |
of which: Lombard |
| 2,332 | 2,332 | 0 | 0 |
| (1) | 0 | 0 | (1) |
of which: Commodity trade finance |
| 2,388 | 2,387 | 0 | 0 |
| (1) | (1) | 0 | 0 |
Irrevocable loan commitments |
| 37,703 | 35,308 | 2,359 | 37 |
| (113) | (67) | (46) | 0 |
of which: Large corporate clients |
| 22,649 | 21,001 | 1,642 | 6 |
| (94) | (60) | (34) | 0 |
Forward starting reverse repurchase and securities borrowing agreements |
| 3,985 | 3,985 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Committed unconditionally revocable credit lines |
| 41,615 | 39,266 | 2,306 | 42 |
| (37) | (27) | (10) | 0 |
of which: Real estate financing |
| 9,123 | 8,931 | 193 | 0 |
| (5) | (5) | 0 | 0 |
of which: Large corporate clients |
| 4,354 | 3,662 | 687 | 5 |
| (6) | (1) | (5) | 0 |
of which: SME clients |
| 4,660 | 4,240 | 392 | 29 |
| (16) | (13) | (3) | 0 |
of which: Lombard |
| 7,697 | 7,693 | 0 | 4 |
| 0 | 0 | 0 | 0 |
of which: Credit cards |
| 9,162 | 8,725 | 433 | 3 |
| (6) | (4) | (2) | 0 |
of which: Commodity trade finance |
| 172 | 172 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Irrevocable committed prolongation of existing loans |
| 5,156 | 5,136 | 18 | 2 |
| (2) | (2) | 0 | 0 |
Total off-balance sheet financial instruments and other credit lines |
| 111,015 | 105,076 | 5,712 | 228 |
| (192) | (112) | (66) | (15) |
Total allowances and provisions |
|
|
|
|
|
| (1,107) | (267) | (250) | (590) |
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. 2 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 25
Note 9 Expected credit loss measurement (continued)
USD m |
| 31.12.21 | ||||||||
|
| Carrying amount1 |
| ECL allowances | ||||||
Financial instruments measured at amortized cost |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Cash and balances at central banks |
| 192,817 | 192,817 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Loans and advances to banks |
| 15,360 | 15,333 | 26 | 1 |
| (8) | (7) | (1) | 0 |
Receivables from securities financing transactions |
| 75,012 | 75,012 | 0 | 0 |
| (2) | (2) | 0 | 0 |
Cash collateral receivables on derivative instruments |
| 30,514 | 30,514 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Loans and advances to customers |
| 398,693 | 381,496 | 15,620 | 1,577 |
| (850) | (126) | (152) | (572) |
of which: Private clients with mortgages |
| 152,479 | 143,505 | 8,262 | 711 |
| (132) | (28) | (71) | (33) |
of which: Real estate financing |
| 43,945 | 40,463 | 3,472 | 9 |
| (60) | (19) | (40) | 0 |
of which: Large corporate clients |
| 13,990 | 12,643 | 1,037 | 310 |
| (170) | (22) | (16) | (133) |
of which: SME clients |
| 14,004 | 12,076 | 1,492 | 436 |
| (259) | (19) | (15) | (225) |
of which: Lombard |
| 149,283 | 149,255 | 0 | 27 |
| (33) | (6) | 0 | (28) |
of which: Credit cards |
| 1,716 | 1,345 | 342 | 29 |
| (36) | (10) | (9) | (17) |
of which: Commodity trade finance |
| 3,813 | 3,799 | 7 | 7 |
| (114) | (6) | 0 | (108) |
Other financial assets measured at amortized cost |
| 26,236 | 25,746 | 302 | 189 |
| (109) | (27) | (7) | (76) |
of which: Loans to financial advisors |
| 2,453 | 2,184 | 106 | 163 |
| (86) | (19) | (3) | (63) |
Total financial assets measured at amortized cost |
| 738,632 | 720,917 | 15,948 | 1,767 |
| (969) | (161) | (160) | (647) |
Financial assets measured at fair value through other comprehensive income |
| 8,844 | 8,844 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Total on-balance sheet financial assets in scope of ECL requirements |
| 747,477 | 729,762 | 15,948 | 1,767 |
| (969) | (161) | (160) | (647) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total exposure |
| ECL provisions | ||||||
Off-balance sheet (in scope of ECL) |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 3 |
Guarantees |
| 20,972 | 19,695 | 1,127 | 150 |
| (41) | (18) | (8) | (15) |
of which: Large corporate clients |
| 3,464 | 2,567 | 793 | 104 |
| (6) | (3) | (3) | 0 |
of which: SME clients |
| 1,353 | 1,143 | 164 | 46 |
| (8) | (1) | (1) | (7) |
of which: Financial intermediaries and hedge funds |
| 9,575 | 9,491 | 84 | 0 |
| (17) | (13) | (4) | 0 |
of which: Lombard |
| 2,454 | 2,454 | 0 | 0 |
| (1) | 0 | 0 | (1) |
of which: Commodity trade finance |
| 3,137 | 3,137 | 0 | 0 |
| (1) | (1) | 0 | 0 |
Irrevocable loan commitments |
| 39,478 | 37,097 | 2,335 | 46 |
| (114) | (72) | (42) | 0 |
of which: Large corporate clients |
| 23,922 | 21,811 | 2,102 | 9 |
| (100) | (66) | (34) | 0 |
Forward starting reverse repurchase and securities borrowing agreements |
| 1,444 | 1,444 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Committed unconditionally revocable credit lines |
| 42,373 | 39,802 | 2,508 | 63 |
| (38) | (28) | (10) | 0 |
of which: Real estate financing |
| 7,328 | 7,046 | 281 | 0 |
| (5) | (4) | (1) | 0 |
of which: Large corporate clients |
| 5,358 | 4,599 | 736 | 23 |
| (7) | (4) | (3) | 0 |
of which: SME clients |
| 5,160 | 4,736 | 389 | 35 |
| (15) | (11) | (3) | 0 |
of which: Lombard |
| 8,670 | 8,670 | 0 | 0 |
| 0 | 0 | 0 | 0 |
of which: Credit cards |
| 9,466 | 9,000 | 462 | 4 |
| (6) | (5) | (2) | 0 |
of which: Commodity trade finance |
| 117 | 117 | 0 | 0 |
| 0 | 0 | 0 | 0 |
Irrevocable committed prolongation of existing loans |
| 5,611 | 5,527 | 36 | 48 |
| (3) | (3) | 0 | 0 |
Total off-balance sheet financial instruments and other credit lines |
| 109,878 | 103,565 | 6,006 | 307 |
| (196) | (121) | (60) | (15) |
Total allowances and provisions |
|
|
|
|
|
| (1,165) | (282) | (220) | (662) |
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 26
Note 9 Expected credit loss measurement (continued)
The table below provides information about the ECL gross exposure and the ECL coverage ratio for UBS AG’s core loan portfolios (i.e., Loans and advances to customers and Loans to financial advisors) and relevant off-balance sheet exposures. Cash and balances at central banks, Loans and advances to banks, Receivables from securities financing transactions, Cash collateral receivables on derivative instruments and Financial assets measured at fair value through other comprehensive income are not included in the table below, due to their lower sensitivity to ECL.
ECL coverage ratios are calculated by dividing ECL allowances and provisions by the gross carrying amount of the related exposures.
Coverage ratios for core loan portfolio |
| 30.9.22 | |||||||||
|
| Gross carrying amount (USD m) |
| ECL coverage (bps) | |||||||
On-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 148,476 | 140,301 | 7,508 | 668 |
| 9 | 2 | 104 | 7 | 370 |
Real estate financing |
| 42,702 | 38,998 | 3,695 | 8 |
| 13 | 4 | 102 | 13 | 429 |
Total real estate lending |
| 191,178 | 179,299 | 11,203 | 676 |
| 10 | 2 | 104 | 8 | 370 |
Large corporate clients |
| 11,893 | 10,055 | 1,476 | 363 |
| 100 | 20 | 123 | 33 | 2,234 |
SME clients |
| 13,273 | 11,527 | 1,202 | 544 |
| 181 | 21 | 187 | 36 | 3,578 |
Total corporate lending |
| 25,166 | 21,582 | 2,678 | 906 |
| 143 | 20 | 151 | 35 | 3,041 |
Lombard |
| 134,569 | 134,463 | 0 | 106 |
| 3 | 1 | 0 | 1 | 2,495 |
Credit cards |
| 1,774 | 1,362 | 367 | 44 |
| 205 | 74 | 263 | 114 | 3,783 |
Commodity trade finance |
| 3,475 | 3,374 | 0 | 101 |
| 264 | 16 | 0 | 16 | 8,556 |
Other loans and advances to customers |
| 19,346 | 18,364 | 895 | 88 |
| 28 | 8 | 42 | 9 | 4,112 |
Loans to financial advisors |
| 2,573 | 2,201 | 190 | 183 |
| 266 | 45 | 148 | 53 | 3,040 |
Total other lending |
| 161,737 | 159,763 | 1,451 | 522 |
| 18 | 3 | 112 | 4 | 4,239 |
Total1 |
| 378,081 | 360,644 | 15,333 | 2,104 |
| 22 | 4 | 113 | 8 | 2,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross exposure (USD m) |
| ECL coverage (bps) | |||||||
Off-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 5,456 | 5,253 | 201 | 1 |
| 4 | 3 | 17 | 4 | 410 |
Real estate financing |
| 9,059 | 8,880 | 179 | 0 |
| 8 | 7 | 53 | 8 | 0 |
Total real estate lending |
| 14,515 | 14,133 | 381 | 1 |
| 7 | 6 | 34 | 7 | 410 |
Large corporate clients |
| 29,740 | 26,639 | 2,963 | 138 |
| 36 | 21 | 145 | 33 | 506 |
SME clients |
| 6,708 | 6,097 | 503 | 108 |
| 48 | 28 | 204 | 42 | 432 |
Total corporate lending |
| 36,449 | 32,736 | 3,466 | 246 |
| 38 | 22 | 154 | 35 | 474 |
Lombard |
| 12,392 | 12,386 | 0 | 6 |
| 1 | 0 | 0 | 0 | 0 |
Credit cards |
| 8,976 | 8,537 | 435 | 3 |
| 7 | 5 | 37 | 7 | 0 |
Commodity trade finance |
| 2,343 | 2,343 | 0 | 0 |
| 3 | 3 | 0 | 3 | 0 |
Financial intermediaries and hedge funds |
| 17,139 | 16,732 | 407 | 0 |
| 7 | 5 | 97 | 7 | 0 |
Other off-balance sheet commitments |
| 8,861 | 8,196 | 666 | 0 |
| 15 | 10 | 30 | 12 | 0 |
Total other lending |
| 49,712 | 48,194 | 1,508 | 9 |
| 7 | 5 | 50 | 6 | 0 |
Total2 |
| 100,675 | 95,064 | 5,355 | 257 |
| 18 | 11 | 116 | 17 | 607 |
Total on- and off-balance sheet3 |
| 478,756 | 455,708 | 20,687 | 2,361 |
| 21 | 5 | 114 | 10 | 2,276 |
1 Includes Loans and advances to customers of USD 375,508m and Loans to financial advisors of USD 2,573m, which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross, and off-balance-sheet exposure (notional), and the related ECL coverage ratio (bps). |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 27
Note 9 Expected credit loss measurement (continued)
Coverage ratios for core loan portfolio |
| 30.6.22 | |||||||||
|
| Gross carrying amount (USD m) |
| ECL coverage (bps) | |||||||
On-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 151,010 | 142,077 | 8,136 | 798 |
| 8 | 2 | 88 | 7 | 342 |
Real estate financing |
| 43,350 | 39,375 | 3,967 | 8 |
| 14 | 4 | 106 | 14 | 505 |
Total real estate lending |
| 194,360 | 181,452 | 12,103 | 805 |
| 10 | 2 | 94 | 8 | 344 |
Large corporate clients |
| 12,349 | 10,818 | 1,105 | 427 |
| 114 | 25 | 153 | 37 | 2,286 |
SME clients |
| 13,558 | 11,766 | 1,190 | 602 |
| 184 | 19 | 187 | 34 | 3,400 |
Total corporate lending |
| 25,907 | 22,584 | 2,294 | 1,029 |
| 151 | 22 | 170 | 35 | 2,938 |
Lombard |
| 140,370 | 140,259 | 0 | 111 |
| 3 | 1 | 0 | 1 | 2,641 |
Credit cards |
| 1,796 | 1,394 | 359 | 43 |
| 201 | 72 | 263 | 111 | 3,805 |
Commodity trade finance |
| 3,793 | 3,692 | 0 | 101 |
| 248 | 15 | 0 | 15 | 8,768 |
Other loans and advances to customers |
| 19,446 | 18,182 | 1,167 | 98 |
| 26 | 7 | 7 | 7 | 3,796 |
Loans to financial advisors |
| 2,525 | 2,182 | 147 | 196 |
| 307 | 50 | 163 | 57 | 3,278 |
Total other lending |
| 167,929 | 165,708 | 1,672 | 549 |
| 18 | 3 | 76 | 4 | 4,293 |
Total1 |
| 388,196 | 369,744 | 16,069 | 2,383 |
| 22 | 4 | 103 | 8 | 2,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross exposure (USD m) |
| ECL coverage (bps) | |||||||
Off-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 6,860 | 6,658 | 199 | 3 |
| 4 | 3 | 9 | 3 | 786 |
Real estate financing |
| 10,336 | 10,126 | 210 | 0 |
| 11 | 6 | 232 | 11 | 0 |
Total real estate lending |
| 17,196 | 16,784 | 409 | 3 |
| 8 | 5 | 123 | 8 | 786 |
Large corporate clients |
| 30,750 | 27,581 | 3,062 | 107 |
| 36 | 23 | 136 | 35 | 368 |
SME clients |
| 7,301 | 6,603 | 589 | 109 |
| 45 | 23 | 178 | 36 | 649 |
Total corporate lending |
| 38,051 | 34,184 | 3,651 | 216 |
| 37 | 23 | 143 | 35 | 510 |
Lombard |
| 12,931 | 12,927 | 0 | 4 |
| 1 | 0 | 0 | 0 | 0 |
Credit cards |
| 9,162 | 8,725 | 433 | 3 |
| 7 | 5 | 36 | 7 | 0 |
Commodity trade finance |
| 2,615 | 2,615 | 0 | 0 |
| 4 | 4 | 0 | 4 | 0 |
Financial intermediaries and hedge funds |
| 18,527 | 18,010 | 517 | 0 |
| 10 | 7 | 129 | 10 | 0 |
Other off-balance sheet commitments |
| 8,548 | 7,845 | 701 | 2 |
| 11 | 8 | 5 | 8 | 0 |
Total other lending |
| 51,783 | 50,123 | 1,651 | 9 |
| 7 | 5 | 52 | 6 | 0 |
Total2 |
| 107,030 | 101,091 | 5,712 | 228 |
| 18 | 11 | 115 | 17 | 644 |
Total on- and off-balance sheet3 |
| 495,226 | 470,835 | 21,781 | 2,611 |
| 21 | 5 | 106 | 10 | 2,222 |
1 Includes Loans and advances to customers of USD 385,671m and Loans to financial advisors of USD 2,525m, which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross, and off-balance-sheet exposure (notional), and the related ECL coverage ratio (bps). |
Coverage ratios for core loan portfolio |
| 31.12.21 | |||||||||
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| Gross carrying amount (USD m) |
| ECL coverage (bps) | |||||||
On-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 152,610 | 143,533 | 8,333 | 744 |
| 9 | 2 | 85 | 6 | 446 |
Real estate financing |
| 44,004 | 40,483 | 3,512 | 10 |
| 14 | 5 | 114 | 14 | 231 |
Total real estate lending |
| 196,615 | 184,016 | 11,845 | 754 |
| 10 | 3 | 94 | 8 | 443 |
Large corporate clients |
| 14,161 | 12,665 | 1,053 | 443 |
| 120 | 18 | 148 | 28 | 2,997 |
SME clients |
| 14,263 | 12,095 | 1,507 | 661 |
| 182 | 16 | 103 | 25 | 3,402 |
Total corporate lending |
| 28,424 | 24,760 | 2,560 | 1,104 |
| 151 | 17 | 121 | 26 | 3,240 |
Lombard |
| 149,316 | 149,261 | 0 | 55 |
| 2 | 0 | 0 | 0 | 5,026 |
Credit cards |
| 1,752 | 1,355 | 351 | 46 |
| 204 | 72 | 255 | 109 | 3,735 |
Commodity trade finance |
| 3,927 | 3,805 | 7 | 115 |
| 290 | 15 | 3 | 15 | 9,388 |
Other loans and advances to customers |
| 19,510 | 18,425 | 1,010 | 75 |
| 23 | 9 | 15 | 9 | 3,730 |
Loans to financial advisors |
| 2,539 | 2,203 | 109 | 226 |
| 338 | 88 | 303 | 99 | 2,791 |
Total other lending |
| 177,043 | 175,049 | 1,477 | 517 |
| 18 | 3 | 93 | 4 | 4,718 |
Total1 |
| 402,081 | 383,825 | 15,882 | 2,374 |
| 23 | 4 | 98 | 8 | 2,673 |
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| Gross exposure (USD m) |
| ECL coverage (bps) | |||||||
Off-balance sheet |
| Total | Stage 1 | Stage 2 | Stage 3 |
| Total | Stage 1 | Stage 2 | Stage 1&2 | Stage 3 |
Private clients with mortgages |
| 9,123 | 8,798 | 276 | 49 |
| 3 | 3 | 9 | 3 | 15 |
Real estate financing |
| 8,766 | 8,481 | 285 | 0 |
| 9 | 7 | 88 | 9 | 0 |
Total real estate lending |
| 17,889 | 17,278 | 562 | 49 |
| 6 | 5 | 49 | 6 | 15 |
Large corporate clients |
| 32,748 | 28,981 | 3,630 | 136 |
| 34 | 25 | 110 | 35 | 1 |
SME clients |
| 8,077 | 7,276 | 688 | 114 |
| 38 | 19 | 151 | 30 | 585 |
Total corporate lending |
| 40,826 | 36,258 | 4,318 | 250 |
| 35 | 24 | 117 | 34 | 266 |
Lombard |
| 14,438 | 14,438 | 0 | 0 |
| 1 | 0 | 0 | 0 | 0 |
Credit cards |
| 9,466 | 9,000 | 462 | 4 |
| 7 | 5 | 34 | 7 | 0 |
Commodity trade finance |
| 3,262 | 3,262 | 0 | 0 |
| 4 | 4 | 0 | 4 | 0 |
Financial intermediaries and hedge funds |
| 13,747 | 13,379 | 369 | 0 |
| 13 | 10 | 120 | 13 | 0 |
Other off-balance sheet commitments |
| 8,806 | 8,507 | 296 | 4 |
| 15 | 6 | 30 | 7 | 0 |
Total other lending |
| 49,720 | 48,585 | 1,127 | 8 |
| 8 | 5 | 61 | 7 | 0 |
Total2 |
| 108,434 | 102,121 | 6,006 | 307 |
| 18 | 12 | 100 | 17 | 486 |
Total on- and off-balance sheet3 |
| 510,516 | 485,946 | 21,888 | 2,681 |
| 22 | 5 | 99 | 9 | 2,423 |
1 Includes Loans and advances to customers of USD 399,543m and Loans to financial advisors of USD 2,539m, which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross, and off-balance-sheet exposure (notional), and the related ECL coverage ratio (bps). |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 28
The fair value hierarchy classification of financial and non-financial assets and liabilities measured at fair value is summarized in the table below.
During the first nine months of 2022, assets and liabilities that were transferred from Level 2 to Level 1, or from Level 1 to Level 2, and were held for the entire reporting period were not material.
Determination of fair values from quoted market prices or valuation techniques1 |
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USD m |
| Level 1 | Level 2 | Level 3 | Total |
| Level 1 | Level 2 | Level 3 | Total |
| Level 1 | Level 2 | Level 3 | Total |
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Financial assets measured at fair value on a recurring basis |
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Financial assets at fair value held for trading |
| 71,474 | 12,093 | 1,267 | 84,833 |
| 85,292 | 12,515 | 1,923 | 99,730 |
| 113,722 | 15,012 | 2,299 | 131,033 |
of which: Equity instruments |
| 59,135 | 938 | 114 | 60,187 |
| 70,306 | 982 | 85 | 71,373 |
| 97,983 | 1,090 | 149 | 99,222 |
of which: Government bills / bonds |
| 6,580 | 1,235 | 9 | 7,824 |
| 8,633 | 1,409 | 9 | 10,052 |
| 7,135 | 1,351 | 10 | 8,496 |
of which: Investment fund units |
| 5,067 | 1,231 | 68 | 6,365 |
| 5,728 | 1,040 | 18 | 6,786 |
| 7,843 | 1,364 | 21 | 9,229 |
of which: Corporate and municipal bonds |
| 688 | 7,296 | 481 | 8,465 |
| 619 | 7,258 | 673 | 8,550 |
| 708 | 7,791 | 556 | 9,055 |
of which: Loans |
| 0 | 1,073 | 472 | 1,545 |
| 0 | 1,553 | 1,010 | 2,563 |
| 0 | 3,099 | 1,443 | 4,542 |
of which: Asset-backed securities |
| 4 | 320 | 123 | 447 |
| 5 | 274 | 128 | 407 |
| 53 | 317 | 120 | 489 |
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Derivative financial instruments |
| 2,121 | 191,420 | 1,667 | 195,208 |
| 1,185 | 157,586 | 1,753 | 160,524 |
| 522 | 116,482 | 1,140 | 118,145 |
of which: Foreign exchange |
| 1,496 | 114,350 | 2 | 115,848 |
| 527 | 82,845 | 3 | 83,375 |
| 255 | 53,046 | 7 | 53,307 |
of which: Interest rate |
| 0 | 40,826 | 488 | 41,314 |
| 0 | 37,930 | 351 | 38,281 |
| 0 | 32,747 | 494 | 33,241 |
of which: Equity / index |
| 0 | 32,742 | 710 | 33,452 |
| 0 | 33,266 | 680 | 33,946 |
| 0 | 27,861 | 384 | 28,245 |
of which: Credit derivatives |
| 0 | 1,351 | 391 | 1,743 |
| 0 | 1,446 | 640 | 2,087 |
| 0 | 1,179 | 236 | 1,414 |
of which: Commodities |
| 0 | 1,975 | 73 | 2,048 |
| 0 | 1,936 | 76 | 2,013 |
| 0 | 1,590 | 16 | 1,606 |
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Brokerage receivables |
| 0 | 22,510 | 0 | 22,510 |
| 0 | 19,289 | 0 | 19,289 |
| 0 | 21,839 | 0 | 21,839 |
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Financial assets at fair value not held for trading |
| 17,385 | 32,151 | 3,881 | 53,418 |
| 20,844 | 32,226 | 4,171 | 57,240 |
| 27,278 | 28,185 | 4,180 | 59,642 |
of which: Financial assets for unit-linked investment contracts |
| 12,166 | 0 | 7 | 12,173 |
| 14,341 | 0 | 8 | 14,348 |
| 21,110 | 187 | 6 | 21,303 |
of which: Corporate and municipal bonds |
| 65 | 12,715 | 221 | 13,000 |
| 131 | 14,361 | 249 | 14,741 |
| 123 | 13,937 | 306 | 14,366 |
of which: Government bills / bonds |
| 4,811 | 6,266 | 0 | 11,077 |
| 5,954 | 4,607 | 0 | 10,561 |
| 5,624 | 3,236 | 0 | 8,860 |
of which: Loans |
| 0 | 3,338 | 654 | 3,992 |
| 0 | 3,301 | 976 | 4,277 |
| 0 | 4,982 | 892 | 5,874 |
of which: Securities financing transactions |
| 0 | 9,686 | 114 | 9,799 |
| 0 | 9,881 | 108 | 9,989 |
| 0 | 5,704 | 100 | 5,804 |
of which: Auction rate securities |
| 0 | 0 | 1,651 | 1,651 |
| 0 | 0 | 1,644 | 1,644 |
| 0 | 0 | 1,585 | 1,585 |
of which: Investment fund units |
| 272 | 146 | 117 | 535 |
| 317 | 74 | 112 | 504 |
| 338 | 137 | 117 | 591 |
of which: Equity instruments |
| 72 | 0 | 751 | 823 |
| 101 | 0 | 721 | 822 |
| 83 | 2 | 681 | 765 |
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Financial assets measured at fair value through other comprehensive income on a recurring basis |
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Financial assets measured at fair value through other comprehensive income |
| 55 | 2,188 | 0 | 2,243 |
| 55 | 2,196 | 0 | 2,251 |
| 2,704 | 6,140 | 0 | 8,844 |
of which: Asset-backed securities2 |
| 0 | 0 | 0 | 0 |
| 0 | 0 | 0 | 0 |
| 0 | 4,849 | 0 | 4,849 |
of which: Government bills / bonds2 |
| 0 | 25 | 0 | 25 |
| 0 | 18 | 0 | 18 |
| 2,658 | 27 | 0 | 2,686 |
of which: Corporate and municipal bonds |
| 55 | 2,162 | 0 | 2,217 |
| 55 | 2,178 | 0 | 2,233 |
| 45 | 1,265 | 0 | 1,310 |
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Non-financial assets measured at fair value on a recurring basis |
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Precious metals and other physical commodities |
| 4,133 | 0 | 0 | 4,133 |
| 4,377 | 0 | 0 | 4,377 |
| 5,258 | 0 | 0 | 5,258 |
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Non-financial assets measured at fair value on a non-recurring basis |
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Other non-financial assets3 |
| 0 | 0 | 14 | 14 |
| 0 | 0 | 22 | 22 |
| 0 | 0 | 26 | 26 |
Total assets measured at fair value |
| 95,168 | 260,361 | 6,830 | 362,359 |
| 111,753 | 223,812 | 7,868 | 343,434 |
| 149,484 | 187,658 | 7,645 | 344,787 |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 29
Note 10 Fair value measurement (continued)
Determination of fair values from quoted market prices or valuation techniques (continued)1 |
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| 30.9.22 |
| 30.6.22 |
| 31.12.21 | |||||||||
USD m |
| Level 1 | Level 2 | Level 3 | Total |
| Level 1 | Level 2 | Level 3 | Total |
| Level 1 | Level 2 | Level 3 | Total |
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Financial liabilities measured at fair value on a recurring basis |
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Financial liabilities at fair value held for trading |
| 25,449 | 5,199 | 93 | 30,741 |
| 24,393 | 5,932 | 125 | 30,450 |
| 25,413 | 6,170 | 105 | 31,688 |
of which: Equity instruments |
| 16,695 | 366 | 69 | 17,130 |
| 16,323 | 440 | 89 | 16,852 |
| 18,328 | 513 | 83 | 18,924 |
of which: Corporate and municipal bonds |
| 33 | 4,008 | 22 | 4,062 |
| 39 | 4,159 | 33 | 4,231 |
| 30 | 4,219 | 17 | 4,266 |
of which: Government bills / bonds |
| 7,358 | 714 | 0 | 8,073 |
| 6,979 | 1,049 | 0 | 8,028 |
| 5,883 | 826 | 0 | 6,709 |
of which: Investment fund units |
| 1,363 | 85 | 1 | 1,449 |
| 1,051 | 261 | 2 | 1,314 |
| 1,172 | 555 | 6 | 1,733 |
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Derivative financial instruments |
| 2,311 | 188,331 | 1,658 | 192,300 |
| 1,294 | 153,887 | 1,711 | 156,892 |
| 509 | 118,558 | 2,242 | 121,309 |
of which: Foreign exchange |
| 1,615 | 112,931 | 25 | 114,571 |
| 486 | 81,985 | 26 | 82,497 |
| 258 | 53,800 | 21 | 54,078 |
of which: Interest rate |
| 0 | 38,698 | 108 | 38,806 |
| 0 | 34,585 | 96 | 34,681 |
| 0 | 28,398 | 278 | 28,675 |
of which: Equity / index |
| 0 | 33,078 | 1,150 | 34,228 |
| 0 | 33,561 | 1,076 | 34,638 |
| 0 | 33,438 | 1,511 | 34,949 |
of which: Credit derivatives |
| 0 | 1,260 | 285 | 1,544 |
| 0 | 1,448 | 373 | 1,820 |
| 0 | 1,412 | 341 | 1,753 |
of which: Commodities |
| 0 | 2,186 | 57 | 2,243 |
| 0 | 2,107 | 76 | 2,183 |
| 0 | 1,503 | 63 | 1,566 |
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Financial liabilities designated at fair value on a recurring basis |
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Brokerage payables designated at fair value |
| 0 | 48,093 | 0 | 48,093 |
| 0 | 49,798 | 0 | 49,798 |
| 0 | 44,045 | 0 | 44,045 |
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Debt issued designated at fair value |
| 0 | 59,051 | 8,645 | 67,696 |
| 0 | 59,973 | 10,484 | 70,457 |
| 0 | 59,606 | 11,854 | 71,460 |
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Other financial liabilities designated at fair value |
| 0 | 25,200 | 1,916 | 27,116 |
| 0 | 27,980 | 2,393 | 30,373 |
| 0 | 29,258 | 3,156 | 32,414 |
of which: Financial liabilities related to unit-linked investment contracts |
| 0 | 12,321 | 0 | 12,321 |
| 0 | 14,503 | 0 | 14,503 |
| 0 | 21,466 | 0 | 21,466 |
of which: Securities financing transactions |
| 0 | 11,376 | 0 | 11,376 |
| 0 | 12,024 | 2 | 12,026 |
| 0 | 6,375 | 2 | 6,377 |
of which: Over-the-counter debt instruments |
| 0 | 1,041 | 699 | 1,740 |
| 0 | 1,157 | 879 | 2,036 |
| 0 | 1,334 | 794 | 2,128 |
Total liabilities measured at fair value |
| 27,760 | 325,875 | 12,311 | 365,946 |
| 25,687 | 297,570 | 14,713 | 337,970 |
| 25,922 | 257,637 | 17,357 | 300,916 |
1 Bifurcated embedded derivatives are presented on the same balance sheet lines as their host contracts and are not included in this table. The fair value of these derivatives was not material for any of the periods presented. 2 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information. 3 Other non-financial assets primarily consist of properties and other non-current assets held for sale, which are measured at the lower of their net carrying amount or fair value less costs to sell. |
The table below summarizes the changes in deferred day-1 profit or loss reserves during the relevant period.
Deferred day-1 profit or loss is generally released into Other net income from financial instruments measured at fair value through profit or loss when the pricing of equivalent products or the underlying parameters become observable or when the transaction is closed out.
Deferred day-1 profit or loss reserves |
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| For the quarter ended |
| Year-to-date | |||
USD m |
| 30.9.22 | 30.6.22 | 30.9.21 |
| 30.9.22 | 30.9.21 |
Reserve balance at the beginning of the period |
| 451 | 425 | 405 |
| 418 | 269 |
Profit / (loss) deferred on new transactions |
| 84 | 86 | 102 |
| 245 | 380 |
(Profit) / loss recognized in the income statement |
| (108) | (58) | (78) |
| (235) | (220) |
Foreign currency translation |
| (1) | (1) | (1) |
| (2) | (1) |
Reserve balance at the end of the period |
| 426 | 451 | 429 |
| 426 | 429 |
The table below summarizes other valuation adjustment reserves recognized on the balance sheet.
Other valuation adjustment reserves on the balance sheet |
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| As of | ||
Life-to-date gain / (loss), USD m |
| 30.9.22 | 30.6.22 | 31.12.21 |
Own credit adjustments on financial liabilities designated at fair value |
| 848 | 406 | (315) |
of which: debt issued designated at fair value |
| 449 | 251 | (144) |
of which: other financial liabilities designated at fair value |
| 398 | 154 | (172) |
Credit valuation adjustments1 |
| (40) | (36) | (44) |
Funding valuation adjustments |
| (50) | (8) | (49) |
Debit valuation adjustments |
| 6 | 5 | 2 |
Other valuation adjustments |
| (824) | (869) | (913) |
of which: liquidity |
| (293) | (326) | (341) |
of which: model uncertainty |
| (531) | (543) | (571) |
1 Amount does not include reserves against defaulted counterparties. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 30
Note 10 Fair value measurement (continued)
The table below presents material Level 3 assets and liabilities, together with the valuation techniques used to measure fair value, as well as the inputs used in a given valuation technique that are considered significant as of 30 September 2022 and unobservable, and a range of values for those unobservable inputs.
The range of values represents the highest- and lowest-level inputs used in the valuation techniques. Therefore the range does not reflect the level of uncertainty regarding a particular input or an assessment of the reasonableness of UBS AG’s estimates and assumptions, but rather the different underlying characteristics of the relevant assets and liabilities held by UBS AG.
The significant unobservable inputs disclosed in the table below are consistent with those included in “Note 21 Fair value measurement” in the “Consolidated financial statements” section of the Annual Report 2021.
Valuation techniques and inputs used in the fair value measurement of Level 3 assets and liabilities | |||||||||||||||||
| Fair value |
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| Significant unobservable input(s)1 | Range of inputs | |||||||||||
| Assets |
| Liabilities |
| Valuation technique(s) |
| 30.9.22 |
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USD bn | 30.9.22 | 31.12.21 |
| 30.9.22 | 31.12.21 |
|
| low | high | weighted average2 |
| low | high | weighted average2 | unit1 | ||
Financial assets and liabilities at fair value held for trading and Financial assets at fair value not held for trading | |||||||||||||||||
Corporate and municipal bonds | 0.7 | 0.9 |
| 0.0 | 0.0 |
| Relative value to market comparable |
| Bond price equivalent | 9 | 107 | 84 |
| 16 | 143 | 98 | points |
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| Discounted expected cash flows |
| Discount margin | 447 | 447 |
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| 434 | 434 |
| basis points |
Traded loans, loans measured at fair value, loan commitments and guarantees | 1.5 | 2.8 |
| 0.0 | 0.0 |
| Relative value to market comparable |
| Loan price equivalent | 20 | 100 | 97 |
| 0 | 101 | 99 | points |
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| Discounted expected cash flows |
| Credit spread | 200 | 350 | 287 |
| 175 | 800 | 436 | basis points |
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| Market comparable and securitization model |
| Credit spread | 125 | 1,343 | 301 |
| 28 | 1,544 | 241 | basis points |
Auction rate securities | 1.7 | 1.6 |
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| Discounted expected cash flows |
| Credit spread | 115 | 192 | 152 |
| 115 | 197 | 153 | basis points |
Investment fund units3 | 0.2 | 0.1 |
| 0.0 | 0.0 |
| Relative value to market comparable |
| Net asset value |
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Equity instruments3 | 0.9 | 0.8 |
| 0.1 | 0.1 |
| Relative value to market comparable |
| Price |
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Debt issued designated at fair value4 |
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| 8.6 | 11.9 |
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Other financial liabilities designated at fair value |
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| 1.9 | 3.2 |
| Discounted expected cash flows |
| Funding spread | 25 | 175 |
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| 24 | 175 |
| basis points |
Derivative financial instruments | |||||||||||||||||
Interest rate | 0.5 | 0.5 |
| 0.1 | 0.3 |
| Option model |
| Volatility of interest rates | 74 | 153 |
|
| 65 | 81 |
| basis points |
Credit derivatives | 0.4 | 0.2 |
| 0.3 | 0.3 |
| Discounted expected cash flows |
| Credit spreads | 10 | 410 |
|
| 1 | 583 |
| basis points |
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| Bond price equivalent | 3 | 232 |
|
| 2 | 136 |
| points |
Equity / index | 0.7 | 0.4 |
| 1.2 | 1.5 |
| Option model |
| Equity dividend yields | 0 | 20 |
|
| 0 | 11 |
| % |
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| Volatility of equity stocks, equity and other indices | 2 | 118 |
|
| 4 | 98 |
| % |
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| Equity-to-FX correlation | (29) | 84 |
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| (29) | 76 |
| % |
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| Equity-to-equity correlation | (25) | 100 |
|
| (25) | 100 |
| % |
1 The ranges of significant unobservable inputs are represented in points, percentages and basis points. Points are a percentage of par (e.g., 100 points would be 100% of par). 2 Weighted averages are provided for most non-derivative financial instruments and were calculated by weighting inputs based on the fair values of the respective instruments. Weighted averages are not provided for inputs related to Other financial liabilities designated at fair value and Derivative financial instruments, as this would not be meaningful. 3 The range of inputs is not disclosed, as there is a dispersion of values given the diverse nature of the investments. 4 Debt issued designated at fair value primarily consists of structured notes, which include variable maturity notes with various equity and foreign exchange underlying risks, rates-linked and credit-linked notes, all of which have embedded derivative parameters that are considered to be unobservable. The equivalent derivative instrument parameters are presented in the respective derivative financial instruments lines in this table. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 31
Note 10 Fair value measurement (continued)
The table below summarizes those financial assets and liabilities classified as Level 3 for which a change in one or more of the unobservable inputs to reflect reasonably possible alternative assumptions would change fair value significantly, and the estimated effect thereof.
The sensitivity data shown below presents an estimation of valuation uncertainty based on reasonably possible alternative values for Level 3 inputs at the balance sheet date and does not represent the estimated effect of stress scenarios. Typically, these financial assets and liabilities are sensitive to a combination of inputs from Levels 1–3. Although well-defined interdependencies may exist between Level 1 / 2 parameters and Level 3 parameters (e.g., between interest rates, which are generally Level 1 or Level 2, and prepayments, which are generally Level 3), these have not been incorporated in the table. Furthermore, direct interrelationships between the Level 3 parameters are not a significant element of the valuation uncertainty.
Sensitivity of fair value measurements to changes in unobservable input assumptions1 |
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USD m |
| Favorable changes | Unfavorable changes |
| Favorable changes | Unfavorable changes |
| Favorable changes | Unfavorable changes |
Traded loans, loans measured at fair value, loan commitments and guarantees |
| 22 | (19) |
| 25 | (32) |
| 19 | (13) |
Securities financing transactions |
| 41 | (43) |
| 53 | (55) |
| 41 | (53) |
Auction rate securities |
| 552 | (55)2 |
| 79 | (79) |
| 66 | (66) |
Asset-backed securities |
| 31 | (24) |
| 25 | (19) |
| 20 | (20) |
Equity instruments |
| 181 | (161) |
| 177 | (152) |
| 173 | (146) |
Interest rate derivatives, net |
| 162 | (23)2 |
| 41 | (54) |
| 29 | (19) |
Credit derivatives, net |
| 3 | (5) |
| 7 | (6) |
| 5 | (8) |
Foreign exchange derivatives, net |
| 10 | (5) |
| 11 | (7) |
| 19 | (11) |
Equity / index derivatives, net |
| 326 | (314) |
| 382 | (374) |
| 368 | (335) |
Other |
| 362 | (80)2 |
| 63 | (90) |
| 50 | (73) |
Total |
| 721 | (728) |
| 861 | (868) |
| 790 | (744) |
1 Sensitivity of issued and over-the-counter debt instruments is reported with the equivalent derivative or securities financing instrument. 2 Includes refinements applied in estimating valuation uncertainty across various parameters. |
The table on the following page presents additional information about material Level 3 assets and liabilities measured at fair value on a recurring basis. Level 3 assets and liabilities may be hedged with instruments classified as Level 1 or Level 2 in the fair value hierarchy and, as a result, realized and unrealized gains and losses included in the table may not include the effect of related hedging activity. Furthermore, the realized and unrealized gains and losses presented in the table are not limited solely to those arising from Level 3 inputs, as valuations are generally derived from both observable and unobservable parameters.
Assets and liabilities transferred into or out of Level 3 are presented as if those assets or liabilities had been transferred at the beginning of the year.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 32
Note 10 Fair value measurement (continued)
Movements of Level 3 instruments |
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USD bn | Balance at the beginning of the period |
| Net gains / losses included in compre- hensive income1 | of which: related to instruments held at the end of the period |
| Purchases | Sales | Issuances | Settlements | Transfers into Level 3 | Transfers out of Level 3 | Foreign currency translation | Balance at the end of the period |
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For the nine months ended 30 September 20222 |
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Financial assets at fair value held for trading | 2.3 |
| (0.2) | (0.2) |
| 0.3 | (1.4) | 0.3 | 0.0 | 0.3 | (0.3) | (0.0) | 1.3 |
of which: Investment fund units | 0.0 |
| 0.0 | 0.0 |
| 0.0 | (0.0) | 0.0 | 0.0 | 0.1 | (0.0) | (0.0) | 0.1 |
of which: Corporate and municipal bonds | 0.6 |
| (0.0) | (0.0) |
| 0.2 | (0.2) | 0.0 | 0.0 | 0.0 | (0.0) | (0.0) | 0.5 |
of which: Loans | 1.4 |
| (0.1) | (0.1) |
| 0.0 | (1.1) | 0.3 | 0.0 | 0.0 | (0.2) | (0.0) | 0.5 |
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Derivative financial instruments – assets | 1.1 |
| 0.8 | 0.5 |
| 0.0 | 0.0 | 0.6 | (0.7) | 0.1 | (0.1) | (0.1) | 1.7 |
of which: Interest rate | 0.5 |
| 0.2 | 0.2 |
| 0.0 | 0.0 | 0.0 | (0.1) | 0.1 | (0.1) | (0.1) | 0.5 |
of which: Equity / index | 0.4 |
| 0.4 | 0.3 |
| 0.0 | 0.0 | 0.2 | (0.3) | 0.0 | (0.0) | (0.0) | 0.7 |
of which: Credit derivatives | 0.2 |
| 0.1 | (0.1) |
| 0.0 | 0.0 | 0.2 | (0.2) | 0.0 | 0.0 | 0.0 | 0.4 |
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Financial assets at fair value not held for trading | 4.2 |
| 0.1 | 0.1 |
| 0.6 | (0.8) | 0.1 | (0.0) | 0.1 | (0.3) | (0.1) | 3.9 |
of which: Loans | 0.9 |
| (0.0) | (0.1) |
| 0.4 | (0.4) | 0.1 | 0.0 | 0.0 | (0.3) | (0.0) | 0.7 |
of which: Auction rate securities | 1.6 |
| 0.1 | 0.1 |
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.7 |
of which: Equity instruments | 0.7 |
| 0.0 | 0.0 |
| 0.1 | (0.1) | 0.0 | 0.0 | 0.1 | 0.0 | (0.0) | 0.8 |
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Derivative financial instruments – liabilities | 2.2 |
| (0.8) | (0.6) |
| 0.0 | 0.0 | 1.3 | (0.8) | 0.1 | (0.2) | (0.2) | 1.7 |
of which: Interest rate | 0.3 |
| (0.2) | (0.1) |
| 0.0 | 0.0 | 0.1 | (0.0) | 0.0 | 0.0 | (0.1) | 0.1 |
of which: Equity / index | 1.5 |
| (0.5) | (0.5) |
| 0.0 | 0.0 | 1.0 | (0.7) | 0.0 | (0.2) | (0.1) | 1.2 |
of which: Credit derivatives | 0.3 |
| (0.1) | (0.1) |
| 0.0 | 0.0 | 0.1 | (0.0) | 0.1 | (0.0) | (0.0) | 0.3 |
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Debt issued designated at fair value | 11.9 |
| (1.7) | (1.4) |
| 0.0 | 0.0 | 4.4 | (3.0) | 0.5 | (2.8) | (0.5) | 8.6 |
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Other financial liabilities designated at fair value | 3.2 |
| (1.0) | (1.0) |
| 0.0 | 0.0 | 0.2 | (0.3) | 0.1 | (0.2) | (0.1) | 1.9 |
For the nine months ended 30 September 2021 |
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Financial assets at fair value held for trading | 2.3 |
| 0.0 | (0.0) |
| 0.3 | (1.0) | 0.2 | 0.0 | 0.2 | (0.2) | (0.0) | 1.8 |
of which: Investment fund units | 0.0 |
| (0.0) | (0.0) |
| 0.0 | (0.0) | 0.0 | 0.0 | 0.0 | (0.0) | (0.0) | 0.0 |
of which: Corporate and municipal bonds | 0.8 |
| 0.0 | 0.0 |
| 0.2 | (0.2) | 0.0 | 0.0 | 0.0 | (0.1) | (0.0) | 0.8 |
of which: Loans | 1.1 |
| 0.0 | 0.0 |
| 0.0 | (0.6) | 0.2 | 0.0 | 0.0 | (0.2) | 0.0 | 0.7 |
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Derivative financial instruments – assets | 1.8 |
| (0.2) | (0.2) |
| 0.0 | 0.0 | 0.5 | (0.5) | 0.1 | (0.1) | (0.0) | 1.4 |
of which: Interest rate | 0.5 |
| (0.1) | (0.1) |
| 0.0 | 0.0 | 0.0 | (0.1) | 0.0 | (0.0) | (0.0) | 0.3 |
of which: Equity / index | 0.9 |
| 0.0 | 0.0 |
| 0.0 | 0.0 | 0.3 | (0.4) | 0.0 | (0.1) | (0.0) | 0.7 |
of which: Credit derivatives | 0.3 |
| (0.1) | (0.1) |
| 0.0 | 0.0 | 0.1 | (0.0) | 0.1 | (0.0) | 0.0 | 0.3 |
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Financial assets at fair value not held for trading | 3.9 |
| 0.1 | 0.1 |
| 0.8 | (0.4) | 0.0 | 0.0 | 0.1 | (0.3) | (0.0) | 4.3 |
of which: Loans | 0.9 |
| 0.0 | 0.0 |
| 0.4 | (0.2) | 0.0 | 0.0 | 0.0 | (0.3) | (0.0) | 0.9 |
of which: Auction rate securities | 1.5 |
| 0.0 | 0.0 |
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.6 |
of which: Equity instruments | 0.5 |
| 0.1 | 0.1 |
| 0.1 | (0.1) | 0.0 | 0.0 | 0.0 | (0.0) | (0.0) | 0.6 |
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Derivative financial instruments – liabilities | 3.5 |
| 0.2 | (0.0) |
| 0.0 | 0.0 | 0.8 | (1.6) | 0.0 | (0.3) | (0.0) | 2.5 |
of which: Interest rate | 0.5 |
| (0.0) | (0.0) |
| 0.0 | 0.0 | 0.1 | (0.1) | 0.0 | (0.0) | (0.0) | 0.5 |
of which: Equity / index | 2.3 |
| 0.4 | 0.1 |
| 0.0 | 0.0 | 0.6 | (1.4) | 0.0 | (0.2) | (0.0) | 1.6 |
of which: Credit derivatives | 0.5 |
| (0.2) | (0.2) |
| 0.0 | 0.0 | 0.1 | (0.0) | 0.0 | (0.1) | (0.0) | 0.3 |
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Debt issued designated at fair value | 9.6 |
| 0.2 | 0.2 |
| 0.0 | 0.0 | 7.7 | (3.4) | 0.2 | (0.9) | (0.2) | 13.2 |
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Other financial liabilities designated at fair value | 2.1 |
| (0.0) | (0.0) |
| 0.0 | 0.0 | 1.2 | (0.3) | 0.0 | (0.0) | (0.0) | 3.0 |
1 Net gains / losses included in comprehensive income are recognized in Net interest income and Other net income from financial instruments measured at fair value through profit or loss in the Income statement, and also in Gains / (losses) from own credit on financial liabilities designated at fair value, before tax in the Statement of comprehensive income. 2 Total Level 3 assets as of 30 September 2022 were USD 6.8bn (31 December 2021: USD 7.6bn). Total Level 3 liabilities as of 30 September 2022 were USD 12.3bn (31 December 2021: USD 17.4bn). |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 33
Note 10 Fair value measurement (continued)
The table below reflects the estimated fair values of financial instruments not measured at fair value. Valuation principles applied when determining fair value estimates for financial instruments not measured at fair value are consistent with those described in “Note 21 Fair value measurement” in the “Consolidated financial statements” section of the Annual Report 2021.
Financial instruments not measured at fair value |
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| 30.6.22 |
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USD bn |
| Carrying amount | Fair value |
| Carrying amount | Fair value |
| Carrying amount | Fair value |
Assets |
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Cash and balances at central banks |
| 166.4 | 166.4 |
| 190.4 | 190.4 |
| 192.8 | 192.8 |
Loans and advances to banks |
| 14.4 | 14.4 |
| 16.4 | 16.4 |
| 15.4 | 15.3 |
Receivables from securities financing transactions |
| 66.9 | 66.9 |
| 63.3 | 63.3 |
| 75.0 | 75.0 |
Cash collateral receivables on derivative instruments |
| 48.2 | 48.2 |
| 43.8 | 43.8 |
| 30.5 | 30.5 |
Loans and advances to customers |
| 374.7 | 363.0 |
| 384.9 | 374.6 |
| 398.7 | 397.9 |
Other financial assets measured at amortized cost1 |
| 47.0 | 44.6 |
| 37.6 | 36.1 |
| 26.2 | 26.5 |
Liabilities |
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Amounts due to banks |
| 13.9 | 13.9 |
| 15.2 | 15.2 |
| 13.1 | 13.1 |
Payables from securities financing transactions |
| 4.5 | 4.5 |
| 6.0 | 6.0 |
| 5.5 | 5.5 |
Cash collateral payables on derivative instruments |
| 44.3 | 44.3 |
| 40.5 | 40.5 |
| 31.8 | 31.8 |
Customer deposits |
| 498.2 | 497.9 |
| 514.3 | 514.3 |
| 544.8 | 544.8 |
Funding from UBS Group AG measured at amortized cost |
| 55.7 | 54.4 |
| 57.1 | 56.2 |
| 57.3 | 58.8 |
Debt issued measured at amortized cost |
| 55.4 | 54.8 |
| 65.8 | 65.1 |
| 82.4 | 82.8 |
Other financial liabilities measured at amortized cost2 |
| 7.0 | 7.0 |
| 7.4 | 7.4 |
| 6.3 | 6.3 |
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information. 2 Excludes lease liabilities. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 34
As of 30.9.22, USD bn |
| Derivative financial assets | Notional values related to derivative financial assets1 | Derivative financial liabilities | Notional values related to derivative financial liabilities1 | Other notional values2 |
Derivative financial instruments |
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Interest rate |
| 41.3 | 975 | 38.8 | 970 | 10,300 |
Credit derivatives |
| 1.7 | 48 | 1.5 | 48 | 0 |
Foreign exchange |
| 115.8 | 3,299 | 114.6 | 3,108 | 45 |
Equity / index |
| 33.5 | 367 | 34.2 | 418 | 68 |
Commodities |
| 2.0 | 73 | 2.2 | 65 | 17 |
Loan commitments measured at FVTPL |
| 0.0 | 1 | 0.1 | 5 |
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Unsettled purchases of non-derivative financial instruments3 |
| 0.4 | 28 | 0.5 | 22 |
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Unsettled sales of non-derivative financial instruments3 |
| 0.4 | 28 | 0.4 | 18 |
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Total derivative financial instruments, based on IFRS netting4 |
| 195.2 | 4,819 | 192.3 | 4,655 | 10,430 |
Further netting potential not recognized on the balance sheet5 |
| (177.7) |
| (176.1) |
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of which: netting of recognized financial liabilities / assets |
| (142.8) |
| (142.8) |
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of which: netting with collateral received / pledged |
| (35.0) |
| (33.3) |
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Total derivative financial instruments, after consideration of further netting potential |
| 17.5 |
| 16.2 |
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As of 30.6.22, USD bn |
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Derivative financial instruments |
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Interest rate |
| 38.3 | 1,083 | 34.7 | 1,051 | 9,799 |
Credit derivatives |
| 2.1 | 48 | 1.8 | 47 | 0 |
Foreign exchange |
| 83.4 | 3,252 | 82.5 | 3,092 | 33 |
Equity / index |
| 33.9 | 388 | 34.6 | 457 | 69 |
Commodities |
| 2.0 | 78 | 2.2 | 70 | 16 |
Loan commitments measured at FVTPL |
| 0.0 | 1 | 0.0 | 7 |
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Unsettled purchases of non-derivative financial instruments3 |
| 0.3 | 29 | 0.5 | 22 |
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Unsettled sales of non-derivative financial instruments3 |
| 0.5 | 30 | 0.5 | 24 |
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Total derivative financial instruments, based on IFRS netting4 |
| 160.5 | 4,910 | 156.9 | 4,771 | 9,916 |
Further netting potential not recognized on the balance sheet5 |
| (146.5) |
| (141.0) |
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of which: netting of recognized financial liabilities / assets |
| (116.0) |
| (116.0) |
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of which: netting with collateral received / pledged |
| (30.5) |
| (24.9) |
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Total derivative financial instruments, after consideration of further netting potential |
| 14.0 |
| 15.9 |
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As of 31.12.21, USD bn |
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Derivative financial instruments |
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Interest rate |
| 33.2 | 991 | 28.7 | 943 | 8,675 |
Credit derivatives |
| 1.4 | 45 | 1.8 | 46 | 0 |
Foreign exchange |
| 53.3 | 3,031 | 54.1 | 2,939 | 1 |
Equity / index |
| 28.2 | 457 | 34.9 | 604 | 80 |
Commodities |
| 1.6 | 58 | 1.6 | 56 | 15 |
Loan commitments measured at FVTPL |
| 0.0 | 1 | 0.0 | 8 |
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Unsettled purchases of non-derivative financial instruments3 |
| 0.1 | 13 | 0.2 | 11 |
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Unsettled sales of non-derivative financial instruments3 |
| 0.2 | 18 | 0.1 | 9 |
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Total derivative financial instruments, based on IFRS netting4 |
| 118.1 | 4,614 | 121.3 | 4,617 | 8,771 |
Further netting potential not recognized on the balance sheet5 |
| (107.4) |
| (107.0) |
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of which: netting of recognized financial liabilities / assets |
| (88.9) |
| (88.9) |
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of which: netting with collateral received / pledged |
| (18.5) |
| (18.1) |
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Total derivative financial instruments, after consideration of further netting potential |
| 10.7 |
| 14.3 |
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1 In cases where derivative financial instruments are presented on a net basis on the balance sheet, the respective notional values of the netted derivative financial instruments are still presented on a gross basis. Notional amounts of client-cleared ETD and OTC transactions through central clearing counterparties are not disclosed, as they have a significantly different risk profile. 2 Other notional values relate to derivatives that are cleared through either a central counterparty or an exchange. The fair value of these derivatives is presented on the balance sheet net of the corresponding cash margin under Cash collateral receivables on derivative instruments and Cash collateral payables on derivative instruments and was not material for any of the periods presented. 3 Changes in the fair value of purchased and sold non-derivative financial instruments between trade date and settlement date are recognized as derivative financial instruments. 4 Financial assets and liabilities are presented net on the balance sheet if UBS AG has the unconditional and legally enforceable right to offset the recognized amounts, both in the normal course of business and in the event of default, bankruptcy or insolvency of UBS AG or its counterparties, and intends either to settle on a net basis or to realize the asset and settle the liability simultaneously. 5 Reflects the netting potential in accordance with enforceable master netting and similar arrangements where not all criteria for a net presentation on the balance sheet have been met. Refer to “Note 22 Offsetting financial assets and financial liabilities” in the “Consolidated financial statements” section of the Annual Report 2021 for more information. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 35
Note 11 Derivative instruments (continued)
USD bn |
| Receivables 30.9.22 | Payables 30.9.22 |
| Receivables 30.6.22 | Payables 30.6.22 |
| Receivables 31.12.21 | Payables 31.12.21 |
Cash collateral on derivative instruments, based on IFRS netting1 |
| 48.2 | 44.3 |
| 43.8 | 40.5 |
| 30.5 | 31.8 |
Further netting potential not recognized on the balance sheet2 |
| (30.2) | (25.6) |
| (23.2) | (22.6) |
| (18.4) | (16.4) |
of which: netting of recognized financial liabilities / assets |
| (28.2) | (23.6) |
| (20.4) | (19.9) |
| (15.2) | (13.1) |
of which: netting with collateral received / pledged |
| (2.1) | (2.1) |
| (2.8) | (2.8) |
| (3.3) | (3.3) |
Cash collateral on derivative instruments, after consideration of further netting potential |
| 18.0 | 18.7 |
| 20.6 | 17.9 |
| 12.1 | 15.4 |
1 Financial assets and liabilities are presented net on the balance sheet if UBS AG has the unconditional and legally enforceable right to offset the recognized amounts, both in the normal course of business and in the event of default, bankruptcy or insolvency of UBS AG or its counterparties, and intends either to settle on a net basis or to realize the asset and settle the liability simultaneously. 2 Reflects the netting potential in accordance with enforceable master netting and similar arrangements where not all criteria for a net presentation on the balance sheet have been met. Refer to “Note 22 Offsetting financial assets and financial liabilities” in the “Consolidated financial statements” section of the Annual Report 2021 for more information. |
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Debt securities1 | 39,259 | 29,812 | 18,858 |
Loans to financial advisors | 2,505 | 2,447 | 2,453 |
Fee- and commission-related receivables | 1,867 | 1,965 | 1,966 |
Finance lease receivables | 1,270 | 1,283 | 1,356 |
Settlement and clearing accounts | 611 | 500 | 455 |
Accrued interest income | 854 | 681 | 521 |
Other | 680 | 863 | 627 |
Total other financial assets measured at amortized cost | 47,045 | 37,551 | 26,236 |
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information. |
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Precious metals and other physical commodities | 4,133 | 4,377 | 5,258 |
Deposits and collateral provided in connection with litigation, regulatory and similar matters1 | 2,018 | 2,150 | 1,526 |
Prepaid expenses | 785 | 731 | 717 |
VAT and other tax receivables | 445 | 410 | 591 |
Properties and other non-current assets held for sale | 239 | 257 | 32 |
Assets of disposal groups held for sale2 |
| 823 | 1,093 |
Other | 899 | 819 | 618 |
Total other non-financial assets | 8,519 | 9,567 | 9,836 |
1 Refer to Note 16 for more information. 2 In the third quarter of 2022, UBS AG completed the sale of its domestic wealth management business in Spain and the sale of UBS Swiss Financial Advisers AG. |
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Other accrued expenses | 1,561 | 1,500 | 1,642 |
Accrued interest expenses | 1,186 | 1,238 | 1,134 |
Settlement and clearing accounts | 1,528 | 1,866 | 1,282 |
Lease liabilities | 3,014 | 3,140 | 3,438 |
Other | 2,701 | 2,773 | 2,269 |
Total other financial liabilities measured at amortized cost | 9,990 | 10,516 | 9,765 |
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Financial liabilities related to unit-linked investment contracts | 12,321 | 14,503 | 21,466 |
Securities financing transactions | 11,376 | 12,026 | 6,377 |
Over-the-counter debt instruments | 1,740 | 2,036 | 2,128 |
Funding from UBS Group AG | 1,679 | 1,807 | 2,340 |
Other |
|
| 103 |
Total other financial liabilities designated at fair value | 27,116 | 30,373 | 32,414 |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 36
Note 12 Other assets and liabilities (continued)
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Compensation-related liabilities | 3,844 | 3,338 | 4,795 |
of which: net defined benefit liability | 412 | 462 | 617 |
Deferred tax liabilities | 293 | 201 | 297 |
Current tax liabilities | 898 | 935 | 1,365 |
VAT and other tax payables | 444 | 490 | 524 |
Deferred income | 248 | 233 | 225 |
Liabilities of disposal groups held for sale1 |
| 1,351 | 1,298 |
Other | 29 | 70 | 68 |
Total other non-financial liabilities | 5,757 | 6,618 | 8,572 |
1 In the third quarter of 2022, UBS AG completed the sale of its domestic wealth management business in Spain and the sale of UBS Swiss Financial Advisers AG. |
USD m | 30.9.22 | 30.6.22 | 31.12.21 |
Equity-linked1 | 37,785 | 39,629 | 47,059 |
Rates-linked | 16,559 | 16,916 | 16,369 |
Credit-linked | 2,330 | 2,147 | 1,723 |
Fixed-rate | 5,887 | 5,411 | 2,868 |
Commodity-linked | 4,350 | 4,640 | 2,911 |
Other | 784 | 1,715 | 529 |
Total debt issued designated at fair value | 67,696 | 70,457 | 71,460 |
1 Includes investment fund unit-linked instruments issued. |
USD m |
| 30.9.22 | 30.6.22 | 31.12.21 |
Short-term debt1 |
| 24,849 | 31,525 | 43,098 |
Senior unsecured debt other than TLAC |
| 19,050 | 20,109 | 23,328 |
Covered bonds |
|
|
| 1,389 |
Subordinated debt |
| 2,959 | 5,008 | 5,163 |
of which: low-trigger loss-absorbing tier 2 capital instruments |
| 2,427 | 2,471 | 2,596 |
of which: non-Basel III-compliant tier 2 capital instruments |
| 531 | 538 | 547 |
Debt issued through the Swiss central mortgage institutions |
| 8,567 | 9,177 | 9,454 |
Long-term debt2 |
| 30,576 | 34,294 | 39,334 |
Total debt issued measured at amortized cost3 |
| 55,425 | 65,820 | 82,432 |
1 Debt with an original contractual maturity of less than one year, mainly consisting of certificates of deposit and commercial paper. 2 Debt with an original contractual maturity greater than or equal to one year. The classification of debt issued into short-term and long-term does not consider any early redemption features. 3 Net of bifurcated embedded derivatives, the fair value of which was not material for any of the periods presented. |
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 37
During 2022, UBS AG has continued to manage the transition to alternative reference rates (ARRs). The transition of non-USD interbank offered rates (IBORs) is substantially complete, with efforts now focused on managing the transition of the remaining USD London Interbank Offered Rate (LIBOR) exposures.
On 15 March 2022, the US enacted federal legislation, the Adjustable Interest Rate (LIBOR) Act, which is substantially based on, and supersedes, the New York State LIBOR legislation. The Adjustable Interest Rate (LIBOR) Act provides a legislative solution for USD LIBOR legacy products governed by any US state law should such products fail to transition prior to the USD LIBOR cessation date of 30 June 2023.
In January 2022, UBS AG completed the transition of USD LIBOR-linked balances related to brokerage accounts. Substantially all US securities-based lending that was outstanding as of 31 December 2021 has been transitioned to the Secured Overnight Financing Rate (SOFR) and UBS AG continues to make good progress on the transition of the remaining USD LIBOR non-derivative assets and liabilities.
In August 2022, to facilitate the transition of derivatives linked to the USD LIBOR Swap Rate, UBS AG adhered to the June 2022 Benchmark Module of the ISDA 2021 Fallbacks Protocol on the USD LIBOR Swap Rate. The transition of USD LIBOR-cleared derivatives is planned to commence in the second quarter of 2023.
The table below presents an overview of total provisions.
USD m |
| 30.9.22 | 30.6.22 | 31.12.21 |
Provisions other than provisions for expected credit losses |
| 3,053 | 3,215 | 3,256 |
Provisions for expected credit losses1 |
| 182 | 192 | 196 |
Total provisions |
| 3,235 | 3,407 | 3,452 |
1 Refer to Note 9c for more information. |
The following table presents additional information for provisions other than provisions for expected credit losses.
USD m | Litigation, regulatory and similar matters1 | Restructuring2 | Other3 | Total |
Balance as of 31 December 2021 | 2,798 | 137 | 321 | 3,256 |
Balance as of 30 June 2022 | 2,798 | 114 | 302 | 3,215 |
Increase in provisions recognized in the income statement | 25 | 25 | 10 | 60 |
Release of provisions recognized in the income statement | (4) | (5) | (5) | (15) |
Provisions used in conformity with designated purpose | (52) | (40) | (10) | (102) |
Foreign currency translation / unwind of discount | (90) | (4) | (12) | (105) |
Balance as of 30 September 2022 | 2,677 | 90 | 285 | 3,053 |
1 Consists of provisions for losses resulting from legal, liability and compliance risks. 2 Consists of personnel-related restructuring provisions of USD 56m as of 30 September 2022 (30 June 2022: USD 75m; 31 December 2021: USD 90m) and provisions for onerous contracts of USD 34m as of 30 September 2022 (30 June 2022: USD 40m; 31 December 2021: USD 47m). 3 Mainly includes provisions related to real estate, employee benefits and operational risks. |
Restructuring provisions relate to personnel-related provisions and onerous contracts. Personnel-related restructuring provisions are generally used within a short period of time. The level of personnel-related provisions can change when natural staff attrition reduces the number of people affected by a restructuring event, and therefore results in lower estimated costs. Onerous contracts for property are recognized when UBS is committed to pay for non‑lease components, such as utilities, service charges, taxes and maintenance, when a property is vacated or not fully recovered from sub-tenants.
Information about provisions and contingent liabilities in respect of litigation, regulatory and similar matters, as a class, is included in Note 16b. There are no material contingent liabilities associated with the other classes of provisions.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 38
UBS operates in a legal and regulatory environment that exposes it to significant litigation and similar risks arising from disputes and regulatory proceedings. As a result, UBS is involved in various disputes and legal proceedings, including litigation, arbitration, and regulatory and criminal investigations. “UBS,” “we” and “our” may, for purposes of this Note, refer to UBS AG and / or one or more of its subsidiaries, as applicable.
Such matters are subject to many uncertainties, and the outcome and the timing of resolution are often difficult to predict, particularly in the earlier stages of a case. There are also situations where UBS may enter into a settlement agreement. This may occur in order to avoid the expense, management distraction or reputational implications of continuing to contest liability, even for those matters for which UBS believes it should be exonerated. The uncertainties inherent in all such matters affect the amount and timing of any potential outflows for both matters with respect to which provisions have been established and other contingent liabilities. UBS makes provisions for such matters brought against it when, in the opinion of management after seeking legal advice, it is more likely than not that UBS has a present legal or constructive obligation as a result of past events, it is probable that an outflow of resources will be required, and the amount can be reliably estimated. Where these factors are otherwise satisfied, a provision may be established for claims that have not yet been asserted against UBS, but are nevertheless expected to be, based on UBS’s experience with similar asserted claims. If any of those conditions is not met, such matters result in contingent liabilities. If the amount of an obligation cannot be reliably estimated, a liability exists that is not recognized even if an outflow of resources is probable. Accordingly, no provision is established even if the potential outflow of resources with respect to such matters could be significant. Developments relating to a matter that occur after the relevant reporting period, but prior to the issuance of financial statements, which affect management’s assessment of the provision for such matter (because, for example, the developments provide evidence of conditions that existed at the end of the reporting period), are adjusting events after the reporting period under IAS 10 and must be recognized in the financial statements for the reporting period.
Specific litigation, regulatory and other matters are described below, including all such matters that management considers to be material and others that management believes to be of significance due to potential financial, reputational and other effects. The amount of damages claimed, the size of a transaction or other information is provided where available and appropriate in order to assist users in considering the magnitude of potential exposures.
In the case of certain matters below, we state that we have established a provision, and for the other matters, we make no such statement. When we make this statement and we expect disclosure of the amount of a provision to prejudice seriously our position with other parties in the matter because it would reveal what UBS believes to be the probable and reliably estimable outflow, we do not disclose that amount. In some cases we are subject to confidentiality obligations that preclude such disclosure. With respect to the matters for which we do not state whether we have established a provision, either: (a) we have not established a provision, in which case the matter is treated as a contingent liability under the applicable accounting standard; or (b) we have established a provision but expect disclosure of that fact to prejudice seriously our position with other parties in the matter because it would reveal the fact that UBS believes an outflow of resources to be probable and reliably estimable.
With respect to certain litigation, regulatory and similar matters for which we have established provisions, we are able to estimate the expected timing of outflows. However, the aggregate amount of the expected outflows for those matters for which we are able to estimate expected timing is immaterial relative to our current and expected levels of liquidity over the relevant time periods.
The aggregate amount provisioned for litigation, regulatory and similar matters as a class is disclosed in the “Provisions” table in Note 16a above. It is not practicable to provide an aggregate estimate of liability for our litigation, regulatory and similar matters as a class of contingent liabilities. Doing so would require UBS to provide speculative legal assessments as to claims and proceedings that involve unique fact patterns or novel legal theories, that have not yet been initiated or are at early stages of adjudication, or as to which alleged damages have not been quantified by the claimants. Although UBS therefore cannot provide a numerical estimate of the future losses that could arise from litigation, regulatory and similar matters, UBS believes that the aggregate amount of possible future losses from this class that are more than remote substantially exceeds the level of current provisions.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 39
Note 16 Provisions and contingent liabilities (continued)
Litigation, regulatory and similar matters may also result in non-monetary penalties and consequences. A guilty plea to, or conviction of, a crime could have material consequences for UBS. Resolution of regulatory proceedings may require UBS to obtain waivers of regulatory disqualifications to maintain certain operations, may entitle regulatory authorities to limit, suspend or terminate licenses and regulatory authorizations, and may permit financial market utilities to limit, suspend or terminate UBS’s participation in such utilities. Failure to obtain such waivers, or any limitation, suspension or termination of licenses, authorizations or participations, could have material consequences for UBS.
The risk of loss associated with litigation, regulatory and similar matters is a component of operational risk for purposes of determining capital requirements. Information concerning our capital requirements and the calculation of operational risk for this purpose is included in the “Capital management” section of the UBS Group third quarter 2022 report.
Provisions for litigation, regulatory and similar matters by business division and in Group Functions1 | ||||||
USD m | Global Wealth Manage- ment | Personal & Corporate Banking | Asset Manage- ment | Investment Bank | Group Functions | Total |
Balance as of 31 December 2021 | 1,338 | 181 | 8 | 310 | 962 | 2,798 |
Balance as of 30 June 2022 | 1,289 | 168 | 8 | 387 | 946 | 2,798 |
Increase in provisions recognized in the income statement | 22 | 0 | 0 | 3 | 0 | 25 |
Release of provisions recognized in the income statement | (4) | 0 | 0 | 0 | 0 | (4) |
Provisions used in conformity with designated purpose | (44) | 0 | 0 | 0 | (8) | (52) |
Foreign currency translation / unwind of discount | (68) | (10) | 0 | (11) | (1) | (90) |
Balance as of 30 September 2022 | 1,195 | 158 | 8 | 378 | 937 | 2,677 |
1 Provisions, if any, for the matters described in items 3 and 4 of this Note are recorded in Global Wealth Management, and provisions, if any, for the matters described in item 2 are recorded in Group Functions. Provisions, if any, for the matters described in items 1 and 6 of this Note are allocated between Global Wealth Management and Personal & Corporate Banking, provisions, if any, for the matters described in item 5 are allocated between the Investment Bank and Group Functions, and provisions, if any, for the matters described in item 7 are allocated between Global Wealth Management and the Investment Bank. |
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests.
Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France in relation to UBS’s cross-border business with French clients. In connection with this investigation, the investigating judges ordered UBS AG to provide bail (“caution”) of EUR 1.1bn.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 40
Note 16 Provisions and contingent liabilities (continued)
On 20 February 2019, the court of first instance returned a verdict finding UBS AG guilty of unlawful solicitation of clients on French territory and aggravated laundering of the proceeds of tax fraud, and UBS (France) S.A. guilty of aiding and abetting unlawful solicitation and of laundering the proceeds of tax fraud. The court imposed fines aggregating EUR 3.7bn on UBS AG and UBS (France) S.A. and awarded EUR 800m of civil damages to the French state. A trial in the French Court of Appeal took place in March 2021. On 13 December 2021, the Court of Appeal found UBS AG guilty of unlawful solicitation and aggravated laundering of the proceeds of tax fraud. The court ordered a fine of EUR 3.75m, the confiscation of EUR 1bn, and awarded civil damages to the French state of EUR 800m. The court also found UBS (France) SA guilty of the aiding and abetting of unlawful solicitation and ordered it to pay a fine of EUR 1.875m. UBS AG has filed an appeal with the French Supreme Court to preserve its rights. The notice of appeal enables UBS AG to thoroughly assess the verdict of the Court of Appeal and to determine next steps in the best interest of its stakeholders. The fine and confiscation imposed by the Court of Appeal are suspended during the appeal. The civil damages award has been paid to the French state (EUR 99m of which was deducted from the bail), subject to the result of UBS’s appeal.
Our balance sheet at 30 September 2022 reflected provisions with respect to this matter in an amount of EUR 1.1bn (USD 1.1bn). The wide range of possible outcomes in this case contributes to a high degree of estimation uncertainty and the provision reflects our best estimate of possible financial implications, although actual penalties and civil damages could exceed (or may be less than) the provision amount.
Our balance sheet at 30 September 2022 reflected provisions with respect to matters described in this item 1 in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and mortgages
From 2002 through 2007, prior to the crisis in the US residential loan market, UBS was a substantial issuer and underwriter of US residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages.
In November 2018, the DOJ filed a civil complaint in the District Court for the Eastern District of New York. The complaint seeks unspecified civil monetary penalties under the Financial Institutions Reform, Recovery and Enforcement Act of 1989 related to UBS’s issuance, underwriting and sale of 40 RMBS transactions in 2006 and 2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10 December 2019, the district court denied UBS’s motion to dismiss.
Our balance sheet at 30 September 2022 reflected a provision with respect to matters described in this item 2 in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. (now UBS Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number of regulators, including the Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier. Those inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members.
In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain individuals, including current and former UBS employees, seeking amounts totaling approximately EUR 2.1bn, which includes amounts that the funds may be held liable to pay the trustee for the liquidation of BMIS (BMIS Trustee).
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 41
Note 16 Provisions and contingent liabilities (continued)
A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported losses relating to the Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases were inadmissible have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the test cases.
In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the offshore funds. The total amount claimed against all defendants in these actions was not less than USD 2bn. In 2014, the US Supreme Court rejected the BMIS Trustee’s motion for leave to appeal decisions dismissing all claims except those for the recovery of approximately USD 125m of payments alleged to be fraudulent conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims against the UBS entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee’s remaining claims, and the US Supreme Court subsequently denied a petition seeking review of the Court of Appeals’ decision. The case has been remanded to the Bankruptcy Court for further proceedings.
Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) led to multiple regulatory inquiries, which in 2014 and 2015, led to settlements with the Office of the Commissioner of Financial Institutions for the Commonwealth of Puerto Rico, the US Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority.
Since then, UBS clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their UBS account assets as collateral for UBS non-purpose loans filed customer complaints and arbitration demands seeking aggregate damages of USD 3.4bn, of which USD 3.3bn have been resolved through settlements, arbitration or withdrawal of claims. Allegations include fraud, misrepresentation and unsuitability of the funds and of the loans.
A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of the funds, alleging hundreds of millions of US dollars in losses in the funds. In 2021, the parties reached an agreement to settle this matter for USD 15m, subject to court approval.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the Commonwealth of Puerto Rico (System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services. Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and underwriting of USD 3bn of bonds by the System in 2008 and sought damages of over USD 800m. In 2016, the court granted the System’s request to join the action as a plaintiff. In 2017, the court denied defendants’ motion to dismiss the complaint. In 2020, the court denied plaintiffs’ motion for summary judgment. In 2022, UBS filed a motion to dismiss in the bankruptcy proceeding.
Beginning in 2015, certain agencies and public corporations of the Commonwealth of Puerto Rico (Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation created an oversight board with power to oversee Puerto Rico’s finances and to restructure its debt. The oversight board has imposed a stay on the exercise of certain creditors’ rights. In 2017, the oversight board placed certain of the bonds into a bankruptcy-like proceeding under the supervision of a Federal District Judge.
In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against financial, legal and accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS, seeking a return of underwriting and swap fees paid in connection with those offerings. UBS estimates that it received approximately USD 125m in fees in the relevant offerings.
In August 2019, and February and November 2020, four US insurance companies that insured issues of Puerto Rico municipal bonds sued UBS and several other underwriters of Puerto Rico municipal bonds in three separate cases. The actions collectively seek recovery of an aggregate of USD 955m in damages from the defendants. The plaintiffs in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in agreeing to insure the bonds notwithstanding that they had no contractual relationship with the underwriters. Defendants’ motions to dismiss have been granted in all three cases; those decisions are being appealed by the plaintiffs.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 42
Note 16 Provisions and contingent liabilities (continued)
Our balance sheet at 30 September 2022 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.
5. Foreign exchange, LIBOR and benchmark rates, and other trading practices
Foreign exchange-related regulatory matters: Beginning in 2013, numerous authorities commenced investigations concerning possible manipulation of foreign exchange markets and precious metals prices. As a result of these investigations, UBS entered into resolutions with Swiss, US and United Kingdom regulators and the European Commission. UBS was granted conditional immunity by the Antitrust Division of the DOJ and by authorities in other jurisdictions in connection with potential competition law violations relating to foreign exchange and precious metals businesses.
Foreign exchange-related civil litigation: Putative class actions have been filed since 2013 in US federal courts and in other jurisdictions against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency transactions with any of the defendant banks. UBS has resolved US federal court class actions relating to foreign currency transactions with the defendant banks and persons who transacted in foreign exchange futures contracts and options on such futures under a settlement agreement that provides for UBS to pay an aggregate of USD 141m and provide cooperation to the settlement classes. Certain class members have excluded themselves from that settlement and have filed individual actions in US and English courts against UBS and other banks, alleging violations of US and European competition laws and unjust enrichment.
In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of persons and businesses in the US who directly purchased foreign currency from the defendants and alleged co-conspirators for their own end use. In March 2017, the court granted UBS’s (and the other banks’) motions to dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March 2018, the court denied the defendants’ motions to dismiss the amended complaint. In March 2022, the court denied plaintiffs’ motion for class certification.
LIBOR and other benchmark-related regulatory matters: Numerous government agencies conducted investigations regarding potential improper attempts by UBS, among others, to manipulate LIBOR and other benchmark rates at certain times. UBS reached settlements or otherwise concluded investigations relating to benchmark interest rates with the investigating authorities. UBS was granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO), in connection with potential antitrust or competition law violations related to certain rates. However, UBS has not reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that UBS does not qualify for full immunity.
LIBOR and other benchmark-related civil litigation: A number of putative class actions and other actions are pending in the federal courts in New York against UBS and numerous other banks on behalf of parties who transacted in certain interest rate benchmark-based derivatives. Also pending in the US and in other jurisdictions are a number of other actions asserting losses related to various products whose interest rates were linked to LIBOR and other benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral, loans, depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation, through various means, of certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR and SOR and Australian BBSW, and seek unspecified compensatory and other damages under varying legal theories.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 43
Note 16 Provisions and contingent liabilities (continued)
USD LIBOR class and individual actions in the US: In 2013 and 2015, the district court in the USD LIBOR actions dismissed, in whole or in part, certain plaintiffs’ antitrust claims, federal racketeering claims, CEA claims, and state common law claims, and again dismissed the antitrust claims in 2016 following an appeal. In December 2021, the Second Circuit affirmed the district court’s dismissal in part and reversed in part and remanded to the district court for further proceedings. The Second Circuit, among other things, held that there was personal jurisdiction over UBS and other foreign defendants based on allegations that at least one alleged co-conspirator undertook an overt act in the United States. Separately, in 2018, the Second Circuit reversed in part the district court’s 2015 decision dismissing certain individual plaintiffs’ claims and certain of these actions are now proceeding. In 2018, the district court denied plaintiffs’ motions for class certification in the USD class actions for claims pending against UBS, and plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the Second Circuit denied the petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange class. In January 2019, a putative class action was filed in the District Court for the Southern District of New York against UBS and numerous other banks on behalf of US residents who, since 1 February 2014, directly transacted with a defendant bank in USD LIBOR instruments. The complaint asserts antitrust claims. The defendants moved to dismiss the complaint in August 2019. In March 2020 the court granted defendants’ motion to dismiss the complaint in its entirety. Plaintiffs have appealed the dismissal. In March 2022, the Second Circuit dismissed the appeal because appellants, who had been substituted in to replace the original plaintiffs who had withdrawn, lacked standing to pursue the appeal. In August 2020, an individual action was filed in the Northern District of California against UBS and numerous other banks alleging that the defendants conspired to fix the interest rate used as the basis for loans to consumers by jointly setting the USD LIBOR rate and monopolized the market for LIBOR-based consumer loans and credit cards. Defendants moved to dismiss the complaint in September 2021. In September 2022, the court granted defendants’ motion to dismiss the complaint in its entirety, while allowing plaintiffs the opportunity to file an amended complaint. Plaintiffs filed an amended complaint in October 2022.
Other benchmark class actions in the US:
Yen LIBOR / Euroyen TIBOR – In 2014, 2015 and 2017, the court in one of the Yen LIBOR / Euroyen TIBOR lawsuits dismissed certain of the plaintiffs’ claims, including the plaintiffs’ federal antitrust and racketeering claims. In August 2020, the court granted defendants’ motion for judgment on the pleadings and dismissed the lone remaining claim in the action as impermissibly extraterritorial. In October 2022, the appeals court affirmed the dismissal on multiple grounds. In 2017, the court dismissed the other Yen LIBOR / Euroyen TIBOR action in its entirety on standing grounds. In April 2020, the appeals court reversed the dismissal and in August 2020 plaintiffs in that action filed an amended complaint focused on Yen LIBOR. The court granted in part and denied in part defendants’ motion to dismiss the amended complaint in September 2021. In August 2022, the court granted UBS’s motion for reconsideration and dismissed the case against UBS.
CHF LIBOR – In 2017, the court dismissed the CHF LIBOR action on standing grounds and failure to state a claim. Plaintiffs filed an amended complaint, and the court granted a renewed motion to dismiss in September 2019. Plaintiffs appealed. In September 2021, the Second Circuit granted the parties’ joint motion to vacate the dismissal and remand the case for further proceedings.
EURIBOR – In 2017, the court in the EURIBOR lawsuit dismissed the case as to UBS and certain other foreign defendants for lack of personal jurisdiction. Plaintiffs have appealed.
SIBOR / SOR – In October 2018, the court in the SIBOR / SOR action dismissed all but one of plaintiffs’ claims against UBS. Plaintiffs filed an amended complaint, and the court granted a renewed motion to dismiss in July 2019. Plaintiffs appealed. In March 2021, the Second Circuit reversed the dismissal. Plaintiffs filed an amended complaint in October 2021, which defendants have moved to dismiss. In March 2022, plaintiffs reached a settlement in principle with the remaining defendants, including UBS. The court granted preliminary approval of the settlement in June 2022.
BBSW – In November 2018, the court dismissed the BBSW lawsuit as to UBS and certain other foreign defendants for lack of personal jurisdiction. Plaintiffs filed an amended complaint in April 2019, which UBS and other defendants moved to dismiss. In February 2020, the court granted in part and denied in part defendants’ motions to dismiss the amended complaint. In August 2020, UBS and other BBSW defendants joined a motion for judgment on the pleadings, which the court denied in May 2021. In February 2022, plaintiffs reached a settlement in principle with the remaining defendants, including UBS. The court granted preliminary approval of the settlement in May 2022.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 44
Note 16 Provisions and contingent liabilities (continued)
GBP LIBOR – The court dismissed the GBP LIBOR action in August 2019. Plaintiffs have appealed.
Government bonds: Putative class actions have been filed since 2015 in US federal courts against UBS and other banks on behalf of persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in 2017 in the US District Court for the Southern District of New York alleging that the banks colluded with respect to, and manipulated prices of, US Treasury securities sold at auction and in the secondary market and asserting claims under the antitrust laws and for unjust enrichment. Defendants’ motions to dismiss the consolidated complaint were granted in March 2021. Plaintiffs filed an amended complaint, which defendants moved to dismiss in June 2021. In March 2022, the court granted defendants’ motion to dismiss that complaint. Plaintiffs have appealed the dismissal. Similar class actions have been filed concerning European government bonds and other government bonds.
In May 2021, the European Commission issued a decision finding that UBS and six other banks breached European Union antitrust rules in 2007–2011 relating to European government bonds. The European Commission fined UBS EUR 172m. UBS is appealing the amount of the fine.
With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at 30 September 2022 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a discretionary mandate agreement with the firm, absent a valid waiver. FINMA issued a supervisory note to all Swiss banks in response to the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients.
The Supreme Court decision has resulted, and continues to result, in a number of client requests for UBS to disclose and potentially surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases include, among other things, the existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with respect to distribution fees.
Our balance sheet at 30 September 2022 reflected a provision with respect to matters described in this item 6 in an amount that UBS believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Communications recordkeeping
The SEC and CFTC conducted investigations of UBS and other financial institutions regarding compliance with records preservation requirements relating to business communications sent over unapproved electronic messaging channels. UBS cooperated with the investigations, and, in September 2022, UBS agreed to pay civil monetary penalties of USD 125m to the SEC and USD 75m to the CFTC to resolve these matters.
UBS AG Third quarter 2022 report | Consolidated financial statements | Notes to the UBS AG interim consolidated financial statements (unaudited) 45
Alternative performance measures
An alternative performance measure (an APM) is a financial measure of historical or future financial performance, financial position or cash flows other than a financial measure defined or specified in the applicable recognized accounting standards or in other applicable regulations. We report a number of APMs in our external reports (annual, quarterly and other reports). We use APMs to provide a more complete picture of our operating performance and to reflect management’s view of the fundamental drivers of our business results. A definition of each APM, the method used to calculate it and the information content are presented in alphabetical order in the table below. Our APMs may qualify as non-GAAP measures as defined by US Securities and Exchange Commission (SEC) regulations.
APM label | Calculation | Information content
|
Active Digital Banking clients in Corporate & Institutional Clients (%) – Personal & Corporate Banking | Calculated as the average number of active clients for each month in the relevant period divided by the average number of total clients. “Clients” refers to the number of unique business relationships or legal entities operated by Corporate & Institutional Clients, excluding clients that do not have an account, mono-product clients and clients that have defaulted on loans or credit facilities. At the end of each month, any client that has logged on at least once in that month is determined to be “active” (a log-in time stamp is allocated to all business relationship numbers or per legal entity in a digital banking contract). | This measure provides information about the proportion of active Digital Banking clients in the total number of UBS clients (within the aforementioned meaning) which are serviced by Corporate & Institutional Clients. |
Active Digital Banking clients in Personal Banking (%) – Personal & Corporate Banking | Calculated as the average number of active clients for each month in the relevant period divided by the average number of total clients. “Clients” refers to the number of unique business relationships operated by Personal Banking, excluding persons under the age of 15, clients who do not have a private account, clients domiciled outside Switzerland and clients who have defaulted on loans or credit facilities. At the end of each month, any client that has logged on at least once in that month is determined to be “active” (a log-in time stamp is allocated to all business relationship numbers in a digital banking contract). | This measure provides information about the proportion of active Digital Banking clients in the total number of UBS clients (within the aforementioned meaning) who are serviced by Personal Banking. |
Active Mobile Banking clients in Personal Banking (%) – Personal & Corporate Banking
| Calculated as the average number of active clients for each month in the relevant period divided by the average number of total clients. “Clients” refers to the number of unique business relationships operated by Personal Banking, excluding persons under the age of 15, clients who do not have a private account, clients domiciled outside Switzerland and clients who have defaulted on loans or credit facilities. At the end of each month, any client that has logged on via the mobile app at least once in that month is determined to be “active” (a log-in time stamp is allocated to all business relationship numbers in a digital banking contract). | This measure provides information about the proportion of active Mobile Banking clients in the total number of UBS clients (within the aforementioned meaning) who are serviced by Personal Banking. |
Cost / income ratio (%) | Calculated as operating expenses divided by total revenues. | This measure provides information about the efficiency of the business by comparing operating expenses with gross income. |
Fee and trading income for Corporate & Institutional Clients (USD and CHF) – Personal & Corporate Banking | Calculated as the total of recurring net fee and transaction-based income for Corporate & Institutional Clients. | This measure provides information about the amount of fee and trading income for Corporate & Institutional Clients. |
UBS AG Third quarter 2022 report | Appendix 46
UBS AG Third quarter 2022 report | Appendix 47
APM label | Calculation | Information content
|
Net new money (USD) – Global Wealth Management, Asset Management | Calculated as the sum of the net amount of inflows and outflows of invested assets (as defined in UBS policy) recorded during a specific period. Excluded from the calculation are the effects on invested assets of strategic decisions by UBS to exit markets or services. Net new money for Global Wealth Management is disclosed on an annual basis. Net new money is not measured for Personal & Corporate Banking. | This measure provides information about the |
Net profit growth (%) | Calculated as the change in net profit attributable to shareholders from continuing operations between current and comparison periods divided by net profit attributable to shareholders from continuing operations of the comparison period. | This measure provides information about profit growth since the comparison period. |
Pre-tax profit growth (%) | Calculated as the change in net profit before tax attributable to shareholders from continuing operations between current and comparison periods divided by net profit before tax attributable to shareholders from continuing operations of the comparison period. | This measure provides information about pre-tax profit growth since the comparison period. |
Recurring net fee income (USD and CHF) – Global Wealth Management, Personal & Corporate Banking | Calculated as the total of fees for services provided on an ongoing basis, such as portfolio management fees, asset-based investment fund fees and custody fees, which are generated on client assets, and administrative fees for accounts. | This measure provides information about the amount of recurring net fee income. |
Return on attributed equity (%) | Calculated as annualized business division operating profit before tax divided by average attributed equity. | This measure provides information about the profitability of the business divisions in relation to attributed equity. |
Return on common equity tier 1 | Calculated as annualized net profit attributable to shareholders divided by average common equity tier 1 capital. | This measure provides information about the profitability of the business in relation to common equity tier 1 capital. |
Return on equity (%) | Calculated as annualized net profit attributable to shareholders divided by average equity attributable to shareholders. | This measure provides information about the profitability of the business in relation to equity. |
Return on leverage ratio denominator, gross (%) | Calculated as annualized total revenues divided by average leverage ratio denominator. | This measure provides information about the revenues of the business in relation to the leverage ratio denominator. |
Return on tangible equity (%) | Calculated as annualized net profit attributable to shareholders divided by average equity attributable to shareholders less average goodwill and intangible assets. | This measure provides information about the profitability of the business in relation to tangible equity. |
Tangible book value per share (USD) | Calculated as equity attributable to shareholders less goodwill and intangible assets divided by the number of shares outstanding. | This measure provides information about tangible net assets on a per-share basis. |
Total book value per share (USD) | Calculated as equity attributable to shareholders divided by the number of shares outstanding. | This measure provides information about net assets on a per-share basis. |
Transaction-based income (USD and CHF) – Global Wealth Management, Personal & Corporate Banking | Calculated as the total of the non-recurring portion of net fee and commission income, mainly composed of brokerage and transaction-based investment fund fees, and credit card fees, as well as fees for payment and foreign exchange transactions, together with other net income from financial instruments measured at fair value through profit or loss. | This measure provides information about the amount of the non-recurring portion of net fee and commission income, together with other net income from financial instruments measured at fair value through profit or loss. |
|
UBS AG Third quarter 2022 report | Appendix 48
A
ABS asset-backed securities
AGM Annual General Meeting of shareholders
A-IRB advanced internal ratings-based
AIV alternative investment vehicle
ALCO Asset and Liability Committee
AMA advanced measurement approach
AML anti-money laundering
AoA Articles of Association
APM alternative performance measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
BoD Board of Directors
C
CAO Capital Adequacy Ordinance
CCAR Comprehensive Capital Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CDS credit default swap
CEA Commodity Exchange Act
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CFTC US Commodity Futures Trading Commission
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
CLS Continuous Linked Settlement
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)
CST combined stress test
CUSIP Committee on Uniform Security Identification Procedures
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DM discount margin
DOJ US Department of Justice
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EC European Commission
ECB European Central Bank
ECL expected credit loss
EGM Extraordinary General Meeting of shareholders
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and Africa
EOP Equity Ownership Plan
EPS earnings per share
ESG environmental, social and governance
ESR environmental and social risk
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct Authority
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
GCRG Group Compliance, Regulatory & Governance
GDP gross domestic product
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GMD Group Managing Director
GRI Global Reporting Initiative
G-SIB global systemically important bank
H
HQLA high-quality liquid assets
I
IAS International Accounting Standards
IASB International Accounting Standards Board
IBOR interbank offered rate
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IRB internal ratings-based
IRRBB interest rate risk in the banking book
ISDA International Swaps and Derivatives Association
ISIN International Securities Identification Number
UBS AG Third quarter 2022 report | Appendix 49
Abbreviations frequently used in our financial reports (continued)
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC limited liability company
LoD lines of defense
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MiFID II Markets in Financial Instruments Directive II
MRT Material Risk Taker
N
NAV net asset value
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
ORF operational risk framework
OTC over-the-counter
P
PD probability of default
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
PRA UK Prudential Regulation Authority
PRV positive replacement value
R
RBA role-based allowance
RBC risk-based capital
RbM risk-based monitoring
REIT real estate investment trust
RMBS residential mortgage-backed securities
RniV risks not in VaR
RoCET1 return on CET1 capital
RoTE return on tangible equity
RoU right-of-use
rTSR relative total shareholder return
RWA risk-weighted assets
S
SA standardized approach
SA-CCR standardized approach for counterparty credit risk
SAR Special Administrative Region of the People’s Republic of China
SBC Swiss Bank Corporation
SDG Sustainable Development Goal
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SFT securities financing transaction
SI sustainable investing or
sustainable investments
SIBOR Singapore Interbank Offered Rate
SICR significant increase in credit risk
SIX SIX Swiss Exchange
SME small and medium-sized entities
SMF Senior Management Function
SNB Swiss National Bank
SOR Singapore Swap Offer Rate
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCFD Task Force on Climate-related Financial Disclosures
TIBOR Tokyo Interbank Offered Rate
TLAC total loss-absorbing capacity
U
UoM units of measure
USD US dollar
V
VaR value-at-risk
VAT value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.
UBS AG Third quarter 2022 report | Appendix 50
Reporting publications
Annual publications
Annual Report (SAP No. 80531): Published in English, this single-volume report provides descriptions of: our Group strategy and performance; the strategy and performance of the business divisions and Group Functions; risk, treasury and capital management; corporate governance, corporate responsibility and our compensation framework, including information about compensation for the Board of Directors and the Group Executive Board members; and financial information, including the financial statements.
Geschäftsbericht (SAP No. 80531): This publication provides a German translation of selected sections of our Annual Report.
Annual Review: This booklet contains key information about our strategy and performance, with a focus on corporate responsibility at UBS. It is published in English and German.
Compensation Report (SAP No. 82307): This report discusses our compensation framework and provides information about compensation for the Board of Directors and the Group Executive Board members. It is available in English and German.
Quarterly publications
The quarterly financial report provides an update on our strategy and performance for the respective quarter. It is available in English.
How to order publications
The annual and quarterly publications are available in a fully digital and .pdf format at ubs.com/investors, under “Financial information.” Printed copies of our Annual Report (in English) and our Compensation Report (in English and German), as well as a German translation of selected sections of our Annual Report, can be requested from UBS free of charge. For annual publications, refer to the “Investor services” section at ubs.com/investors. Alternatively, they can be ordered by quoting the SAP number and the language preference, where applicable, from UBS AG, F4UK–AUL, P.O. Box, CH-8098 Zurich, Switzerland.
Other information
Website
The “Investor Relations” website at ubs.com/investors provides the following information about UBS: results-related news releases; financial information, including results-related filings with the US Securities and Exchange Commission (the SEC); information for shareholders, including UBS share price charts, as well as data and dividend information, and for bondholders; our corporate calendar; and presentations by management for investors and financial analysts. Information is available online in English, with some information also available in German.
Results presentations
Our quarterly results presentations are webcast live. Recordings of most presentations can be downloaded from ubs.com/presentations.
Messaging service
Email alerts to news about UBS can be subscribed for under “UBS News Alert” at ubs.com/global/en/investor-relations/contact/investor-services.html. Messages are sent in English, German, French or Italian, with an option to select theme preferences for such alerts.
Form 20‑F and other submissions to the US Securities and Exchange Commission
We file periodic reports and submit other information about UBS to the SEC. Principal among these filings is the annual report on Form 20‑F, filed pursuant to the US Securities Exchange Act of 1934. The filing of Form 20‑F is structured as a wraparound document. Most sections of the filing can be satisfied by referring to the combined UBS Group AG and UBS AG annual report. However, there is a small amount of additional information in Form 20‑F that is not presented elsewhere and is particularly targeted at readers in the US. Readers are encouraged to refer to this additional disclosure. Any document that we file with the SEC is available on the SEC’s website: sec.gov. Refer to ubs.com/investors for more information.
UBS AG Third quarter 2022 report | Appendix 51
Cautionary Statement Regarding Forward-Looking Statements | This report contains statements that constitute “forward-looking statements,” including but not limited to management’s outlook for UBS’s financial performance, statements relating to the anticipated effect of transactions and strategic initiatives on UBS’s business and future development and goals or intentions to achieve climate, sustainability and other social objectives. While these forward-looking statements represent UBS’s judgments, expectations and objectives concerning the matters described, a number of risks, uncertainties and other important factors could cause actual developments and results to differ materially from UBS’s expectations. Russia’s invasion of Ukraine has led to heightened volatility across global markets, to the coordinated implementation of sanctions on Russia and Belarus, Russian and Belarusian entities and nationals, and to heightened political tensions across the globe. In addition, the war has caused significant population displacement, and if the conflict continues, the scale of disruption will increase and may come to include wide-scale shortages of vital commodities, including causing energy shortages and food insecurity. The speed of implementation and extent of sanctions, as well as the uncertainty as to how the situation will develop, may have significant adverse effects on the market and macroeconomic conditions, including in ways that cannot be anticipated. This creates significantly greater uncertainty about forward-looking statements. Other factors that may affect our performance and ability to achieve our plans, outlook and other objectives also include, but are not limited to: (i) the degree to which UBS is successful in the ongoing execution of its strategic plans, including its cost reduction and efficiency initiatives and its ability to manage its levels of risk-weighted assets (RWA) and leverage ratio denominator (LRD), liquidity coverage ratio and other financial resources, including changes in RWA assets and liabilities arising from higher market volatility; (ii) the degree to which UBS is successful in implementing changes to its businesses to meet changing market, regulatory and other conditions; (iii) increased interest rate volatility in major markets; (iv) developments in the macroeconomic climate and in the markets in which UBS operates or to which it is exposed, including movements in securities prices or liquidity, credit spreads, and currency exchange rates, the effects of economic conditions, including increasing inflationary pressures, market developments, and increasing geopolitical tensions, and changes to national trade policies on the financial position or creditworthiness of UBS’s clients and counterparties, as well as on client sentiment and levels of activity, including the COVID-19 pandemic and the measures taken to manage it, which have had and may also continue to have a significant adverse effect on global and regional economic activity, including disruptions to global supply chains and labor market displacements; (v) changes in the availability of capital and funding, including any changes in UBS’s credit spreads and ratings, as well as availability and cost of funding to meet requirements for debt eligible for total loss-absorbing capacity (TLAC); (vi) changes in central bank policies or the implementation of financial legislation and regulation in Switzerland, the US, the UK, the European Union and other financial centers that have imposed, or resulted in, or may do so in the future, more stringent or entity-specific capital, TLAC, leverage ratio, net stable funding ratio, liquidity and funding requirements, heightened operational resilience requirements, incremental tax requirements, additional levies, limitations on permitted activities, constraints on remuneration, constraints on transfers of capital and liquidity and sharing of operational costs across the Group or other measures, and the effect these will or would have on UBS’s business activities; (vii) UBS’s ability to successfully implement resolvability and related regulatory requirements and the potential need to make further changes to the legal structure or booking model of UBS Group in response to legal and regulatory requirements, or other external developments; (viii) UBS’s ability to maintain and improve its systems and controls for complying with sanctions in a timely manner and for the detection and prevention of money laundering to meet evolving regulatory requirements and expectations, in particular in current geopolitical turmoil; (ix) the uncertainty arising from domestic stresses in certain major economies; (x) changes in UBS’s competitive position, including whether differences in regulatory capital and other requirements among the major financial centers adversely affect UBS’s ability to compete in certain lines of business; (xi) changes in the standards of conduct applicable to our businesses that may result from new regulations or new enforcement of existing standards, including measures to impose new and enhanced duties when interacting with customers and in the execution and handling of customer transactions; (xii) the liability to which UBS may be exposed, or possible constraints or sanctions that regulatory authorities might impose on UBS, due to litigation, contractual claims and regulatory investigations, including the potential for disqualification from certain businesses, potentially large fines or monetary penalties, or the loss of licenses or privileges as a result of regulatory or other governmental sanctions, as well as the effect that litigation, regulatory and similar matters have on the operational risk component of our RWA, as well as the amount of capital available for return to shareholders; (xiii) the effects on UBS’s business, in particular cross-border banking, of sanctions, tax or regulatory developments and of possible changes in UBS’s policies and practices; (xiv) UBS’s ability to retain and attract the employees necessary to generate revenues and to manage, support and control its businesses, which may be affected by competitive factors; (xv) changes in accounting or tax standards or policies, and determinations or interpretations affecting the recognition of gain or loss, the valuation of goodwill, the recognition of deferred tax assets and other matters; (xvi) UBS’s ability to implement new technologies and business methods, including digital services and technologies, and ability to successfully compete with both existing and new financial service providers, some of which may not be regulated to the same extent; (xvii) limitations on the effectiveness of UBS’s internal processes for risk management, risk control, measurement and modeling, and of financial models generally; (xviii) the occurrence of operational failures, such as fraud, misconduct, unauthorized trading, financial crime, cyberattacks, data leakage and systems failures, the risk of which is increased with cyberattack threats from nation states; (xix) restrictions on the ability of UBS Group AG to make payments or distributions, including due to restrictions on the ability of its subsidiaries to make loans or distributions, directly or indirectly, or, in the case of financial difficulties, due to the exercise by FINMA or the regulators of UBS’s operations in other countries of their broad statutory powers in relation to protective measures, restructuring and liquidation proceedings; (xx) the degree to which changes in regulation, capital or legal structure, financial results or other factors may affect UBS’s ability to maintain its stated capital return objective; (xxi) uncertainty over the scope of actions that may be required by UBS, governments and others to achieve goals relating to climate, environmental and social matters, as well as the evolving nature of underlying science and industry and the possibility of conflict between different governmental standards and regulatory regimes; and (xxii) the effect that these or other factors or unanticipated events may have on our reputation and the additional consequences that this may have on our business and performance. The sequence in which the factors above are presented is not indicative of their likelihood of occurrence or the potential magnitude of their consequences. Our business and financial performance could be affected by other factors identified in our past and future filings and reports, including those filed with the US Securities and Exchange Commission (the SEC). More detailed information about those factors is set forth in documents furnished by UBS and filings made by UBS with the SEC, including UBS’s Annual Report on Form 20-F for the year ended 31 December 2021. UBS is not under any obligation to (and expressly disclaims any obligation to) update or alter its forward-looking statements, whether as a result of new information, future events, or otherwise.
Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages and percent changes disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be derived from numbers presented in related tables, are calculated on a rounded basis.
Tables | Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Values that are zero on a rounded basis can be either negative or positive on an actual basis.
UBS AG Third quarter 2022 report | Appendix 52
This Form 6-K is hereby incorporated by reference into (1) each of the registration statements of UBS AG on Form F-3 (Registration Number 333-263376), and of UBS Group AG on Form S-8 (Registration Numbers 333-200634; 333-200635; 333-200641; 333-200665; 333-215254; 333-215255; 333-228653; 333-230312; and 333-249143), and into each prospectus outstanding under any of the foregoing registration statements, (2) any outstanding offering circular or similar document issued or authorized by UBS AG that incorporates by reference any Forms 6-K of UBS AG that are incorporated into its registration statements filed with the SEC, and (3) the base prospectus of Corporate Asset Backed Corporation (“CABCO”) dated June 23, 2004 (Registration Number 333-111572), the Form 8-K of CABCO filed and dated June 23, 2004 (SEC File Number 001-13444), and the Prospectus Supplements relating to the CABCO Series 2004-101 Trust dated May 10, 2004 and May 17, 2004 (Registration Number 033-91744 and 033-91744-05).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
UBS AG
By: /s/ Ralph Hamers ________________
Name: Ralph Hamers
Title: President of the Executive Board
By: /s/ Sarah Youngwood_____________
Name: Sarah Youngwood
Title: Chief Financial Officer
By: /s/ Christopher Castello____________
Name: Christopher Castello
Title: Controller and Chief Accounting Officer
Date: October 28, 2022