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AMNA Ubs

Filed: 27 Apr 21, 7:29am



UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

_________________

 

FORM 6-K

 

REPORT OF FOREIGN PRIVATE ISSUER

 

PURSUANT TO RULE 13a-16 OR 15d-16 UNDER

THE SECURITIES EXCHANGE ACT OF 1934

 

Date: April 27, 2021

 

 

UBS Group AG

Commission File Number: 1-36764

 

UBS AG

Commission File Number: 1-15060

 

 

(Registrants' Name)

 

Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland

(Address of principal executive offices)

 

Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.

 

Form 20-F                         Form 40-F 

 


 

This Form 6-K consists of the Basel III Pillar 3 UBS Group AG First Quarter 2021 Report, which appears immediately following this page.

 

 

 


 

 

 

31 March 2021 Pillar 3 report

 

UBS Group and significant regulated subsidiaries and sub-groups

 


 

 

 
Contacts


Switchboards

For all general inquiries
ubs.com/contact

Zurich +41-44-234 1111
London +44- 207-567 8000
New York +1-212-821 3000
Hong Kong +852-2971 8888 Singapore +65-6495 8000

Investor Relations

Institutional, professional and retail
investors are supported by UBS’s
Investor Relations team.

UBS Group AG, Investor Relations
P.O. Box, CH-8098 Zurich, Switzerland

ubs.com/investors

Zurich +41-44-234 4100
New York +1-212-882 5734

Media Relations

Global media and journalists are
supported by UBS’s Media Relations
team.

ubs.com/media

Zurich +41-44-234 8500
mediarelations@ubs.com

London +44-20-7567 4714
ubs-media-relations@ubs.com

New York +1-212-882 5858
mediarelations@ubs.com

Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com

 


Office of the Group Company Secretary

The Group Company Secretary receives inquiries on compensation and related issues addressed to members of the Board of Directors.

UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland

sh-company-secretary@ubs.com

+41-44-235 6652

Shareholder Services

UBS’s Shareholder Services team,
a unit of the Group Company Secretary office, is responsible
for the registration of UBS Group AG registered shares.

UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland

sh-shareholder-services@ubs.com

+41-44-235 6652

US Transfer Agent

For global registered share-related
inquiries in the US.

Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA

Shareholder online inquiries:
www-us.computershare.com/
investor/Contact

Shareholder website:
computershare.com/investor

Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610

 


Imprint

Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English

© UBS 2021. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.

  

 


 

Introduction and basis for preparation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Terms used in this report, unless the context requires otherwise

“UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us” and “our”

UBS Group AG and its consolidated subsidiaries

“UBS AG consolidated”

UBS AG and its consolidated subsidiaries

“UBS Group AG” and “UBS Group AG standalone”

UBS Group AG on a standalone basis

“UBS AG” and “UBS AG standalone”

UBS AG on a standalone basis

“UBS Switzerland AG” and “UBS Switzerland AG standalone”

UBS Switzerland AG on a standalone basis

“UBS Europe SE consolidated”

UBS Europe SE and its consolidated subsidiaries

“UBS Americas Holding LLC” and

“UBS Americas Holding LLC consolidated”

UBS Americas Holding LLC and its consolidated subsidiaries

 

 


Introduction and basis for preparation 

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.

This report provides Pillar 3 disclosures for the UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”

As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 31 March 2021 for UBS Group AG consolidated is provided in the “Capital management” section of our first quarter 2021 report and for UBS AG consolidated in the “Capital management” section of the UBS AG first quarter 2021 report, both available under “Quarterly reporting” at ubs.com/investors.  

Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors. 


Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements

This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”) as revised on 31 October 2019, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.

Significant regulatory developments, and disclosure requirements and changes effective in this quarter

COVID-19 temporary regulatory measures

The program established by the Swiss Federal Council in March 2020 to support small and medium-sized entities (SMEs) by granting loans closed on 31 July 2020. As of that date, we had committed CHF 2.7 billion of loans up to CHF 0.5 million, which are 100% guaranteed by the Swiss government, and CHF 0.6 billion of loans between CHF 0.5 million and CHF 20 million, which are 85% government-guaranteed. The total amount drawn on our loan commitments under the program was CHF 1.8 billion on 31 March 2021.

We remain committed to donating any economic profits from the government-backed lending program to COVID-19 relief efforts. However, we did not make any profits from this program in the first quarter of 2021.

In addition, the temporary exemption from FINMA for banks to exclude central bank sight deposits from the leverage ratio denominator (the LRD) for the purpose of calculating going concern ratios applied until 1 January 2021 and was not extended thereafter.

 

2 


 

FINMA’s assessment of the recovery and resolution planning

In March 2021, FINMA published its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. The report noted that FINMA had approved UBS’s group recovery plan and assessed its Swiss Emergency Plan as effective. It also highlighted that UBS has made further progress in improving its global resolvability by building up the necessary capabilities and removing obstacles to the implementation of the resolution strategy, while pointing out areas for further improvement.

US measures on capital adequacy, capital distribution restrictions and leverage capital relief

In March 2021, US banking regulators decided to not extend the temporary exclusion of central bank deposits and US Treasury securities from the leverage exposure calculation for the supplementary leverage ratio beyond March 2021. The temporary exemption was applicable to UBS Americas Holding LLC (UBSAH) with respect to US regulatory capital requirements. In addition, the Federal Reserve announced that the limits on capital distributions imposed during the COVID-19 pandemic would be removed after 30 June 2021. As a result, capital distributions by UBSAH will generally be permitted for as long as it meets regulatory capital requirements, including the incremental stress capital buffer set by the Federal Reserve Board as part of its Comprehensive Capital Analysis and Review stress test (CCAR). UBSAH’s stress capital buffer requirement, currently 6.7%, will be assessed and may be revised in the 2021 CCAR process, the results of which are expected to be announced by the Federal Reserve Board in June 2021.


Methodology change for credit valuation adjustment risk related to Lombard derivative exposures

A methodology change related to credit valuation adjustment (CVA) risk for derivative exposures with Lombard clients resulted in an increase of USD 1.1 billion in risk-weighted assets (RWA) in the first quarter of 2021.

Phase-in of RWA effects

Effective from the third quarter of 2020, we began to phase in RWA increases related to the fourth quarter of 2020 release of new probability of default (PD) and loss given default (LGD) parameters for mortgage portfolios in the US. As agreed with FINMA, the RWA effects of such model updates will be phased in over six quarters, until the end of 2021, with an estimated quarterly RWA increase of USD 0.5 billion.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 79 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.  

In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 December 2020 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

  

3 


 

 


 

UBS Group

 


UBS Group 

Section 1  Key metrics

Key metrics of the first quarter of 2021

The KM1 and KM2 tables on the following pages are based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet

During the first quarter of 2021, our common equity tier 1 (CET1) capital increased by USD 0.5 billion to USD 40.4 billion, mainly reflecting operating profit before tax of USD 2.3 billion, partly offset by negative foreign currency translation effects of USD 0.8 billion, current tax expenses of USD 0.4 billion, accruals for capital returns to shareholders of USD 0.3 billion and negative defined benefit plans effects of USD 0.2 billion.

Total capital decreased by USD 2.4 billion to USD 58.8 billion, mainly reflecting the call of a EUR 2 billion tier 2 capital instrument amounting to USD 2.4 billion.

The TLAC available as of 31 March 2021 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes
45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 March 2021, but is included as available TLAC in the KM2 table in this section.

Our available TLAC decreased by USD 1.1 billion to USD 100.7 billion, mainly reflecting the aforementioned call of a EUR 2 billion tier 2 capital instrument, partly offset by a net increase of USD 1.3 billion from non-regulatory capital elements of TLAC.

Risk-weighted assets (RWA) decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and counterparty credit risk RWA of USD 0.3 billion.

The leverage ratio exposure was stable at USD 1,038 billion as the increases in derivative and securities financing transactions (SFTs) exposures were largely offset by the decrease in on-balance sheet exposures (excluding derivatives and SFTs).

The average high-quality liquid assets (HQLA) increased by USD 7.1 billion to USD 221.4 billion, due to higher cash balances, partly offset by higher funding consumption in the business divisions. Average total net cash outflows increased by USD 5.4 billion to USD 146.3 billion, due to an increase in average customer deposit balances.

 

 

6 


 

KM1: Key metrics

 

 

 

 

 

 

USD million, except where indicated

 

 

 

 

31.3.21

31.12.20

30.9.20

30.6.20

31.3.20

Available capital (amounts)

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 40,426 

 39,890 

 38,197 

 38,114 

 36,659 

1a

Fully loaded ECL accounting model CET11

 

 40,403 

 39,856 

 38,162 

 38,070 

 36,624 

2

Tier 1

 

 56,288 

 56,178 

 54,396 

 53,505 

 51,884 

2a

Fully loaded ECL accounting model Tier 11

 

 56,264 

 56,144 

 54,360 

 53,460 

 51,850 

3

Total capital

 

 58,822 

 61,226 

 59,382 

 58,876 

 57,752 

3a

Fully loaded ECL accounting model total capital1

 

 58,799 

 61,193 

 59,347 

 58,831 

 57,718 

Risk-weighted assets (amounts)

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 287,828 

 289,101 

 283,133 

 286,436 

 286,256 

4a

Minimum capital requirement2

 

 23,026 

 23,128 

 22,651 

 22,915 

 22,901 

4b

Total risk-weighted assets (pre-floor)

 

 287,828 

 289,101 

 283,133 

 286,436 

 286,256 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 14.05 

 13.80 

 13.49 

 13.31 

 12.81 

5a

Fully loaded ECL accounting model Common equity tier 1 ratio (%)1

 

 14.04 

 13.79 

 13.48 

 13.29 

 12.79 

6

Tier 1 ratio (%)

 

 19.56 

 19.43 

 19.21 

 18.68 

 18.12 

6a

Fully loaded ECL accounting model Tier 1 ratio (%)1

 

 19.55 

 19.42 

 19.20 

 18.66 

 18.11 

7

Total capital ratio (%)

 

 20.44 

 21.18 

 20.97 

 20.55 

 20.17 

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

 20.43 

 21.17 

 20.96 

 20.54 

 20.16 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.50 

 2.50 

 2.50 

 2.50 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.02 

 0.02 

 0.02 

 0.02 

 0.02 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)

 

 1.00 

 1.00 

 1.00 

 1.00 

 1.00 

11

Total of bank CET1-specific buffer requirements (%)

 

 3.52 

 3.52 

 3.52 

 3.52 

 3.52 

12

CET1 available after meeting the bank’s minimum capital requirements (%)

 

 9.55 

 9.30 

 8.99 

 8.81 

 8.31 

Basel III leverage ratio3

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 1,038,225 

 1,037,150 

 994,366 

 974,359 

 955,943 

14

Basel III leverage ratio (%)

 

 5.42 

 5.42 

 5.47 

 5.49 

 5.43 

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

 5.42 

 5.41 

 5.47 

 5.49 

 5.42 

Liquidity coverage ratio4

 

 

 

 

 

 

15

Total HQLA

 

 221,371 

 214,276 

 211,185 

 206,693 

 170,630 

16

Total net cash outflow

 

 146,314 

 140,891 

 137,345 

 133,786 

 122,383 

17

LCR (%)

 

 151 

 152 

 154 

 155 

 139 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    4 Calculated based on quarterly average. Refer to the “Liquidity coverage ratio” section of this report for more information.

  

KM2: Key metrics – TLAC requirements (at resolution group level)1

USD million, except where indicated

 

 

 

 

 

 

 

 

 

 

 

 

31.3.21

 

31.12.20

 

30.9.20

 

30.6.20

 

31.3.20

1

Total loss-absorbing capacity (TLAC) available

 

 100,720 

 

 101,814 

 

 97,753 

 

 93,626 

 

 93,686 

1a

Fully loaded ECL accounting model TLAC available2

 

 100,697 

 

 101,780 

 

 97,717 

 

 93,581 

 

 93,652 

2

Total RWA at the level of the resolution group

 

 287,828 

 

 289,101 

 

 283,133 

 

 286,436 

 

 286,256 

3

TLAC as a percentage of RWA (%)

 

 34.99 

 

 35.22 

 

 34.53 

 

 32.69 

 

 32.73 

3a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)2

 

 34.98 

 

 35.21 

 

 34.51 

 

 32.67 

 

 32.72 

4

Leverage ratio exposure measure at the level of the resolution group3

 

 1,038,225 

 

 1,037,150 

 

 994,366 

 

 974,359 

 

 955,943 

5

TLAC as a percentage of leverage ratio exposure measure (%)

 

 9.70 

 

 9.82 

 

 9.83 

 

 9.61 

 

 9.80 

5a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)2,3

 

 9.70 

 

 9.81 

 

 9.83 

 

 9.60 

 

 9.80 

6a

Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6b

Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6c

If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%)

 

N/A – Refer to our response to 6b.

1 Resolution group level is defined as the UBS Group AG consolidated level.    2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.

7 


UBS Group 

Section 2  Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (the BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).

For information about the measurement of risk exposures and RWA, refer to pages 13–15 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

Overview of RWA and capital requirements

The OV1 table on the following page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.

During the first quarter of 2021, RWA decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and as counterparty credit risk RWA of USD 0.3 billion.


Credit risk RWA under the internal ratings-based approach and the standardized approach decreased by USD 2.4 billion, mainly driven by a reduction related to currency effects, partially offset by increases in loans and loan commitments in the Investment Bank and loans in Global Wealth Management. The RWA increase related to investments in funds of USD 1.2 billion was due to a business-driven investment in Asset Management. The increase in credit valuation adjustment RWA of USD 1.1 billion was primarily due to a methodology and policy change related to derivatives for Lombard clients in Global Wealth Management. Counterparty credit risk RWA increased by USD 0.3 billion, driven by higher derivatives RWA due to higher trading activity, partially offset by currency effects.

Market risk RWA decreased by USD 1.5 billion, driven by a decrease in asset size and other movements in the Investment Bank’s Global Markets business resulting from lower stressed value-at-risk (SVaR) levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.

The flow tables for credit risk, counterparty credit risk and market risk RWA in this section provide further details regarding the movements in RWA in the first quarter of 2021.

More information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2021, is provided on pages 39–40 of the “Capital management“ section of our first quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors

 

8 


 

OV1: Overview of RWA

USD million

 

RWA

 

Minimum capital requirements1

 

 

31.3.21

31.12.20

 

31.3.21

1

Credit risk (excluding counterparty credit risk)

 

 137,485 

 139,846 

 

 10,999 

2

of which: standardized approach (SA)

 

 31,299 

 31,565 

 

 2,504 

2a

of which: non-counterparty-related risk

 

 12,922 

 13,393 

 

 1,034 

3

of which: foundation internal ratings-based (F-IRB) approach

 

 

 

 

 

4

of which: supervisory slotting approach

 

 

 

 

 

5

of which: advanced internal ratings-based (A-IRB) approach

 

 106,186 

 108,281 

 

 8,495 

6

Counterparty credit risk2

 

 40,691 

 40,354 

 

 3,255 

7

of which: SA for counterparty credit risk (SA-CCR)

 

 7,193 

 6,006 

 

 575 

8

of which: internal model method (IMM)

 

 19,352 

 19,380 

 

 1,548 

8a

of which: value-at-risk (VaR)

 

 7,353 

 8,386 

 

 588 

9

of which: other CCR

 

 6,793 

 6,581 

 

 543 

10

Credit valuation adjustment (CVA)

 

 4,080 

 2,945 

 

 326 

11

Equity positions under the simple risk-weight approach

 

 2,794 

 2,795 

 

 223 

12

Equity investments in funds – look-through approach

 

 893 

 882 

 

 71 

13

Equity investments in funds – mandate-based approach

 

 1,916 

 648 

 

 153 

14

Equity investments in funds – fallback approach

 

 86 

 126 

 

 7 

15

Settlement risk

 

 341 

 372 

 

 27 

16

Securitization exposures in banking book

 

 281 

 314 

 

 23 

17

of which: securitization internal ratings-based approach (SEC-IRBA)

 

 

 

 

 

18

of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)

 

 265 

 301 

 

 21 

19

of which: securitization standardized approach (SEC-SA)

 

 16 

 13 

 

 1 

20

Market risk

 

 10,354 

 11,841 

 

 828 

21

of which: standardized approach (SA)

 

 588 

 456 

 

 47 

22

of which: internal models approach (IMA)

 

 9,767 

 11,385 

 

 781 

23

Capital charge for switch between trading book and banking book3

 

 

 

 

 

24

Operational risk

 

 75,775 

 75,775 

 

 6,062 

25

Amounts below thresholds for deduction (250% risk weight)4

 

 13,133 

 13,202 

 

 1,051 

25a

 of which: deferred tax assets

 

 9,906 

 9,981 

 

 793 

26

Floor adjustment5

 

 

 

 

 

27

Total

 

 287,828 

 289,101 

 

 23,026 

1 Calculated based on 8% of RWA.    2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure.    3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book).    4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences.    5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions.

 

9 


UBS Group 

RWA flow statements of credit risk exposures under IRB

The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2021 across movement categories defined by the BCBS. These categories are described on page 48 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

Credit risk RWA under the advanced internal ratings-based (A-IRB) approach decreased by USD 2.1 billion to USD 106.2 billion during the first quarter of 2021.

The RWA increase from asset size movements of USD 2.8 billion was predominantly due to new loan commitments in the Investment Bank and an increase in Lombard loans in Global Wealth Management.


The RWA from asset quality decreased by USD 1.5 billion, mainly due to improvements in counterparty ratings and loss given default during the first quarter of 2021 in Global Wealth Management and Personal & Corporate Banking. Model updates of USD 0.6 billion were mainly driven by the recalibration of risk parameters for real estate and sovereign portfolios in Global Wealth Management and Group Functions. RWA decreased by USD 4 billion related to foreign exchange movements, mainly due to the strengthening of the US dollar against the Swiss franc, primarily in the Swiss mortgages portfolio in Personal & Corporate Banking and Global Wealth Management.

 

 

CR8: RWA flow statements of credit risk exposures under IRB

USD million

RWA

1

RWA as of 31.12.20

 108,281 

2

Asset size

 2,762 

3

Asset quality

 (1,456) 

4

Model updates

 550 

5

Methodology and policy

 

5a

of which: regulatory add-ons

 

6

Acquisitions and disposals

 

7

Foreign exchange movements

 (3,951) 

8

Other

 

9

RWA as of 31.3.21

 106,186 

 

 

RWA flow statements of counterparty credit risk exposures under the IMM and VaR

Counterparty credit risk (CCR) RWA on derivatives under the internal model method (IMM) was unchanged at USD 19.4 billion during the first quarter of 2021, primarily as an asset size increase in the Investment Bank, mainly as a result of higher trading activity, was offset by a decrease in RWA related to foreign exchange movements, credit quality, and model updates.


CCR RWA on securities financing transactions (SFTs) under the VaR approach decreased by USD 1 billion to USD 7.4 billion during the first quarter of 2021, mainly due to an asset size decrease primarily related to market volatility, as well as foreign exchange movements.

  

 

CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)

 

 

 

 

 

Derivatives

 

SFTs

 

Total

USD million

 

Subject to IMM

 

Subject to VaR

 

 

1

RWA as of 31.12.20

 

 19,380 

 

 8,386 

 

 27,767 

2

Asset size

 

 911 

 

 (767) 

 

 144 

3

Credit quality of counterparties

 

 (338) 

 

 (37) 

 

 (376) 

4

Model updates

 

 (211) 

 

 (90) 

 

 (301) 

5

Methodology and policy

 

 

 

 

 

 

5a

of which: regulatory add-ons

 

 

 

 

 

 

6

Acquisitions and disposals

 

 

 

 

 

 

7

Foreign exchange movements

 

 (390) 

 

 (139) 

 

 (529) 

8

Other

 

 

 

 

 

 

9

RWA as of 31.3.21

 

 19,352 

 

 7,353 

 

 26,705 

 

10 


 

RWA flow statements of market risk exposures
under an IMA

The three main components that contribute to market risk RWA are value-at-risk (VaR), stressed value-at-risk (SVaR) and incremental risk charge (IRC). VaR and SVaR components include the RWA charge for risks not in VaR (RniV).

The MR2 table below provides a breakdown of the movement in market risk RWA in the first quarter of 2021 under an internal models approach across those components, pursuant to the movement categories defined by the BCBS. These categories are described on page 78 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors


Market risk RWA under an internal models approach decreased by USD 1.6 billion to USD 9.8 billion in the first quarter of 2021, driven primarily by a decrease in asset size and other movements in the Investment Bank’s Global Markets business resulting from lower stressed VaR levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.

The VaR multiplier was unchanged compared with the prior quarter, at 3.0.

 

 

MR2: RWA flow statements of market risk exposures under an internal models approach1

USD million

VaR

Stressed VaR

IRC

CRM

Other

Total RWA

1

RWA as of 31.12.20

 2,170 

 7,257 

 1,958 

 

 

 11,385 

1a

Regulatory adjustment

 (1,332) 

 (4,034) 

 

 

 

 (5,366) 

1b

RWA at previous quarter-end (end of day)

 838 

 3,223 

 1,958 

 

 

 6,019 

2

Movement in risk levels

 2,033 

 (1,950) 

 102 

 

 

 185 

3

Model updates / changes

 (102) 

 98 

 

 

 

 (4) 

4

Methodology and policy

 

 

 

 

 

 

5

Acquisitions and disposals

 

 

 

 

 

 

6

Foreign exchange movements

 

 

 

 

 

 

7

Other

 (77) 

 (21) 

 

 

 

 (98) 

8a

RWA at the end of the reporting period (end of day)

 2,692 

 1,350 

 2,060 

 

 

 6,102 

8b

Regulatory adjustment

 

 3,664 

 

 

 

 3,664 

8c

RWA as of 31.3.21

 2,692 

 5,014 

 2,060 

 

 

 9,766 

1 Components that describe movements in RWA are presented in italics.

 

  

11 


UBS Group 

Section 3  Going and gone concern requirements and eligible capital

The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided on pages 33–42 in the “Capital management” section of our first quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors

 

Swiss SRB going and gone concern requirements and information

As of 31.3.21

 

          RWA

 

          LRD

USD million, except where indicated

 

in %

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

Total going concern capital

 

 13.961

 40,193 

 

 4.881

 50,613 

Common equity tier 1 capital

 

 9.66 

 27,816 

 

 3.382

 35,040 

of which: minimum capital

 

 4.50 

 12,952 

 

 1.50 

 15,573 

of which: buffer capital

 

 5.14 

 14,794 

 

 1.88 

 19,467 

of which: countercyclical buffer

 

 0.02 

 70 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 12,377 

 

 1.50 

 15,573 

of which: additional tier 1 capital

 

 3.50 

 10,074 

 

 1.50 

 15,573 

of which: additional tier 1 buffer capital

 

 0.80 

 2,303 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

Total going concern capital

 

 19.56 

 56,288 

 

 5.42 

 56,288 

Common equity tier 1 capital

 

 14.05 

 40,426 

 

 3.89 

 40,426 

Total loss-absorbing additional tier 1 capital3

 

 5.51 

 15,862 

 

 1.53 

 15,862 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4.64 

 13,361 

 

 1.29 

 13,361 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 0.87 

 2,501 

 

 0.24 

 2,501 

 

 

 

 

 

 

 

Required gone concern capital4

 

 

 

 

 

 

Total gone concern loss-absorbing capacity5

 

 10.59 

 30,468 

 

 3.76 

 39,012 

of which: base requirement

 

 12.86 

 37,015 

 

 4.50 

 46,720 

of which: additional requirement for market share and LRD

 

 1.08 

 3,109 

 

 0.38 

 3,893 

of which: applicable reduction on requirements

 

 (3.35) 

 (9,655) 

 

 (1.12) 

 (11,601) 

of which: rebate granted (equivalent to 47.5% of maximum rebate)

 

 (2.54) 

 (7,301) 

 

 (0.89) 

 (9,247) 

of which: reduction for usage of low-trigger tier 2 capital instruments

 

 (0.82) 

 (2,355) 

 

 (0.23) 

 (2,355) 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 15.42 

 44,381 

 

 4.27 

 44,381 

Total tier 2 capital

 

 1.82 

 5,253 

 

 0.51 

 5,253 

of which: low-trigger loss-absorbing tier 2 capital

 

 1.64 

 4,709 

 

 0.45 

 4,709 

of which: non-Basel III-compliant tier 2 capital

 

 0.19 

 544 

 

 0.05 

 544 

TLAC-eligible senior unsecured debt

 

 13.59 

 39,129 

 

 3.77 

 39,129 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 24.55 

 70,661 

 

 8.63 

 89,626 

Eligible total loss-absorbing capacity

 

 34.98 

 100,669 

 

 9.70 

 100,669 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

 

 287,828 

 

 

 

Leverage ratio denominator

 

 

 

 

 

 1,038,225 

1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD.    2 Our minimum CET1 leverage ratio requirement of 3.375% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.125% market share add-on requirement based on our Swiss credit business.    3 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the Swiss SRB framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements.    4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.    5 The gone concern requirement after the application of the rebate for resolvability measures and the reduction for the use of higher quality capital instruments is floored at 8.6% and 3% for the RWA- and LRD-based requirements, respectively. This means that the combined reduction may not exceed 5.34 percentage points for the RWA-based requirement of 13.94% and 1.875 percentage points for the LRD-based requirement of 4.875%.   

  

12 


 

Section 4  Leverage ratio 

Basel III leverage ratio

The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table in section 1 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD).

The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement values and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).

The table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table in this section.
The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.

Difference between the Swiss SRB and BCBS leverage ratio

The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules we are required to meet going and gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.

 

 

 

Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions

USD million

31.3.21

31.12.201

On-balance sheet exposures

 

 

IFRS total assets

 1,107,712 

 1,125,765 

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation

 (21,535) 

 (21,166) 

Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes

 

 

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 

 

Less carrying amount of derivative financial instruments in IFRS total assets2

 (183,352) 

 (192,370) 

Less carrying amount of securities financing transactions in IFRS total assets3

 (112,593) 

 (105,587) 

Adjustments to accounting values

 

 

On-balance sheet items excluding derivatives and securities financing transactions, but including collateral

 790,233 

 806,642 

Asset amounts deducted in determining BCBS Basel III tier 1 capital

 (12,632) 

 (12,754) 

Total on-balance sheet exposures (excluding derivatives and securities financing transactions)

 777,601 

 793,888 

1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    2 Consists of derivative financial instruments and cash collateral receivables on derivative instruments in accordance with the regulatory scope of consolidation.    3 Consists of receivables from securities financing transactions (SFTs), margin loans, prime brokerage receivables and financial assets at fair value not held for trading related to SFTs in accordance with the regulatory scope of consolidation.

 

 

13 


UBS Group 

During the first quarter of 2021, the LRD was stable at USD 1,038 billion. On-balance sheet exposures (excluding derivatives and SFTs) decreased by USD 16 billion, mainly driven by currency effects of USD 25 billion and lower high-quality liquid asset (HQLA) securities, partly offset by increases in
lending assets and cash and balances at central banks. Derivative exposures increased by USD 10 billion, mainly reflecting higher potential future exposure and market-driven movements. SFTs increased by USD 8 billion, mainly driven by excess cash re-investment and an increase in securities borrowing activities.

 

 

LR2: BCBS Basel III leverage ratio common disclosure

USD million, except where indicated

31.3.21

31.12.201

 

 

 

 

 

On-balance sheet exposures

 

 

1

On-balance sheet items excluding derivatives and SFTs, but including collateral

 790,233 

 806,642 

2

(Asset amounts deducted in determining Basel III tier 1 capital)

 (12,632) 

 (12,754) 

3

Total on-balance sheet exposures (excluding derivatives and SFTs)

 777,601 

 793,888 

 

 

 

 

 

Derivative exposures

 

 

4

Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)

 59,145 

 54,049 

5

Add-on amounts for PFE associated with all derivatives transactions

 84,270 

 79,901 

6

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework

 0 

 0 

7

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

 (23,146) 

 (21,420) 

8

(Exempted CCP leg of client-cleared trade exposures)

 (15,139) 

 (16,760) 

9

Adjusted effective notional amount of all written credit derivatives2

 80,570 

 85,274 

10

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)3

 (79,504) 

 (84,451) 

11

Total derivative exposures

 106,195 

 96,592 

 

 

 

 

 

Securities financing transaction exposures

 

 

12

Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions

 197,482 

 198,077 

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

 (84,890) 

 (92,490) 

14

CCR exposure for SFT assets

 10,648 

 9,759 

15

Agent transaction exposures

 

 

16

Total securities financing transaction exposures

 123,240 

 115,346 

 

 

 

 

 

Other off-balance sheet exposures

 

 

17

Off-balance sheet exposure at gross notional amount

 100,243 

 105,084 

18

(Adjustments for conversion to credit equivalent amounts)

 (69,053) 

 (73,760) 

19

Total off-balance sheet items

 31,189 

 31,324 

 

Total exposures (leverage ratio denominator)

 1,038,225 

 1,037,150 

 

 

 

 

 

Capital and total exposures (leverage ratio denominator)

 

 

20

Tier 1 capital

 56,288 

 56,178 

21

Total exposures (leverage ratio denominator)

 1,038,225 

 1,037,150 

 

 

 

 

 

Leverage ratio

 

 

22

Basel III leverage ratio (%)

 5.4 

 5.4 

1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    2 Includes protection sold, including agency transactions.    3 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met.

 

LR1: BCBS Basel III leverage ratio summary comparison

USD million

31.3.21

31.12.201

1

Total consolidated assets as per published financial statements

 1,107,712 

 1,125,765 

2

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation2

 (34,167) 

 (33,919) 

3

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 

 

4

Adjustments for derivative financial instruments

 (77,157) 

 (95,778) 

5

Adjustment for securities financing transactions (i.e., repos and similar secured lending)

 10,648 

 9,759 

6

Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)

 31,189 

 31,324 

7

Other adjustments

 

 

8

Leverage ratio exposure (leverage ratio denominator)

 1,038,225 

 1,037,150 

1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    2 Includes assets that are deducted from tier 1 capital.

14 


 

Section 5  Liquidity coverage ratio

Liquidity coverage ratio

We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.

 

Pillar 3 disclosure requirement

 

First quarter 2021 report section

 

Disclosure

 

First quarter 2021 report page number

Concentration of funding sources

 

Balance sheet and off-balance sheet

 

Liabilities by product and currency

 

47

        

 

High-quality liquid assets

HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of an active and sizeable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.

 

 

High-quality liquid assets

 

 

 

 

 

 

Average 1Q211

 

Average 4Q201

USD billion

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

Cash balances3

 

 145 

 

 145 

 

 133 

 

 133 

Securities (on- and off-balance sheet)

 

 58 

 18 

 76 

 

 63 

 18 

 81 

Total high-quality liquid assets4

 

 203 

 18 

 221 

 

 196 

 18 

 214 

1 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020.    2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets.    3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.    4 Calculated in accordance with FINMA requirements.

 

 

15 


UBS Group 

LCR development during the first quarter of 2021

In the first quarter of 2021, the UBS Group LCR decreased 1 percentage point to 151%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The average LCR decrease was primarily driven by increased net cash outflows from higher customer deposit balances. These outflows were mostly offset by higher high-quality liquid assets (HQLA) due to higher cash balances, partly offset by higher funding consumption in the business divisions.

 

LIQ1: Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

Average 1Q211

 

Average 4Q201

USD billion, except where indicated

 

Unweighted value

Weighted value2

 

Unweighted value

Weighted value2

 

High-quality liquid assets

 

 

 

 

 

 

1

High-quality liquid assets

 

 225 

 221 

 

 218 

 214 

 

 

 

 

 

 

 

 

Cash outflows

 

 

 

 

 

 

2

Retail deposits and deposits from small business customers

 

 299 

 34 

 

 296 

 33 

3

of which: stable deposits

 

 41 

 1 

 

 41 

 1 

4

of which: less stable deposits

 

 257 

 32 

 

 255 

 32 

5

Unsecured wholesale funding

 

 241 

 130 

 

 224 

 119 

6

of which: operational deposits (all counterparties)

 

 53 

 13 

 

 52 

 13 

7

of which: non-operational deposits (all counterparties)

 

 172 

 101 

 

 157 

 92 

8

of which: unsecured debt

 

 16 

 16 

 

 14 

 14 

9

Secured wholesale funding

 

 

 79 

 

 

 73 

10

Additional requirements

 

 90 

 26 

 

 88 

 27 

11

of which: outflows related to derivatives and other transactions

 

 47 

 17 

 

 45 

 18 

12

of which: outflows related to loss of funding on debt products3

 

 0 

 0 

 

 0 

 0 

13

of which: committed credit and liquidity facilities

 

 43 

 9 

 

 43 

 9 

14

Other contractual funding obligations

 

 12 

 10 

 

 13 

 11 

15

Other contingent funding obligations

 

 254 

 5 

 

 256 

 6 

16

Total cash outflows

 

 

 285 

 

 

 269 

 

 

 

 

 

 

 

 

Cash inflows

 

 

 

 

 

 

17

Secured lending

 

 321 

 85 

 

 314 

 81 

18

Inflows from fully performing exposures

 

 78 

 36 

 

 71 

 33 

19

Other cash inflows

 

 18 

 18 

 

 15 

 15 

20

Total cash inflows

 

 417 

 138 

 

 400 

 128 

 

 

 

 

 

 

 

 

 

Average 1Q211

 

 

Average 4Q201

USD billion, except where indicated

 

 

Total adjusted value4

 

 

Total adjusted value4

 

 

 

 

 

 

 

 

Liquidity coverage ratio

 

 

 

 

 

 

21

High-quality liquid assets

 

 

 221 

 

 

 214 

22

Net cash outflows

 

 

 146 

 

 

 141 

23

Liquidity coverage ratio (%)

 

 

 151 

 

 

 152 

1 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020.    2 Calculated after the application of haircuts and inflow and outflow rates.    3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities.    4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.

 

  

16 


 

Significant regulated subsidiaries and sub-groups

 


Significant regulated subsidiaries and sub-groups  

Section 1  Introduction

The sections on the following pages include capital and other regulatory information as of 31 March 2021 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.


Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

Section 2  UBS AG standalone

Key metrics of the first quarter of 2021

The table on the next page is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the first quarter of 2021, common equity tier 1 (CET1) capital was stable at USD 50.2 billion, as the operating profit before tax was offset by accruals for capital returns to UBS Group AG, current tax expenses and other items. Total capital decreased by USD 2.5 billion to USD 67.1 billion, mainly reflecting the call of a EUR 2 billion on-lend tier 2 capital instrument amounting to USD 2.4 billion.

Risk-weighted assets (RWA) increased by USD 12.2 billion to USD 317.8 billion during the first quarter of 2021, primarily driven by increases in credit and counterparty credit risk RWA,
including the gradual increase of risk weights for investments in the Swiss and foreign-domiciled subsidiaries in accordance with the relevant FINMA decree.

The leverage ratio exposure increased by USD 16 billion to USD 611 billion, mainly driven by higher derivative exposures and higher exposures from securities financing transactions.

The average high-quality liquid assets (HQLA) decreased by USD 1.9 billion to USD 82.0 billion driven by a reduction of cash balances. Average total net cash outflows decreased by USD 4.9 billion to USD 47.9 billion due to higher inflows from interbank funding provided.

 

   

18 


 

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

31.3.21

31.12.20

 

30.9.20

 

30.6.20

 

31.3.20

Available capital (amounts)

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 50,223 

 50,269 

 

 51,793 

 

 51,810 

 

 48,998 

1a

Fully loaded ECL accounting model CET11

 

 50,189 

 50,266 

 

 51,791 

 

 51,808 

 

 48,994 

2

Tier 1

 

 64,652 

 64,699 

 

 66,145 

 

 65,361 

 

 62,382 

2a

Fully loaded ECL accounting model tier 11

 

 64,618 

 64,696 

 

 66,143 

 

 65,359 

 

 62,379 

3

Total capital

 

 67,126 

 69,639 

 

 71,020 

 

 70,612 

 

 68,130 

3a

Fully loaded ECL accounting model total capital1

 

 67,091 

 69,636 

 

 71,018 

 

 70,610 

 

 68,127 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 317,824 

 305,575 

 

 309,019 

 

 310,752 

 

 317,621 

4a

Minimum capital requirement2

 

 25,426 

 24,446 

 

 24,722 

 

 24,860 

 

 25,410 

4b

Total risk-weighted assets (pre-floor)

 

 317,824 

 305,575 

 

 309,019 

 

 310,752 

 

 317,621 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 15.80 

 16.45 

 

 16.76 

 

 16.67 

 

 15.43 

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

 15.79 

 16.45 

 

 16.76 

 

 16.67 

 

 15.43 

6

Tier 1 ratio (%)

 

 20.34 

 21.17 

 

 21.40 

 

 21.03 

 

 19.64 

6a

Fully loaded ECL accounting model tier 1 ratio (%)1

 

 20.33 

 21.17 

 

 21.40 

 

 21.03 

 

 19.64 

7

Total capital ratio (%)

 

 21.12 

 22.79 

 

 22.98 

 

 22.72 

 

 21.45 

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

 21.11 

 22.79 

 

 22.98 

 

 22.72 

 

 21.45 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.50 

 2.50 

 

 2.50 

 

 2.50 

 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.02 

 0.01 

 

 0.02 

 

 0.02 

 

 0.01 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 

 

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)3

 

 

 

 

 

 

 

 

 

11

Total of bank CET1-specific buffer requirements (%)

 

 2.52 

 2.51 

 

 2.52 

 

 2.52 

 

 2.51 

12

CET1 available after meeting the bank’s minimum capital requirements (%)

 

 11.30 

 11.95 

 

 12.26 

 

 12.17 

 

 10.93 

Basel III leverage ratio4

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 611,022 

 595,017 

 

 588,204 

 

 573,741 

 

 574,692 

14

Basel III leverage ratio (%)

 

 10.58 

 10.87 

 

 11.25 

 

 11.39 

 

 10.85 

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

 10.58 

 10.87 

 

 11.24 

 

 11.39 

 

 10.85 

Liquidity coverage ratio5

 

 

 

 

 

 

 

 

 

15

Total HQLA

 

 82,041 

 83,905 

 

 88,424 

 

 91,877 

 

 67,963 

16

Total net cash outflow

 

 47,927 

 52,851 

 

 52,463 

 

 52,209 

 

 48,320 

17

LCR (%)

 

 172 

 159 

 

 169 

 

 178 

 

 141 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided on the following pages in this section.    4 The temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19 had no net effect on UBS AG standalone in 2020. Refer to the “Introduction and basis for preparation” section and to the “UBS AG standalone” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    5 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information.

 

19 


Significant regulated subsidiaries and sub-groups  

Swiss SRB going and gone concern requirements and information

The tables below and on the next page provide details of the Swiss systematically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are provided on the next page.


More information about the going and gone concern requirements and information is provided on page 112 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

 

 

Swiss SRB going and gone concern requirements and information

As of 31.3.21

 

RWA, phase-in

 

RWA, fully applied as of 1.1.28

 

LRD

USD million, except where indicated

 

in %

 

 

in %

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 13.961

 44,363 

 

 13.961

 53,313 

 

 4.881

 29,787 

Common equity tier 1 capital

 

 9.66 

 30,696 

 

 9.66 

 36,890 

 

 3.38 

 20,622 

of which: minimum capital

 

 4.50 

 14,302 

 

 4.50 

 17,188 

 

 1.50 

 9,165 

of which: buffer capital

 

 5.14 

 16,336 

 

 5.14 

 19,632 

 

 1.88 

 11,457 

of which: countercyclical buffer

 

 0.02 

 58 

 

 0.02 

 70 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 13,666 

 

 4.30 

 16,424 

 

 1.50 

 9,165 

of which: additional tier 1 capital

 

 3.50 

 11,124 

 

 3.50 

 13,368 

 

 1.50 

 9,165 

of which: additional tier 1 buffer capital

 

 0.80 

 2,543 

 

 0.80 

 3,056 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 20.34 

 64,652 

 

 16.93 

 64,652 

 

 10.58 

 64,652 

Common equity tier 1 capital

 

 15.80 

 50,223 

 

 13.15 

 50,223 

 

 8.22 

 50,223 

Total loss-absorbing additional tier 1 capital

 

 4.54 

 14,429 

 

 3.78 

 14,429 

 

 2.36 

 14,429 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 3.75 

 11,930 

 

 3.12 

 11,930 

 

 1.95 

 11,930 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 0.79 

 2,499 

 

 0.65 

 2,499 

 

 0.41 

 2,499 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

 

 317,824 

 

 

 381,948 

 

 

 

Leverage ratio denominator

 

 

 

 

 

 

 

 

 611,022 

 

 

 

 

 

 

 

 

 

 

Required gone concern capital2

 

Higher of RWA- or LRD-based

 

 

 

 

 

 

Total gone concern loss-absorbing requirement

 

 

 37,576 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 

 44,365 

 

 

 

 

 

 

Gone concern coverage capital ratio

 

 118.07 

 

 

 

 

 

 

 

1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD.    2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

 

20 


 

Swiss SRB going and gone concern information

 

 

 

USD million, except where indicated

 

31.3.21

31.12.20

 

 

 

 

Eligible going concern capital

 

 

 

Total going concern capital

 

 64,652 

 64,699 

Total tier 1 capital

 

 64,652 

 64,699 

Common equity tier 1 capital

 

 50,223 

 50,269 

Total loss-absorbing additional tier 1 capital

 

 14,429 

 14,430 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 11,930 

 11,854 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 2,499 

 2,575 

 

 

 

 

Eligible gone concern capital

 

 

 

Total gone concern loss-absorbing capacity

 

 44,365 

 45,520 

Total tier 2 capital

 

 5,236 

 7,719 

of which: low-trigger loss-absorbing tier 2 capital

 

 4,700 

 7,184 

of which: non-Basel III-compliant tier 2 capital

 

 536 

 535 

TLAC-eligible senior unsecured debt

 

 39,129 

 37,801 

 

 

 

 

Total loss-absorbing capacity

 

 

 

Total loss-absorbing capacity

 

 109,017 

 110,219 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

Risk-weighted assets, phase-in

 

 317,824 

 305,575 

of which: direct and indirect investments in Switzerland-domiciled subsidiaries1

 

 37,834 

 38,370 

of which: direct and indirect investments in foreign-domiciled subsidiaries1

 

 107,648 

 99,635 

Risk-weighted assets, fully applied as of 1.1.28

 

 381,948 

 379,307 

of which: direct and indirect investments in Switzerland-domiciled subsidiaries1

 

 43,993 

 45,678 

of which: direct and indirect investments in foreign-domiciled subsidiaries1

 

 165,612 

 166,058 

Leverage ratio denominator2

 

 611,022 

 595,017 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

Going concern capital ratio, phase-in

 

 20.3 

 21.2 

of which: common equity tier 1 capital ratio, phase-in

 

 15.8 

 16.5 

Going concern capital ratio, fully applied as of 1.1.28

 

 16.9 

 17.1 

of which: common equity tier 1 capital ratio, fully applied as of 1.1.28

 

 13.1 

 13.3 

 

 

 

 

Leverage ratios (%)2

 

 

 

Going concern leverage ratio

 

 10.6 

 10.9 

of which: common equity tier 1 leverage ratio

 

 8.2 

 8.4 

 

 

 

 

Gone concern capital coverage ratio (%)

 

 

 

Gone concern capital coverage ratio

 

 118.1 

 135.7 

1 Carrying amounts for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries (31 March 2021: USD 17,597 million; 31 December 2020: USD 18,271 million) and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 March 2021: USD 41,403 million; 31 December 2020: USD 41,515 million) are risk-weighted at 215% and 260%, respectively, for the current year (31 December 2020: 210% and 240%, respectively).    2 The leverage ratio denominator (LRD) and leverage ratios for 31 December 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to the “UBS AG standalone” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.

   

21 


Significant regulated subsidiaries and sub-groups  

Leverage ratio information

Swiss SRB leverage ratio denominator

 

 

 

 

USD billion

 

31.3.21

 

31.12.201

 

 

 

 

 

Leverage ratio denominator

 

 

 

 

Swiss GAAP total assets

 

 517.6 

 

 509.0 

Difference between Swiss GAAP and IFRS total assets

 

 146.1 

 

 160.0 

Less: derivative exposures and SFTs2

 

 (266.5) 

 

 (271.8) 

Less: funding provided to significant regulated subsidiaries eligible as gone concern capital

 

 (20.5) 

 

 (20.2) 

On-balance sheet exposures (excluding derivative exposures and SFTs)

 

 376.7 

 

 377.0 

Derivative exposures

 

 109.1 

 

 98.2 

Securities financing transactions

 

 104.3 

 

 99.4 

Off-balance sheet items

 

 22.2 

 

 21.6 

Items deducted from Swiss SRB tier 1 capital

 

 (1.3) 

 

 (1.2) 

Total exposures (leverage ratio denominator)

 

 611.0 

 

 595.0 

1 The temporary exemption granted by FINMA in connection with COVID-19 had no net effect on UBS AG standalone.    2 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.

 

 

Liquidity coverage ratio

In the first quarter of 2021, the UBS AG liquidity coverage ratio (LCR) was 172%, remaining above the prudential requirements communicated by FINMA.

 

Liquidity coverage ratio

 

 

 

 

 

Weighted value1

USD billion, except where indicated

 

Average 1Q212

Average 4Q202

High-quality liquid assets

 

 82 

 84 

Total net cash outflows

 

 48 

 53 

of which: cash outflows

 

 172 

 166 

of which: cash inflows

 

 124 

 113 

Liquidity coverage ratio (%)

 

 172 

 159 

1 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.    2 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020.

 

 

  

22 


 

Section 3  UBS Switzerland AG standalone

Key metrics of the first quarter of 2021

The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the first quarter of 2021, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 12.4 billion, mainly as a result of net profit. Tier 1 capital and total capital increased by CHF 0.4 billion to CHF 17.8 billion, reflecting the aforementioned increase in CET1 capital and a new additional tier 1 (AT1) capital issuance of CHF 0.7 billion, partly offset by the call of a CHF 0.5 billion AT1 capital instrument.

Risk-weighted assets (RWA) increased by CHF 2.9 billion to CHF 110.2 billion, primarily due to increased exposures across Lombard loans and securities financing transactions.


The leverage ratio exposure increased by CHF 10 billion to CHF 345 billion, mainly driven by on-balance sheet exposures from lending assets, as well as securities financing transactions.

The average high-quality liquid assets (HQLA) increased by CHF 4.5 billion to CHF 96.4 billion driven by higher cash balances. Average total net cash outflows increased by CHF 3.8 billion to CHF 65.8 billion, due to higher customer deposit balances.

 

KM1: Key metrics

 

 

 

 

 

 

CHF million, except where indicated

 

 

 

31.3.21

31.12.20

30.9.20

30.6.20

31.3.20

Available capital (amounts)

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 12,417 

 12,234 

 11,992 

 11,776 

 11,427 

1a

Fully loaded ECL accounting model CET11

 

 12,416 

 12,233 

 11,989 

 11,774 

 11,422 

2

Tier 1

 

 17,819 

 17,410 

 16,683 

 16,479 

 16,137 

2a

Fully loaded ECL accounting model tier 11

 

 17,818 

 17,409 

 16,680 

 16,476 

 16,132 

3

Total capital

 

 17,819 

 17,410 

 16,683 

 16,479 

 16,137 

3a

Fully loaded ECL accounting model total capital1

 

 17,818 

 17,409 

 16,680 

 16,476 

 16,132 

Risk-weighted assets (amounts)

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 110,194 

 107,253 

 107,066 

 105,304 

 104,489 

4a

Minimum capital requirement2

 

 8,816 

 8,580 

 8,565 

 8,424 

 8,359 

4b

Total risk-weighted assets (pre-floor)

 

 93,149 

 92,164 

 92,755 

 92,740 

 92,981 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 11.27 

 11.41 

 11.20 

 11.18 

 10.94 

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

 11.27 

 11.41 

 11.20 

 11.18 

 10.93 

6

Tier 1 ratio (%)

 

 16.17 

 16.23 

 15.58 

 15.65 

 15.44 

6a

Fully loaded ECL accounting model tier 1 ratio (%)1

 

 16.17 

 16.23 

 15.58 

 15.65 

 15.44 

7

Total capital ratio (%)

 

 16.17 

 16.23 

 15.58 

 15.65 

 15.44 

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

 16.17 

 16.23 

 15.58 

 15.65 

 15.44 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.50 

 2.50 

 2.50 

 2.50 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.02 

 0.01 

 0.01 

 0.01 

 0.01 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)3

 

 

 

 

 

 

11

Total of bank CET1-specific buffer requirements (%)

 

 2.52 

 2.51 

 2.51 

 2.51 

 2.51 

12

CET1 available after meeting the bank’s minimum capital requirements (%)

 

 6.77 

 6.91 

 6.70 

 6.68 

 6.44 

Basel III leverage ratio4

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 344,925 

 335,251 

 327,113 

 323,068 

 317,071 

14

Basel III leverage ratio (%)

 

 5.17 

 5.19 

 5.10 

 5.10 

 5.09 

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

 5.17 

 5.19 

 5.10 

 5.10 

 5.09 

Liquidity coverage ratio5

 

 

 

 

 

 

15

Total HQLA

 

 96,366 

 91,909 

 87,254 

 85,180 

 74,602 

16

Total net cash outflow

 

 65,829 

 62,074 

 59,930 

 61,847 

 53,059 

17

LCR (%)

 

 146 

 148 

 146 

 138 

 141 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are provided on the next page.    4 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to the “UBS Switzerland AG standalone” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    5 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information.

 

23 


Significant regulated subsidiaries and sub-groups  

Swiss SRB going and gone concern requirements and information

UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 31 March 2021, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.96%, including a countercyclical buffer of 0.02%, and 4.875%, respectively.
The gone concern requirements were 8.64% for the RWA-based requirement and 3.02% for the leverage ratio denominator (LRD)-based requirement.

The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone concern requirement effective from 1 January 2020, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions).

 

 

Swiss SRB going and gone concern requirements and information

As of 31.3.21

 

RWA

 

LRD

CHF million, except where indicated

 

in %

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

Total going concern capital

 

 13.961

 15,381 

 

 4.881

 16,815 

Common equity tier 1 capital

 

 9.66 

 10,643 

 

 3.38 

 11,641 

of which: minimum capital

 

 4.50 

 4,959 

 

 1.50 

 5,174 

of which: buffer capital

 

 5.14 

 5,664 

 

 1.88 

 6,467 

of which: countercyclical buffer

 

 0.02 

 20 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 4,738 

 

 1.50 

 5,174 

of which: additional tier 1 capital

 

 3.50 

 3,857 

 

 1.50 

 5,174 

of which: additional tier 1 buffer capital

 

 0.80 

 882 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

Total going concern capital

 

 16.17 

 17,819 

 

 5.17 

 17,819 

Common equity tier 1 capital

 

 11.27 

 12,417 

 

 3.60 

 12,417 

Total loss-absorbing additional tier 1 capital

 

 4.90 

 5,402 

 

 1.57 

 5,402 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4.90 

 5,402 

 

 1.57 

 5,402 

 

 

 

 

 

 

 

Required gone concern capital2

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 8.64 

 9,524 

 

 3.02 

 10,425 

of which: base requirement

 

 7.97 

 8,786 

 

 2.79 

 9,623 

of which: additional requirement for market share and LRD

 

 0.67 

 738 

 

 0.23 

 802 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 9.88 

 10,890 

 

 3.16 

 10,890 

TLAC-eligible senior unsecured debt

 

 9.88 

 10,890 

 

 3.16 

 10,890 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 22.60 

 24,905 

 

 7.90 

 27,240 

Eligible total loss-absorbing capacity

 

 26.05 

 28,709 

 

 8.32 

 28,709 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

 

 

 

Risk-weighted assets

 

 

 110,194 

 

 

 

Leverage ratio denominator

 

 

 

 

 

 344,925 

1 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD.    2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

24 


 

Swiss SRB loss-absorbing capacity

Swiss SRB going and gone concern information

CHF million, except where indicated

 

31.3.21

31.12.20

 

 

 

 

Eligible going concern capital

 

 

 

Total going concern capital

 

 17,819 

 17,410 

Total tier 1 capital

 

 17,819 

 17,410 

Common equity tier 1 capital

 

 12,417 

 12,234 

Total loss-absorbing additional tier 1 capital

 

 5,402 

 5,176 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 5,402 

 5,176 

 

 

 

 

Eligible gone concern capital

 

 

 

Total gone concern loss-absorbing capacity

 

 10,890 

 10,824 

TLAC-eligible senior unsecured debt

 

 10,890 

 10,824 

 

 

 

 

Total loss-absorbing capacity

 

 

 

Total loss-absorbing capacity

 

 28,709 

 28,234 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

Risk-weighted assets

 

 110,194 

 107,253 

Leverage ratio denominator1

 

 344,925 

 335,251 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

Going concern capital ratio

 

 16.2 

 16.2 

of which: common equity tier 1 capital ratio

 

 11.3 

 11.4 

Gone concern loss-absorbing capacity ratio

 

 9.9 

 10.1 

Total loss-absorbing capacity ratio

 

 26.1 

 26.3 

 

 

 

 

Leverage ratios (%)1

 

 

 

Going concern leverage ratio

 

 5.2 

 5.2 

of which: common equity tier 1 leverage ratio

 

 3.6 

 3.6 

Gone concern leverage ratio

 

 3.2 

 3.2 

Total loss-absorbing capacity leverage ratio

 

 8.3 

 8.4 

1 The leverage ratio denominator (LRD) and leverage ratios for 31 December 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to the “UBS Switzerland AG standalone” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.

 

25 


Significant regulated subsidiaries and sub-groups  

Leverage ratio information

Swiss SRB leverage ratio denominator

 

 

 

CHF billion

 

31.3.21

31.12.201

 

 

 

 

Leverage ratio denominator

 

 

 

Swiss GAAP total assets

 

 325.9 

 316.8 

Difference between Swiss GAAP and IFRS total assets

 

 4.5 

 4.5 

Less: derivative exposures and SFTs2

 

 (14.9) 

 (10.6) 

On-balance sheet exposures (excluding derivative exposures and SFTs)

 

 315.5 

 310.7 

Derivative exposures

 

 5.8 

 5.7 

Securities financing transactions

 

 8.1 

 3.8 

Off-balance sheet items

 

 15.7 

 15.2 

Items deducted from Swiss SRB tier 1 capital

 

 (0.2) 

 (0.2) 

Total exposures (leverage ratio denominator)

 

 344.9 

 335.3 

1 The respective period shown ending on 31 December 2020 does not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to the “UBS Switzerland AG standalone” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    2 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.

 

Liquidity coverage ratio

In the first quarter of 2021, the liquidity coverage ratio (LCR) of UBS Switzerland AG, which is a Swiss SRB, was 146%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA) in connection with the Swiss Emergency Plan.   

 

Liquidity coverage ratio

 

 

Weighted value1

CHF billion, except where indicated

 

Average 1Q212

Average 4Q202

High-quality liquid assets

 

 96 

 92 

Total net cash outflows

 

 66 

 62 

of which: cash outflows

 

 94 

 89 

of which: cash inflows

 

 29 

 27 

Liquidity coverage ratio (%)

 

 146 

 148 

1 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.    2 Calculated based on an average of 63 data points in the first quarter of 2021 and 63 data points in the fourth quarter of 2020.

26 


 

Capital instruments

Capital instruments of UBS Switzerland AG – key features

 

 

 

 

Presented according to issuance date.

 

 

 

 

 

Share capital

 

Additional tier 1 capital

1

Issuer

 

UBS Switzerland AG, Switzerland

 

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

UBS Switzerland AG, Switzerland

1a

Instrument number

 

1

 

 2 

 3 

 4 

5

6

7

8

2

Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement)

 

 

3

Governing law(s) of the instrument

 

Swiss

 

Swiss

3a

Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law)

 

n/a

 

n/a

 

Regulatory treatment

 

 

 

 

 

 

 

 

 

 

4

Transitional Basel III rules1

 

CET1 – Going concern capital

 

Additional tier 1 capital

5

Post-transitional Basel III rules2

 

CET1 – Going concern capital

 

Additional tier 1 capital

6

Eligible at solo / group / group and solo

 

UBS Switzerland AG consolidated and standalone

 

UBS Switzerland AG consolidated and standalone

7

Instrument type (types to be specified by each jurisdiction)

 

Ordinary shares

 

Loan3

8

Amount recognized in regulatory capital (currency in millions, as of most recent reporting date)1

 

CHF 10.0

 

CHF 1,500

CHF 1,000

CHF 825

USD 425

CHF 475

CHF 500

CHF 700

9

Par value of instrument

 

CHF 10.0

 

CHF 1,500

CHF 1,000

CHF 825

USD 425

CHF 475

CHF 500

CHF 700

10

Accounting classification4

 

Equity attributable to UBS Switzerland AG shareholders

 

Due to banks held at amortized cost

11

Original date of issuance

 

 

1 April 2015

18 December 2017

12 December 2018

12 December 2018

11 December 2019

29 October 2020

11 March 2021

12

Perpetual or dated

 

 

Perpetual

13

Original maturity date

 

 

14

Issuer call subject to prior supervisory approval

 

 

Yes

15

Optional call date, contingent call dates and redemption amount

 

 

First optional repayment date:

1 April 2020

First optional repayment date:

18 December 2022

First optional repayment date:

12 December 2023

First optional repayment date:

12 December 2023

First optional repayment date:

11 December 2024

First optional repayment date:

29 October 2025

First optional repayment date:

11 March 2026

 

Repayable at any time after the first optional repayment date.

Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest thereon

16

Subsequent call dates, if applicable

 

 

Early repayment possible due to a tax or regulatory event. Repayment due to tax event subject to FINMA approval.

Repayment amount: principal amount, together with accrued and unpaid interest

 

27 


Significant regulated subsidiaries and sub-groups  

Capital instruments of UBS Switzerland AG – key features (continued)

 

 

 

 

 

Coupons

 

 

 

 

 

 

 

 

 

 

17

Fixed or floating dividend / coupon

 

 

Floating

18

Coupon rate and any related index

 

 

6-month CHF LIBOR

+ 370 bps

per annum

semi-annually

3-month CHF LIBOR

+ 250 bps

per annum quarterly

3-month CHF LIBOR

+ 489 bps

per annum quarterly

3-month USD LIBOR

+ 547 bps

per annum quarterly

3-month CHF LIBOR

+ 433 bps

per annum quarterly

3-month SARON Compound Rate

+ 397 bps

3-month SARON Compound Rate

+ 337 bps

19

Existence of a dividend stopper

 

 

No

20

Fully discretionary, partially discretionary or mandatory

 

Fully discretionary

 

Fully discretionary

21

Existence of step-up or other incentive to redeem

 

 

No

22

Non-cumulative or cumulative

 

Non-cumulative

 

Non-cumulative

23

Convertible or non-convertible

 

 

Non-convertible

24

If convertible, conversion trigger(s)

 

 

25

If convertible, fully or partially

 

 

26

If convertible, conversion rate

 

 

27

If convertible, mandatory or optional conversion

 

 

28

If convertible, specify instrument type convertible into

 

 

29

If convertible, specify issuer of instrument it converts into

 

 

30

Write-down feature

 

 

Yes

31

If write-down, write-down trigger(s)

 

 

Trigger: CET1 ratio is less than 7%

 

 

FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support that FINMA determines necessary to ensure UBS Switzerland AG‘s viability.

Subject to applicable conditions

32

If write-down, fully or partially

 

 

Fully 

33

If write-down, permanent or temporary

 

 

Permanent

34

If temporary write-down, description of write-up mechanism

 

 

34a

Type of subordination

 

Statutory

 

Contractual

35

Position in subordination hierarchy in liquidation (specify instrument type immediately

senior to instrument in the insolvency creditor hierarchy of the legal entity concerned)

 

Unless otherwise stated in the articles of association, once debts are paid back, the assets of the liquidated company are divided between the shareholders pro rata based on their contributions and considering the preferences attached to certain categories of shares (Art. 745, Swiss Code of Obligations)

 

Subject to any obligations that are mandatorily preferred by law, each obligation of USB Switzerland AG that is unsubordinated or is subordinated and not ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)

36

Non-compliant transitioned features

 

 

37

If yes, specify non-compliant features

 

 

1 Based on Swiss SRB (including transitional arrangement) requirements.    2 Based on Swiss SRB requirements applicable as of 1 January 2020.    3 Loans granted by UBS AG, Switzerland.    4 As applied in UBS Switzerland AG‘s financial statements under Swiss GAAP.

28 


 

Section 4  UBS Europe SE consolidated

The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements.

During the first quarter of 2021, common equity tier 1 (CET1) capital remained stable. Risk-weighted assets increased by EUR 1 billion to EUR 14.1 billion, driven by increases in market risk due to a change in model permissions and credit risk. Leverage ratio exposure increased by EUR 2.2 billion to EUR 43.6 billion, mainly reflecting an increase in securities financing transactions, derivative instruments and other cash balances, partly offset by a decrease in high-quality liquid asset (HQLA)-eligible bonds.

The average liquidity coverage ratio increased by 6%, mainly due to a EUR 0.3 billion decrease in total net cash outflows.

Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.  

 

     

KM1: Key metrics1,2

 

 

 

EUR million, except where indicated

 

 

 

 

 

 

31.3.21

31.12.20

30.9.20

30.6.203

31.3.203

Available capital (amounts)

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 3,721 

 3,703 

 3,728 

 3,736 

 3,603 

2

Tier 1

 

 4,011 

 3,993 

 4,018 

 4,026 

 3,893 

3

Total capital

 

 4,011 

 3,993 

 4,018 

 4,026 

 3,893 

Risk-weighted assets (amounts)

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 14,125 

 13,175 

 13,285 

 13,559 

 15,154 

4a

Minimum capital requirement4

 

 1,130 

 1,054 

 1,063 

 1,085 

 1,212 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 26.3 

 28.1 

 28.1 

 27.6 

 23.8 

6

Tier 1 ratio (%)

 

 28.4 

 30.3 

 30.2 

 29.7 

 25.7 

7

Total capital ratio (%)

 

 28.4 

 30.3 

 30.2 

 29.7 

 25.7 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.5 

 2.5 

 2.5 

 2.5 

 2.5 

9

Countercyclical buffer requirement (%)

 

 0.1 

 0.0 

 0.0 

 0.0 

 0.1 

10

Bank G-SIB and / or D-SIB additional requirements (%)

 

 

 

 

 

 

11

Total of bank CET1-specific buffer requirements (%)

 

 2.6 

 2.5 

 2.5 

 2.5 

 2.6 

12

CET1 available after meeting the bank’s minimum capital requirements (%)5

 

 20.4 

 22.3 

 22.2 

 21.7 

 17.7 

Basel III leverage ratio

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 43,620 

 41,376 

 43,371 

 42,172 

 49,004 

14

Basel III leverage ratio (%)6

 

 9.2 

 9.7 

 9.3 

 9.6 

 7.9 

Liquidity coverage ratio7

 

 

 

 

 

 

15

Total HQLA

 

 17,175 

 17,074 

 16,257 

 15,540 

 14,839 

16

Total net cash outflow

 

 11,003 

 11,334 

 11,276 

 11,062 

 10,457 

17

LCR (%)

 

 157 

 151 

 144 

 141 

 142 

1 Based on applicable EU regulatory rules.    2 There is no local disclosure requirement for the net stable funding ratio as at 31 March 2021.    3 Comparative figures have been restated to align with the UBS Europe SE Pillar 3 report and other regulatory reports as submitted to the European Central Bank (the ECB), which reflect the ECB’s recommendation to EU financial institutions to refrain from making capital distributions until the ECB changes its guidance on dividend payments.    4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    5 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1.    6 On the basis of tier 1 capital.    7 Figures are calculated on a twelve-month average.

 

 

  

29 


Significant regulated subsidiaries and sub-groups  

Section 5  UBS Americas Holding LLC consolidated

The table below provides information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements and in accordance with US Basel III rules.

Effective 1 October 2020, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 6.7%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the annual Dodd–Frank Act Stress Testing (DFAST) and the Comprehensive Capital Analysis and Review (and based on DFAST results and planned future dividends). The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.


During the first quarter of 2021, the common equity tier 1 (CET1) ratio decreased from 22.5% to 21.2%, due to a USD 5.6 billion increase of risk-weighted assets (RWA), mainly driven by an increase in credit risk RWA. Leverage ratio exposure, calculated on an average basis, increased by USD 14.8 billion to USD 169.4 billion. The increase was due to a USD 14.7 billion increase in average assets, resulting from increases in cash held at Federal Reserve Banks and lending exposure.

Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

  

KM1: Key metrics1,2

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

31.3.213

 

31.12.203

 

30.9.203

 

30.6.203,4

 

31.3.204

Available capital (amounts)

 

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 14,716 

 

 14,384 

 

 13,840 

 

 13,535 

 

 11,932 

2

Tier 1

 

 17,763 

 

 17,431 

 

 16,883 

 

 16,578 

 

 14,980 

3

Total capital

 

 18,498 

 

 18,166 

 

 17,626 

 

 17,344 

 

 15,735 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 69,481 

 

 63,929 

 

 65,084 

 

 64,351 

 

 53,812 

4a

Minimum capital requirement5

 

 5,558 

 

 5,114 

 

 5,207 

 

 5,148 

 

 4,305 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 21.2 

 

 22.5 

 

 21.3 

 

 21.0 

 

 22.2 

6

Tier 1 ratio (%)

 

 25.6 

 

 27.3 

 

 25.9 

 

 25.8 

 

 27.8 

7

Total capital ratio (%)

 

 26.6 

 

 28.4 

 

 27.1 

 

 27.0 

 

 29.2 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.5 

 

 2.5 

 

 2.5 

 

 2.5 

 

 2.5 

8a

Stress capital buffer requirement (%) 

 

 6.7 

 

 6.7 

 

 

 

 

 

 

9

Countercyclical buffer requirement (%)

 

 

 

 

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)

 

 

 

 

 

 

 

 

 

 

11

Total of bank CET1-specific buffer requirements (%)

 

 2.5 

 

 2.5 

 

 2.5 

 

 2.5 

 

 2.5 

11a

Total bank specific capital requirements (%)

 

 6.7 

 

 6.7 

 

 

 

 

 

 

12

CET1 available after meeting the bank’s minimum capital requirements (%)6

 

 16.7 

 

 18.0 

 

 16.8 

 

 16.5 

 

 17.7 

Basel III leverage ratio

 

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 169,386 

 

 154,609 

 

 148,038 

 

 146,652 

 

 135,534 

14

Basel III leverage ratio (%)7

 

 10.5 

 

 11.3 

 

 11.4 

 

 11.3 

 

 11.1 

14a

Total Basel III supplementary leverage ratio exposure measure8

 

 159,587 

 

 150,019 

 

 150,609 

 

 147,683 

 

 

14b

Basel III supplementary leverage ratio (%)7,8

 

 11.1 

 

 11.6 

 

 11.2 

 

 11.2 

 

 

1 The adoption of ASU 2019-12 in the second quarter of 2020 resulted in a retrospective removal of cumulative tax expense and related balances pertaining to UBS Americas Holding LLC within the IHC tax group  for financial reporting purposes. For the purpose of regulatory reporting, this accounting change has been applied prospectively and the corresponding comparative regulatory key figures have not been restated.    2 There is no local disclosure requirement for liquidity coverage ratio or net stable funding ratio for UBS Americas Holding LLC.    3 UBS Americas Holding LLC, as a designated category III bank, has been subject to a simplification of regulatory capital rules since 1 April 2020. The revisions simplify the framework for regulatory capital deductions and increase risk weights for certain assets, impacting the CET1 ratio by 0.3% as of 31 March 2021, 31 December 2020, 30 September 2020 and 30 June 2020.    4 Refer to the “Introduction and basis for preparation” section of the 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for information on the restatement of comparative information, as applicable.    5 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    6 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%.    7 On the basis of tier 1 capital.    8 UBS Americas Holding LLC, as a designated category III bank, has been subject to supplementary leverage ratio (SLR) reporting since 1 April 2020. US Regulatory authorities temporarily eased the requirements for the SLR, allowing for the exclusion of US Treasury securities and deposits at the Federal Reserve Banks from the SLR denominator through March 2021. This exclusion resulted in an increase in the SLR of 187 bps on 31 March 2021, 170 bps on 31 December 2020, 136 bps on 30 September 2020 and 135 bps on 30 June 2020.

 

 

 

  

30 


 

Abbreviations frequently used in our financial reports

 

A

ABS                 asset-backed securities

AEI                  automatic exchange of information

AGM               Annual General Meeting of shareholders

A-IRB              advanced internal
ratings-based

AIV                  alternative investment vehicle

ALCO              Asset and Liability Committee

AMA               advanced measurement approach

AML                anti-money laundering

AoA                Articles of Association

APAC              Asia Pacific

APM                alternative performance measure

ARR                 alternative reference rate

ARS                 auction rate securities

ASF                 available stable funding

AT1                 additional tier 1

AuM               assets under management

 

B

BCBS               Basel Committee on
Banking Supervision

BEAT               base erosion and anti-abuse tax

BIS                   Bank for International Settlements

BoD                 Board of Directors

BVG                Swiss occupational
pension plan

 

C

CAO                Capital Adequacy Ordinance

CCAR              Comprehensive Capital Analysis and Review

CCF                 credit conversion factor

CCP                 central counterparty

CCR                counterparty credit risk

CCRC              Corporate Culture and Responsibility Committee

CCyB               countercyclical buffer

CDO                collateralized debt
obligation

CDS                 credit default swap

CEA                 Commodity Exchange Act

 


CEM                current exposure method

CEO                Chief Executive Officer

CET1               common equity tier 1

CFO                 Chief Financial Officer

CFTC               US Commodity Futures Trading Commission

CHF                 Swiss franc

CIC                  Corporate & Institutional Clients

CIO                 Chief Investment Office

CLS                 Continuous Linked Settlement

CMBS             commercial mortgage-backed security

C&ORC           Compliance & Operational Risk Control

CRD IV            EU Capital Requirements Directive of 2013

CRM               credit risk mitigation (credit risk) or comprehensive risk measure (market risk)

CRR                 Capital Requirements Regulation

CST                 combined stress test

CVA                credit valuation adjustment

 

D

DBO                defined benefit obligation

DCCP              Deferred Contingent Capital Plan

DJSI                 Dow Jones Sustainability Indices

DM                  discount margin

DOJ                 US Department of Justice

D-SIB               domestic systemically important bank

DTA                 deferred tax asset

DVA                debit valuation adjustment

 

E

EAD                 exposure at default

EB                    Executive Board

EBA                 European Banking Authority

EC                   European Commission

ECB                 European Central Bank

ECL                  expected credit loss

EIR                   effective interest rate

EL                    expected loss

EMEA              Europe, Middle East and Africa

EOP                 Equity Ownership Plan

EPE                  expected positive exposure


EPS                  earnings per share

ESG                 environmental, social and governance

ETD                 exchange-traded derivatives

ETF                  exchange-traded fund

EU                   European Union

EUR                 euro

Euribor           Euro Interbank Offered Rate

EVE                  economic value of equity

EY                    Ernst & Young (Ltd)

 

F

FA                    financial advisor

FCA                 UK Financial Conduct
Authority

FCT                  foreign currency translation

FINMA            Swiss Financial Market Supervisory Authority

FMIA               Swiss Financial Market Infrastructure Act

FSB                  Financial Stability Board

FTA                  Swiss Federal Tax Administration

FVA                 funding valuation adjustment

FVOCI             fair value through other comprehensive income

FVTPL              fair value through profit or loss

FX                    foreign exchange

 

G

GAAP              generally accepted
accounting principles

GBP                 pound sterling

GDP                gross domestic product

GEB                 Group Executive Board

GIA                 Group Internal Audit

GIIPS               Greece, Italy, Ireland,
Portugal and Spain

GMD               Group Managing Director

GRI                  Global Reporting Initiative

GSE                 government sponsored entities

G-SIB              global systemically important bank

 

H

HQLA              high-quality liquid assets

HR                   human resources

 

31 


Appendix 

 

Abbreviations frequently used in our financial reports (continued)

 

I

IAA                  internal assessment approach

IAS                  International Accounting Standards

IASB                International Accounting Standards Board

IBOR                interbank offered rate

IFRIC               International Financial Reporting Interpretations Committee

IFRS                 International Financial Reporting Standards

IHC                  intermediate holding company

IMA                 internal models approach

IMM                internal model method

IRB                  internal ratings-based

IRC                  incremental risk charge

IRRBB              interest rate risk in the banking book

ISDA                International Swaps and Derivatives Association

 

K

KRT                 Key Risk Taker

 

L

LAS                  liquidity-adjusted stress

LCR                 liquidity coverage ratio

LGD                 loss given default

LIBOR              London Interbank Offered Rate

LLC                  limited liability company

LRD                 leverage ratio denominator

LTIP                 Long-Term Incentive Plan

LTV                  loan-to-value

 

M

M&A               mergers and acquisitions

MiFID II           Markets in Financial Instruments Directive II

MRT                Material Risk Taker

 

N

NAV                net asset value

NCL                 Non-core and Legacy Portfolio

 


NII                   net interest income

NRV                 negative replacement value

NSFR               net stable funding ratio

NYSE               New York Stock Exchange

 

O

OCA                own credit adjustment

OCI                 other comprehensive income

OTC                over-the-counter

 

P

PD                   probability of default   

PFE                  potential future exposure

PIT                   point in time

P&L                  profit or loss

POCI               purchased or originated credit-impaired

PRA                 UK Prudential Regulation Authority

PRV                 positive replacement value

 

Q

QCCP              qualifying central counterparty

QRRE              qualifying revolving retail exposures

 

R

RBA                 role-based allowances

RBC                 risk-based capital

RbM                risk-based monitoring

RMBS              residential mortgage-backed securities

RniV                risks not in VaR

RoAE               return on attributed equity

RoCET1           return on CET1 capital

RoTE               return on tangible equity

RoU                 right-of-use

RV                   replacement value

RW                  risk weight

RWA               risk-weighted assets

 

S

SA                   standardized approach

SA-CCR          standardized approach for counterparty credit risk


SAR                 stock appreciation right or Special Administrative Region

SBC                 Swiss Bank Corporation

SDG                Sustainable Development Goal

SE                    structured entity

SEC                 US Securities and Exchange Commission

SEEOP             Senior Executive Equity Ownership Plan

SFT                  securities financing transaction

SI                     sustainable investing

SICR                significant increase in credit risk

SIX                   SIX Swiss Exchange

SME                small and medium-sized entity

SMF                 Senior Management Function

SNB                 Swiss National Bank

SPPI                 solely payments of principal and interest

SRB                 systemically relevant bank

SRM                specific risk measure

SVaR               stressed value-at-risk

 

T

TBTF                too big to fail

TCJA               US Tax Cuts and Jobs Act

TLAC               total loss-absorbing capacity

TTC                 through-the-cycle

 

U

UBS RESI         UBS Real Estate Securities Inc.

UoM               units of measure

USD                 US dollar

 

V

VaR                 value-at-risk

VAT                 value added tax

 

W

WEKO             Swiss Competition Commission

 

 

This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.

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Cautionary Statement | This report and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s first quarter 2021 report and its Annual Report 2020, available at ubs.com/investors, for additional information.

Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages and percent changes are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and which can be derived from figures displayed in the tables, is calculated on a rounded basis.

Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.

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UBS Group AG

P.O. Box

CH-8098 Zurich

 

ubs.com

 

 

 

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.

 

 

UBS Group AG

 

 

 

By: _/s/ David Kelly_____________

Name:  David Kelly

Title:    Managing Director

 

 

By: _/s/ Ella Campi                   _____

Name:  Ella Campi

Title:    Executive Director

 

 

UBS AG

 

 

 

By: _/s/ David Kelly_____________

Name:  David Kelly

Title:    Managing Director

 

 

By: _/s/ Ella Campi                   _____

Name:  Ella Campi

Title:    Executive Director

 

 

 

Date:  April 27, 2021