UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: April 23, 2018
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants'
Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will
file annual reports under cover of Form 20‑F or Form 40-F.
This Form 6-K consists of the Basel III Pillar 3 UBS Group AG
First Quarter 2018 Report, which appears immediately following this page.
31 March 2018
Pillar 3 report
UBS Group and significant regulated subsidiaries and
sub-groups
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Publisher: UBS Group AG, Zurich,
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Language: English
© UBS 2018. The key symbol and UBS
are among the registered and unregistered trademarks of UBS. All rights
reserved.
UBS Group AG
consolidated
Introduction and basis for preparation
Scope and
location of Basel III Pillar 3 disclosures
The Basel III capital adequacy
framework consists of three complementary pillars. Pillar 1 provides a
framework for measuring minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2
addresses the principles of the supervisory review process, emphasizing the
need for a qualitative approach to supervising banks. Pillar 3 requires banks
to publish a range of disclosures, mainly covering risk, capital, leverage,
liquidity and remuneration.
This report provides Pillar 3 disclosures for
UBS Group AG on a consolidated basis, as well as prudential key figures
and regulatory information for our significant regulated subsidiaries and
sub-groups. These Pillar 3 disclosures are supplemented by specific additional
requirements of the Swiss Financial Market Supervisory Authority (FINMA) and
voluntary disclosures on our part.
As UBS is considered a systemically relevant
bank (SRB) under Swiss banking law, UBS Group AG and UBS AG are required
to comply with regulations based on the Basel III framework as applicable to
Swiss SRBs on a consolidated basis. Capital information as of 31 March 2018 for
UBS Group AG consolidated is provided in the “Capital management” section
of our first quarter 2018 report under “Quarterly reporting” at
www.ubs.com/investors
.
Capital and other regulatory information as of 31 March
2018 for UBS AG consolidated is provided in the UBS AG first quarter 2018
report, which will be available as of 27 April 2018 under “Quarterly reporting”
at
www.ubs.com/investors
.
We are also required to disclose certain
regulatory information for UBS AG standalone, UBS Switzerland AG standalone and
UBS Limited standalone, as well as UBS Americas Holding LLC consolidated. This
information is provided under “Significant regulated subsidiaries and
sub-groups” in this report.
Local regulators may also require publication
of Pillar 3 information at a subsidiary or sub-group level. Where applicable,
these local disclosures are provided under “Holding company and significant
regulated subsidiaries and sub-groups” at
www.ubs.com/investors
.
Significant BCBS and FINMA capital
adequacy, liquidity and funding and related disclosure requirements
This report has been prepared in
accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016 /
01 “Disclosure – banks”), the underlying Basel Committee on Banking Supervision
(BCBS) guidance “Revised Pillar 3 disclosure requirements” issued in January
2015 and related “Frequently asked questions on the revised Pillar 3 disclosure
requirements” issued in August 2016. The legal entities UBS AG and
UBS Switzerland AG are subject to standalone capital adequacy,
liquidity and funding, and disclosure requirements defined by FINMA. This
information is provided under “Significant regulated subsidiaries and
sub-groups” in this report.
Changes
to significant BCBS and FINMA capital adequacy, liquidity and funding and
related disclosure requirements
Changes to
Pillar 1 requirements
As of 1 January 2018, we are subject
to the revised Basel III securitization framework, which had an immaterial
effect on our risk-weighted assets (RWA).
Changes to
Pillar 3 disclosure requirements
The “OV1: Overview of RWA” table has
been enhanced to early adopt the revised template introduced with the second
phase of revised Pillar 3 disclosure requirements to reflect changes to the
abovementioned revised securitization framework.
Changes to IFRS
impacting Pillar 1
Effective 1 January 2018, we adopted
IFRS 9,
Financial Instruments
for UBS Group AG and UBS AG consolidated.
In March 2017, the BCBS finalized guidance on
an interim approach for the regulatory treatment of accounting provisions and
defined standards for transitional arrangements, following the introduction of
IFRS 9. The BCBS confirmed that for an interim period the current treatment of
accounting provisions, under both the standardized approach and the internal
ratings-based approach, should continue to be applied until the longer-term
treatment is confirmed. Jurisdictions may implement transitional arrangements to
spread the adoption impacts over time, using either a static or a dynamic
approach, including limiting the transition period to a maximum of five years.
The related FINMA guidance is expected to be finalized during 2018 with an
effective date of 1 January 2019. As of 1 January 2018, the common equity tier
1 (CET1) capital calculation for UBS Group AG and UBS AG consolidated include a
full deduction of these effects.
The aforementioned FINMA consultation paper
also included guidance related to classification and measurement changes, which
we have applied for the purpose of our capital adequacy-related calculations.
Our calculations might be subject to change
in accordance with the finalized FINMA guidance.
®
Refer to “Note 1 Basis of accounting” of our first quarter 2018
report under “Quarterly reporting” at
www.ubs.com/investors
for more information on the adoption of IFRS 9
®
Refer to the “Introduction
and basis for preparation”
section of our 31 December 2017 Pillar 3 report – UBS Group and significant
regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at
www.ubs.com/investors
for more information
Format,
frequency and comparability of Pillar 3 disclosures
FINMA has specified
the reporting frequency for each disclosure. We generally provide quantitative
comparative information for all disclosures as of 31 December 2017. For more
information on disclosure frequency, refer to the 31 December 2017 Pillar 3
report – UBS Group and significant regulated subsidiaries and sub-groups
under “Pillar 3 disclosures” at
www.ubs.com/investors
.
UBS Group AG consolidated
UBS Group AG
consolidated
Section
1 Risk-weighted assets
Our approach to
measuring risk exposure and risk-weighted assets
Measures of risk exposure may differ,
depending on whether the exposures are measured for financial accounting
purposes under International Financial Reporting Standards (IFRS), for deriving
our regulatory capital requirement or for internal risk management and control
purposes. Our Pillar 3 disclosures are generally based on measures of risk
exposure used to derive the regulatory capital required under Pillar 1. Our
risk-weighted assets (RWA) are calculated according to the Basel Committee on
Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss
Capital Adequacy Ordinance issued by the Swiss Federal Council.
®
Refer to the 31 December 2017 Pillar 3 report – UBS Group and significant
regulated subsidiaries and sub-groups under “Pillar 3 disclosures” at
www.ubs.com/investors
for more information
RWA development
in the first quarter 2018
The “OV1: Overview of RWA” table on
the next page provides an overview of RWA and the related minimum capital
requirements by risk type. As of 1 January 2018, we are subject to
the revised Basel III securitization framework.
This table has been enhanced to early adopt
the new template introduced with the second phase of revised Pillar 3
disclosure requirements to reflect changes to the abovementioned securitization
framework. The template includes rows that are currently not applicable to UBS
and therefore have been left empty.
During the first quarter of 2018, RWA
increased by CHF 15.4 billion to CHF 253.8 billion, driven
by higher market risk RWA and credit and counterparty credit risk RWA in the
amount of CHF 10.1 billion and CHF 5.5 billion,
respectively. These were partly offset by a CHF 1.0 billion decrease
in the line Amounts below thresholds for deduction (250% risk weight), mainly
driven by the additional, 2018-related, phase-in effect of capital deductions
for deferred tax assets resulting in lower RWA. The flow tables on the
subsequent pages provide further detail on the movements in credit risk,
counterparty credit risk and market risk RWA in the first quarter of 2018. More
information on capital management and RWA, including detail on movements in RWA
during the first quarter of 2018, is provided on pages 57–59 of our first
quarter 2018 report under “Quarterly reporting” at
www.ubs.com/investors
.
OV1: Overview of RWA
|
CHF million
|
|
RWA
|
|
Minimum capital requirements
2
|
|
|
31.3.18
|
31.12.17
1
|
|
31.3.18
|
1
|
Credit risk (excluding
counterparty credit risk)
|
|
101,165
|
97,678
|
|
8,094
|
2
|
of which: standardized
approach (SA)
3
|
|
23,956
|
23,987
|
|
1,917
|
3
|
of which: foundation
internal rating-based (F-IRB) approach
|
|
|
|
|
|
4
|
of which: supervisory
slotting approach
|
|
|
|
|
|
5
|
of which: advanced internal
ratings-based (A-IRB) approach
|
|
77,210
|
73,691
|
|
6,177
|
6
|
Counterparty credit risk
4
|
|
32,259
|
30,279
|
|
2,582
|
7
|
of which: SA for
counterparty credit risk (SA-CCR)
5
|
|
6,083
|
5,575
|
|
487
|
8
|
of which: internal model
method (IMM)
|
|
18,556
|
17,274
|
|
1,484
|
8a
|
of which: value-at-risk
(VaR)
|
|
4,288
|
3,999
|
|
343
|
9
|
of which: other CCR
|
|
3,331
|
3,432
|
|
268
|
10
|
Credit valuation adjustment
(CVA)
|
|
3,260
|
3,084
|
|
261
|
11
|
Equity positions under the simple
risk weight approach
6
|
|
3,388
|
2,368
|
|
271
|
12
|
Equity investments in funds
– look-through approach
7
|
|
|
|
|
|
13
|
Equity investments in funds
– mandate-based approach
7
|
|
|
|
|
|
14
|
Equity investments in funds
– fall-back approach
7
|
|
|
|
|
|
15
|
Settlement risk
|
|
469
|
369
|
|
38
|
16
|
Securitization exposure in
banking book
|
|
1,141
|
1,696
8
|
|
91
|
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)
|
|
1,062
|
|
|
85
|
19
|
of which securitization
standardized approach (SEC-SA)
|
|
79
|
|
|
6
|
20
|
Market Risk
|
|
22,396
|
12,281
|
|
1,792
|
21
|
of which: standardized
approach (SA)
|
|
401
|
400
|
|
32
|
22
|
of which: internal model
approaches (IMM)
|
|
21,996
|
11,881
|
|
1,760
|
23
|
Capital charge for switch
between trading book and banking book
|
|
|
|
|
|
24
|
Operational risk
|
|
79,422
|
79,422
|
|
6,354
|
25
|
Amounts below thresholds for
deduction (250% risk weight)
9
|
|
10,253
|
11,218
|
|
820
|
26
|
Floor adjustment
10
|
|
0
|
0
|
|
0
|
27
|
Total
|
|
253,753
|
238,394
|
|
20,302
|
1 Based on phase-in rules. 2 Calculated based on 8% of
RWA. 3 Includes non-counterparty-related risk not subject to the threshold
deduction treatment (31 March 2018: RWA CHF 9,015 million; 31 December 2017:
RWA CHF 8,949 million). Non-counterparty-related risk (31 March 2018: RWA CHF
8,374 million; 31 December 2017: RWA CHF 9,310 million), which is subject to
the threshold treatment, is reported in line 25 “Amounts below
thresholds for deduction (250% risk weight).” 4 Excludes settlement risk,
which is separately reported in line 15 “Settlement risk.” Includes RWA with
central counterparties. The split between the subcomponents of counterparty
credit risk refers to the calculation of the exposure measure. 5
Calculated in accordance with the current exposure method (CEM), until SA-CCR
is implemented by 1 January 2020. 6 Includes investments in funds.
Items subject to threshold deduction treatments that do not exceed their
respective threshold are risk weighted at 250% (31 March 2018: RWA CHF 1,879
million; 31 December 2017: RWA CHF 1,908 million) and are separately included
in line 25 “Amounts below thresholds for deduction (250% risk weight).” 7
New regulation for the calculation of RWA for investments in funds will be
implemented by 1 January 2020. 8 Calculated on the basis of the
former securitization rules applicable until 31 December 2017. 9 Includes
items subject to threshold deduction treatments that do not exceed their
respective threshold and risk weighted at 250%. Items subject to threshold
deduction treatments are significant investments in common shares of
non-consolidated financial institutions (banks, insurance and other financial
entities) and deferred tax assets arising from temporary differences, both of
which are measured against their respective threshold. 10 No floor effect,
as 80% of our Basel I RWA including the RWA equivalent of the Basel I capital
deductions do not exceed our Basel III RWA including the RWA equivalent of
the Basel III capital deductions. For the status of the finalization of the
Basel III capital framework, refer to the “Regulatory and legal developments”
section of our Annual Report 2017, available under “Annual reporting” at
www.ubs.com/investors, which outlines how the proposed floor calculation
would differ in significant aspects from the current approach.
|
UBS Group AG consolidated
The “CR8: RWA flow
statements of credit risk exposures under IRB” and “CCR7: RWA flow statements
of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” tables
below provide a breakdown of the credit risk and counterparty credit risk (CCR)
RWA movements in the first quarter of 2018 across BCBS-defined movement
categories. These categories are described on page 42 of our
31 December 2017 Pillar 3 report – UBS Group and
significant regulated subsidiaries and sub-groups, which is available under
“Pillar 3 disclosures” at
www.ubs.com/investors
.
Credit risk RWA development in the first
quarter 2018
Credit risk RWA under the advanced
internal ratings-based
(A-IRB) approach increased by CHF 3.5 billion to CHF 77.2
billion as of 31 March 2018.
T
he RWA increase of CHF 9.8 billion from model updates was
primarily driven by the implementation of revised probability of default (PD)
and loss given default (LGD) models as part of our continuous efforts to
enhance models to reflect market developments and newly available data for
residential mortgages and income-producing real estate, as well as for the new
LGD model for unsecured financing and commercial self-used real estate
resulting in an increase of CHF 8.1 billion in Personal &
Corporate Banking and CHF 1.6 billion in Global Wealth Management.
This increase was partly offset by a net CHF
7.8 billion reduction in regulatory add-ons, which decreased by CHF 6.4 billion
in Personal & Corporate Banking and CHF 1.7 billion in Global Wealth
Management, following the aforementioned updates to PD and LGD parameters for
residential mortgages. The increase from a higher IRB multiplier on Investment
Bank exposures to corporates was CHF 0.3 billion.
The RWA increase
from asset size movements of CHF 1.1 billion was mainly driven by higher
Lombard lending balances in Global Wealth Management.
RWA increased by
CHF 1.1 billion due to changes in asset quality, primarily in our Investment
Bank’s Corporate Client Solutions business driven by the termination of certain
hedges.
A decrease of CHF 0.5 billion was
driven by foreign exchange movements.
CR8: RWA flow statements of
credit risk exposures under IRB
|
CHF million
|
RWA
|
1
|
RWA as of 31.12.17
|
73,691
|
2
|
Asset size
|
1,057
|
3
|
Asset quality
|
1,100
|
4
|
Model updates
|
9,810
|
5
|
Methodology and policy
|
(7,915)
|
5a
|
of which: regulatory add-ons
|
(7,848)
|
6
|
Acquisitions and disposals
|
0
|
7
|
Foreign exchange movements
|
(533)
|
8
|
Other
|
0
|
9
|
RWA as of 31.3.18
|
77,210
|
Counterparty
credit risk RWA development in the first quarter 2018
CCR RWA
under internal model method (IMM) and value-at-risk (VaR) increased by
CHF 1.6 billion during the first quarter of 2018. This was primarily
driven by an asset size movement of CHF 1.4 billion. A CHF 1.1 billion increase
in derivative exposures was mainly due to increased client activity, primarily
in our Investment Bank’s Equities and Foreign Exchange, Rates and Credit
businesses.
The increase from a higher IRB multiplier on
Investment Bank exposures to corporates was CHF 0.3 billion. A decrease of
CHF 0.2 billion was driven by foreign exchange movements.
CCR7: RWA flow statements of
CCR exposures under internal model method (IMM) and value-at-risk (VaR)
|
|
Derivatives
|
|
SFTs
|
|
Total Amounts
|
CHF million
|
Subject to IMM
|
|
Subject to VaR
|
|
|
1
|
RWA as of 31.12.17
|
17,274
|
|
3,999
|
|
21,273
|
2
|
Asset size
|
1,067
|
|
333
|
|
1,400
|
3
|
Credit quality of counterparties
|
148
|
|
(71)
|
|
77
|
4
|
Model updates
|
0
|
|
0
|
|
0
|
5
|
Methodology and policy
|
225
|
|
54
|
|
279
|
5a
|
of which: regulatory add-ons
|
225
|
|
54
|
|
279
|
6
|
Acquisitions and disposals
|
0
|
|
0
|
|
0
|
7
|
Foreign exchange movements
|
(158)
|
|
(26)
|
|
(184)
|
8
|
Other
|
0
|
|
0
|
|
0
|
9
|
RWA as of 31.3.18
|
18,556
|
|
4,288
|
|
22,845
|
Market risk RWA development in the first quarter 2018
The four main components that
contribute to market risk RWA are VaR, stressed value-at-risk (SVaR),
incremental risk charge (IRC) and comprehensive risk measure (CRM). VaR and
SVaR components include the RWA charge for risks-not-in-VaR.
The “MR2: RWA flow statements of market risk
exposures under an internal models approach” table below provides a breakdown
of the market risk RWA movement in the first quarter of 2018 across these
components, according to BCBS-defined movement categories. These categories are
described on page 75 of our 31 December 2017 Pillar 3 report
– UBS Group and significant regulated subsidiaries and sub-groups, which is
available under “Pillar 3 disclosures” at
www.ubs.com/investors
.
Market risk
RWA increased by CHF 10.1 billion, mainly due to asset size and other
movements. This increase mainly resulted from higher average regulatory and
stressed value-at-risk (VaR) levels observed during the quarter in the
Investment Bank’s equities, rates and credit businesses, mainly due to option
expiries and client activity during a period of increased market volatility. The VaR multiplier remained unchanged at 3.0.
MR2: RWA flow statements of
market risk exposures under an internal models approach
1
|
CHF million
|
VaR
|
Stressed VaR
|
IRC
|
CRM
|
Other
|
Total RWA
|
1
|
RWA as of 31.12.17
|
3,077
|
5,267
|
3,457
|
79
|
|
11,881
|
1a
|
Regulatory adjustment
|
(2,392)
|
(4,518)
|
0
|
(26)
|
|
(6,936)
|
1b
|
RWA at previous quarter-end (end of day)
|
685
|
749
|
3,457
|
53
|
|
4,944
|
2
|
Movement in risk levels
|
379
|
1,453
|
(1,181)
|
|
|
650
|
3
|
Model updates / changes
|
69
|
(3)
|
|
|
|
66
|
4
|
Methodology and policy
|
|
|
|
|
|
|
5
|
Acquisitions and disposals
|
|
|
|
|
|
|
6
|
Foreign exchange movements
|
|
|
|
|
|
|
7
|
Other
|
18
|
269
|
|
(16)
|
|
271
|
8a
|
RWA at the end of the reporting period (end of day)
|
1,150
|
2,468
|
2,276
|
37
|
|
5,932
|
8b
|
Regulatory adjustment
|
5,740
|
9,503
|
807
|
13
|
|
16,064
|
8c
|
RWA as of 31.3.18
|
6,891
|
11,971
|
3,083
|
50
|
|
21,996
|
1 Components that describe movements in RWA are presented in
italic.
|
UBS Group AG
consolidated
Section 2 Going and gone concern requirements and eligible capital
The table
below provides details on the Swiss SRB going and gone concern requirements as
required by FINMA. More information on capital management is provided on pages
51–61 of our first quarter 2018 report, available under “Quarterly reporting”
at
www.ubs.com/investors
.
Swiss SRB going and gone
concern requirements and information
1
|
As of 31.3.18
|
|
Swiss SRB, including transitional arrangements
|
|
Swiss SRB as of 1.1.20
|
CHF million, except where
indicated
|
|
RWA
|
LRD
|
|
RWA
|
LRD
|
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing
capacity
|
|
in %
|
|
in %
|
|
|
in %
|
|
in %
|
|
Common equity tier 1 capital
|
|
9.68
|
24,568
|
2.90
|
25,592
|
|
10.22
|
25,938
|
3.50
|
30,886
|
of which: minimum capital
|
|
5.40
|
13,703
|
1.90
|
16,767
|
|
4.50
|
11,419
|
1.50
|
13,237
|
of which: buffer capital
|
|
4.06
|
10,302
|
1.00
|
8,825
|
|
5.50
|
13,956
|
2.00
|
17,649
|
of which: countercyclical
buffer
2
|
|
0.22
|
563
|
|
|
|
0.22
|
563
|
|
|
Maximum additional tier 1
capital
|
|
3.40
|
8,628
|
1.10
|
9,707
|
|
4.30
|
10,911
|
1.50
|
13,237
|
of which: high-trigger
loss-absorbing additional tier 1 minimum capital
|
|
2.60
|
6,598
|
1.10
|
9,707
|
|
3.50
|
8,881
|
1.50
|
13,237
|
of which: high-trigger
loss-absorbing additional tier 1 buffer capital
|
|
0.80
|
2,030
|
|
|
|
0.80
|
2,030
|
|
|
Total going concern capital
|
|
13.08
|
33,196
|
4.00
|
35,299
|
|
14.52
3
|
36,850
|
5.00
3
|
44,123
|
Base gone concern loss-absorbing capacity, including applicable add-ons
and rebate
|
|
7.65
4
|
19,422
|
2.58
4
|
22,768
|
|
12.30
5
|
31,206
|
4.30
5
|
37,946
|
Total gone concern
loss-absorbing capacity
|
|
7.65
|
19,422
|
2.58
|
22,768
|
|
12.30
|
31,206
|
4.30
|
37,946
|
Total loss-absorbing
capacity
|
|
20.74
|
52,618
|
6.58
|
58,066
|
|
26.82
|
68,056
|
9.30
|
82,070
|
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing
capacity
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital
|
|
13.06
|
33,151
|
3.76
|
33,151
|
|
13.06
|
33,151
|
3.76
|
33,151
|
High-trigger loss-absorbing
additional tier 1 capital
6,7
|
|
7.49
|
19,001
|
2.15
|
19,001
|
|
4.29
|
10,875
|
1.23
|
10,875
|
of which: high-trigger
loss-absorbing additional tier 1 capital
|
|
3.36
|
8,533
|
0.97
|
8,533
|
|
3.36
|
8,533
|
0.97
|
8,533
|
of which: low-trigger
loss-absorbing additional tier 1 capital
|
|
0.92
|
2,342
|
0.27
|
2,342
|
|
0.92
|
2,342
|
0.27
|
2,342
|
of which: high-trigger
loss-absorbing tier 2 capital
|
|
0.17
|
429
|
0.05
|
429
|
|
|
|
|
|
of which: low-trigger
loss-absorbing tier 2 capital
|
|
3.03
|
7,698
|
0.87
|
7,698
|
|
|
|
|
|
Total going concern capital
|
|
20.55
|
52,153
|
5.91
|
52,153
|
|
17.35
|
44,026
|
4.99
|
44,026
|
Gone concern loss-absorbing
capacity
|
|
10.83
|
27,480
|
3.11
|
27,480
|
|
13.86
|
35,178
|
3.99
|
35,178
|
of which: TLAC-eligible
senior unsecured debt
|
|
10.42
|
26,431
|
3.00
|
26,431
|
|
10.42
|
26,431
|
3.00
|
26,431
|
Total gone concern
loss-absorbing capacity
|
|
10.83
|
27,480
|
3.11
|
27,480
|
|
13.86
|
35,178
|
3.99
|
35,178
|
Total loss-absorbing
capacity
|
|
31.38
|
79,632
|
9.02
|
79,632
|
|
31.21
|
79,204
|
8.98
|
79,204
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets /
leverage ratio denominator
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets
|
|
|
253,753
|
|
|
|
|
253,753
|
|
|
Leverage ratio denominator
|
|
|
|
|
882,469
|
|
|
|
|
882,469
|
1 This table includes a rebate equal to 35% of the maximum
rebate on the gone concern requirements, which was granted by FINMA and will
be phased in until 1 January 2020. This table does not include a rebate for
the usage of low-trigger loss-absorbing additional tier 1 or tier 2 capital
instruments to meet the gone concern requirements. 2 Going concern capital
ratio requirements include countercyclical buffer requirements of 0.22%. 3
Includes applicable add-ons of 1.44% for RWA and 0.5% for leverage ratio
denominator (LRD). 4 Includes applicable add-ons of 0.72% for RWA and
0.25% for LRD and a rebate of 1.25% for RWA and 0.42% for LRD. 5 Includes
applicable add-ons of 1.44% for RWA and 0.5% for LRD and a rebate of 2% for
RWA and 0.7% for LRD. 6 Includes outstanding low-trigger loss-absorbing
additional tier 1 (AT1) capital instruments, which are available under the
transitional rules of the Swiss SRB framework to meet the going concern
requirements until their first call date, even if the first call date is
after 31 December 2019. As of their first call date, these instruments are
eligible to meet the gone concern requirements. 7 Includes
outstanding high- and low-trigger loss-absorbing tier 2 capital instruments,
which are available under the transitional rules of the Swiss SRB framework
to meet the going concern requirements until the earlier of (i) their
maturity or first call date or (ii) 31 December 2019, and to meet gone
concern requirements thereafter. Outstanding low-trigger loss-absorbing tier
2 capital instruments are subject to amortization starting five years prior
to their maturity, with the amortized portion qualifying as gone concern
loss-absorbing capacity. Instruments available to meet gone concern
requirements are eligible until one year before maturity, with a haircut of
50% applied in the last year of eligibility.
|
Explanation of the difference between the IFRS and regulatory scope
of consolidation
The scope of consolidation for the
purpose of calculating Group regulatory capital is generally the same as the
consolidation scope under International Financial Reporting Standards (IFRS)
and includes subsidiaries that are directly or indirectly controlled by UBS
Group AG and active in banking and finance. However, subsidiaries consolidated
under IFRS whose business is outside the banking and finance sector are
excluded from the regulatory scope of consolidation.
The key difference between the IFRS and
regulatory capital scope of consolidation relates to the following entities as
of
31 March
2018
:
–
investments in insurance, real estate and
commercial companies as well as investment vehicles that are consolidated under
IFRS, but not for regulatory capital purposes, where they are subject to
risk-weighting
–
joint ventures that are fully consolidated for
regulatory capital purposes, but which are accounted for using the equity
method under IFRS
The table below provides a list of the most
significant entities that were included in the IFRS scope of consolidation, but
not in the regulatory capital scope of consolidation. These entities account
for most of the difference between the “Balance sheet in accordance with IFRS
scope of consolidation” and the “Balance sheet in accordance with regulatory
scope of consolidation” columns in the “Reconciliation of accounting balance
sheet to balance sheet under the regulatory scope of consolidation” table and
such difference is mainly related to financial assets at fair value not held
for trading and other financial liabilities designated at fair value. As of
31 March 2018
,
entities consolidated under either the IFRS or the regulatory scope of
consolidation did not report any significant capital deficiencies.
In the banking book, certain equity investments
are consolidated neither under IFRS nor under the regulatory scope. As of 31
March 2018, these investments mainly consisted of infrastructure holdings and
joint operations (e.g., settlement and clearing institutions, stock and
financial futures exchanges) and included our participation in the SIX Group.
These investments were risk-weighted based on applicable threshold rules.
More information on the legal structure of
the UBS Group and on the IFRS scope of consolidation is provided on pages 12–13
and 325–326, respectively, of our Annual Report 2017, available under “Annual
reporting” at
www.ubs.com/investors
.
Main legal entities
consolidated under IFRS but not included in the regulatory scope of
consolidation
|
|
|
31.3.18
|
|
|
CHF million
|
|
Total assets
1
|
Total equity
1
|
|
|
Purpose
|
UBS Asset Management Life Limited
|
|
24,415
|
42
|
|
|
Life Insurance
|
A&Q Alternative Solution Master Limited
|
|
317
|
317
2
|
|
|
Investment vehicle for multiple investors
|
A&Q Alternative Solution Limited
|
|
317
|
311
2
|
|
|
Investment vehicle for multiple investors
|
UBS Life Insurance Company USA
|
|
160
|
41
|
|
|
Life Insurance
|
A&Q Alpha Select Hedge Fund Limited
|
|
137
|
126
2
|
|
|
Investment vehicle for multiple investors
|
A&Q Global Alpha Strategies XL Limited
|
|
128
|
64
2
|
|
|
Investment vehicle for multiple investors
|
A&Q Alpha Select Hedge Fund XL
|
|
110
|
55
2
|
|
|
Investment vehicle for multiple investors
|
1 Total assets and total equity on a standalone basis. 2
Represents the net asset value of issued fund units. These fund units are
subject to liability treatment in the consolidated financial statements in
accordance with IFRS.
|
UBS Group AG
consolidated
The table below and
on the next page provides a reconciliation of the IFRS balance sheet to the
balance sheet according to the regulatory scope of consolidation as defined by
the BCBS and FINMA. Lines in the balance sheet under the regulatory scope of
consolidation are expanded and referenced where relevant to display all
components that are used in the “Composition of capital” table.
Reconciliation of accounting
balance sheet to balance sheet under the regulatory scope of consolidation
|
As of 31.3.18
|
Balance sheet in
accordance with
IFRS scope
of consolidation
|
Effect of deconsolidated entities for regulatory consolidation
|
Effect of additional consolidated entities for regulatory
consolidation
|
Balance sheet in accordance with regulatory scope of
consolidation
|
References
1
|
CHF million
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Cash and balances at central banks
|
92,800
|
|
|
92,800
|
|
Loans and advances to banks
|
13,338
|
(232)
|
|
13,106
|
|
Receivables from securities financing transactions
|
77,016
|
|
|
77,016
|
|
Cash collateral receivables on derivative instruments
|
24,271
|
|
|
24,271
|
|
Loans and advances to customers
|
316,195
|
76
|
|
316,271
|
|
Other financial assets measured at amortized cost
|
19,129
|
(105)
|
|
19,025
|
|
Total financial assets
measured at amortized cost
|
542,749
|
(261)
|
|
542,488
|
|
Financial assets at fair value held for trading
|
105,554
|
(350)
|
|
105,204
|
|
of which: assets pledged as
collateral that may be sold or repledged by counterparties
|
34,536
|
|
|
34,536
|
|
Derivative financial instruments
|
113,333
|
12
|
|
113,345
|
|
Brokerage receivables
|
20,250
|
|
|
20,250
|
|
Financial assets at fair value not held for trading
|
97,532
|
(24,186)
|
|
73,346
|
|
Total financial assets
measured at fair value through profit or loss
|
336,669
|
(24,524)
|
|
312,144
|
|
Financial assets measured at
fair value through other comprehensive income
|
6,758
|
|
|
6,758
|
|
Consolidated participations
|
0
|
102
|
|
102
|
|
Investments in associates
|
1,037
|
|
|
1,037
|
|
of which: goodwill
|
350
|
|
|
350
|
4
|
Property, equipment and software
|
8,860
|
(54)
|
|
8,806
|
|
Goodwill and intangible assets
|
6,235
|
|
|
6,235
|
|
of which: goodwill
|
6,039
|
|
|
6,039
|
4
|
of which: intangible assets
|
196
|
|
|
196
|
5
|
Deferred tax assets
|
9,729
|
|
|
9,729
|
|
of which: deferred tax
assets recognized for tax loss carry-forwards
|
5,886
|
|
|
5,886
|
6
|
of which: deferred tax
assets on temporary differences
|
3,843
|
|
|
3,843
|
10
|
Other non-financial assets
|
7,324
|
(68)
|
|
7,256
|
|
of which: net defined
benefit pension and other post-employment assets
|
1
|
|
|
1
|
8
|
Total assets
|
919,361
|
(24,805)
|
|
894,556
|
|
Reconciliation of accounting balance sheet to balance sheet under
the regulatory scope of consolidation
(
continued)
As of 31.3.18
|
Balance sheet in
accordance with
IFRS scope
of consolidation
|
Effect of deconsolidated entities for regulatory consolidation
|
Effect of additional consolidated entities for regulatory
consolidation
|
Balance sheet in accordance with regulatory scope of
consolidation
|
References
1
|
CHF million
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Amounts due to banks
|
9,024
|
(8)
|
|
9,016
|
|
Payables from securities financing transactions
|
9,167
|
|
|
9,167
|
|
Cash collateral payables on derivative instruments
|
29,426
|
|
|
29,426
|
|
Customer deposits
|
398,604
|
(25)
|
|
398,579
|
|
Debt issued measured at amortized cost
|
137,883
|
(9)
|
|
137,874
|
|
Other financial liabilities measured at amortized cost
|
5,911
|
(364)
|
|
5,547
|
|
Total financial liabilities
measured at amortized cost
|
590,014
|
(407)
|
|
589,608
|
|
Financial liabilities at fair value held for trading
|
34,747
|
|
|
34,747
|
|
Derivative financial instruments
|
111,945
|
7
|
|
111,953
|
|
Brokerage payables designated at fair value
|
34,793
|
|
|
34,793
|
|
Debt issued designated at fair value
|
52,059
|
|
|
52,059
|
|
of which: amount eligible
for high-trigger loss-absorbing additional tier 1 capital
2
|
6,898
|
|
|
6,898
|
9
|
of which: amount eligible
for low-trigger loss-absorbing additional tier 1 capital
2
|
2,342
|
|
|
2,342
|
9
|
of which: amount eligible
for low-trigger loss-absorbing tier 2 capital
3
|
7,698
|
|
|
7,698
|
11
|
of which: amount eligible
for capital instruments subject to phase-out from tier 2 capital
4
|
684
|
|
|
684
|
12
|
Other financial liabilities designated at fair value
|
34,438
|
(24,348)
|
|
10,090
|
|
Total financial liabilities
measured at fair value through profit or loss
|
267,983
|
(24,341)
|
|
243,642
|
|
Provisions
|
3,044
|
|
|
3,044
|
|
Other non-financial liabilities
|
7,016
|
(15)
|
|
7,001
|
|
of which: amount eligible
for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan
(DCCP))
5
|
1,029
|
|
|
1,029
|
9
|
of which: deferred tax
liabilities related to goodwill
|
53
|
|
|
53
|
4
|
of which: deferred tax
liabilities related to other intangible assets
|
4
|
|
|
4
|
5
|
Total liabilities
|
868,056
|
(24,762)
|
|
843,294
|
|
|
|
|
|
|
|
Equity
|
|
|
|
|
|
Share capital
|
385
|
|
|
385
|
1
|
Share premium
|
25,262
|
|
|
25,262
|
1
|
Treasury shares
|
(1,520)
|
|
|
(1,520)
|
3
|
Retained earnings
|
33,807
|
(154)
|
|
33,652
|
2
|
Other comprehensive income recognized directly in equity, net of
tax
|
(6,692)
|
112
|
|
(6,580)
|
3
|
of which: unrealized gains /
(losses) from cash flow hedges
|
(103)
|
|
|
(103)
|
7
|
Equity attributable to
shareholders
|
51,243
|
(43)
|
|
51,199
|
|
Equity attributable to non-controlling interests
|
62
|
|
|
62
|
|
Total equity
|
51,305
|
(43)
|
|
51,262
|
|
Total liabilities and equity
|
919,361
|
(24,805)
|
|
894,556
|
|
1 References link the lines of this table to the respective
reference numbers provided in the “References” column in the “Composition of
capital” table. 2 Represents IFRS carrying value. 3 IFRS carrying value
is CHF 8,097 million. 4 IFRS carrying value is CHF 694 million. 5 IFRS
carrying value is CHF 1,629 million. Refer to the “Compensation” section of
our Annual Report 2017 for more information on the DCCP.
|
UBS Group AG
consolidated
Composition of capital
The table below and on the following
pages provides the “Composition of capital” as defined by the BCBS and FINMA.
Reference is made to items reconciling to the balance sheet under the
regulatory scope of consolidation as disclosed in the “Reconciliation of
accounting balance sheet to balance sheet under the regulatory scope of
consolidation” table.
Refer to “Capital
instruments of UBS Group AG consolidated and UBS AG consolidated and standalone
– key features” and “UBS
Group AG consolidated capital instruments and TLAC-eligible senior unsecured
debt” under “Bondholder information” at
www.ubs.com/investors
for an overview of the key features of our regulatory
capital instruments, as well as the full terms and conditions.
Composition of capital
|
|
|
|
As of 31.3.18
|
Numbers phase-in
|
Effect of the
transition phase
|
References
1
|
CHF million, except where
indicated
|
|
|
|
1
|
Directly issued qualifying common share (and equivalent for
non-joint stock companies) capital plus related stock
surplus
|
25,648
|
|
1
|
2
|
Retained earnings
|
33,652
|
|
2
|
3
|
Accumulated other comprehensive income (and other
reserves)
|
(8,100)
|
|
3
|
4
|
Directly issued capital subject to phase-out from common equity
tier 1 (CET1) capital (only applicable to non-joint stock companies)
|
|
|
|
5
|
Common share capital issued by subsidiaries and held by third
parties (amount allowed in Group CET1 capital)
|
|
|
|
6
|
Common equity tier 1 capital
before regulatory adjustments
|
51,199
|
|
|
7
|
Prudential valuation
adjustments
|
(120)
|
|
|
8
|
Goodwill, net of tax, less additional tier 1 (AT1) capital
|
(6,336)
|
|
4
|
9
|
Intangible assets, net of tax
|
(192)
|
|
5
|
10
|
Deferred tax assets recognized for tax loss carry-forwards
2
|
(5,907)
|
|
6
|
11
|
Unrealized (gains) / losses from cash flow hedges, net of tax
|
103
|
|
7
|
12
|
Expected losses on advanced internal ratings-based portfolio
less provisions
3
|
(359)
|
|
|
13
|
Securitization gain on sale
|
|
|
|
14
|
Own credit related to financial liabilities designated at fair
value, net of tax, and replacement values
|
(46)
|
|
|
15
|
Defined benefit plans
|
(1)
|
|
8
|
16
|
Compensation and own shares-related capital components (not
recognized in net profit)
4
|
(1,581)
|
|
9
|
17
|
Reciprocal crossholdings in common equity
|
|
|
|
17a
|
Qualifying interest where a controlling influence is exercised
together with other owners (CET1 instruments)
|
|
|
|
17b
|
Consolidated investments (CET1 instruments)
|
|
|
|
18
|
Investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory
consolidation, net of eligible short positions, where the bank
does not own more than 10% of the issued share capital
(amount above 10% threshold)
|
|
|
|
19
|
Significant investments in the common stock of banking,
financial and insurance entities that are outside
the scope of regulatory consolidation, net of eligible short
positions (amount above 10% threshold)
|
|
|
|
20
|
Mortgage servicing rights (amount above 10% threshold)
|
|
|
|
21
|
Deferred tax assets arising from temporary differences (amount
above 10% threshold, net of related tax liability)
|
(458)
|
|
10
|
22
|
Amount exceeding the 15% threshold
|
|
|
|
23
|
of which: significant
investments in the common stock of financials
|
|
|
|
24
|
of which: mortgage servicing
rights
|
|
|
|
25
|
of which: deferred tax
assets arising from temporary differences
|
|
|
|
26
|
Expected losses on equity investments treated according to the
PD/LGD approach
|
|
|
|
26a
|
Other adjustments relating to the application of an
internationally accepted accounting standard
|
|
|
|
26b
|
Other deductions
|
(3,152)
|
|
|
27
|
Regulatory adjustments applied to common equity tier 1 due to
insufficient additional tier 1 and tier 2 to cover deductions
|
|
|
|
28
|
Total regulatory adjustments
to common equity tier 1
|
(18,048)
|
|
|
Composition of capital (continued)
As of 31.3.18
|
Numbers phase-in
|
Effect of the
transition phase
|
References
1
|
CHF million, except where
indicated
|
|
|
|
29
|
Common equity tier 1 capital
(CET1)
|
33,151
|
|
|
30
|
Directly issued qualifying additional tier 1 instruments plus
related stock surplus
|
10,875
|
|
|
31
|
of which: classified as
equity under applicable accounting standards
|
|
|
|
32
|
of which: classified as
liabilities under applicable accounting standards
|
10,875
|
|
9
|
33
|
Directly issued capital instruments subject to phase-out from
additional tier 1
|
|
|
|
34
|
Additional tier 1 instruments (and CET1 instruments not included
in line 5) issued by subsidiaries and held
by third parties (amount allowed in Group AT1)
|
|
|
|
35
|
of which: instruments issued
by subsidiaries subject to phase-out
|
|
|
|
36
|
Additional tier 1 capital
before regulatory adjustments
|
10,875
|
|
|
37
|
Investments in own additional tier 1 instruments
|
|
|
|
38
|
Reciprocal crossholdings in additional tier 1 instruments
|
|
|
|
38a
|
Qualifying interest where a controlling influence is exercised
together with other owner (AT1 instruments)
|
|
|
|
38b
|
Holdings in companies which are to be consolidated (AT1
instruments)
|
|
|
|
39
|
Investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory consolidation, net of
eligible short positions, where the bank does not own more than 10% of the
issued common share capital of the entity (amount above 10% threshold)
|
|
|
|
40
|
Significant investments in the capital of banking, financial and
insurance entities that are outside the scope of regulatory consolidation
(net of eligible short positions)
|
|
|
|
41
|
National specific regulatory adjustments
|
|
|
|
42
|
Regulatory adjustments applied to additional tier 1 due to
insufficient tier 2 to cover deductions
|
|
|
|
|
Tier 1 adjustments on impact
of transitional arrangements
|
|
|
|
|
of which: goodwill net of
tax, offset against additional loss-absorbing tier 1 capital
|
|
|
|
42a
|
Excess of the adjustments, which are allocated to the common
equity tier 1 capital
|
|
|
|
43
|
Total regulatory adjustments
to additional tier 1 capital
|
|
|
|
44
|
Additional tier 1 capital
(AT1)
|
10,875
|
|
|
45
|
Tier 1 capital (T1 = CET1 +
AT1)
|
44,026
|
|
|
46
|
Directly issued qualifying tier 2 instruments plus related stock
surplus
|
7,698
|
|
11
|
47
|
Directly issued capital instruments subject to phase-out from
tier 2
|
700
|
(700)
|
12
|
48
|
Tier 2 instruments (and CET1 and AT1 instruments not included in
lines 5 or 34) issued by subsidiaries and held by third parties (amount
allowed in Group tier 2)
|
|
|
|
49
|
of which: instruments issued
by subsidiaries subject to phase-out
|
|
|
|
50
|
Provisions
|
|
|
|
51
|
Tier 2 capital before
regulatory adjustments
|
8,398
|
|
|
52
|
Investments in own tier 2 instruments
|
(16)
|
16
|
12
|
53
|
Reciprocal crossholdings in tier 2 instruments
|
|
|
|
53a
|
Qualifying interest where a controlling influence is exercised
together with other owner (tier 2 instruments)
|
|
|
|
53b
|
Investments to be consolidated (tier 2 instruments)
|
|
|
|
54
|
Investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory consolidation, net of
eligible short positions, where the bank does not own more than 10% of the
issued common share capital of the entity (amount above the 10% threshold)
|
|
|
|
55
|
Significant investments in the capital of banking, financial and
insurance entities that are outside the scope of regulatory consolidation
(net of eligible short positions)
|
|
|
|
56
|
National specific regulatory adjustments
|
|
|
|
56a
|
Excess of the adjustments,
which are allocated to the AT1 capital
|
|
|
|
57
|
Total regulatory adjustments
to tier 2 capital
|
(16)
|
16
|
|
UBS Group AG
consolidated
Composition of capital (continued)
As of 31.3.18
|
Numbers phase-in
|
Effect of the
transition phase
|
References
1
|
CHF million, except where
indicated
|
|
|
|
58
|
Tier 2 capital (T2)
|
8,382
|
(684)
|
|
|
of which: high-trigger
loss-absorbing capital
|
|
|
|
|
of which: low-trigger
loss-absorbing capital
|
7,698
|
|
11
|
59
|
Total capital (TC = T1 + T2)
|
52,408
|
(684)
|
|
|
Amount with risk weight pursuant to the transitional arrangement
(phase-in)
|
|
|
|
|
of which: net defined
benefit pension assets
|
|
|
|
|
of which: deferred tax
assets on temporary differences
|
|
|
|
60
|
Total risk-weighted assets
|
253,753
|
|
|
|
Capital ratios and buffers
|
|
|
|
61
|
Common equity tier 1 (as a percentage of risk-weighted assets)
|
13.1
|
|
|
62
|
Tier 1 (pos 45 as a percentage of risk-weighted assets)
|
17.3
|
|
|
63
|
Total capital (pos 59 as a percentage of risk-weighted assets)
|
20.7
|
|
|
64
|
CET1 requirement (base capital, buffer capital and
countercyclical buffer requirements) plus G-SIB buffer requirement, expressed
as a percentage of risk-weighted assets
5
|
7.3
|
|
|
65
|
of which: capital buffer
requirement
|
1.9
|
|
|
66
|
of which: bank-specific
countercyclical buffer requirement
|
0.2
|
|
|
67
|
of which: G-SIB buffer
requirement
|
0.8
|
|
|
68
|
Common equity tier 1 available to meet buffers (as a percentage
of risk-weighted assets)
|
13.1
|
|
|
68a–f
|
Not applicable for systemically relevant banks according to
FINMA Circular 11/2
|
|
|
|
72
|
Non-significant investments in the capital of other financials
|
1,390
|
|
|
73
|
Significant investments in the common stock of financials
|
755
|
|
|
74
|
Mortgage servicing rights, net of tax
|
|
|
|
75
|
Deferred tax assets arising from temporary differences, net of
tax
|
3,819
|
|
|
|
Applicable caps on the
inclusion of provisions in tier 2
|
|
|
|
76
|
Provisions eligible for inclusion in tier 2 in respect of
exposures subject to standardized approach (prior to application of cap)
|
|
|
|
77
|
Cap on inclusion of provisions in tier 2 under standardized
approach
|
|
|
|
78
|
Provisions eligible for inclusion in tier 2 in respect of
exposures subject to internal ratings-based approach (prior to application of
cap)
|
|
|
|
79
|
Cap for inclusion of provisions in tier 2 under internal
ratings-based approach
|
|
|
|
1 References link the lines of this table to the respective
reference numbers provided in the “References” column in the “Reconciliation
of accounting balance sheet to balance sheet under the regulatory scope of
consolidation” table. 2 IFRS netting for deferred tax assets and
liabilities is reversed for items deducted from CET1 capital. 3 From 1
January 2018, provisions have been calculated in accordance with IFRS 9.
4 Includes CHF 606 million in DCCP-related charge for regulatory capital
purposes. 5 BCBS requirements are exceeded by our Swiss SRB requirements.
Refer to the “Capital management“ section of our Annual Report 2017 for more
information on the Swiss SRB requirements.
|
BCBS Basel
III leverage ratio
The Basel Committee on Banking
Supervision (BCBS) leverage ratio is calculated by dividing the period-end tier
1 capital by the period-end leverage ratio denominator (LRD). The LRD consists
of IFRS on-balance sheet assets and off-balance sheet items. Derivative
exposures are adjusted for a number of items, including replacement value and
eligible cash variation margin netting, the current exposure method add-on and
net notional amounts for written credit derivatives. The LRD also includes an
additional charge for counterparty credit risk related to securities financing
transactions. In addition, balance sheet assets deducted from our tier 1
capital are excluded from LRD, which led to a difference between phase-in and
fully applied LRD for deferred tax assets and net defined benefit pension plan
assets until 31 December 2017.
The “Reconciliation of IFRS total assets to
BCBS Basel III total on-balance sheet exposures excluding derivatives and
securities financing transactions” table below shows the difference between
total IFRS assets per IFRS consolidation scope and the BCBS total on-balance
sheet exposures, which are the starting point for calculating the BCBS LRD as
shown in the “BCBS Basel III leverage ratio common disclosure” table
on the next page. The difference is due to the application of the regulatory
scope of consolidation for the purpose of the BCBS calculation. In addition,
carrying values for derivative financial instruments and securities financing
transactions are deducted from IFRS total assets. They are measured differently
under BCBS leverage ratio rules and are therefore added back in separate
exposure line items in the “BCBS Basel III leverage ratio common disclosure”
table on the next page.
As of 31 March 2018, our BCBS Basel III
leverage ratio was 5.0% and the BCBS Basel III LRD was CHF 882 billion.
Information on our Swiss SRB leverage ratio and the movement in our LRD
compared with the prior quarter is provided on pages 60–61 of our first quarter
2018 report, available under “Quarterly reporting” at
www.ubs.com/investors
.
Difference between the Swiss SRB and
BCBS leverage ratio
The LRD is the same under Swiss SRB
and BCBS rules. However, there is a difference in the capital numerator between
the two frameworks. Under BCBS rules, only common equity tier 1 and additional
tier 1 capital are included in the numerator. Under Swiss SRB we are required
to meet going as well as gone concern leverage ratio requirements. Therefore,
depending on the requirement, the numerator includes tier 1 capital
instruments, tier 2 capital instruments and / or TLAC-eligible senior unsecured
debt.
Reconciliation of IFRS total
assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
|
CHF million
|
31.3.18
|
31.12.17
|
On-balance sheet exposures
|
|
|
IFRS total assets
|
919,361
|
915,642
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation
|
(24,805)
|
(12,142)
|
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
|
0
|
0
|
Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
0
|
Less carrying value of derivative financial instruments in IFRS
total assets
1
|
(137,616)
|
(141,673)
|
Less carrying value of securities financing transactions in IFRS
total assets
2
|
(106,485)
|
(114,895)
|
Adjustments to accounting values
|
0
|
0
|
On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral
|
650,455
|
646,933
|
Asset amounts deducted in determining BCBS Basel III tier 1
capital
|
(13,250)
|
(12,624)
|
Total on-balance sheet
exposures (excluding derivatives and securities financing transactions)
|
637,205
|
634,309
|
1 Consists of derivative financial instruments and cash
collateral receivables on derivative instruments in accordance with the
regulatory scope of consolidation. 2 Consists of 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.
|
UBS Group AG
consolidated
BCBS Basel III leverage ratio common disclosure
|
|
|
CHF million, except where
indicated
|
31.3.18
|
31.12.17
|
|
|
|
|
|
On-balance sheet exposures
|
|
|
1
|
On-balance sheet items excluding derivatives and SFTs, but
including collateral
|
650,455
|
646,933
|
2
|
(Asset amounts deducted in determining Basel III tier 1 capital)
1
|
(13,250)
|
(12,624)
|
3
|
Total on-balance sheet
exposures (excluding derivatives and SFTs)
|
637,205
|
634,309
|
|
|
|
|
|
Derivative exposures
|
|
|
4
|
Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin)
|
42,546
|
42,135
|
5
|
Add-on amounts for PFE associated with all derivatives
transactions
|
91,207
|
89,205
|
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)
|
(13,266)
|
(12,481)
|
8
|
(Exempted CCP leg of client-cleared trade exposures)
|
(22,550)
|
(22,836)
|
9
|
Adjusted effective notional amount of all written credit
derivatives
2
|
87,252
|
94,031
|
10
|
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
3
|
(85,134)
|
(91,951)
|
11
|
Total derivative exposures
|
100,055
|
98,103
|
|
|
|
|
|
Securities financing
transaction exposures
|
|
|
12
|
Gross SFT assets (with no recognition of netting), after
adjusting for sale accounting transactions
|
177,346
|
191,696
|
13
|
(Netted amounts of cash payables and cash receivables of gross
SFT assets)
|
(70,861)
|
(76,802)
|
14
|
CCR exposure for SFT assets
|
9,406
|
9,269
|
15
|
Agent transaction exposures
|
0
|
0
|
16
|
Total securities financing
transaction exposures
|
115,891
|
124,164
|
|
|
|
|
|
Other off-balance sheet
exposures
|
|
|
17
|
Off-balance sheet exposure at gross notional amount
|
88,553
|
93,090
|
18
|
(Adjustments for conversion to credit equivalent amounts)
|
(59,235)
|
(62,031)
|
19
|
Total off-balance sheet
items
|
29,318
|
31,059
|
|
Total exposures (leverage
ratio denominator), phase-in
|
|
887,635
|
|
(Additional asset amounts deducted in determining Basel III tier
1 capital fully applied)
|
|
(1,519)
|
|
Total exposures (leverage
ratio denominator), fully applied
|
882,469
|
886,116
|
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), phase-in
|
|
|
20
|
Tier 1 capital
|
|
43,438
|
21
|
Total exposures (leverage ratio denominator)
|
|
887,635
|
|
Leverage ratio
|
|
|
22
|
Basel III leverage ratio
phase-in (%)
|
|
4.9
|
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), fully applied
|
|
|
20
|
Tier 1 capital
|
44,026
|
41,911
|
21
|
Total exposures (leverage ratio denominator)
|
882,469
|
886,116
|
|
Leverage ratio
|
|
|
22
|
Basel III leverage ratio
fully applied (%)
|
5.0
|
4.7
|
1 As of 31 December 2017, phase-in deduction applied for the
purpose of the CET1 capital calculation was 80%. These effects are fully
phased in as of 31 March 2018. Associated prudential filters applied to LRD
are also fully phased in as of 31 March 2018. 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.
|
BCBS Basel III leverage ratio summary comparison
|
|
|
CHF million
|
31.3.18
|
31.12.17
|
1
|
Total consolidated assets as per published financial statements
|
919,361
|
915,642
|
2
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation
1
|
(38,055)
|
(24,765)
|
3
|
Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
0
|
4
|
Adjustments for derivative financial instruments
|
(37,561)
|
(43,570)
|
5
|
Adjustment for securities financing transactions (i.e., repos
and similar secured lending)
|
9,406
|
9,269
|
6
|
Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures)
|
29,318
|
31,059
|
7
|
Other adjustments
|
0
|
0
|
8
|
Leverage ratio exposure
(leverage ratio denominator)
2
|
882,469
|
887,635
|
1 This item includes assets that are deducted from CET1
capital. 2 As of 31 December 2017, phase-in deduction applied for the
purpose of the CET1 capital calculation was 80%. These effects are fully
phased in as of 31 March 2018. Associated prudential filters applied to LRD
are also fully phased in as of 31 March 2018.
|
BCBS Basel III leverage ratio
|
|
|
|
|
CHF million, except where
indicated
|
|
|
|
|
Phase-in
|
31.3.18
|
31.12.17
|
30.9.17
|
30.6.17
|
Total tier 1 capital
|
|
43,438
|
44,315
|
43,421
|
BCBS total exposures (leverage ratio denominator)
|
|
887,635
|
886,969
|
862,975
|
BCBS Basel III leverage ratio (%)
|
|
4.9
|
5.0
|
5.0
|
|
|
|
|
|
Fully applied
|
31.3.18
|
31.12.17
|
30.9.17
|
30.6.17
|
Total tier 1 capital
|
44,026
|
41,911
|
41,493
|
40,668
|
BCBS total exposures (leverage ratio denominator)
|
882,469
|
886,116
|
884,834
|
860,879
|
BCBS Basel III leverage ratio (%)
|
5.0
|
4.7
|
4.7
|
4.7
|
UBS Group AG
consolidated
Section 4 Liquidity coverage ratio
High-quality
liquid assets
High-quality liquid assets (HQLA)
must be easily and immediately convertible into cash at little or no loss of
value, especially during a period of stress. HQLA are assets that are of low
risk and are unencumbered. Other characteristics of HQLA are ease and certainty
of valuation, low correlation with risky assets, listing on a developed and
recognized exchange, an active and sizeable market and low volatility. Based on
these characteristics, HQLA are categorized as Level 1 (primarily central bank
reserves and government bonds) or Level 2 (primarily US and European agency
bonds as well as non-financial corporate covered bonds). Level 2 assets are
subject to regulatory haircuts and caps.
High-quality liquid assets
|
|
|
|
|
|
|
Average 1Q18
1
|
|
Average 4Q17
1
|
CHF billion
|
|
Level 1
weighted
liquidity
value
2
|
Level 2
weighted
liquidity
value
2
|
Total
weighted
liquidity
value
2
|
|
Level 1
weighted
liquidity
value
2
|
Level 2
weighted
liquidity
value
2
|
Total
weighted
liquidity
value
2
|
Cash balances
3
|
|
101
|
0
|
101
|
|
103
|
0
|
103
|
Securities
|
|
74
|
9
|
82
|
|
63
|
17
|
80
|
Total high-quality liquid
assets
4
|
|
174
|
9
|
183
|
|
166
|
17
|
183
|
1 Calculated based on an average of 64 data points in the first
quarter of 2018 and 63 data points in the fourth quarter of 2017. 2
Calculated after the application of haircuts. 3 Includes cash and balances
with central banks and other eligible balances as prescribed by FINMA. 4
Calculated in accordance with FINMA requirements.
|
Liquidity coverage ratio
In the first quarter of 2018, our
liquidity coverage ratio (LCR) decreased by 7 percentage points to 136%,
remaining above the 110% Group LCR minimum communicated by FINMA. The decrease
in LCR was mainly driven by higher average net cash outflows due to revised
regulatory requirements affecting inflows from fully performing exposures and
other cash outflows. In addition, unsecured wholesale funding led to higher net
cash outflows driven by maturities.
Liquidity coverage ratio
|
|
|
|
|
|
|
|
|
|
Average 1Q18
1
|
|
Average 4Q17
1
|
CHF billion, except where
indicated
|
|
Unweighted value
|
Weighted value
2
|
|
Unweighted value
|
Weighted value
2
|
|
High-quality liquid assets
|
|
|
|
|
|
|
1
|
High-quality liquid assets
|
|
184
|
183
|
|
186
|
183
|
|
|
|
|
|
|
|
|
Cash outflows
|
|
|
|
|
|
|
2
|
Retail deposits and deposits from small business customers
|
|
231
|
26
|
|
237
|
26
|
3
|
of which: stable deposits
|
|
35
|
1
|
|
35
|
1
|
4
|
of which: less stable
deposits
|
|
196
|
24
|
|
201
|
25
|
5
|
Unsecured wholesale funding
|
|
184
|
106
|
|
184
|
104
|
6
|
of which: operational
deposits (all counterparties)
|
|
37
|
9
|
|
36
|
9
|
7
|
of which: non-operational
deposits (all counterparties)
|
|
134
|
84
|
|
137
|
84
|
8
|
of which: unsecured debt
|
|
13
|
13
|
|
11
|
11
|
9
|
Secured wholesale funding
|
|
|
78
|
|
|
79
|
10
|
Additional requirements:
|
|
82
|
26
|
|
84
|
26
|
11
|
of which: outflows related
to derivatives and other transactions
|
|
42
|
17
|
|
42
|
17
|
12
|
of which: outflows related
to loss of funding on debt products
3
|
|
1
|
1
|
|
0
|
0
|
13
|
of which: committed credit
and liquidity facilities
|
|
39
|
8
|
|
42
|
9
|
14
|
Other contractual funding obligations
|
|
12
|
12
|
|
14
|
13
|
15
|
Other contingent funding obligations
|
|
243
|
5
|
|
248
|
6
|
16
|
Total cash outflows
|
|
|
252
|
|
|
254
|
|
|
|
|
|
|
|
|
Cash inflows
|
|
|
|
|
|
|
17
|
Secured lending
|
|
295
|
80
|
|
293
|
83
|
18
|
Inflows from fully performing exposures
|
|
67
|
30
|
|
64
|
33
|
19
|
Other cash inflows
|
|
7
|
7
|
|
10
|
10
|
20
|
Total cash inflows
|
|
369
|
118
|
|
367
|
126
|
|
|
|
|
|
|
|
|
|
Average 1Q18
1
|
|
|
Average 4Q17
1
|
CHF billion, except where
indicated
|
|
|
Total adjusted value
4
|
|
|
Total adjusted value
4
|
|
|
|
|
|
|
|
|
Liquidity coverage ratio
|
|
|
|
|
|
|
21
|
High-quality liquid assets
|
|
|
183
|
|
|
183
|
22
|
Net cash outflows
|
|
|
135
|
|
|
128
|
23
|
Liquidity coverage ratio (%)
|
|
|
136
|
|
|
143
|
1 Calculated based on an average of 64 data points in the first
quarter of 2018 and 63 data points in the fourth quarter of 2017. 2
Calculated after the application of 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.
|
Significant
regulated
subsidiaries and sub-groups
Significant regulated subsidiaries and sub-groups
The sections below include capital
and other regulatory information UBS AG standalone, UBS Switzerland AG
standalone, UBS Limited standalone and UBS Americas Holding LLC consolidated.
UBS AG consolidated capital and other regulatory information is provided in the
UBS AG first quarter 2018 report, which will be available as of 27 April 2018
under “Quarterly reporting” at
www.ubs.com/investors
.
Capital
information in this section is based on Pillar 1 capital requirements. Entities
may be subject to significant additional Pillar 2 requirements, which represent
additional amounts of capital considered necessary and agreed with regulators
based on the risk profile of the entities.
Section 2 UBS AG standalone
Swiss SRB going concern requirements and
information
Under Swiss systemically relevant
bank (SRB) regulations, article 125 “Reliefs for financial groups and
individual institutions” of the Capital Adequacy Ordinance stipulates that Swiss
Financial Market Supervisory Authority (FINMA) may grant, under certain
conditions, capital relief to individual institutions to ensure that an
individual institution’s compliance with the capital requirements does not lead
to a de facto overcapitalization of the group of which it is a part.
FINMA granted relief concerning the
regulatory capital requirements of UBS AG on a standalone basis by means of
decrees issued on 20 December 2013 and 20 October 2017, the latter effective as
of 1 July 2017 and partly replacing the former.
More information is provided in
“
Section 2 UBS AG standalone
”
of the 31 December 2017 Pillar 3 report –
UBS Group and significant regulated subsidiaries and sub-groups under
“
Pillar 3 disclosures
”
at
www.ubs.com/investors
.
Swiss SRB going concern
requirements and information
|
As of 31.3.18
|
|
Swiss SRB, including transitional arrangements
|
|
Swiss SRB after transition
|
CHF million, except where
indicated
|
|
RWA
|
LRD
|
|
RWA
|
LRD
|
|
|
|
|
|
|
|
|
|
|
|
Required going concern
capital
|
|
in %
1
|
|
in %
1
|
|
|
|
|
in %
|
|
Common equity tier 1 capital
|
|
10.04
|
28,928
|
3.50
|
20,699
|
|
10.04
|
37,746
|
3.50
|
20,699
|
of which: minimum capital
|
|
4.50
|
12,969
|
1.50
|
8,871
|
|
4.50
|
16,922
|
1.50
|
8,871
|
of which: buffer capital
|
|
5.50
|
15,851
|
2.00
|
11,828
|
|
5.50
|
20,682
|
2.00
|
11,828
|
of which: countercyclical
buffer
2
|
|
0.04
|
109
|
|
|
|
0.04
|
142
|
|
|
Maximum additional tier 1
capital
|
|
4.30
|
12,392
|
1.50
|
8,871
|
|
4.30
|
16,170
|
1.50
|
8,871
|
of which: high-trigger
loss-absorbing additional tier 1 minimum capital
|
|
3.50
|
10,087
|
1.50
|
8,871
|
|
3.50
|
13,161
|
1.50
|
8,871
|
of which: high-trigger
loss-absorbing additional tier 1 buffer capital
|
|
0.80
|
2,306
|
|
|
|
0.80
|
3,008
|
|
|
Total going concern capital
|
|
14.34
3
|
41,321
|
5.00
3
|
29,571
|
|
14.34
3
|
53,916
|
5.00
3
|
29,571
|
|
|
|
|
|
|
|
|
|
|
|
Eligible going concern
capital
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital
|
|
16.48
|
47,508
|
8.03
|
47,508
|
|
12.63
|
47,508
|
8.03
|
47,508
|
High-trigger loss-absorbing
additional tier 1 capital
4
|
|
5.07
|
14,609
|
2.47
|
14,609
|
|
1.84
|
6,911
|
1.17
|
6,911
|
of which: high-trigger
loss-absorbing additional tier 1 capital
|
|
2.40
|
6,911
|
1.17
|
6,911
|
|
1.84
|
6,911
|
1.17
|
6,911
|
of which: low-trigger
loss-absorbing tier 2 capital
|
|
2.67
|
7,698
|
1.30
|
7,698
|
|
|
|
|
|
Total going concern capital
|
|
21.55
|
62,118
|
10.50
|
62,118
|
|
14.47
|
54,419
|
9.20
|
54,419
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets /
leverage ratio denominator
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets
|
|
|
288,194
|
|
|
|
|
376,042
|
|
|
Leverage ratio denominator
|
|
|
|
|
591,413
|
|
|
|
|
591,413
|
1 By FINMA decree, requirements exceed those based on the
transitional arrangements of the Swiss Capital Adequacy Ordinance, i.e., a
total going concern capital ratio requirement of 12.86% plus the effect of
countercyclical buffer (CCB) requirements of 0.04%, of which 9.46% plus the
effect of CCB requirements of 0.04% must be satisfied with CET1 capital, and
a total going concern leverage ratio requirement of 4%, of which 2.9% must be
satisfied with CET1 capital. 2 Going concern capital ratio requirements as
of 31 March 2018 include CCB requirements of 0.04%. 3 Includes applicable
add-ons of 1.44% for RWA and 0.5% for LRD. 4 Includes outstanding low-trigger
loss-absorbing tier 2 capital instruments, which are available under the
transitional rules of the Swiss SRB framework to meet the going concern
requirements until the earlier of (i) their maturity or first call date or
(ii) 31 December 2019. Outstanding low-trigger loss-absorbing tier 2 capital
instruments are subject to amortization starting five years prior to their
maturity.
|
Swiss SRB going concern information
|
|
|
Swiss SRB, including transitional arrangements
|
|
Swiss SRB after transition
|
CHF million, except where
indicated
|
|
31.3.18
|
|
31.12.17
1
|
|
31.3.18
|
|
31.12.17
|
|
|
|
|
|
|
|
|
|
Going concern capital
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital
|
|
47,508
|
|
48,374
|
|
47,508
|
|
48,178
|
High-trigger loss-absorbing additional tier 1 capital
|
|
6,911
|
|
3,666
|
|
6,911
|
|
3,666
|
Total loss-absorbing
additional tier 1 capital
|
|
6,911
|
|
3,666
|
|
6,911
|
|
3,666
|
Total tier 1 capital
|
|
54,419
|
|
52,040
|
|
54,419
|
|
51,845
|
Low-trigger loss-absorbing tier 2 capital
2
|
|
7,698
|
|
7,874
|
|
|
|
|
Total tier 2 capital
|
|
7,698
|
|
7,874
|
|
|
|
|
Total going concern capital
|
|
62,118
|
|
59,914
|
|
54,419
|
|
51,845
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets /
leverage ratio denominator
|
|
|
|
|
|
|
|
|
Risk-weighted assets
|
|
288,194
|
|
277,529
|
|
376,042
|
|
365,362
|
of which: direct and
indirect investments in Swiss-domiciled subsidiaries
3
|
|
28,761
|
|
28,595
|
|
35,951
|
|
35,744
|
of which: direct and
indirect investments in foreign-domiciled subsidiaries
3
|
|
80,658
|
|
80,684
|
|
161,316
|
|
161,368
|
Leverage ratio denominator
|
|
591,413
|
|
599,727
|
|
591,413
|
|
599,532
|
|
|
|
|
|
|
|
|
|
Capital ratios (%)
|
|
|
|
|
|
|
|
|
Total going concern capital ratio
|
|
21.6
|
|
21.6
|
|
14.5
|
|
14.2
|
of which: CET1 capital ratio
|
|
16.5
|
|
17.4
|
|
12.6
|
|
13.2
|
|
|
|
|
|
|
|
|
|
Leverage ratios (%)
|
|
|
|
|
|
|
|
|
Total going concern leverage ratio
|
|
10.5
|
|
10.0
|
|
9.2
|
|
8.6
|
of which: CET1 leverage
ratio
|
|
8.0
|
|
8.1
|
|
8.0
|
|
8.0
|
1 As of 31 December 2017, phase-in deduction applied for the
purpose of the CET1 capital calculation was 80%. These effects are fully
phased in as of 31 March 2018. Prudential filters applied to RWA and LRD are
also fully phased in as of 31 March 2018. The remaining difference on RWA
relates to the treatment of direct and indirect investments. 2 Outstanding
low-trigger loss-absorbing tier 2 capital instruments qualify as going
concern capital until the earlier of (i) their maturity or first call date or
(ii) 31 December 2019, and are subject to amortization starting five years
prior to their maturity. 3 Carrying value for direct and indirect
investments including holding of regulatory capital instruments in
Swiss-domiciled subsidiaries (31 March 2018: CHF 14,380 million; 31 December
2017: 14,298 million), and for direct and indirect investments including
holding of regulatory capital instruments in foreign-domiciled subsidiaries
(31 March 2018: CHF 40,329 million; 31 December 2017: 40,342 million),
currently risk weighted at 200%. Risk weights are gradually increased by 5%
per year for Swiss-domiciled investments and 20% per year for
foreign-domiciled investments starting 1 January 2019 until the fully applied
risk weights of 250% and 400%, respectively, are applied.
|
Significant regulated subsidiaries and sub-groups
Leverage ratio
information
Swiss SRB leverage ratio
denominator
|
|
|
LRD (fully applied)
|
|
LRD (phase-in)
|
CHF billion
|
|
31.3.18
|
|
31.12.17
|
|
31.12.17
|
|
|
|
|
|
|
|
Leverage ratio denominator
|
|
|
|
|
|
|
Swiss GAAP total assets
|
|
464.3
|
|
477.0
|
|
477.0
|
Difference between Swiss GAAP and IFRS total assets
|
|
107.6
|
|
112.6
|
|
112.6
|
Less: derivative exposures and SFTs
1
|
|
(205.3)
|
|
(216.0)
|
|
(216.0)
|
On-balance sheet exposures
(excluding derivative exposures and SFTs)
|
|
366.6
|
|
373.6
|
|
373.6
|
Derivative exposures
|
|
96.6
|
|
94.6
|
|
94.6
|
Securities financing transactions
|
|
98.8
|
|
101.8
|
|
101.8
|
Off-balance sheet items
|
|
31.3
|
|
31.6
|
|
31.6
|
Items deducted from Swiss SRB tier 1 capital
|
|
(1.8)
|
|
(1.9)
|
|
(1.7)
|
Total exposures (leverage
ratio denominator)
|
|
591.4
|
|
599.5
|
|
599.7
|
1 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.
|
BCBS Basel III leverage ratio
1
|
CHF million, except where
indicated
|
|
31.3.18
|
31.12.17
|
30.9.17
|
30.6.17
|
Total tier 1 capital
|
|
56,759
|
53,223
|
54,363
|
34,891
|
Total exposures (leverage ratio denominator)
|
|
591,413
|
599,727
|
597,002
|
566,091
|
BCBS Basel III leverage ratio (%)
|
|
9.6
|
8.9
|
9.1
|
6.2
|
1 Until 31 December 2017, phase-in deduction applied for the
purpose of the CET1 capital calculation was 80%. These effects are fully
phased in as of 31 March 2018. Associated prudential filters applied to LRD
are also fully phased in as of 31 March 2018.
|
Liquidity coverage ratio
UBS
AG is required to maintain a minimum liquidity coverage ratio of 105% as
communicated by FINMA.
Liquidity coverage ratio
|
|
|
|
|
|
Weighted value
1
|
CHF billion, except where
indicated
|
|
Average 1Q18
2
|
Average 4Q17
2
|
High-quality liquid assets
|
|
85
|
87
|
Total net cash outflows
|
|
67
|
66
|
of which: cash outflows
|
|
180
|
188
|
of which: cash inflows
|
|
113
|
123
|
Liquidity coverage ratio (%)
|
|
127
|
132
|
1 Calculated after the application of haircuts and inflow and
outflow rates. 2 Calculated based on an average of 64 data points in the
first quarter of 2018 and 63 data points in the fourth quarter of 2017.
|
Section 3 UBS Switzerland AG standalone
Swiss SRB
going and gone concern requirements and information
UBS Switzerland AG is considered a
systemically relevant bank (SRB) under Swiss banking law and is subject to
capital regulations on a standalone basis
.
As
of 31 March 2018, the transitional going concern capital and leverage ratio
requirements for UBS Switzerland AG standalone were 13.39% and 4.0%,
respectively. The gone concern requirements under transitional arrangements
were 7.65% for the RWA-based requirement and 2.58% for the LRD-based
requirement.
Swiss SRB going and gone
concern requirements and information
1
|
As of 31.3.18
|
|
Swiss SRB, including transitional arrangements
|
|
Swiss SRB as of 1.1.20
|
CHF million, except where
indicated
|
|
RWA
|
LRD
|
|
RWA
|
LRD
|
|
|
|
|
|
|
|
|
|
|
|
Required loss-absorbing
capacity
|
|
in %
2
|
|
in %
|
|
|
in %
|
|
in %
|
|
Common equity tier 1 capital
|
|
9.99
|
9,418
|
2.90
|
8,757
|
|
10.53
|
9,928
|
3.50
|
10,569
|
of which: minimum capital
|
|
5.40
|
5,093
|
1.90
|
5,737
|
|
4.50
|
4,244
|
1.50
|
4,530
|
of which: buffer capital
|
|
4.06
|
3,829
|
1.00
|
3,020
|
|
5.50
|
5,187
|
2.00
|
6,039
|
of which: countercyclical
buffer
3
|
|
0.53
|
496
|
|
|
|
0.53
|
496
|
|
|
Maximum additional tier 1
capital
|
|
3.40
|
3,207
|
1.10
|
3,322
|
|
4.30
|
4,055
|
1.50
|
4,530
|
of which: high-trigger
loss-absorbing additional tier 1 minimum capital
|
|
2.60
|
2,452
|
1.10
|
3,322
|
|
3.50
|
3,301
|
1.50
|
4,530
|
of which: high-trigger
loss-absorbing additional tier 1 buffer capital
|
|
0.80
|
754
|
|
|
|
0.80
|
754
|
|
|
Total going concern capital
|
|
13.39
|
12,625
|
4.00
|
12,079
|
|
14.83
4
|
13,983
|
5.00
4
|
15,098
|
Base gone concern loss-absorbing capacity, including applicable
add-ons and rebate
|
|
7.65
5
|
7,219
|
2.58
5
|
7,791
|
|
12.30
6
|
11,598
|
4.30
6
|
12,985
|
Total gone concern loss-absorbing
capacity
|
|
7.65
|
7,219
|
2.58
|
7,791
|
|
12.30
|
11,598
|
4.30
|
12,985
|
Total loss-absorbing
capacity
|
|
21.04
|
19,843
|
6.58
|
19,869
|
|
27.12
|
25,581
|
9.30
|
28,083
|
|
|
|
|
|
|
|
|
|
|
|
Eligible loss-absorbing
capacity
|
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital
|
|
10.73
|
10,118
|
3.35
|
10,118
|
|
10.73
|
10,118
|
3.35
|
10,118
|
High-trigger loss-absorbing
additional tier 1 capital
|
|
3.18
|
3,000
|
0.99
|
3,000
|
|
3.18
|
3,000
|
0.99
|
3,000
|
of which: high-trigger
loss-absorbing additional tier 1 capital
|
|
3.18
|
3,000
|
0.99
|
3,000
|
|
3.18
|
3,000
|
0.99
|
3,000
|
Total going concern capital
|
|
13.91
|
13,118
|
4.34
|
13,118
|
|
13.91
|
13,118
|
4.34
|
13,118
|
Gone concern loss-absorbing
capacity
|
|
8.91
|
8,400
|
2.78
|
8,400
|
|
8.91
|
8,400
|
2.78
|
8,400
|
of which: TLAC-eligible debt
|
|
8.91
|
8,400
|
2.78
|
8,400
|
|
8.91
|
8,400
|
2.78
|
8,400
|
Total gone concern
loss-absorbing capacity
|
|
8.91
|
8,400
|
2.78
|
8,400
|
|
8.91
|
8,400
|
2.78
|
8,400
|
Total loss-absorbing capacity
|
|
22.82
|
21,518
|
7.13
|
21,518
|
|
22.82
|
21,518
|
7.13
|
21,518
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets /
leverage ratio denominator
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets
|
|
|
94,311
|
|
|
|
|
94,311
|
|
|
Leverage ratio denominator
|
|
|
|
|
301,968
|
|
|
|
|
301,968
|
1 This table includes a rebate equal to 35% of the maximum
rebate on the gone concern requirements, which was granted by FINMA and will
be phased in until 1 January 2020. Refer to the “Capital management” section
of our Annual Report 2017 for more information. 2 The total loss-absorbing
capacity ratio requirement of 21.04% is the current requirement based on the
transitional rules of the Swiss Capital Adequacy Ordinance including the
aforementioned rebate on the gone concern requirements. In addition, FINMA
has defined a total capital ratio requirement, which is the sum of 14.4% and
the effect of countercyclical buffer (CCB) requirements of 0.53%, of which
10% plus the effect of CCB requirements must be satisfied with CET1 capital.
These FINMA requirements will be effective until they are exceeded by the
Swiss SRB requirements based on the transitional rules. 3 Going concern
capital ratio requirements include CCB requirements of 0.53%. 4 Includes
applicable add-ons of 1.44% for RWA and 0.5% for LRD. 5 Includes
applicable add-ons of 0.72% for RWA and 0.25% for LRD and a rebate of 1.25%
for RWA and 0.42% for LRD. 6 Includes applicable add-ons of 1.44% for RWA
and 0.5% for LRD and a rebate of 2% for RWA and 0.7% for LRD.
|
Significant regulated subsidiaries and sub-groups
Swiss SRB
loss-absorbing capacity
Swiss SRB going and gone
concern information
|
|
|
|
|
|
Swiss SRB, including transitional arrangements
|
|
Swiss SRB as of 1.1.20
|
CHF million, except where
indicated
|
|
31.3.18
|
31.12.17
|
|
31.3.18
|
31.12.17
|
|
|
|
|
|
|
|
Going concern capital
|
|
|
|
|
|
|
Common equity tier 1 capital
|
|
10,118
|
10,160
|
|
10,118
|
10,160
|
High-trigger loss-absorbing additional tier 1 capital
|
|
3,000
|
3,000
|
|
3,000
|
3,000
|
Total tier 1 capital
|
|
13,118
|
13,160
|
|
13,118
|
13,160
|
Total going concern capital
|
|
13,118
|
13,160
|
|
13,118
|
13,160
|
|
|
|
|
|
|
|
Gone concern loss-absorbing
capacity
|
|
|
|
|
|
|
TLAC-eligible debt
|
|
8,400
|
8,400
|
|
8,400
|
8,400
|
Total gone concern
loss-absorbing capacity
|
|
8,400
|
8,400
|
|
8,400
|
8,400
|
|
|
|
|
|
|
|
Total loss-absorbing capacity
|
|
|
|
|
|
|
Total loss-absorbing
capacity
|
|
21,518
|
21,560
|
|
21,518
|
21,560
|
|
|
|
|
|
|
|
Risk-weighted assets /
leverage ratio denominator
|
|
|
|
|
|
|
Risk-weighted assets
|
|
94,311
|
92,894
|
|
94,311
|
92,894
|
Leverage ratio denominator
|
|
301,968
|
302,987
|
|
301,968
|
302,987
|
|
|
|
|
|
|
|
Capital and loss-absorbing
capacity ratios (%)
|
|
|
|
|
|
|
Going concern capital ratio
|
|
13.9
|
14.2
|
|
13.9
|
14.2
|
of which: common equity tier
1 capital ratio
|
|
10.7
|
10.9
|
|
10.7
|
10.9
|
Gone concern loss-absorbing capacity ratio
|
|
8.9
|
9.0
|
|
8.9
|
9.0
|
Total loss-absorbing capacity ratio
|
|
22.8
|
23.2
|
|
22.8
|
23.2
|
|
|
|
|
|
|
|
Leverage ratios (%)
|
|
|
|
|
|
|
Going concern leverage ratio
|
|
4.3
|
4.3
|
|
4.3
|
4.3
|
of which: common equity tier
1 leverage ratio
|
|
3.4
|
3.4
|
|
3.4
|
3.4
|
Gone concern leverage ratio
|
|
2.8
|
2.8
|
|
2.8
|
2.8
|
Total loss-absorbing capacity leverage ratio
|
|
7.1
|
7.1
|
|
7.1
|
7.1
|
|
Leverage ratio information
Swiss SRB leverage ratio
denominator
|
|
|
|
|
|
|
|
LRD
(fully applied)
|
|
LRD
(phase-in)
|
CHF billion
|
|
31.3.18
|
31.12.17
|
|
31.12.17
|
|
|
|
|
|
|
Leverage ratio denominator
|
|
|
|
|
|
Swiss GAAP total assets
|
|
289.4
|
290.3
|
|
290.3
|
Difference between Swiss GAAP and IFRS total assets
|
|
1.5
|
1.3
|
|
1.3
|
Less: derivative exposures and SFTs
1
|
|
(30.5)
|
(39.6)
|
|
(39.6)
|
On-balance sheet exposures (excluding
derivative exposures and SFTs)
|
|
260.4
|
252.0
|
|
252.0
|
Derivative exposures
|
|
4.5
|
4.0
|
|
4.0
|
Securities financing transactions
|
|
25.8
|
35.3
|
|
35.3
|
Off-balance sheet items
|
|
11.8
|
12.2
|
|
12.2
|
Items deducted from Swiss SRB tier 1 capital
|
|
(0.4)
|
(0.5)
|
|
(0.5)
|
Total exposures (leverage
ratio denominator)
|
|
302.0
|
303.0
|
|
303.0
|
1 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.
|
BCBS Basel III leverage ratio
1
|
CHF million, except where
indicated
|
|
31.12.18
|
31.12.17
|
30.9.17
|
30.6.17
|
Total tier 1 capital
|
|
13,118
|
13,160
|
12,272
|
12,276
|
Total exposures (leverage ratio denominator)
|
|
301,968
|
302,987
|
305,229
|
308,917
|
BCBS Basel III leverage ratio (%)
|
|
4.3
|
4.3
|
4.0
|
4.0
|
1 Until 31 December 2017, phase-in deduction applied for the
purpose of the CET1 capital calculation was 80%. These effects are fully
phased in as of 31 March 2018. Associated prudential filters applied to LRD
are also fully phased in as of 31 March 2018.
|
Liquidity coverage ratio
UBS Switzerland AG, as a Swiss SRB,
is required to maintain a minimum liquidity coverage ratio of 100%.
Liquidity coverage ratio
|
|
|
Weighted value
1
|
CHF billion, except where
indicated
|
|
Average 1Q18
2
|
Average 4Q17
2
|
High-quality liquid assets
|
|
69
|
69
|
Total net cash outflows
|
|
55
|
48
|
of which: cash outflows
|
|
87
|
89
|
of which: cash inflows
|
|
33
|
41
|
Liquidity coverage ratio (%)
|
|
126
|
144
|
1 Calculated after the application of haircuts and inflow and
outflow rates. 2 Calculated based on an average of 64 data points in the
first quarter of 2018 and 63 data points in the fourth quarter of 2017.
|
Significant regulated subsidiaries and sub-groups
Capital
instruments
Capital instruments of UBS
Switzerland AG – key features
|
Presented according to issuance date.
|
|
|
|
Share capital
|
|
Additional tier 1 capital
|
1
|
Issuer (country of incorporation; if applicable, branch)
|
|
UBS Switzerland AG, Switzerland
|
|
UBS Switzerland AG, Switzerland
|
|
UBS Switzerland AG, Switzerland
|
|
UBS Switzerland AG, Switzerland
|
1a
|
Instrument number
|
|
1
|
|
2
|
|
3
|
|
4
|
2
|
Unique identifier (e.g., ISIN)
|
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
3
|
Governing law(s) of the instrument
|
|
Swiss
|
|
Swiss
|
|
Swiss
|
|
Swiss
|
|
Regulatory treatment
|
|
|
|
|
|
|
|
|
4
|
Transitional Basel III rules
1
|
|
CET1 – Going concern capital
|
|
Additional tier 1 – Going concern capital
|
5
|
Post-transitional Basel III rules
2
|
|
CET1 – Going concern capital
|
|
Additional tier 1 – Going concern capital
|
6
|
Eligible at solo / group / group and solo
|
|
UBS Switzerland AG standalone
|
|
UBS Switzerland AG standalone
|
7
|
Instrument type
|
|
Ordinary shares
|
|
Loan
4
|
8
|
Amount recognized in regulatory capital (currency in million, as
of most recent reporting date)
1
|
|
CHF 10.0
|
|
CHF 1,500
|
|
CHF 500
|
|
CHF 1,000
|
9
|
Outstanding amount (par value, million)
|
|
CHF 10.0
|
|
CHF 1,500
|
|
CHF 500
|
|
CHF 1,000
|
10
|
Accounting classification
3
|
|
Equity attributable to UBS Switzerland AG shareholders
|
|
Due to banks held at amortized cost
|
11
|
Original date of issuance
|
|
–
|
|
1 April 2015
|
|
11 March 2016
|
|
18 December 2017
|
12
|
Perpetual or dated
|
|
–
|
|
Perpetual
|
13
|
Original maturity date
|
|
–
|
|
–
|
14
|
Issuer call subject to prior supervisory approval
|
|
–
|
|
Yes
|
15
|
Optional call date, subsequent call dates, if applicable, and
redemption amount
|
|
–
|
|
First optional repayment date:
1 April 2020
|
|
First optional repayment date:
11 March 2021
|
|
First optional repayment date:
18 December 2022
|
|
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
|
Contingent call dates and redemption amount
|
|
–
|
|
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
|
Capital instruments of UBS Switzerland AG – key features
(continued)
|
|
Coupons / dividend
|
|
|
|
|
|
|
|
|
17
|
Fixed or floating dividend / coupon
|
|
–
|
|
Floating
|
18
|
Coupon rate and any related index;
frequency of payment
|
|
–
|
|
6-month CHF Libor +
370 bps per annum
semiannually
|
|
3-month CHF Libor +
459 bps per annum
quarterly
|
|
3-month CHF Libor +
250 bps per annum
quarterly
|
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, full or partial
|
|
–
|
|
Full
|
33
|
If write-down, permanent or temporary
|
|
–
|
|
Permanent
|
34
|
If temporary write-down, description of write-up mechanism
|
|
–
|
|
–
|
35
|
Position in subordination hierarchy in liquidation
(specify instrument type immediately senior to instrument)
|
|
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 (article 745, Swiss
Code of Obligations)
|
|
Subject to any obligations that are mandatorily preferred by
law, all obligations of UBS Switzerland AG that are unsubordinated or that
are subordinated and do not rank junior, such as all classes of share
capital, or at par, such as tier 1 instruments
|
36
|
Existence of features that prevent full recognition under
Basel III
|
|
–
|
|
–
|
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 As applied in UBS Switzerland AG‘s financial statements under
Swiss GAAP. 4 Loans granted by UBS AG, Switzerland.
|
Significant regulated subsidiaries and sub-groups
Section 4 UBS Limited standalone
The
table below includes required information on the regulatory capital components
and capital ratios, as well as leverage ratio, of UBS Limited standalone based
on the Pillar 1 capital requirements. Entities may also be subject to
significant Pillar 2 requirements, which represent additional amounts of
capital considered necessary and agreed with regulators based on the risk
profile of the entities.
Prudential key figures
1
|
|
|
|
GBP million, except where
indicated
|
|
31.3.18
|
31.12.17
2
|
1
|
Minimum capital requirement (8% of RWA)
|
|
862
|
838
|
2
|
Eligible capital
|
|
3,427
|
3,449
|
3
|
of which: common equity tier
1 (CET1) capital
|
|
2,521
|
2,529
|
4
|
of which: tier 1 capital
|
|
2,756
|
2,764
|
5
|
Risk-weighted assets
|
|
10,778
|
10,473
|
6
|
CET1 capital ratio in % of RWA
|
|
23.4
|
24.2
|
7
|
Tier 1 capital ratio in % of RWA
|
|
25.6
|
26.4
|
8
|
Total capital ratio in % of RWA
|
|
31.8
|
32.9
|
9
|
Countercyclical buffer (CCB) in % of RWA
|
|
0.1
|
0.1
|
10
|
CET1 capital requirement (including CCB) (%)
|
|
6.5
|
5.8
|
11
|
Tier 1 capital requirement (including CCB) (%)
|
|
8.0
|
7.3
|
12
|
Total capital requirement (including CCB) (%)
|
|
10.0
|
9.3
|
13
|
Basel III leverage ratio (%)
3
|
|
7.7
|
7.6
|
14
|
Leverage ratio denominator
|
|
35,995
|
36,409
|
15
|
Liquidity coverage ratio (%)
4
|
|
473
|
454
|
16
|
Numerator: High-quality liquid assets
|
|
5,744
|
5,758
|
17
|
Denominator: Net cash outflows
|
|
1,269
|
1,317
|
1 Based on Directive 2013/36/EU and Regulation 575/2013
(together known as “CRD IV”) and their related technical standards, as
implemented in the UK by the Prudential Regulation Authority. 2 Figures as
of or for the quarter ended 31 December 2017 have been adjusted for
consistency with the full year audited financial statements and / or local
regulatory reporting, which were finalized after the publication of the UBS
Group Annual Report 2017 and the 31 December 2017 Pillar 3 report on 9 March
2018. 3 On the basis of tier 1 capital. 4 The values represent an
average of the month-end balances for the twelve months ending 31 March 2018
and 31 December 2017 in line with the European Banking Authority guidelines
on the liquidity coverage ratio disclosure (EBA/GL/2017/01). Including PRA
Pillar 2 requirements, the equivalent average ratios were 192% and 187% for
31 March 2018 and 31 December 2017, respectively.
|
Section 5 UBS Americas Holding LLC consolidated
The
table below includes required information on the regulatory capital components
and capital ratios, as well as leverage ratio, of UBS Americas Holding LLC
consolidated based on Pillar 1 capital requirements. Entities may also be
subject to significant Pillar 2 requirements, which represent additional
amounts of capital considered necessary and agreed with regulators based on the
risk profile of the entities.
Prudential key figures
1,2
|
|
|
|
USD million, except where
indicated
|
|
31.3.18
|
31.12.17
3
|
1
|
Minimum capital requirement (8% of RWA)
|
|
4,039
|
3,967
|
2
|
Eligible capital
|
|
13,048
|
12,769
|
3
|
of which: common equity tier
1 (CET1) capital
|
|
10,188
|
10,851
|
4
|
of which: tier 1 capital
|
|
12,329
|
12,047
|
5
|
Risk-weighted assets
|
|
50,485
|
49,587
|
6
|
CET1 capital ratio in % of RWA
|
|
20.2
|
21.9
|
7
|
Tier 1 capital ratio in % of RWA
|
|
24.4
|
24.3
|
8
|
Total capital ratio in % of RWA
|
|
25.8
|
25.8
|
9
|
Countercyclical buffer (CCB) in % of RWA
4
|
|
|
|
10
|
CET1 capital requirement (including CCB) (%)
|
|
6.4
|
5.8
|
11
|
Tier 1 capital requirement (including CCB) (%)
|
|
7.9
|
7.3
|
12
|
Total capital requirement (including CCB) (%)
|
|
9.9
|
9.3
|
13
|
Basel III leverage ratio (%)
5
|
|
9.3
|
8.9
|
14
|
Leverage ratio denominator
|
|
132,764
|
135,718
|
1 For UBS Americas Holding LLC based on applicable US Basel III rules.
2 There is no local disclosure requirement for liquidity coverage ratio for
UBS Americas Holding LLC as of 31 March 2018. 3 Figures as of or for the
quarter ended 31 December 2017 have been adjusted for consistency with
the full year audited financial statements and / or local regulatory
reporting, which were finalized after the publication of the UBS Group Annual
Report 2017 and the 31 December 2017 Pillar 3 report on 9 March 2018. 4
Not applicable as the countercyclical buffer requirement applies only to
banking organizations subject to the advanced approaches capital rules. 5
On the basis of tier 1 capital.
|
Abbreviations frequently used in our
financial reports
A
ABS asset-backed
security
AEI automatic
exchange of information
AGM annual general
meeting of shareholders
A-IRB advanced internal
ratings-based
AIV alternative
investment vehicle
ALCO Asset and Liability
Management Committee
AMA advanced
measurement approach
AoA Articles of
Association of UBS Group AG
ASFA advanced
supervisory formula approach
AT1 additional tier 1
B
BCBS Basel Committee on
Banking Supervision
BD business
division
BEAT base erosion and
anti-abuse tax
BIS Bank for
International Settlements
BoD Board of
Directors
BVG Swiss occupational
pension plan
C
CC Corporate Center
CCAR Comprehensive Capital
Analysis and Review
CCB countercyclical
buffer
CCF credit conversion
factor
CCP central
counterparty
CCR counterparty
credit risk
CCRC Corporate Culture
and Responsibility Committee
CDO collateralized
debt
obligation
CDR constant default
rate
CDS credit default
swap
CEA Commodity
Exchange Act
CECL current expected
credit loss
CEM current exposure
method
CEO Chief Executive
Officer
CET1 common equity tier
1
CFO Chief Financial
Officer
CFTC US Commodity
Futures Trading Commission
CHF Swiss franc
CLN credit-linked
note
CLO collateralized
loan obligation
CMBS commercial
mortgage-backed security
COP close-out period
CRD IV EU Capital
Requirements Directive of 2013
CRM credit risk
mitigation (credit risk) or comprehensive risk measure (market risk)
CST combined stress
test
CVA credit valuation
adjustment
D
DBO defined benefit
obligation
DCCP Deferred Contingent
Capital Plan
DOJ US Department of
Justice
DOL US Department of
Labor
D-SIB domestic
systemically important bank
DTA deferred tax
asset
DVA debit valuation
adjustment
E
EAD exposure at
default
EBA European Banking
Authority
EC European
Commission
ECAI external credit
assessment institution
ECB European Central
Bank
ECL expected credit
loss
EEPE effective
expected positive exposure
EIR effective interest
rate
EL expected loss
EMEA Europe, Middle East
and Africa
EOP Equity Ownership
Plan
EPE expected
positive exposure
EPS earnings per
share
ERISA Employee
Retirement Income Security Act of 1974
ETD exchange-traded
derivative
ETF exchange-traded
fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered
Rate
F
FCA UK Financial
Conduct
Authority
FCT foreign currency
translation
FDIC US Federal
Deposit Insurance Corporation
FINMA Swiss Financial
Market Supervisory Authority
FINRA US Financial
Industry Regulatory Authority
FMIA Swiss Federal Act
on Financial Market Infrastructures and Market Conduct in Securities and
Derivatives Trading
FMIO FINMA Ordinance on
Financial Market Infrastructure
FRA forward rate
agreement
FSA UK Financial
Services Authority
FSB Financial
Stability Board
FTA Swiss Federal
Tax Administration
FTD first to default
FTP funds transfer
price
FVA funding valuation
adjustment
FVOCI fair value through
other comprehensive income
FVTPL fair value through
profit or loss
FX foreign
exchange
G
GAAP generally accepted
accounting principles
GBP British pound
GEB Group Executive
Board
GHG greenhouse gas
GIA Group Internal
Audit
GIIPS Greece, Italy,
Ireland,
Portugal and Spain
GMD Group Managing
Director
GRI Global Reporting
Initiative
Group ALM Group Asset and
Liability Management
G-SIB global
systemically important bank
Abbreviations frequently used in our
financial reports (continued)
H
HQLA
high-quality
liquid assets
I
IAA internal
assessment approach
IAS International
Accounting Standards
IASB International
Accounting Standards Board
IFRIC International
Financial Reporting Interpretations Committee
IFRS International
Financial Reporting Standards
IMA internal models
approach
IMM internal model
method
IRB internal
ratings-based
IRC incremental risk
charge
ISDA International
Swaps and Derivatives Association
K
KPI key performance
indicator
KRT Key Risk Taker
L
LAC loss-absorbing
capacity
LAS liquidity-adjusted
stress
LCR liquidity
coverage ratio
LGD loss given
default
LIBOR London Interbank
Offered Rate
LLC Limited
liability company
LRD leverage ratio
denominator
LTV loan-to-value
M
MiFID II Markets in Financial Instruments Directive II
MiFIR Markets in Financial Instruments associated
Regulation
MRT Material Risk Taker
MTN medium-term note
N
NAV net asset value
NII net interest
income
NPA non-prosecution
agreement
NRV negative
replacement value
NSFR net stable funding
ratio
O
OCI other
comprehensive income
OTC over-the-counter
P
PD probability of
default
PFE potential future
exposure
PIT point in time
P&L profit and
loss
PRA UK Prudential
Regulation Authority
PRV positive
replacement value
Q
QRRE qualifying
revolving retail exposures
R
RBA ratings-based
approach
RBC risk-based
capital
RLN reference-linked
note
RMBS residential
mortgage-backed security
RniV risks-not-in-VaR
RoAE return on
attributed equity
RoE return on equity
RoTE return on tangible
equity
RV replacement
value
RW risk weight
RWA risk-weighted
assets
S
SA standardized
approach
SA-CCR standardized approach
for counterparty credit risk
SAR stock
appreciation right
SE structured
entity
SEC US Securities and
Exchange Commission
SEEOP Senior Executive
Equity Ownership Plan
SESTA Swiss Federal Act
on Stock Exchanges and Securities Trading
SESTO FINMA Ordinance on
Stock Exchanges and Securities Trading
SFA supervisory
formula approach
SFT securities
financing transaction
SI sustainable
investing
SICR significant
increase in credit risk
SME small and
medium-sized enterprises
SMF Senior
Management Function
SNB Swiss National
Bank
SPPI solely payments
of principal and interest
SRB systemically
relevant bank
SRM specific risk
measure
SSFA simplified
supervisory formula approach
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and
Jobs Act
TLAC total
loss-absorbing capacity
TRS total return
swap
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
This is a general list of the
abbreviations frequently used in our financial reporting. Not all of the listed
abbreviations may appear in this particular report.
Cautionary
Statement
|
This report and
the information contained herein are provided solely for information purposes,
and are not to be construed as solicitation of an offer to buy or sell any
securities or other financial instruments in Switzerland, the United States or
any other jurisdiction. No investment decision relating to securities of or
relating to UBS Group AG, UBS AG or their affiliates should be made on the
basis of this report. Refer to UBS’s first quarter 2018 report and its Annual
Report 2017, available at
www.ubs.com/investors
, for
additional information.
Rounding |
Numbers
presented throughout this report may not add up precisely to the totals
provided in the tables and text. Starting in 2018, percentages, percent changes
and adjusted results presented in the tables and text are calculated on the
basis of unrounded figures, with the exception of movement information provided
in text that can be derived from figures displayed in the tables, which is calculated
on a rounded basis. For prior periods, these values are calculated on the basis
of rounded figures displayed in the tables and text.
Tables |
Within tables, blank fields
generally indicate that the field is not applicable or not meaningful, or that
information is not available as of the relevant date or for the relevant
period. Zero values generally indicate that the respective figure is zero on an
actual or rounded basis. Percentage changes are presented as a mathematical
calculation of the change between periods.
UBS Group AG
P.O. Box
CH-8098 Zurich
www.ubs.com
SIGNATURES
Pursuant to the requirements
of the Securities Exchange Act of 1934, the registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
authorized.
UBS Group AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Ella Campi _____
Name: Ella Campi
Title: Executive Director
UBS AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Ella Campi _____
Name: Ella Campi
Title: Executive Director
Date: April 23, 2018
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