UBS Group AG 6-K, filed Oct 20, 2020
UBS Group AG (UBS)
About this 6-K
UBS Group AG filed this 6-K on October 20, 2020.
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: October 20, 2020
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.
Form 20-F x Form 40-F o
This Form 6-K consists of the Basel III Pillar 3 UBS Group AG Third Quarter 2020 Report, which appears immediately following this page.
30 September 2020 Pillar 3 report
UBS Group and significant regulated subsidiaries and sub-groups
| Table of contents | |||
|---|---|---|---|
| Introduction and basis for preparation | |||
| **** | |||
| UBS Group | |||
| 6 | Section<br> 1 | Key metrics | |
| 8 | Section<br> 2 | Risk-weighted assets | |
| 12 | Section<br> 3 | Going and gone concern<br> requirements <br><br> and eligible capital | |
| 14 | Section<br> 4 | Leverage ratio | |
| 17 | Section<br> 5 | Liquidity coverage ratio | |
| **** | |||
| Significant regulated subsidiaries and sub-groups | |||
| 20 | Section<br> 1 | Introduction | |
| 20 | Section<br> 2 | UBS AG standalone | |
| 25 | Section<br> 3 | UBS Switzerland AG standalone | |
| 31 | Section<br> 4 | UBS Europe SE consolidated | |
| 32 | Section<br> 5 | UBS Americas Holding LLC<br> consolidated | |
| **** | **** | ||
| Appendix | |||
| 33 | Abbreviations frequently used<br> in our financial reports | ||
| 35 | Cautionary statement | ||
| **** | **** | ||
| --- |
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Introduction and basis for preparation
Termsused in this report, unless the context requires otherwise
| “UBS,”<br> “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us”<br> and “our” | UBS Group AG and its consolidated<br> subsidiaries |
|---|---|
| “UBS AG consolidated” | UBS AG and its consolidated<br> subsidiaries |
| “UBS Group AG” and “UBS Group AG<br> standalone” | UBS Group AG on a standalone basis |
| “UBS AG” and “UBS AG standalone” | UBS AG on a standalone basis |
| “UBS Switzerland AG” and “UBS Switzerland AG<br> standalone” | UBS Switzerland AG on a standalone<br> basis |
| “UBS Europe SE consolidated” | UBS Europe SE and its consolidated<br> subsidiaries |
| “UBS Americas Holding LLC” and<br><br> <br>“UBS Americas Holding LLC<br> consolidated” | UBS Americas Holding LLC and its<br> consolidated subsidiaries |
Introduction and basis for preparation
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for the UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”
As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 30 September 2020 for UBS Group AG consolidated is provided in the “Capital management” section of our third quarter 2020 report and for UBS AG consolidated in the “Capital management” section of the UBS AG third quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors.
Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors.
Significant BCBS and FINMA capital adequacy, liquidity andfunding, and related disclosure requirements
This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1, “Disclosure – banks”) as revised on 31 October 2019, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.
Significant regulatory developments, and disclosure requirements and changes effective in this quarter
COVID-19 temporary regulatory measures
While the loans granted under the program established by the Swiss Federal Council in March 2020 to support small and medium-sized entities (SMEs) have a maturity of up to five years and can be extended by another five years in cases of hardship, no new loans have been granted since the program closed on 31 July 2020. We processed more than 24,000 applications under this program and, as of 31 July 2020, we had committed CHF 2.7 billion of loans up to CHF 0.5 million, which are 100% guaranteed by the Swiss government, and CHF 0.6 billion of loans between CHF 0.5 million and CHF 20 million, which are 85% government-guaranteed. The total amount drawn on our loan commitments under the program increased slightly, from CHF 1.6 billion (48%) on 31 July 2020 to CHF 1.7 billion (52%) on 30 September 2020. We remain committed to donating any potential profits from the government-backed lending program to COVID-19 relief efforts; however, as previously communicated, we do not expect any such profits in 2020.
Following the completion of the annual Dodd–Frank Act Stress Testing (DFAST) and the Comprehensive Capital Analysis and Review (CCAR), UBS Americas Holding LLC was assigned a stress capital buffer (SCB) of 6.7% under the SCB rule (based on DFAST results and planned future dividends), which results in the imposition of restrictions if the SCB is not maintained above specified regulatory minimum capital requirements.
› Refer to the “UBS Group,” “UBS AG standalone”and “UBS Switzerland AG standalone” sections of this report for moreinformation about the effects of the temporary exemption granted by FINMA inconnection with COVID-19
NSFR implementation in Switzerland
In September 2020, the Swiss Federal Council adopted an amendment to the Liquidity Ordinance for the implementation of the net stable funding ratio (the NSFR). Due to delays in the implementation in the EU and in the US, the Swiss Federal Council had previously postponed the NSFR implementation in Switzerland, which was originally scheduled for January 2018. The NSFR regulation is expected to be finalized in the fourth quarter of 2020 with the release of the revised FINMA liquidity circular. The overall effect of the NSFR on UBS upon implementation is expected to be limited, but the ultimate outcome depends on the details of the final FINMA circular. The NSFR will become effective on 1 July 2021 and UBS is on schedule to operationalize it.
2
Restatement of compensation-related liabilities
During the third quarter of 2020, UBS restated its balance sheet and statement of changes in equity as of 1 January 2018 to correct a USD 43 million liability understatement in connection with a legacy Global Wealth Management deferred compensation plan in the Americas region. In addition, a related USD 11 million deferred tax asset has been recognized, resulting in a decrease in equity attributable to shareholders of USD 32 million. The corresponding effects on regulatory capital and other disclosed metrics have also been reflected in the comparative-period figures.
› Refer to **** the “Consolidated financialstatements” section of our third quarter 2020 report for more information
Phase-in of RWA effects
During the third quarter of 2020, we began to phase in RWA increases related to the planned fourth quarter of 2020 release of new probability of default (PD) and loss given default (LGD) parameters for the mortgage portfolios in the US. The RWA effects of such model updates will be phased in over six quarters, until the end of 2021, with an estimated quarterly RWA increase of USD 0.4 billion, as agreed with FINMA.
Frequency and comparability of Pillar 3disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7 and 8 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 30 June 2020 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
› Refer to our 30 June 2020 Pillar 3 report,available under “Pillar 3 disclosures” at www.ubs.com/investors , for more informationabout the previously published quarterly movement commentary
3
UBS Group
UBS Group
Section 1 Key metrics
Key metrics ofthe third quarter of 2020
The KM1 and KM2 tables on the following pages are based on Basel Committee on Banking Supervision (BCBS) Basel III rules; however, they do not reflect the effects of the temporary exemption granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19 that permits banks to exclude central bank sight deposits from the leverage ratio calculation. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.
During the third quarter of 2020, our common equity tier 1 (CET1) capital increased by USD 0.1 billion to USD 38.2 billion, mainly as a result of operating profit before tax and foreign currency effects, which were substantially offset by current taxes, compensation-related capital components, accruals for capital returns to shareholders and a capital reserve for potential share repurchases.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for moreinformation about the COVID-19-related temporary regulatory measures, and to “Applicationof the temporary COVID-19-related FINMA exemption of central bank sightdeposits” in the “Going and gone concern requirements and eligible capital“ sectionof this report for additional information
Tier 1 capital increased by USD 0.9 billion to USD 54.4 billion, predominantly due to the issuance of an additional tier 1 (AT1) instrument with a nominal value of USD 750 million. The TLAC available as of 30 September 2020 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 30 September 2020, but is included as available TLAC in the KM2 table in this section.
Our available TLAC increased by USD 4.1 billion to USD 97.8 billion, mainly reflecting the aforementioned increase of our tier 1 capital, four new issuances of TLAC instruments amounting to USD 2.7 billion and interest rate risk hedge, foreign currency translation and other effects.
Risk-weighted assets (RWA) decreased by USD 3.3 billion to USD 283.1 billion, mainly due to a decrease in market risk RWA.
The leverage ratio exposure increased by USD 20 billion to USD 994 billion, reflecting increases in on-balance sheet exposures (excluding derivatives and securities financing transactions) and in derivative exposures.
High-quality liquid assets (HQLA) increased by USD 4.5 billion due to higher holdings of liquidity buffer securities and a reduction in average excess liquidity subject to transfer restrictions. Net cash outflows increased by USD 3.6 billion due to an increase in average customer deposit outflows.
6
| KM1: Key metrics | **** | **** | **** | **** | **** | **** | |
|---|---|---|---|---|---|---|---|
| million, except where<br> indicated | |||||||
| **** | **** | 30.9.20 | 30.6.20^1^ | 31.3.20^1^ | 31.12.19^1^ | 30.9.19^1^ | |
| Available capital (amounts) | **** | ||||||
| 1 | Common equity tier 1 (CET1) | 38,197 | 38,114 | 36,659 | 35,535 | 34,627 | |
| 1a | Fully loaded ECL accounting model CET1^2^ | 38,162 | 38,070 | 36,624 | 35,491 | 34,589 | |
| 2 | Tier 1 | 54,396 | 53,505 | 51,884 | 51,842 | 50,656 | |
| 2a | Fully loaded ECL accounting model Tier 1^2^ | 54,360 | 53,460 | 51,850 | 51,797 | 50,618 | |
| 3 | Total capital | 59,382 | 58,876 | 57,752 | 57,568 | 56,349 | |
| 3a | Fully loaded ECL accounting model total capital^2^ | 59,347 | 58,831 | 57,718 | 57,524 | 56,311 | |
| Risk-weighted assets<br> (amounts) | **** | ||||||
| 4 | Total risk-weighted assets (RWA) | 283,133 | 286,436 | 286,256 | 259,208 | 264,626 | |
| 4a | Minimum capital requirement^3^ | 22,651 | 22,915 | 22,901 | 20,737 | 21,170 | |
| 4b | Total risk-weighted assets (pre-floor) | 283,133 | 286,436 | 286,256 | 259,208 | 264,626 | |
| Risk-based capital ratios as<br> a percentage of RWA | **** | ||||||
| 5 | Common equity tier 1 ratio (%) | 13.49 | 13.31 | 12.81 | 13.71 | 13.09 | |
| 5a | Fully loaded ECL accounting model Common equity tier 1 ratio (%)^2^ | 13.48 | 13.29 | 12.79 | 13.69 | 13.07 | |
| 6 | Tier 1 ratio (%) | 19.21 | 18.68 | 18.12 | 20.00 | 19.14 | |
| 6a | Fully loaded ECL accounting model Tier 1 ratio (%)^2^ | 19.20 | 18.66 | 18.11 | 19.98 | 19.13 | |
| 7 | Total capital ratio (%) | 20.97 | 20.55 | 20.17 | 22.21 | 21.29 | |
| 7a | Fully loaded ECL accounting model total capital ratio (%)^2^ | 20.96 | 20.54 | 20.16 | 22.19 | 21.28 | |
| Additional CET1 buffer<br> requirements as a percentage of RWA | **** | ||||||
| 8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |
| 9 | Countercyclical buffer requirement (%) | 0.02 | 0.02 | 0.02 | 0.08 | 0.10 | |
| 9a | Additional countercyclical buffer for Swiss mortgage loans (%) | 0.00 | 0.00 | 0.00 | 0.23 | 0.21 | |
| 10 | Bank G-SIB and / or D-SIB additional requirements (%) | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| 11 | Total of bank CET1-specific buffer requirements (%) | 3.52 | 3.52 | 3.52 | 3.58 | 3.60 | |
| 12 | CET1 available after meeting the bank’s minimum capital<br> requirements (%) | 8.99 | 8.81 | 8.31 | 9.21 | 8.59 | |
| Basel III leverage ratio4 | **** | ||||||
| 13 | Total Basel III leverage ratio exposure measure | 994,366 | 974,359 | 955,943 | 911,322 | 901,911 | |
| 14 | Basel III leverage ratio (%) | 5.47 | 5.49 | 5.43 | 5.69 | 5.62 | |
| 14a | Fully loaded ECL accounting model Basel III leverage ratio (%)^2^ | 5.47 | 5.49 | 5.42 | 5.68 | 5.61 | |
| Liquidity coverage ratio5 | **** | ||||||
| 15 | Total HQLA | 211,185 | 206,693 | 170,630 | 166,215 | 167,916 | |
| 16 | Total net cash outflow | 137,345 | 133,786 | 122,383 | 124,112 | 122,025 | |
| 17 | LCR (%) | 154 | 155 | 139 | 134 | 138 | |
| 1 Comparative information has been restated where applicable.<br> Refer to the “Introduction and basis for preparation” section of this report<br> for more information. 2 The fully loaded ECL accounting model excludes the<br> transitional relief of recognizing ECL allowances and provisions in CET1<br> capital in accordance with FINMA Circular 2013/1 “Eligible capital –<br> banks.” 3 Calculated as 8% of total RWA, based on total capital<br> minimum requirements, excluding CET1 buffer requirements. 4 Leverage<br> ratio exposures and leverage ratios for 30 September 2020, 30 June<br> 2020 and 31 March 2020 do not reflect the effects of the temporary<br> exemption that has been granted by FINMA in connection with COVID-19. Refer<br> to the “Introduction and basis for preparation” section of our 30 June 2020<br> Pillar 3 report and to “Application of the temporary COVID-19-related FINMA<br> exemption of central bank sight deposits” in the “Going and gone concern<br> requirements and eligible capital“ section of this report for more<br> information. 5 Calculated based on quarterly average. Refer to the<br> “Liquidity coverage ratio” in section 5 of this report for more information. |
All values are in US Dollars.
| KM2: Key metrics – TLAC<br> requirements (at resolution group level)1 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| million, except where<br> indicated | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | |
| **** | 30.9.20 | 30.6.20^2^ | 31.3.20^2^ | 31.12.19^2^ | 30.9.19^2^ | ||||||
| 1 | Total loss-absorbing capacity (TLAC) available | 97,753 | 93,626 | 93,686 | 89,613 | 88,151 | |||||
| 1a | Fully loaded ECL accounting model TLAC available^3^ | 97,717 | 93,581 | 93,652 | 89,569 | 88,113 | |||||
| 2 | Total RWA at the level of the resolution group | 283,133 | 286,436 | 286,256 | 259,208 | 264,626 | |||||
| 3 | TLAC as a percentage of RWA (%) | 34.53 | 32.69 | 32.73 | 34.57 | 33.31 | |||||
| 3a | Fully loaded ECL accounting model TLAC as a percentage of fully<br> loaded ECL accounting model RWA (%)^3^ | 34.51 | 32.67 | 32.72 | 34.56 | 33.30 | |||||
| 4 | Leverage ratio exposure measure at the level of the resolution<br> group^4^ | 994,366 | 974,359 | 955,943 | 911,322 | 901,911 | |||||
| 5 | TLAC as a percentage of leverage ratio exposure measure (%)^4^ | 9.83 | 9.61 | 9.80 | 9.83 | 9.77 | |||||
| 5a | Fully loaded ECL accounting model TLAC as a percentage of fully<br> loaded ECL accounting model leverage exposure measure (%)^3,4^ | 9.83 | 9.60 | 9.80 | 9.83 | 9.77 | |||||
| 6a | Does the subordination exemption in the antepenultimate<br> paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | |||||||||
| 6b | Does the subordination exemption in the penultimate paragraph of<br> Section 11 of the FSB TLAC Term Sheet apply? | No | |||||||||
| 6c | If the capped subordination exemption applies, the amount of<br> funding issued that ranks pari passu with excluded liabilities and that is<br> recognized as external TLAC, divided by funding issued that ranks pari passu<br> with excluded liabilities and that would be recognized as external TLAC if no<br> cap was applied (%) | N/A – Refer to our response to 6b. | |||||||||
| 1 Resolution group level is defined as the UBS Group AG<br> consolidated level. 2 Comparative information has been restated where<br> applicable. Refer to the “Introduction and basis for preparation” section of<br> this report for more information. 3 The fully loaded ECL accounting model<br> excludes the transitional relief of recognizing ECL allowances and provisions<br> in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital –<br> banks.” 4 Leverage ratio exposures and leverage ratios for 30 September<br> 2020, 30 June 2020 and 31 March 2020 do not reflect the effects of the<br> temporary exemption that has been granted by FINMA in connection with<br> COVID-19. Refer to the “Introduction and basis for preparation” section of<br> our 30 June 2020 Pillar 3 report and to “Application of the temporary<br> COVID-19-related FINMA exemption of central bank sight deposits” in the<br> “Going and gone concern requirements and eligible capital“ section of this<br> report for more information. |
All values are in US Dollars.
7
UBS Group
Section 2 Risk-weighted assets
Our approach tomeasuring risk exposure and risk-weighted assets
Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).
For information about the measurement of risk exposures and RWA, refer to pages 12–14 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors.
RWA development in the third quarter of 2020
The OV1 table on the next page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.
During the third quarter of 2020, RWA decreased by USD 3.3 billion to USD 283.1 billion, mainly reflecting a decrease in market risk RWA of USD 3.6 billion and credit valuation adjustment RWA of USD 1.2 billion, partially offset by an increase in credit risk RWA of USD 1.6 billion.
Credit risk RWA under the internal ratings-based and standardized approach increased by USD 1.6 billion, mainly due to foreign exchange movements and increases in loans and loan commitments in Global Wealth Management, partially offset by lower loan balances in the Investment Bank as well as due to shifts in the composition of our high-quality liquid assets (HQLA) portfolio and lower nostro account balances in Group Functions. Changes in credit ratings and loss given default resulted in an increase of USD 0.7 billion in RWA during the third quarter of 2020. The decrease in credit valuation adjustment RWA of USD 1.2 billion was primarily driven by risk management activity in the Investment Bank’s Global Markets business. Market risk RWA decreased driven by a reduction in asset size and other movements in the Investment Bank’s Global Markets business due to the higher VaR levels at the beginning of the second quarter of 2020 dropping out of the RWA averaging window and a decrease in regulatory add-ons, which reflected updates from the monthly risks-not-in-VaR assessment. This was partially offset by an increase mainly related to the ongoing parameter update of our VaR model.
The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the third quarter of 2020. More information about capital management and RWA, including details regarding movements in RWA during the third quarter of 2020, is provided on pages 51–52 in the “Capital management” section of our third quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors .
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| OV1: Overview of RWA | ||||||
|---|---|---|---|---|---|---|
| million | RWA | Minimum capital requirements^1^ | ||||
| 30.9.20 | 30.6.20 | 30.9.20 | ||||
| 1 | Credit risk (excluding counterparty credit risk) | 134,753 | 133,180 | 10,780 | ||
| 2 | of which: standardized approach (SA) | 29,811 | 30,144 | 2,385 | ||
| 2a | of which: non-counterparty-related risk | 13,227 | 13,219 | 1,058 | ||
| 3 | of which: foundation internal ratings-based (F-IRB) approach | **** | **** | |||
| 4 | of which: supervisory slotting approach | **** | **** | |||
| 5 | of which: advanced internal ratings-based (A-IRB) approach | 104,942 | 103,036 | 8,395 | ||
| 6 | Counterparty credit risk^2^ | 39,917 | 39,983 | 3,193 | ||
| 7 | of which: SA for counterparty credit risk (SA-CCR) | 6,898 | 5,903 | 552 | ||
| 8 | of which: internal model method (IMM) | 18,394 | 19,284 | 1,472 | ||
| 8a | of which: value-at-risk (VaR) | 7,607 | 8,055 | 609 | ||
| 9 | of which: other CCR | 7,018 | 6,741 | 561 | ||
| 10 | Credit valuation adjustment (CVA) | 3,300 | 4,523 | 264 | ||
| 11 | Equity positions under the simple risk weight approach | 2,624 | 2,646 | 210 | ||
| 12 | Equity investments in funds – look-through approach | 849 | 705 | 68 | ||
| 13 | Equity investments in funds – mandate-based approach | 530 | 611 | 42 | ||
| 14 | Equity investments in funds – fallback approach | 41 | 25 | 3 | ||
| 15 | Settlement risk | 295 | 395 | 24 | ||
| 16 | Securitization exposures in banking book | 314 | 598 | 25 | ||
| 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) | 300 | 564 | 24 | ||
| 19 | of which: securitization standardized approach (SEC-SA) | 14 | 34 | 1 | ||
| 20 | Market Risk | 10,593 | 14,228 | 847 | ||
| 21 | of which: standardized approach (SA) | 361 | 370 | 29 | ||
| 22 | of which: internal model approaches (IMA) | 10,232 | 13,859 | 819 | ||
| 23 | Capital charge for switch between trading book and banking book^3^ | **** | **** | **** | ||
| 24 | Operational risk | 77,542 | 77,542 | 6,203 | ||
| 25 | Amounts below thresholds for deduction (250% risk weight)^4^ | 12,379 | 12,005 | 990 | ||
| 25a | of which: Deferred tax assets | 9,363 | 9,212 | 749 | ||
| 26 | Floor adjustment^5^ | **** | **** | **** | ||
| 27 | Total | 283,133 | 286,436 | **** | 22,651 | |
| 1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which<br> is separately reported in line 15 “Settlement risk.” Includes RWA with<br> central counterparties. The split between the sub-components of counterparty<br> credit risk refers to the calculation of the exposure measure. 3 Not<br> applicable until the implementation of the final rules on the minimum capital<br> requirements for market risk (the Fundamental Review of the Trading Book). <br> 4 Includes items subject to threshold deduction treatment that do not<br> exceed their respective threshold and are risk weighted at 250%. Items<br> subject to threshold deduction treatment include significant investments in<br> common shares of non-consolidated financial institutions (banks, insurance<br> and other financial entities) and deferred tax assets arising from temporary<br> differences. 5 No floor effect, as 80% of our Basel I RWA, including<br> the RWA equivalent of the Basel I capital deductions, do not exceed our Basel<br> III RWA, including the RWA equivalent of the Basel III capital deductions.<br> For the status of the finalization of the Basel III capital framework, refer<br> to the “Regulatory and legal developments” section of our Annual Report 2019,<br> which outlines how the proposed floor calculation would differ in significant<br> aspects from the current approach. |
All values are in US Dollars.
9
UBS Group
Credit risk RWA development in the third quarter of 2020
The CR8 table below provides a breakdown of the credit risk RWA movements in the third quarter of 2020 across movement categories defined by the BCBS. These categories are described on page 50 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors .
Credit risk RWA under the advanced internal ratings-based (A-IRB) approach increased by USD 1.9 billion to USD 104.9 billion as of 30 September 2020.
The RWA decrease from asset size movements of USD 1.1 billion was predominantly due to repayments and syndication of loans in the Investment Bank, as well as due to shifts in the
composition of our HQLA portfolio and lower nostro account balances in Group Functions, partially offset by increases in loans and loan commitments in Global Wealth Management.
The RWA from asset quality increased by USD 0.7 billion, mainly due to rating deteriorations during the third quarter of 2020 in Global Wealth Management. Model updates of USD 0.6 billion were mainly driven by the recalibration of risk parameters for real estate portfolios in Global Wealth Management and Personal & Corporate Banking. The RWA from foreign exchange movements increased by USD 1.9 billion, mainly due to depreciation of the US dollar against the Swiss franc, primarily driven by the Swiss mortgages portfolio in Personal & Corporate Banking and Global Wealth Management.
| CR8: RWA flow statements of<br> credit risk exposures under IRB | ||
|---|---|---|
| million | For the quarter ended 30.9.20 | |
| 1 | RWA as of the beginning of the quarter | 103,036 |
| 2 | Asset size | (1,059) |
| 3 | Asset quality | 676 |
| 4 | Model updates | 583 |
| 5 | Methodology and policy | **** |
| 5a | of which: regulatory add-ons | **** |
| 6 | Acquisitions and disposals | **** |
| 7 | Foreign exchange movements | 1,930 |
| 8 | Other | (224) |
| 9 | RWA as of the end of the quarter | 104,942 |
All values are in US Dollars.
Counterpartycredit risk RWA development in the third quarter of 2020
Counterparty credit risk (CCR) RWA on derivatives under the internal model method (IMM) decreased by USD 0.9 billion to USD 18.4 billion during the third quarter of 2020, primarily driven by risk management activity in the Investment Bank’s
Global Markets business, partly offset by an increase in asset size-related RWA in equity and foreign currency trades.
CCR RWA on securities financing transactions (SFTs) under the value-at-risk (VaR) approach decreased by USD 0.5 billion to USD 7.6 billion during the third quarter of 2020, mainly due to the recalibration of market parameters in the securities financing transaction model.
| CCR7: RWA flow statements of<br> CCR exposures under internal model method (IMM) and value-at-risk (VaR) | |||||||
|---|---|---|---|---|---|---|---|
| For the quarter ended 30.9.20 | |||||||
| Derivatives | **** | SFTs | **** | Total | |||
| million | Subject to IMM | Subject to VaR | **** | ||||
| 1 | RWA as of the beginning of the quarter | **** | 19,284 | 8,055 | 27,339 | ||
| 2 | Asset size | 880 | (4) | 877 | |||
| 3 | Credit quality of counterparties | (1,913) | 108 | (1,805) | |||
| 4 | Model updates | (99) | (666) | (765) | |||
| 5 | Methodology and policy | **** | **** | **** | |||
| 5a | of which: regulatory add-ons | **** | **** | **** | **** | **** | |
| 6 | Acquisitions and disposals | **** | **** | **** | |||
| 7 | Foreign exchange movements | 241 | **** | 113 | **** | 354 | |
| 8 | Other | **** | **** | **** | **** | **** | |
| 9 | RWA as of the end of the quarter | **** | 18,394 | **** | 7,607 | **** | 26,001 |
All values are in US Dollars.
10
Market risk RWA development in the third quarter of 2020
The three main components that contribute to market risk RWA are value-at-risk (VaR), stressed value-at-risk (SVaR) and incremental risk charge (IRC). VaR and SVaR components include the RWA charge for risks not in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in the third quarter of 2020 under an internal models approach across those components, pursuant to the movement categories defined by the BCBS. These categories are described on page 81 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors.
Market risk RWA under an internal models approach decreased by USD 3.6 billion to USD 10.2 billion in the third quarter of 2020, driven by a decrease in asset size and other movements in the Investment Bank’s Global Markets business due to the higher VaR levels at the beginning of the second quarter of 2020 dropping out of the RWA averaging window and a decrease in regulatory add-ons that reflected updates from the monthly RniV assessment. This was partially offset by an increase mainly related to the ongoing parameter updates of our VaR model.
The VaR multiplier remained unchanged compared with the prior quarter, at 3.0.
| MR2: RWA flow statements of<br> market risk exposures under an internal models approach1 | |||||||
|---|---|---|---|---|---|---|---|
| million | VaR | Stressed VaR | IRC | CRM | Other | Total RWA | |
| 1 | RWA as of 30.6.20 | 4,149 | 8,339 | 1,371 | **** | **** | 13,859 |
| 1a | Regulatory adjustment | (2,281) | (5,401) | 0 | (7,682) | ||
| 1b | RWA at previous quarter-end (end of day) | 1,868 | 2,939 | 1,371 | 6,177 | ||
| 2 | Movement in risk levels | (1,066) | (517) | 208 | (1,374) | ||
| 3 | Model updates / changes | 33 | 162 | 171 | 366 | ||
| 4 | Methodology and policy | 0 | 0 | 0 | 0 | ||
| 5 | Acquisitions and disposals | 0 | 0 | 0 | 0 | ||
| 6 | Foreign exchange movements | 0 | 0 | 0 | 0 | ||
| 7 | Other | (288) | (929) | 0 | (1,217) | ||
| 8a | RWA at the end of the reporting period (end of day) | 547 | 1,655 | 1,749 | **** | **** | 3,952 |
| 8b | Regulatory adjustment | 2,253 | 4,027 | 0 | 6,280 | ||
| 8c | RWA as of 30.9.20 | 2,800 | 5,682 | 1,749 | **** | **** | 10,232 |
| 1 Components that describe movements in RWA are presented in<br> italics. |
All values are in US Dollars.
11
UBS Group
Section 3 Going and gone concern requirements and eligible capital
The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA); however, it does not reflect the effects of the temporary exemption granted by FINMA on 25 March 2020 in connection with COVID-19, which permits the exclusion of central bank sight deposits from the going concern leverage ratio calculation. The respective effect is presented on the next page. More information about capital management is provided on pages 43–54 in the “Capital management” section of our third quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors .
| Swiss SRB going and gone<br> concern requirements and information | ||||||
|---|---|---|---|---|---|---|
| As of 30.9.20 | RWA | **** | LRD^1^ | |||
| million, except where<br> indicated | in % | **** | in % | **** | ||
| Required going concern<br> capital | **** | **** | **** | **** | **** | |
| Total going concern capital | 13.96^2^ | 39,524 | **** | 4.88^2^ | 48,475 | |
| Common equity tier 1 capital | 9.66 | 27,349 | **** | 3.38 | 33,560 | |
| of which: minimum capital | 4.50 | 12,741 | **** | 1.50 | 14,915 | |
| of which: buffer capital | 5.14 | 14,553 | **** | 1.88 | 18,644 | |
| of which: countercyclical<br> buffer | 0.02 | 55 | ||||
| Maximum additional tier 1<br> capital | 4.30 | 12,175 | **** | 1.50 | 14,915 | |
| of which: additional tier 1<br> capital | 3.50 | 9,910 | 1.50 | 14,915 | ||
| of which: additional tier 1<br> buffer capital | 0.80 | 2,265 | ||||
| Eligible going concern<br> capital | **** | **** | **** | **** | **** | |
| Total going concern capital | 19.21 | 54,396 | **** | 5.47 | 54,396 | |
| Common equity tier 1 capital | 13.49 | 38,197 | **** | 3.84 | 38,197 | |
| Total loss-absorbing<br> additional tier 1 capital3 | 5.72 | 16,198 | **** | 1.63 | 16,198 | |
| of which: high-trigger<br> loss-absorbing additional tier 1 capital | 4.82 | 13,661 | **** | 1.37 | 13,661 | |
| of which: low-trigger<br> loss-absorbing additional tier 1 capital | 0.90 | 2,538 | 0.26 | 2,538 | ||
| Required gone concern<br> capital4 | **** | **** | **** | **** | **** | |
| Total gone concern loss-absorbing<br> capacity | 10.14 | 28,718 | **** | 3.63 | 36,050 | |
| of which: base requirement | 12.86 | 36,411 | 4.50 | 44,746 | ||
| of which: additional<br> requirement for market share and LRD | 1.08 | 3,058 | **** | 0.38 | 3,729 | |
| of which: applicable<br> reduction on requirements5 | (3.80) | (10,751) | **** | (1.25) | (12,425) | |
| of which: rebate granted<br> (equivalent to 47.5% of maximum rebate)5 | (2.54) | (7,182) | **** | (0.89) | (8,856) | |
| of which: reduction for<br> usage of low-trigger tier 2 capital instruments5 | (1.26) | (3,569) | (0.36) | (3,569) | ||
| Eligible gone concern<br> capital | **** | **** | **** | **** | **** | |
| Total gone concern<br> loss-absorbing capacity | 15.28 | 43,262 | **** | 4.35 | 43,262 | |
| Total tier 2 capital | 2.71 | 7,675 | **** | 0.77 | 7,675 | |
| of which: low-trigger<br> loss-absorbing tier 2 capital | 2.52 | 7,138 | 0.72 | 7,138 | ||
| of which: non-Basel<br> III-compliant tier 2 capital | 0.19 | 537 | **** | 0.05 | 537 | |
| TLAC-eligible senior<br> unsecured debt | 12.57 | 35,587 | **** | 3.58 | 35,587 | |
| Total loss-absorbing<br> capacity | **** | **** | **** | **** | **** | |
| Required total<br> loss-absorbing capacity | 24.10 | 68,242 | **** | 8.50 | 84,526 | |
| Eligible total<br> loss-absorbing capacity | 34.49 | 97,658 | **** | 9.82 | 97,658 | |
| Risk-weighted assets /<br> leverage ratio denominator | ||||||
| Risk-weighted assets | 283,133 | |||||
| Leverage ratio denominator1 | 994,366 | |||||
| 1 LRD-based requirements and the LRD presented in this table do<br> not reflect the effects of the temporary exemption that has been granted by<br> FINMA in connection with COVID-19. Refer to the “Introduction and basis for<br> preparation” section of our 30 June 2020 Pillar 3 report and to the<br> COVID-19-related information in this section for more information. <br> 2 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD. <br> 3 Includes outstanding low-trigger loss-absorbing additional tier 1<br> (AT1) capital instruments, which are available under the Swiss SRB framework<br> to meet the going concern requirements until their first call date. As of<br> their first call date, these instruments are eligible to meet the gone<br> concern requirements. 4 From 1 January 2020 onward, a maximum of 25% of<br> the gone concern requirements can be met with instruments that have<br> a remaining maturity of between one and two years. Once at least 75% of the<br> minimum gone concern requirement has been met with instruments that have a<br> remaining maturity of greater than two years, all instruments that have a<br> remaining maturity of between one and two years remain eligible to be<br> included in the total gone concern capital. 5 The combined reduction<br> applied for resolvability measures and the gone concern requirement reduction<br> for the use of low-trigger loss-absorbing AT1 and low-trigger tier 2 capital<br> instruments may not exceed 5.34 percentage points for the RWA-based<br> requirement of 13.94% and 1.875 percentage points for the LRD-based<br> requirement of 4.875%. |
All values are in US Dollars.
12
Application ofthe temporary COVID-19-related FINMA exemption of central bank sight deposits
In line with the FINMA exemption rules that apply until 1 January 2021, the eligible leverage ratio denominator (LRD) relief applicable to UBS is reduced by the going concern LRD equivalent of the capital distribution that UBS plans to make for the financial year 2019.
The table below summarizes the effects on our Swiss SRB going concern capital requirements and information. The FINMA exemption rules have no effect on our Swiss SRB gone concern capital requirements and ratios.
Outside of this section, for simplicity and due to the short-term nature of the FINMA exemption, we have chosen to present LRD excluding the temporary FINMA exemption.
The LRD reflecting the aforementioned temporary FINMA exemption under Basel Committee on Banking Supervision (BCBS) rules is identical to the Swiss SRB number presented in the table below. The BCBS Basel III leverage ratio was 6.00% after the temporary FINMA exemption was reflected.
| Swiss SRB going concern<br> requirements and information including temporary FINMA exemption | |||
|---|---|---|---|
| As of 30.9.20 | LRD | ||
| million, except where<br> indicated | in % | **** | |
| Leverage ratio denominator<br> before temporary exemption | **** | 994,366 | |
| Effective relief | **** | (87,186) | |
| of which: central bank sight<br> deposits eligible for relief | **** | (140,970) | |
| of which: reduction of<br> relief due to paid and planned dividend distribution1 | **** | 53,785 | |
| Leverage ratio denominator<br> after temporary exemption | **** | 907,181 | |
| Required going concern<br> capital | **** | **** | |
| Total going concern capital | 4.88 | 44,225 | |
| Common equity tier 1 capital | 3.38 | 30,617 | |
| Eligible going concern<br> capital | **** | **** | |
| Total going concern capital | 6.00 | 54,396 | |
| Common equity tier 1 capital | 4.21 | 38,197 | |
| 1 Represents the leverage ratio denominator equivalent to a<br> 4.875% going concern leverage ratio requirement applied to the planned 2019<br> dividend of 2,622 million, which includes the first installment of the<br> 2019 dividend ( 0.365 per share, paid on 7 May 2020) and the special<br> dividend reserve of 0.365 per share (this reserve is earmarked for<br> distribution based on the decision to be taken at an extraordinary general<br> meeting (EGM) planned for 19 November 2020). |
All values are in US Dollars.
13
UBS Group
Section 4 Leverage ratio
Basel IIIleverage 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 (the LRD), as summarized in the table below. The LRD presented below does not reflect the effects of the temporary exemption related to the central bank sight deposit exclusion from the leverage ratio calculation
granted by the Swiss Financial Market Supervisory Authority (FINMA) on 25 March 2020 in connection with COVID-19. The effects of such temporary exemption are presented in the “Going and gone concern requirements and eligible capital“ section of this report.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for more informationabout the COVID-19-related temporary regulatory measures
| BCBS Basel III leverage ratio | **** | **** | **** | **** | **** |
|---|---|---|---|---|---|
| USD million, except where indicated | 30.9.20 | 30.6.20^1^ | 31.3.20^1^ | 31.12.19^1^ | 30.9.19^1^ |
| Total tier 1 capital | 54,396 | 53,505 | 51,884 | 51,842 | 50,656 |
| BCBS total exposures (leverage ratio denominator)^2^ | 994,366 | 974,359 | 955,943 | 911,322 | 901,911 |
| BCBS Basel III leverage ratio (%)^2^ | 5.5 | 5.5 | 5.4 | 5.7 | 5.6 |
| 1 Comparative information has been restated where applicable.<br> Refer to the “Introduction and basis for preparation” section of this report<br> for more information. 2 Leverage ratio denominators (LRDs) and leverage<br> ratios for 30 September 2020, 30 June 2020 and 31 March 2020 do not reflect<br> the effects of the temporary exemption that has been granted by FINMA in<br> connection with COVID-19. Refer to the “Introduction and basis for<br> preparation” section of our 30 June 2020 Pillar 3 report and to “Application<br> of the temporary COVID-19-related FINMA exemption of central bank sight<br> deposits” in the “Going and gone concern requirements and eligible capital“<br> section of this report for more information. |
The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement 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 (SFTs).
The “Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions” table on the next page shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table in this section. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for
derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.
Difference between the Swiss SRB andBCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules we are required to meet going 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 total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.
14
The tables presented below and on the next page do not reflect the effects of the temporary exemption granted by FINMA on 25 March 2020 in connection with COVID-19, which permits the exclusion of central bank sight deposits from the leverage ratio calculation. The effects of the temporary exemption granted by FINMA in connection with COVID-19 are presented in the “Going and gone concern requirements and eligible capital“ section of this report.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for moreinformation about the COVID-19-related temporary regulatory measures
| Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions^1^ | |||
|---|---|---|---|
| USD million | 30.9.20 | 30.6.20^2^ | |
| On-balance sheet exposures | **** | **** | |
| IFRS total assets | 1,065,153 | 1,063,849 | |
| Adjustment for investments in banking, financial, insurance or<br> commercial entities that are consolidated for accounting purposes but outside<br> the scope of regulatory consolidation | (20,643) | (26,785) | |
| Adjustment for investments in banking, financial, insurance or<br> commercial entities that are outside the scope of consolidation for<br> accounting purposes but consolidated for regulatory purposes | **** | ||
| Adjustment for fiduciary assets recognized on the balance sheet<br> pursuant to the operative accounting framework but excluded from the leverage<br> ratio exposure measure | **** | ||
| Less carrying amount of derivative financial instruments in IFRS<br> total assets^3^ | (177,222) | (182,866) | |
| Less carrying amount of securities financing transactions in<br> IFRS total assets^4^ | (109,350) | (112,995) | |
| Adjustments to accounting values | **** | ||
| On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 757,937 | 741,204 | |
| Asset amounts deducted in determining BCBS Basel III tier 1<br> capital | (12,913) | (12,674) | |
| Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 745,024 | 728,530 | |
| 1 This table does not reflect the effects of the temporary<br> exemption granted by FINMA in connection with COVID-19. Refer to the<br> “Introduction and basis for preparation” section of our 30 June 2020 Pillar 3<br> report and to “Application of the temporary COVID-19-related FINMA exemption<br> of central bank sight deposits” in the “Going and gone concern requirements<br> and eligible capital“ section of this report for more information. <br> 2 Comparative information has been restated where applicable. Refer to<br> the “Introduction and basis for preparation” section of this report for more<br> information. 3 Consists of derivative financial instruments and cash<br> collateral receivables on derivative instruments in accordance with the<br> regulatory scope of consolidation. 4 Consists of receivables from<br> securities financing transactions, margin loans, prime brokerage receivables<br> and financial assets at fair value not held for trading related to securities<br> financing transactions in accordance with the regulatory scope of consolidation. | |||
| LR1: BCBS Basel III leverage<br> ratio summary comparison1 | **** | **** | |
| --- | --- | --- | |
| million | 30.9.20 | 30.6.20^2^ | |
| 1 | Total consolidated assets as per published financial statements | 1,065,153 | 1,063,849 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial<br> entities that are consolidated for accounting purposes but outside the scope<br> of regulatory consolidation^3^ | (33,557) | (39,458) |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet<br> pursuant to the operative accounting framework but excluded from the leverage<br> ratio exposure measure | **** | |
| 4 | Adjustments for derivative financial instruments | (78,571) | (90,338) |
| 5 | Adjustment for securities financing transactions (i.e., repos<br> and similar secured lending) | 9,431 | 9,830 |
| 6 | Adjustment for off-balance sheet items (i.e., conversion to<br> credit equivalent amounts of off-balance sheet exposures) | 31,910 | 30,476 |
| 7 | Other adjustments | **** | |
| 8 | Leverage ratio exposure (leverage ratio denominator) | 994,366 | 974,359 |
| 1 This table does not reflect the effects of the temporary<br> exemption granted by FINMA in connection with COVID-19. Refer to the<br> “Introduction and basis for preparation” section of our 30 June 2020 Pillar 3<br> report and to “Application of the temporary COVID-19-related FINMA exemption<br> of central bank sight deposits” in the “Going and gone concern requirements<br> and eligible capital“ section of this report for more information. <br> 2 Comparative information has been restated where applicable. Refer to<br> the “Introduction and basis for preparation” section of this report for more<br> information. 3 Includes assets that are deducted from tier 1 capital. |
All values are in US Dollars.
15
UBS Group
During the third quarter of 2020, the LRD increased by USD 20 billion to USD 994 billion. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 16 billion, mainly driven by an increase in lending assets and higher trading assets, partly offset by a shift within the high-quality liquid asset (HQLA) portfolio from other financial assets measured at amortized cost and fair value into SFTs. Derivative exposures increased by USD 6 billion, reflecting an increase in add-on amounts for potential future exposure. SFTs decreased by USD 4 billion, mainly as a result of the effects of changes in collateral sourcing requirements and a decrease in securities borrowing activities, partly offset by the aforementioned shift within the HQLA portfolio.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for moreinformation about the COVID-19-related temporary regulatory measures, and to “Applicationof the temporary COVID-19-related FINMA exemption of central bank sightdeposits” in the “Going and gone concern requirements and eligible capital“section of this report for additional information
| LR2: BCBS Basel III leverage<br> ratio common disclosure1 | **** | **** | |
|---|---|---|---|
| million, except where<br> indicated | 30.9.20 | 30.6.20^2^ | |
| **** | On-balance sheet exposures | **** | **** |
| 1 | On-balance sheet items excluding derivatives and SFTs, but<br> including collateral | 757,937 | 741,204 |
| 2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (12,913) | (12,674) |
| 3 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 745,024 | 728,530 |
| **** | Derivative exposures | **** | **** |
| 4 | Replacement cost associated with all derivatives transactions<br> (i.e., net of eligible cash variation margin) | 50,517 | 49,952 |
| 5 | Add-on amounts for PFE associated with all derivatives<br> transactions | 80,188 | 74,580 |
| 6 | Gross-up for derivatives collateral provided where deducted from<br> the balance sheet assets pursuant to the operative accounting framework | 0 | 0 |
| 7 | (Deductions of receivables assets for cash variation margin<br> provided in derivatives transactions) | (18,536) | (19,254) |
| 8 | (Exempted CCP leg of client-cleared trade exposures) | (14,663) | (13,609) |
| 9 | Adjusted effective notional amount of all written credit<br> derivatives^3^ | 65,998 | 68,072 |
| 10 | (Adjusted effective notional offsets and add-on deductions for<br> written credit derivatives)^4^ | (64,852) | (67,214) |
| 11 | Total derivative exposures | 98,652 | 92,528 |
| **** | Securities financing transaction exposures | **** | **** |
| 12 | Gross SFT assets (with no recognition of netting), after<br> adjusting for sale accounting transactions | 214,300 | 208,211 |
| 13 | (Netted amounts of cash payables and cash receivables of gross<br> SFT assets) | (104,950) | (95,216) |
| 14 | CCR exposure for SFT assets | 9,431 | 9,830 |
| 15 | Agent transaction exposures | **** | |
| 16 | Total securities financing transaction exposures | 118,781 | 122,825 |
| **** | Other off-balance sheet exposures | **** | **** |
| 17 | Off-balance sheet exposure at gross notional amount | 105,094 | 100,676 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (73,184) | (70,200) |
| 19 | Total off-balance sheet items | 31,910 | 30,476 |
| **** | Total exposures (leverage ratio denominator) | 994,366 | 974,359 |
| **** | Capital and total exposures (leverage ratio denominator) | **** | **** |
| 20 | Tier 1 capital | 54,396 | 53,505 |
| 21 | Total exposures (leverage ratio denominator) | 994,366 | 974,359 |
| **** | Leverage ratio | **** | **** |
| 22 | Basel III leverage ratio (%) | 5.5 | 5.5 |
| 1 This table does not reflect the effects of the temporary<br> exemption granted by FINMA in connection with COVID-19. Refer to the<br> “Introduction and basis for preparation” section of our 30 June 2020 Pillar 3<br> report and to “Application of the temporary COVID-19-related FINMA exemption<br> of central bank sight deposits” in the “Going and gone concern requirements<br> and eligible capital“ section of this report for more information. 2<br> Comparative information has been restated where applicable. Refer to the<br> “Introduction and basis for preparation” section of this report for more<br> information. 3 Includes protection sold, including agency<br> transactions. 4 Protection sold can be offset with protection bought<br> on the same underlying reference entity, provided that the conditions<br> according to the Basel III leverage ratio framework and disclosure<br> requirements are met. |
All values are in US Dollars.
16
Section 5 Liquidity coverage ratio
Liquidity coverageratio
We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.
| Pillar 3 disclosure requirement | **** | Quarterly Report 2020 section | **** | Disclosure | **** | Third quarter 2020 page number | ||
|---|---|---|---|---|---|---|---|---|
| Concentration of funding sources | Balance sheet, liquidity and funding management | Liabilities by product and currency | 42 |
High-quality liquid assets
HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of an active and sizeable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.
| High-quality liquid assets | **** | **** | **** | **** | ||||
|---|---|---|---|---|---|---|---|---|
| Average 3Q20^1^ | Average 2Q20^1^ | |||||||
| billion | Level 1<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | Level 2<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | Total<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | Level 1<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | Level 2<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | Total<br><br> <br>weighted<br><br> <br>liquidity<br><br> <br>value^2^ | ||
| Cash balances3 | 133 | **** | 133 | **** | 145 | 145 | ||
| Securities (on- and off-balance sheet) | 61 | 18 | 78 | **** | 47 | 15 | 62 | |
| Total high-quality liquid<br> assets4 | 193 | 18 | 211 | **** | 191 | 15 | 207 | |
| 1 Calculated based on an average of 66 data points in the third<br> quarter of 2020 and 65 data points in the second quarter of 2020. 2<br> Calculated after the application of haircuts and, where applicable, caps<br> on Level 2 assets. 3 Includes cash and balances with central<br> banks and other eligible balances as prescribed by FINMA. 4 Calculated in<br> accordance with FINMA requirements. |
All values are in US Dollars.
17
UBS Group
LCR development during the third quarter of 2020
In the third quarter of 2020, the UBS Group LCR decreased 1 percentage point to 154%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The LCR decrease was primarily driven by higher average net outflows from customer deposits. This effect was mostly offset by higher average HQLA balances due to higher holdings of liquidity buffer securities and a decrease in average excess liquidity subject to transfer restrictions.
| LIQ1: Liquidity coverage ratio | **** | **** | **** | **** | **** | **** | |
|---|---|---|---|---|---|---|---|
| Average 3Q20^1^ | Average 2Q20^1^ | ||||||
| billion, except where<br> indicated | Unweighted value | Weighted value^2^ | Unweighted value | Weighted value^2^ | |||
| High-quality liquid assets | **** | **** | **** | **** | **** | **** | |
| 1 | High-quality liquid assets | **** | 214 | 211 | 209 | 207 | |
| Cash outflows | **** | **** | **** | **** | **** | **** | |
| 2 | Retail deposits and deposits from small business customers | 285 | 32 | **** | 269 | 30 | |
| 3 | of which: stable deposits | 39 | 1 | **** | 38 | 1 | |
| 4 | of which: less stable deposits | **** | 246 | 31 | **** | 231 | 29 |
| 5 | Unsecured wholesale funding | 213 | 113 | **** | 210 | 114 | |
| 6 | of which: operational deposits (all counterparties) | 49 | 12 | **** | 44 | 11 | |
| 7 | of which: non-operational deposits (all counterparties) | 152 | 89 | **** | 153 | 90 | |
| 8 | of which: unsecured debt | **** | 13 | 13 | **** | 13 | 13 |
| 9 | Secured wholesale funding | **** | **** | 70 | **** | 65 | |
| 10 | Additional requirements: | 90 | 28 | **** | 83 | 25 | |
| 11 | of which: outflows related to derivatives and other transactions | 49 | 19 | **** | 46 | 17 | |
| 12 | of which: outflows related to loss of funding on debt products^3^ | 0 | 0 | **** | 0 | 0 | |
| 13 | of which: committed credit and liquidity facilities | 41 | 9 | **** | 37 | 8 | |
| 14 | Other contractual funding obligations | 12 | 10 | **** | 13 | 11 | |
| 15 | Other contingent funding obligations | 264 | 7 | **** | 254 | 6 | |
| 16 | Total cash outflows | **** | **** | 261 | **** | 251 | |
| Cash inflows | **** | **** | **** | **** | **** | **** | |
| 17 | Secured lending | 298 | 76 | **** | 289 | 69 | |
| 18 | Inflows from fully performing exposures | 70 | 32 | **** | 68 | 31 | |
| 19 | Other cash inflows | 15 | 15 | **** | 17 | 17 | |
| 20 | Total cash inflows | **** | 384 | 123 | **** | 374 | 117 |
| **** | Average 3Q20^1^ | **** | Average 2Q20^1^ | ||||
| billion, except where<br> indicated | **** | Total adjusted value^4^ | **** | Total adjusted value^4^ | |||
| Liquidity coverage ratio | **** | **** | **** | **** | |||
| 21 | High-quality liquid assets | **** | 211 | **** | 207 | ||
| 22 | Net cash outflows | **** | 137 | **** | 134 | ||
| 23 | Liquidity coverage ratio (%) | **** | **** | 154 | **** | 155 | |
| 1 Calculated based on an average of 66 data points in the third<br> quarter of 2020 and 65 data points in the second quarter of 2020. 2<br> Calculated after the application of haircuts and inflow and outflow rates. <br> 3 Includes outflows related to loss of funding on asset-backed<br> securities, covered bonds, other structured financing instruments,<br> asset-backed commercial papers, structured entities (conduits), securities<br> investment vehicles and other such financing facilities. 4 Calculated<br> after the application of haircuts and inflow and outflow rates, as well as,<br> where applicable, caps on Level 2 assets and cash inflows. |
All values are in US Dollars.
18
Significant regulated subsidiaries and sub-groups
Significant regulated subsidiaries and sub-groups
Section 1 Introduction
The sections below include capital and other regulatory information as of 30 September 2020 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.
Capital information in this section is based on Pillar 1 requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
Section 2 UBS AG standalone
Key metrics of the third quarter of 2020
The table on the next page is based on the Basel Committee on Banking Supervision (BCBS) Basel III rules. The temporary exemption of central bank sight deposits for the leverage ratio calculation granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19 had no net effect on UBS AG as of 30 September 2020.
During the third quarter of 2020, common equity tier 1 (CET1) capital remained stable as the operating profit was fully offset by accruals for capital returns to UBS Group AG and other effects. Risk-weighted assets (RWA) decreased by USD 1.7 billion to USD 309.0 billion during the third quarter of 2020, primarily driven by decreases in market risk RWA and operational risk RWA, partially offset by an increase in credit and counterparty credit risk RWA. Leverage ratio exposure increased by USD 14 billion to USD 588 billion, mainly due to higher derivative exposures and SFTs.
High-quality liquid assets (HQLA) decreased by USD 3.5 billion, driven by a reduction of average cash balances due to higher levels of non-HQLA excess cash reinvestments. Net cash outflows remained stable, with a decrease in third-party transaction related net cash outflows due to excess cash reinvestments being offset by an increase in intercompany transaction related net cash outflows of non-operational deposits and secured wholesale funding.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for moreinformation about the COVID-19-related temporary regulatory measures
20
| KM1: Key metrics | **** | **** | **** | **** | **** | **** | **** | **** | **** | |
|---|---|---|---|---|---|---|---|---|---|---|
| million, except where<br> indicated | ||||||||||
| **** | **** | 30.9.20 | 30.6.20 | 31.3.20 | 31.12.19 | 30.9.19 | ||||
| Available capital (amounts) | ||||||||||
| 1 | Common equity tier 1 (CET1) | 51,793 | 51,810 | 48,998 | 49,521 | 50,458 | ||||
| 1a | Fully loaded ECL accounting model CET1^1^ | 51,791 | 51,808 | 48,994 | 49,518 | 50,456 | ||||
| 2 | Tier 1 | 66,145 | 65,361 | 62,382 | 63,893 | 64,545 | ||||
| 2a | Fully loaded ECL accounting model tier 1^1^ | 66,143 | 65,359 | 62,379 | 63,891 | 64,543 | ||||
| 3 | Total capital | 71,020 | 70,612 | 68,130 | 69,576 | 70,194 | ||||
| 3a | Fully loaded ECL accounting model total capital^1^ | 71,018 | 70,610 | 68,127 | 69,574 | 70,191 | ||||
| Risk-weighted assets<br> (amounts) | **** | |||||||||
| 4 | Total risk-weighted assets (RWA) | 309,019 | 310,752 | 317,621 | 287,999 | 297,200 | ||||
| 4a | Minimum capital requirement^2^ | 24,722 | 24,860 | 25,410 | 23,040 | 23,776 | ||||
| 4b | Total risk-weighted assets (pre-floor) | 309,019 | 310,752 | 317,621 | 287,999 | 297,200 | ||||
| Risk-based capital ratios as<br> a percentage of RWA | **** | |||||||||
| 5 | Common equity tier 1 ratio (%) | 16.76 | 16.67 | 15.43 | 17.19 | 16.98 | ||||
| 5a | Fully loaded ECL accounting model CET1 ratio (%)^1^ | 16.76 | 16.67 | 15.43 | 17.19 | 16.98 | ||||
| 6 | Tier 1 ratio (%) | 21.40 | 21.03 | 19.64 | 22.19 | 21.72 | ||||
| 6a | Fully loaded ECL accounting model tier 1 ratio (%)^1^ | 21.40 | 21.03 | 19.64 | 22.18 | 21.72 | ||||
| 7 | Total capital ratio (%) | 22.98 | 22.72 | 21.45 | 24.16 | 23.62 | ||||
| 7a | Fully loaded ECL accounting model total capital ratio (%)^1^ | 22.98 | 22.72 | 21.45 | 24.16 | 23.62 | ||||
| Additional CET1 buffer<br> requirements as a percentage of RWA | **** | |||||||||
| 8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | ||||
| 9 | Countercyclical buffer requirement (%) | 0.02 | 0.02 | 0.01 | 0.07 | 0.08 | ||||
| 9a | Additional countercyclical buffer for Swiss mortgage loans (%) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
| 10 | Bank G-SIB and / or D-SIB additional requirements (%)^3^ | **** | ||||||||
| 11 | Total of bank CET1-specific buffer requirements (%) | 2.52 | 2.52 | 2.51 | 2.57 | 2.58 | ||||
| 12 | CET1 available after meeting the bank’s minimum capital<br> requirements (%) | 12.26 | 12.17 | 10.93 | 12.69 | 12.48 | ||||
| Basel III leverage ratio4 | **** | |||||||||
| 13 | Total Basel III leverage ratio exposure measure | 588,204 | 573,741 | 574,692 | 589,127 | 609,656 | ||||
| 14 | Basel III leverage ratio (%) | 11.25 | 11.39 | 10.85 | 10.85 | 10.59 | ||||
| 14a | Fully loaded ECL accounting model Basel III leverage ratio (%)^1^ | 11.24 | 11.39 | 10.85 | 10.84 | 10.59 | ||||
| Liquidity coverage ratio5 | **** | |||||||||
| 15 | Total HQLA | 88,424 | 91,877 | 67,963 | 73,805 | 76,330 | ||||
| 16 | Total net cash outflow | 52,463 | 52,209 | 48,320 | 53,960 | 55,607 | ||||
| 17 | LCR (%) | 169 | 178 | 141 | 137 | 137 | ||||
| 1 The fully loaded ECL accounting model excludes the<br> transitional relief of recognizing ECL allowances and provisions in CET1<br> capital in accordance with FINMA Circular 2013/1 “Eligible capital –<br> banks.” 2 Calculated as 8% of total RWA, based on total capital<br> minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB<br> going concern requirements and information for UBS AG standalone are provided<br> on the following pages in this section. 4 The temporary exemption<br> granted by FINMA in connection with COVID-19 had no net effect on UBS AG<br> standalone. Refer to the “Introduction and basis for preparation” section of<br> our 30 June 2020 Pillar 3 report and to the next page in this section<br> for more information. 5 Calculated based on quarterly average. Refer<br> to “Liquidity coverage ratio” in this section for more information. |
All values are in US Dollars.
21
Significant regulated subsidiaries and sub-groups
Swiss SRB going and gone concern requirements and information
From 1 January 2020, UBS AG standalone is subject to a gone concern capital requirement based on the sum of (i) its third-party exposure on a standalone basis, (ii) a buffer requirement equal to 30% of the Group’s gone concern capital requirement on UBS AG’s consolidated exposure, and (iii) the nominal value of the gone concern instruments issued by UBS entities and held by the parent bank. A transitional period until 2024 has been granted for the buffer requirement. ”Gone concern capital coverage ratio” represents how much gone concern capital is available to meet the gone concern requirement.
More information about the going concern requirements and information is provided on page 115 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors.
In connection with COVID-19, FINMA has permitted banks to temporarily exclude central bank sight deposits from the leverage ratio denominator (the LRD) for the purpose of calculating going concern ratios. This exemption applies until 1 January 2021. Applicable dividends or similar distributions approved by shareholders after 25 March 2020 reduce the relief by the LRD equivalent of the capital distribution. This exemption had no net effect on UBS AG standalone as of 30 September 2020.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for moreinformation about the COVID-19-related temporary regulatory measures
The table below provides details of the Swiss systematically relevant bank (SRB) RWA- and LRD-based going and gone concern requirements and information as required by FINMA; details on eligible gone concern instruments are provided on the next page.
| Swiss SRB going and gone<br> concern requirements and information | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| As of 30.9.20 | RWA, phase-in | RWA, fully applied as of 1.1.28 | LRD^1^ | ||||||
| million, except where<br> indicated | in % | **** | in % | **** | in % | **** | |||
| Required going concern<br> capital | **** | **** | **** | **** | **** | **** | **** | **** | |
| Total going concern capital | 13.96^2^ | 43,129 | **** | 13.96^2^ | 53,969 | **** | 4.88^2^ | 28,675 | |
| Common equity tier 1 capital | 9.66 | 29,842 | **** | 9.66 | 37,342 | **** | 3.38 | 19,852 | |
| of which: minimum capital | 4.50 | 13,906 | 4.50 | 17,401 | 1.50 | 8,823 | |||
| of which: buffer capital | 5.14 | 15,884 | 5.14 | 19,876 | 1.88 | 11,029 | |||
| of which: countercyclical<br> buffer | 0.02 | 52 | 0.02 | 65 | |||||
| Maximum additional tier 1<br> capital | 4.30 | 13,288 | **** | 4.30 | 16,627 | **** | 1.50 | 8,823 | |
| of which: additional tier 1<br> capital | 3.50 | 10,816 | 3.50 | 13,534 | 1.50 | 8,823 | |||
| of which: additional tier 1<br> buffer capital | 0.80 | 2,472 | 0.80 | 3,093 | |||||
| Eligible going concern<br> capital | **** | **** | **** | **** | **** | **** | **** | **** | |
| Total going concern capital | 21.40 | 66,145 | **** | 17.11 | 66,145 | **** | 11.25 | 66,145 | |
| Common equity tier 1 capital | 16.76 | 51,793 | 13.39 | 51,793 | 8.81 | 51,793 | |||
| Total loss-absorbing<br> additional tier 1 capital | 4.64 | 14,352 | **** | 3.71 | 14,352 | **** | 2.44 | 14,352 | |
| of which: high-trigger<br> loss-absorbing additional tier 1 capital | 3.82 | 11,816 | 3.06 | 11,816 | 2.01 | 11,816 | |||
| of which: low-trigger<br> loss-absorbing additional tier 1 capital | 0.82 | 2,536 | 0.66 | 2,536 | 0.43 | 2,536 | |||
| Risk-weighted assets /<br> leverage ratio denominator | |||||||||
| Risk-weighted assets | **** | 309,019 | **** | **** | 386,685 | **** | **** | **** | |
| Leverage ratio denominator | **** | **** | **** | **** | **** | **** | **** | 588,204 | |
| Required gone concern<br> capital3 | Higher of RWA- or LRD-based | ||||||||
| Total gone concern<br> loss-absorbing requirement | **** | 32,749 | |||||||
| Eligible gone concern<br> capital | **** | ||||||||
| Total gone concern<br> loss-absorbing capacity | 43,236 | ||||||||
| Gone concern coverage<br> capital ratio | 132.02 | **** | **** | **** | **** | **** | **** | ||
| 1 LRD-based requirements and the LRD presented in this table do<br> not reflect the effects of the temporary exemption that has been granted by<br> FINMA in connection with COVID-19. Refer to the “Introduction and basis for<br> preparation” section of our 30 June 2020 Pillar 3 report for more<br> information. 2 Includes applicable add-ons of 1.08% for RWA and 0.375% for<br> LRD. 3 From 1 January 2020 onward, a maximum of 25% of the gone<br> concern requirements can be met with instruments that have a<br> remaining maturity of between one and two years. Once at least 75% of the<br> minimum gone concern requirement has been met with instruments that have a remaining<br> maturity of greater than two years, all instruments that have a remaining<br> maturity of between one and two years remain eligible to be included in the<br> total gone concern capital. |
All values are in US Dollars.
22
| Swiss SRB going and gone concern information | |||
|---|---|---|---|
| **** | |||
| million, except where indicated | 30.9.20^1^ | 30.6.20 | |
| Eligible going concern<br> capital | **** | **** | |
| Total going concern capital | 66,145 | 65,361 | |
| Total tier 1 capital | 66,145 | 65,361 | |
| Common equity tier 1 capital | 51,793 | 51,810 | |
| Total loss-absorbing<br> additional tier 1 capital | 14,352 | 13,551 | |
| of which: high-trigger<br> loss-absorbing additional tier 1 capital | 11,816 | 11,058 | |
| of which: low-trigger<br> loss-absorbing additional tier 1 capital | 2,536 | 2,493 | |
| Eligible gone concern<br> capital | **** | **** | |
| Total gone concern<br> loss-absorbing capacity | 43,236 | 39,993 | |
| Total tier 2 capital | 7,649 | 7,570 | |
| of which: low-trigger<br> loss-absorbing tier 2 capital | 7,120 | 7,043 | |
| of which: non-Basel<br> III-compliant tier 2 capital | 529 | 527 | |
| TLAC-eligible senior<br> unsecured debt | 35,587 | 32,423 | |
| Total loss-absorbing<br> capacity | **** | **** | |
| Total loss-absorbing<br> capacity | 109,381 | 105,355 | |
| Risk-weighted assets /<br> leverage ratio denominator | **** | **** | |
| Risk-weighted assets, phase-in | 309,019 | 310,752 | |
| of which: direct and<br> indirect investments in Switzerland-domiciled subsidiaries1 | 36,047 | 35,213 | |
| of which: direct and<br> indirect investments in foreign-domiciled subsidiaries1 | 106,200 | 105,179 | |
| Risk-weighted assets, fully applied as of 1.1.28 | 386,685 | 387,578 | |
| of which: direct and<br> indirect investments in Switzerland-domiciled subsidiaries1 | 42,914 | 41,920 | |
| of which: direct and<br> indirect investments in foreign-domiciled subsidiaries1 | 177,000 | 175,298 | |
| Leverage ratio denominator2 | 588,204 | 573,741 | |
| Capital and loss-absorbing<br> capacity ratios (%) | **** | **** | |
| Going concern capital ratio, phase-in | 21.4 | 21.0 | |
| of which: common equity tier<br> 1 capital ratio, phase-in | 16.8 | 16.7 | |
| Going concern capital ratio, fully applied as of 1.1.28 | 17.1 | 16.9 | |
| of which: common equity tier<br> 1 capital ratio, fully applied as of 1.1.28 | 13.4 | 13.4 | |
| Leverage ratios (%)2 | **** | **** | |
| Going concern leverage ratio, fully applied as of 1.1.20 | 11.2 | 11.4 | |
| of which: common equity tier<br> 1 leverage ratio, fully applied as of 1.1.20 | 8.8 | 9.0 | |
| Gone concern capital<br> coverage ratio (%) | **** | **** | |
| Gone concern capital coverage ratio | 132.0 | 123.6 | |
| 1 Carrying amounts for direct and indirect investments including<br> holding of regulatory capital instruments in Switzerland-domiciled<br> subsidiaries (30 September 2020: 17,165 million;<br> 30 June 2020: 16,768 million) and for direct and<br> indirect investments including holding of regulatory capital instruments in<br> foreign-domiciled subsidiaries (30 September 2020:<br> 44,250 million; 30 June 2020:<br> 43,825 million) are risk-weighted at 210% and 240%,<br> respectively, for the current year (31 December 2019: 205% and<br> 220%, respectively). Risk weights will gradually increase<br> 5 percentage points per year for Switzerland-domiciled investments<br> and 20 percentage points per year for foreign-domiciled investments until the<br> fully applied risk weights of 250% and 400%, respectively, are applied. <br> 2 Leverage ratio denominators (LRDs) and leverage ratios in this table<br> do not reflect the effects of the temporary exemption that has been granted<br> by FINMA in connection with COVID-19. Refer to the “Introduction and basis<br> for preparation” section of our 30 June 2020 Pillar 3 report for more<br> information. The effects of the temporary exemption granted by FINMA in<br> connection with COVID-19 are presented on the previous page in this<br> section. |
All values are in US Dollars.
23
Significant regulated subsidiaries and sub-groups
Leverage ratioinformation
Due to the adjustment for paid and planned dividends, the temporary exemption of central bank sight deposits for leverage ratio calculation granted by FINMA on 25 March 2020 in connection with COVID-19 had no net effect on UBS AG standalone as of 30 September 2020.
› Refer to the “Introduction and basis forpreparation” section of our 30 June 2020 Pillar 3 report for more informationabout the COVID-19-related temporary regulatory measures
| Swiss SRB leverage ratio<br> denominator1 | **** | **** | **** | |
|---|---|---|---|---|
| billion | 30.9.20 | **** | 30.6.20 | |
| Leverage ratio denominator | ||||
| Swiss GAAP total assets | 499.8 | **** | 493.9 | |
| Difference between Swiss GAAP and IFRS total assets | 145.6 | **** | 149.9 | |
| Less: derivative exposures and SFTs2 | (265.7) | **** | (262.5) | |
| Less: funding provided to significant regulated subsidiaries<br> eligible as gone concern capital | (19.5) | **** | (19.1) | |
| On-balance sheet exposures<br> (excluding derivative exposures and SFTs) | 360.2 | **** | 362.2 | |
| Derivative exposures | 101.4 | **** | 90.9 | |
| Securities financing transactions | 104.8 | **** | 98.5 | |
| Off-balance sheet items | 22.7 | **** | 22.9 | |
| Items deducted from Swiss SRB tier 1 capital | (0.9) | **** | (0.7) | |
| Total exposures (leverage<br> ratio denominator) | 588.2 | **** | 573.7 | |
| 1 The temporary exemption granted by FINMA in connection with<br> COVID-19 had no net effect on UBS AG standalone. 2 Consists of derivative<br> financial instruments, cash collateral receivables on derivative instruments,<br> receivables from securities financing transactions, and margin loans, as well<br> as prime brokerage receivables and financial assets at fair value not held<br> for trading, both related to securities financing transactions, in accordance<br> with the regulatory scope of consolidation, which are presented separately<br> under Derivative exposures and Securities financing transactions in this<br> table. |
All values are in US Dollars.
| BCBS Basel III leverage ratio | |||||
|---|---|---|---|---|---|
| USD million, except where indicated | 30.9.20 | 30.6.20 | 31.3.20 | 31.12.19 | 30.9.19 |
| Total tier 1 capital | 66,145 | 65,361 | 62,382 | 63,893 | 64,545 |
| Total exposures (leverage ratio denominator)^1^ | 588,204 | 573,741 | 574,692 | 589,127 | 609,656 |
| BCBS Basel III leverage ratio (%)^1^ | 11.2 | 11.4 | 10.9 | 10.8 | 10.6 |
| 1 The temporary exemption granted by FINMA in connection with<br> COVID-19 had no net effect on UBS AG standalone. |
Liquidity coverage ratio
In the third quarter of 2020, the UBS AG liquidity coverage ratio (LCR) decreased 9 percentage points to 169%, remaining above the prudential requirements communicated by FINMA.
| Liquidity coverage ratio | **** | **** | |
|---|---|---|---|
| Weighted value^1^ | |||
| billion, except where<br> indicated | Average 3Q20^2^ | Average 2Q20^2^ | |
| High-quality liquid assets | 88 | 92 | |
| Total net cash outflows | 52 | 52 | |
| of which: cash outflows | 162 | 157 | |
| of which: cash inflows | 109 | 104 | |
| Liquidity coverage ratio (%) | 169 | 178 | |
| 1 Calculated after the application of haircuts and inflow and<br> outflow rates, as well as, where applicable, caps on Level 2 assets and cash<br> inflows. 2 Calculated based on an average of 66 data points in the third<br> quarter of 2020 and 65 data points in the second quarter of 2020. |
All values are in US Dollars.
24
Section 3 UBS Switzerland AG standalone
Key metrics of the third quarter of 2020
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules; however, it does not reflect the effects of the temporary exemption of central bank sight deposits for leverage ratio calculations granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19.
During the third quarter of 2020, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 12.0 billion, mainly as a result of operating profit. Risk-weighted assets (RWA) increased by CHF 1.8 billion to CHF 107.1 billion, primarily due to increased exposures across Lombard loans, residential mortgages and securities financing transactions. Leverage ratio exposure increased by CHF 4 billion to CHF 327 billion, mainly driven by an increase in on-balance sheet exposures from cash and balances at central banks, as well as lending assets.
High-quality liquid assets increased by CHF 2.1 billion, driven by greater average cash balances. Net cash outflows decreased by CHF 1.9 billion, due to decreased average outflows from inter-company deposits, partly offset by decreased average inflows from third-party securities financing trades.
› Refer to the following pages for moreinformation about the effects of the temporary exemption granted by FINMA inconnection with COVID-19 on UBS Switzerland AG standalone
| KM1: Key metrics | **** | **** | **** | **** | **** | **** | |
|---|---|---|---|---|---|---|---|
| CHF million, except where indicated | |||||||
| **** | **** | 30.9.20 | 30.6.20 | 31.3.20 | 31.12.19 | 30.9.19 | |
| Available capital (amounts) | |||||||
| 1 | Common equity tier 1 (CET1) | 11,992 | 11,776 | 11,427 | 10,895 | 10,875 | |
| 1a | Fully loaded ECL accounting model CET1^1^ | 11,989 | 11,774 | 11,422 | 10,890 | 10,871 | |
| 2 | Tier 1 | 16,683 | 16,479 | 16,137 | 15,606 | 15,124 | |
| 2a | Fully loaded ECL accounting model tier 1^1^ | 16,680 | 16,476 | 16,132 | 15,601 | 15,120 | |
| 3 | Total capital | 16,683 | 16,479 | 16,137 | 15,606 | 15,124 | |
| 3a | Fully loaded ECL accounting model total capital^1^ | 16,680 | 16,476 | 16,132 | 15,601 | 15,120 | |
| Risk-weighted assets (amounts) | **** | ||||||
| 4 | Total risk-weighted assets (RWA) | 107,066 | 105,304 | 104,489 | 99,667 | 97,927 | |
| 4a | Minimum capital requirement^2^ | 8,565 | 8,424 | 8,359 | 7,973 | 7,834 | |
| 4b | Total risk-weighted assets (pre-floor) | 92,755 | 92,740 | 92,981 | 89,234 | 90,338 | |
| Risk-based capital ratios as a percentage of RWA | **** | ||||||
| 5 | Common equity tier 1 ratio (%) | 11.20 | 11.18 | 10.94 | 10.93 | 11.10 | |
| 5a | Fully loaded ECL accounting model CET1 ratio (%)^1^ | 11.20 | 11.18 | 10.93 | 10.93 | 11.10 | |
| 6 | Tier 1 ratio (%) | 15.58 | 15.65 | 15.44 | 15.66 | 15.44 | |
| 6a | Fully loaded ECL accounting model tier 1 ratio (%)^1^ | 15.58 | 15.65 | 15.44 | 15.65 | 15.44 | |
| 7 | Total capital ratio (%) | 15.58 | 15.65 | 15.44 | 15.66 | 15.44 | |
| 7a | Fully loaded ECL accounting model total capital ratio (%)^1^ | 15.58 | 15.65 | 15.44 | 15.65 | 15.44 | |
| Additional CET1 buffer requirements as a percentage of RWA | **** | ||||||
| 8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |
| 9 | Countercyclical buffer requirement (%) | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |
| 9a | Additional countercyclical buffer for Swiss mortgage loans (%) | 0.00 | 0.00 | 0.00 | 0.57 | 0.57 | |
| 10 | Bank G-SIB and / or D-SIB additional requirements (%)^3^ | **** | |||||
| 11 | Total of bank CET1-specific buffer requirements (%) | 2.51 | 2.51 | 2.51 | 2.51 | 2.51 | |
| 12 | CET1 available after meeting the bank’s minimum capital<br> requirements (%) | 6.70 | 6.68 | 6.44 | 6.43 | 6.60 | |
| Basel III leverage ratio^4^ | **** | ||||||
| 13 | Total Basel III leverage ratio exposure measure | 327,113 | 323,068 | 317,071 | 302,304 | 309,750 | |
| 14 | Basel III leverage ratio (%) | 5.10 | 5.10 | 5.09 | 5.16 | 4.88 | |
| 14a | Fully loaded ECL accounting model Basel III leverage ratio (%)^1^ | 5.10 | 5.10 | 5.09 | 5.16 | 4.88 | |
| Liquidity coverage ratio^5^ | **** | ||||||
| 15 | Total HQLA | 87,254 | 85,180 | 74,602 | 67,105 | 64,835 | |
| 16 | Total net cash outflow | 59,930 | 61,847 | 53,059 | 51,561 | 49,242 | |
| 17 | LCR (%) | 146 | 138 | 141 | 130 | 132 | |
| 1 The fully loaded ECL accounting model excludes the<br> transitional relief of recognizing ECL allowances and provisions in CET1<br> capital in accordance with FINMA Circular 2013/1 “Eligible capital –<br> banks.” 2 Calculated as 8% of total RWA, based on total capital<br> minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB<br> going and gone concern requirements and information for UBS Switzerland AG<br> are provided on the next page. 4 Leverage ratio exposures and<br> leverage ratios for 30 September 2020, 30 June 2020 and 31 March<br> 2020 do not reflect the effects of the temporary exemption that has been<br> granted by FINMA in connection with COVID-19. Refer to the “Introduction and<br> basis for preparation” section of our 30 June 2020 Pillar 3 report and to<br> “Application of the temporary COVID-19-related FINMA exemption of central<br> bank sight deposits” in this section for more information. <br> 5 Calculated based on quarterly average. Refer to “Liquidity coverage<br> ratio” in this section for more information. |
25
Significant regulated subsidiaries and sub-groups
Swiss SRB going and gone concern requirements and information
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 30 September 2020, the going concern capital requirement for UBS Switzerland AG standalone was 13.95%, including a countercyclical buffer of 0.01%, whereas the going concern leverage ratio requirement was 4.875%. The gone concern requirements were 8.64% for the RWA-based requirement and 3.02% for the leverage ratio denominator (LRD)-based requirement.
The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone
concern requirement effective from 1 January 2020, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions).
In connection with COVID-19, FINMA has permitted banks to temporarily exclude central bank sight deposits from the LRD for the purpose of calculating going concern ratios. This exemption applies until 1 January 2021. Applicable dividends or similar distributions approved by shareholders after 25 March 2020 reduce the relief by the LRD equivalent of the capital distribution, except where dividends are paid to a regulated Swiss parent company or to an unregulated Swiss parent company that in turn pays no dividend. The effect of this exemption is that UBS Switzerland AG is eligible to reduce its LRD by USD 76 billion to USD 251 billion as of 30 September 2020.
| Swiss SRB going and gone concern requirements and information | ||||||
|---|---|---|---|---|---|---|
| As of 30.9.20 | RWA | LRD^1^ | ||||
| CHF million, except where indicated | **** | in % | **** | **** | in % | **** |
| Required going concern capital | **** | **** | **** | **** | **** | **** |
| Total going concern capital | **** | 13.95^2^ | 14,936 | **** | 4.88^2^ | 15,947 |
| Common equity tier 1 capital | **** | 9.65 | 10,332 | **** | 3.38 | 11,040 |
| of which: minimum capital | **** | 4.50 | 4,818 | **** | 1.50 | 4,907 |
| of which: buffer capital | **** | 5.14 | 5,503 | **** | 1.88 | 6,133 |
| of which: countercyclical buffer | 0.01 | 11 | ||||
| Maximum additional tier 1 capital | **** | 4.30 | 4,604 | **** | 1.50 | 4,907 |
| of which: additional tier 1 capital | **** | 3.50 | 3,747 | **** | 1.50 | 4,907 |
| of which: additional tier 1 buffer capital | 0.80 | 857 | ||||
| Eligible going concern capital | **** | **** | **** | **** | **** | **** |
| Total going concern capital | **** | 15.58 | 16,683 | **** | 5.10 | 16,683 |
| Common equity tier 1 capital | **** | 11.20 | 11,992 | **** | 3.67 | 11,992 |
| Total loss-absorbing additional tier 1 capital | **** | 4.38 | 4,692 | **** | 1.43 | 4,692 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 4.38 | 4,692 | 1.43 | 4,692 | ||
| Required gone concern capital^3^ | **** | **** | **** | **** | **** | **** |
| Total gone concern loss-absorbing capacity | **** | 8.64 | 9,254 | **** | 3.02 | 9,887 |
| of which: base requirement | 7.97 | 8,537 | 2.79 | 9,126 | ||
| of which: additional requirement for market share and LRD | 0.67 | 717 | 0.23 | 761 | ||
| Eligible gone concern capital | **** | **** | **** | **** | **** | **** |
| Total gone concern loss-absorbing capacity | **** | 10.15 | 10,863 | **** | 3.32 | 10,863 |
| TLAC-eligible senior unsecured debt | **** | 10.15 | 10,863 | **** | 3.32 | 10,863 |
| Total loss-absorbing capacity | **** | **** | **** | **** | **** | **** |
| Required total loss-absorbing capacity | **** | 22.59 | 24,190 | **** | 7.90 | 25,834 |
| Eligible total loss-absorbing capacity | **** | 25.73 | 27,547 | **** | 8.42 | 27,547 |
| Risk-weighted assets / leverage ratio denominator | **** | **** | **** | **** | **** | **** |
| Risk-weighted assets | **** | **** | 107,066 | **** | **** | |
| Leverage ratio denominator | **** | **** | **** | 327,113 | ||
| 1 LRD-based requirements and the LRD presented in this table do<br> not reflect the effects of the temporary exemption that has been granted by<br> FINMA in connection with COVID-19. Refer to the “Introduction and basis for<br> preparation” section of our 30 June 2020 Pillar 3 report for more<br> information. The effects of the temporary exemption granted by FINMA in<br> connection with COVID-19 are presented on the next page. 2 Includes<br> applicable add-ons of 1.08% for RWA and 0.375% for LRD. 3 From 1 January<br> 2020 onward, a maximum of 25% of the gone concern requirements can<br> be met with instruments that have a remaining maturity of between one and two<br> years. Once at least 75% of the minimum gone concern requirement has been met<br> with instruments that have a remaining maturity of greater than two years,<br> all instruments that have a remaining maturity of between one and two years<br> remain eligible to be included in the total gone concern capital. |
26
Application ofthe temporary COVID-19-related FINMA exemption of central bank sight deposits
The table below summarizes the effects on our Swiss SRB going concern capital requirements and information. The FINMA exemption rules have no effect on our Swiss SRB gone concern capital requirements and ratios.
The LRD is the same under Swiss SRB and BCBS rules, therefore the LRD after the aforementioned temporary FINMA exemption under BCBS rules is identical to the Swiss SRB number presented in the table below. The BCBS Basel III leverage ratio was 6.65% after considering the temporary FINMA exemption.
| Swiss SRB going concern requirements and information including temporary FINMA exemption | |||
|---|---|---|---|
| As of 30.9.20 | LRD | ||
| CHF million, except where indicated | in % | **** | |
| Leverage ratio denominator before temporary exemption | **** | 327,113 | |
| Effective relief | **** | (76,214) | |
| of which: central bank sight deposits eligible for relief | **** | (76,214) | |
| Leverage ratio denominator after temporary exemption | **** | **** | 250,899 |
| Required going concern capital | **** | **** | **** |
| Total going concern capital | 4.88 | 12,231 | |
| Common equity tier 1 capital | 3.38 | 8,468 | |
| Eligible going concern capital | **** | **** | **** |
| Total going concern capital | 6.65 | 16,683 | |
| Common equity tier 1 capital | 4.78 | 11,992 |
Swiss SRB loss-absorbing capacity
| Swiss SRB going and gone concern information | |||
|---|---|---|---|
| CHF million, except where indicated | 30.9.20 | 30.6.20 | |
| Eligible going concern capital | **** | **** | **** |
| Total going concern capital | **** | 16,683 | 16,479 |
| Total tier 1 capital | **** | 16,683 | 16,479 |
| Common equity tier 1 capital | 11,992 | 11,776 | |
| Total loss-absorbing additional tier 1 capital | **** | 4,692 | 4,703 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 4,692 | 4,703 | |
| Eligible gone concern capital | **** | **** | **** |
| Total gone concern loss-absorbing capacity | 10,863 | 10,892 | |
| TLAC-eligible senior unsecured debt | **** | 10,863 | 10,892 |
| Total loss-absorbing capacity | **** | **** | **** |
| Total loss-absorbing capacity | **** | 27,547 | 27,371 |
| Risk-weighted assets / leverage ratio denominator | **** | **** | **** |
| Risk-weighted assets | 107,066 | 105,304 | |
| Leverage ratio denominator^1^ | 327,113 | 323,068 | |
| Capital and loss-absorbing capacity ratios (%) | **** | **** | **** |
| Going concern capital ratio | 15.6 | 15.6 | |
| of which: common equity tier 1 capital ratio | 11.2 | 11.2 | |
| Gone concern loss-absorbing capacity ratio | 10.1 | 10.3 | |
| Total loss-absorbing capacity ratio | **** | 25.7 | 26.0 |
| Leverage ratios (%)^1^ | **** | **** | **** |
| Going concern leverage ratio | 5.1 | 5.1 | |
| of which: common equity tier 1 leverage ratio | 3.7 | 3.6 | |
| Gone concern leverage ratio | 3.3 | 3.4 | |
| Total loss-absorbing capacity leverage ratio | **** | 8.4 | 8.5 |
| 1 Leverage ratio denominators (LRDs) and leverage ratios in this<br> table do not reflect the effects of the temporary exemption that has been<br> granted by FINMA in connection with COVID-19. Refer to the “Introduction and<br> basis for preparation” section of our 30 June 2020 Pillar 3 report for more<br> information. The effects of the temporary exemption granted by FINMA in<br> connection with COVID-19 are presented in the preceding table. |
27
Significant regulated subsidiaries and sub-groups
Leverage ratio information
The tables in this section do not reflect the effects of the temporary exemption of central bank sight deposits granted by FINMA in connection with COVID-19.
› Refer to the previous pages for more informationabout the effects on UBS Switzerland AG standalone of the temporary exemptiongranted by FINMA in connection with COVID-19
| Swiss SRB leverage ratio denominator^1^ | **** | **** | **** | ||
|---|---|---|---|---|---|
| CHF billion | **** | 30.9.20 | 30.6.20 | ||
| Leverage ratio denominator | |||||
| Swiss GAAP total assets | **** | 307.9 | 304.3 | ||
| Difference between Swiss GAAP and IFRS total assets | **** | 4.3 | 4.2 | ||
| Less: derivative exposures and SFTs^2^ | **** | (9.5) | (8.3) | ||
| On-balance sheet exposures (excluding derivative exposures and SFTs) | **** | 302.8 | 300.2 | ||
| Derivative exposures | **** | 6.2 | 5.7 | ||
| Securities financing transactions | **** | 3.0 | 2.3 | ||
| Off-balance sheet items | **** | 15.3 | 15.1 | ||
| Items deducted from Swiss SRB tier 1 capital | **** | (0.2) | (0.2) | ||
| Total exposures (leverage ratio denominator) | **** | 327.1 | 323.1 | ||
| 1 This table does not reflect the effects of the temporary<br> exemption granted by FINMA in connection with COVID-19. Refer to the “Introduction<br> and basis for preparation” section of our 30 June 2020 Pillar 3 report and to<br> “Application of the temporary COVID-19-related FINMA exemption of central<br> bank sight deposits” in this section for more information. 2 Consists of<br> derivative financial instruments, cash collateral receivables on derivative<br> instruments, receivables from securities financing transactions, and margin<br> loans, as well as prime brokerage receivables and financial assets at fair<br> value not held for trading, both related to securities financing<br> transactions, in accordance with the regulatory scope of consolidation, which<br> are presented separately under Derivative exposures and Securities financing<br> transactions in this table. | |||||
| BCBS Basel III leverage ratio | |||||
| --- | --- | --- | --- | --- | --- |
| CHF million, except where indicated | 30.9.20 | 30.6.20 | 31.3.20 | 31.12.19 | 30.9.19 |
| Total tier 1 capital | 16,683 | 16,479 | 16,137 | 15,606 | 15,124 |
| Total exposures (leverage ratio denominator)^1^ | 327,113 | 323,068 | 317,071 | 302,304 | 309,750 |
| BCBS Basel III leverage ratio (%)^1^ | 5.1 | 5.1 | 5.1 | 5.2 | 4.9 |
| 1 Leverage ratio denominators (LRDs) and leverage ratios for 30<br> September 2020, 30 June 2020 and 31 March 2020 do not reflect the effects of<br> the temporary exemption that has been granted by FINMA in connection with<br> COVID-19. Refer to the “Introduction and basis for preparation” section of<br> our 30 June 2020 Pillar 3 report and to “Application of the temporary<br> COVID-19-related FINMA exemption of central bank sight deposits” in this<br> section for more information. |
Liquidity coverage ratio
In the third quarter of 2020, the liquidity coverage ratio (LCR) of UBS Switzerland AG, as a Swiss SRB, increased 8 percentage points to 146%, remaining above the prudential requirement communicated by FINMA in connection with the Swiss Emergency Plan.
| Liquidity coverage ratio | |||
|---|---|---|---|
| Weighted value^1^ | |||
| CHF billion, except where indicated | **** | Average 3Q20^2^ | Average 2Q20^2^ |
| High-quality liquid assets | 87 | 85 | |
| Total net cash outflows | 60 | 62 | |
| of which: cash outflows | 87 | 90 | |
| of which: cash inflows | 27 | 28 | |
| Liquidity coverage ratio (%) | 146 | 138 | |
| 1 Calculated after the application of haircuts and inflow and<br> outflow rates, as well as, where applicable, caps on Level 2 assets and cash<br> inflows. 2 Calculated based on an average of 66 data points in the third quarter<br> of 2020 and 65 data points in the second quarter of 2020. |
28
Capitalinstruments
| Capital instruments of UBS Switzerland AG – key features | **** | **** | **** | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Presented according to issuance date. | ||||||||||
| **** | **** | Share capital | Additional tier 1 capital | |||||||
| 1 | Issuer | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | |||||||
| 1a | Instrument number | 1 | 2 | 3 | 4 | 5 | 6 | 7 | ||
| 2 | Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for<br> private placement) | – | – | |||||||
| 3 | Governing law(s) of the instrument | Swiss | Swiss | |||||||
| 3a | Means by which enforceability requirement of Section 13 of the TLAC<br> Term Sheet is achieved (for other TLAC-eligible instruments governed by<br> foreign law) | n/a | n/a | |||||||
| Regulatory treatment | ||||||||||
| 4 | Transitional Basel III rules^1^ | CET1 – Going concern capital | Additional tier 1 capital | |||||||
| 5 | Post-transitional Basel III rules^2^ | CET1 – Going concern capital | Additional tier 1 capital | |||||||
| 6 | Eligible at solo / group / group and solo | UBS Switzerland AG consolidated and standalone | UBS Switzerland AG consolidated and standalone | |||||||
| 7 | Instrument type (types to be specified by each jurisdiction) | Ordinary shares | Loan^4^ | |||||||
| 8 | Amount recognized in regulatory capital (currency in millions,<br> as of most recent reporting date)^1^ | CHF 10.0 | CHF 1,500 | CHF 500 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | ||
| 9 | Par value of instrument | CHF 10.0 | CHF 1,500 | CHF 500 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | ||
| 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 December 2018 | 12 December 2018 | 11 December 2019 | ||
| 12 | Perpetual or dated | – | Perpetual | |||||||
| 13 | Original maturity date | – | – | |||||||
| 14 | Issuer call subject to prior supervisory approval | – | Yes | |||||||
| 15 | Optional call date, contingent call dates and redemption amount | – | First optional repayment date:<br><br> <br>1 April 2020 | First optional repayment date:<br><br> <br>11 March 2021 | First optional repayment date:<br><br> <br>18 December 2022 | First optional repayment date:<br><br> <br>12 December 2023 | First optional repayment date:<br><br> <br>12 December 2023 | First optional repayment date:<br><br> <br>11 December 2024 | ||
| Repayable at any time after the first optional repayment date.<br><br> <br>Repayment subject to FINMA approval. Optional repayment amount:<br> principal amount, together with any accrued and unpaid interest thereon | ||||||||||
| 16 | Subsequent call dates, if applicable | – | Early repayment possible due to a tax or regulatory event.<br> Repayment due to tax event subject to FINMA approval.<br><br> <br>Repayment amount: principal amount, together with accrued and unpaid<br> interest |
29
Significant regulated subsidiaries and sub-groups
| Capital instruments of UBS Switzerland AG – key features (continued) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Coupons | ||||||||||
| 17 | Fixed or floating dividend / coupon | – | Floating | |||||||
| 18 | Coupon rate and any related index | – | 6-month CHF LIBOR<br><br> <br>+ 370 bps<br><br> <br>per annum<br><br> <br>semi-annually | 3-month CHF LIBOR<br><br> <br>+ 459 bps<br><br> <br>per annum quarterly | 3-month CHF LIBOR<br><br> <br>+ 250 bps<br><br> <br>per annum quarterly | 3-month CHF LIBOR<br><br> <br>+ 489 bps<br><br> <br>per annum quarterly | 3-month USD LIBOR<br><br> <br>+ 547 bps<br><br> <br>per annum quarterly | 3-month CHF LIBOR<br><br> <br>+ 433 bps<br><br> <br>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<br> Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of<br> governmental support that FINMA determines necessary to ensure UBS<br> Switzerland AG‘s viability.<br><br> <br>Subject to applicable conditions | ||||||||||
| 32 | If write-down, fully or partially | – | Fully | |||||||
| 33 | If write-down, permanent or temporary | – | Permanent | |||||||
| 34 | If temporary write-down, description of write-up mechanism | – | – | |||||||
| 34a | Type of subordination | Statutory | Contractual | |||||||
| 35 | Position in subordination hierarchy in liquidation (specify<br> instrument type immediately<br><br> <br>senior to instrument in the insolvency creditor hierarchy of the<br> legal entity concerned) | Unless otherwise stated in the articles of association, once<br> debts are paid back, the assets of the liquidated company are divided between<br> the shareholders pro rata based on their contributions and considering the preferences<br> attached to certain categories of shares (Art. 745, Swiss Code of<br> Obligations) | Subject to any obligations that are mandatorily preferred by<br> law, all obligations of UBS Switzerland AG that are unsubordinated or that<br> are subordinated and do not rank junior, such as all classes of share<br> capital, or at par, such as tier 1 instruments | |||||||
| 36 | Non-compliant transitioned features | – | – | |||||||
| 37 | If yes, specify non-compliant features | – | – | |||||||
| 1 Based on Swiss SRB (including transitional arrangement)<br> requirements. 2 Based on Swiss SRB requirements applicable as of 1 January<br> 2020. 3 As applied in UBS Switzerland AG‘s financial statements under<br> Swiss GAAP. 4 Loans granted by UBS AG, Switzerland. |
30
Section 4 UBS Europe SE consolidated
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on Pillar 1 requirements.
During the third quarter of 2020, common equity tier 1 (CET1) capital and risk-weighted assets (RWA) remained stable. Leverage ratio exposure increased by EUR 1.2 billion to EUR 43.4 billion, mainly reflecting an increase of EUR 3.8 billion in cash held at central banks. This increase was partially offset by a decrease of EUR 1.6 billion in securities financing transactions (SFTs) and a decrease in high quality liquid asset- (HQLA-) eligible bonds of EUR 1.1 billion.
The average liquidity coverage ratio (the LCR) increased by 3%, with a EUR 0.7 billion increase in high-quality liquid assets (HQLA), mainly due to treasury management of the excess HQLA through securities financing transactions. Total net cash outflows remained stable.
Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and are agreed with regulators based on the risk profile of the entities.
| KM1: Key metrics1,2,3 | **** | **** | **** | ||||
|---|---|---|---|---|---|---|---|
| million, except where<br> indicated | |||||||
| **** | **** | 30.9.20 | 30.6.20^4^ | 31.3.20^4^ | 31.12.19^4^ | 30.9.19 | |
| Available capital (amounts) | |||||||
| 1 | Common equity tier 1 (CET1) | 3,728 | 3,736 | 3,603 | 3,691 | 3,528 | |
| 2 | Tier 1 | 4,018 | 4,026 | 3,893 | 3,981 | 3,818 | |
| 3 | Total capital | 4,018 | 4,026 | 3,893 | 3,981 | 3,818 | |
| Risk-weighted assets<br> (amounts) | **** | **** | **** | **** | **** | ||
| 4 | Total risk-weighted assets (RWA) | 13,285 | 13,559 | 15,154 | 15,146 | 14,407 | |
| 4a | Minimum capital requirement^5^ | 1,063 | 1,085 | 1,212 | 1,212 | 1,153 | |
| Risk-based capital ratios as<br> a percentage of RWA | **** | **** | **** | **** | **** | ||
| 5 | Common equity tier 1 ratio (%) | 28.1 | 27.6 | 23.8 | 24.4 | 24.5 | |
| 6 | Tier 1 ratio (%) | 30.2 | 29.7 | 25.7 | 26.3 | 26.5 | |
| 7 | Total capital ratio (%) | 30.2 | 29.7 | 25.7 | 26.3 | 26.5 | |
| Additional CET1 buffer<br> requirements as a percentage of RWA | **** | **** | **** | **** | **** | ||
| 8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | |
| 9 | Countercyclical buffer requirement (%) | 0.0 | 0.0 | 0.1 | 0.3 | 0.3 | |
| 10 | Bank G-SIB and / or D-SIB additional requirements (%) | **** | |||||
| 11 | Total of bank CET1-specific buffer requirements (%) | 2.5 | 2.5 | 2.6 | 2.8 | 2.8 | |
| 12 | CET1 available after meeting the bank’s minimum capital<br> requirements (%)^6^ | 22.2 | 21.7 | 17.7 | 18.3 | 18.5 | |
| Basel III leverage ratio | **** | **** | **** | **** | **** | ||
| 13 | Total Basel III leverage ratio exposure measure | 43,371 | 42,172 | 49,004 | 41,924 | 50,199 | |
| 14 | Basel III leverage ratio (%)^7^ | 9.3 | 9.6 | 7.9 | 9.5 | 7.6 | |
| Liquidity coverage ratio8 | **** | **** | **** | **** | **** | ||
| 15 | Total HQLA | 16,257 | 15,540 | 14,839 | 14,393 | 14,309 | |
| 16 | Total net cash outflow^9^ | 11,276 | 11,062 | 10,457 | 9,976 | 9,624 | |
| 17 | LCR (%)^9^ | 144 | 141 | 142 | 147 | 151 | |
| 1 Based on applicable EU Basel III rules. 2 As a<br> result of the cross-border merger of UBS Limited into UBS Europe SE effective<br> 1 March 2019, UBS Europe SE became a significant regulated subsidiary of<br> UBS Group AG. The size, scope and business model of the merged entity is now<br> materially different. 3 There is no local disclosure requirement for<br> the net stable funding ratio as at 30 September 2020. <br> 4 Comparative figures have been restated to align with the<br> UBS Europe SE Pillar 3 report and other regulatory reports as submitted<br> to the European Central Bank (the ECB), which reflect the ECB’s<br> recommendation to EU financial institutions to refrain from capital<br> distributions until 1 January 2021. 5 Calculated as 8% of total<br> RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. <br> 6 This represents the CET1 ratio that is available for meeting buffer<br> requirements. It is calculated as the CET1 ratio minus 4.5% and after<br> considering, where applicable, CET1 capital that has been used to meet tier 1<br> and / or total capital ratio requirements under Pillar 1. 7 On the<br> basis of tier 1 capital. 8 Figures as of 30 September 2020,<br> 30 June 2020 and 31 March 2020 are based on a twelve-month<br> average. Comparative figures as of 31 December 2019 are based on a<br> ten-month average and as of 30 September 2019 on a seven-month average<br> rather than a twelve-month average, as data produced on the same basis is<br> only available for the period since the cross-border merger. <br> 9 Revised calculation excludes inflows from overdrafts that we cannot<br> demand repayment of within 30 days. Comparative figures and ratios for<br> 30 September 2019 have been adjusted accordingly. |
All values are in Euros.
31
Significant regulated subsidiaries and sub-groups
Section 5 UBS Americas Holding LLC consolidated
The table below provides information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated, based on Pillar 1 requirements (i.e., US Basel III standardized rules).
During the third quarter of 2020, common equity tier 1 (CET1) remained stable. Risk-weighted assets (RWA) increased by USD 0.7 billion to USD 65.1 billion, mainly driven by an increase in credit risk RWA, which reflected a higher level of lending exposure. Leverage ratio exposure, calculated on an average basis, increased by USD 1.4 billion to USD 148.0 billion. The increase was due to an USD 1.2 billion increase in average assets, resulting from an increase in lending exposure, and a USD 0.2 billion decrease in tier 1 capital deductions due to a net decrease in deferred tax assets.
Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.
| KM1: Key metrics1,2,3 | **** | **** | **** | **** | **** | **** | **** | **** | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| million, except where<br> indicated | |||||||||||
| **** | **** | 30.9.20^4^ | 30.6.20^4,5^ | 31.3.20^5^ | 31.12.19^5^ | 30.9.19^5^ | |||||
| Available capital (amounts) | |||||||||||
| 1 | Common equity tier 1 (CET1) | 13,840 | 13,535 | 11,932 | 11,896 | 11,825 | |||||
| 2 | Tier 1 | 16,883 | 16,578 | 14,980 | 14,944 | 14,879 | |||||
| 3 | Total capital | 17,626 | 17,344 | 15,735 | 15,658 | 15,596 | |||||
| Risk-weighted assets<br> (amounts) | **** | ||||||||||
| 4 | Total risk-weighted assets (RWA) | 65,084 | 64,351 | 53,812 | 54,057 | 52,947 | |||||
| 4a | Minimum capital requirement^6^ | 5,207 | 5,148 | 4,305 | 4,325 | 4,236 | |||||
| Risk-based capital ratios as<br> a percentage of RWA | **** | ||||||||||
| 5 | Common equity tier 1 ratio (%) | 21.3 | 21.0 | 22.2 | 22.0 | 22.3 | |||||
| 6 | Tier 1 ratio (%) | 25.9 | 25.8 | 27.8 | 27.6 | 28.1 | |||||
| 7 | Total capital ratio (%) | 27.1 | 27.0 | 29.2 | 29.0 | 29.5 | |||||
| Additional CET1 buffer<br> requirements as a percentage of RWA | **** | ||||||||||
| 8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | |||||
| 9 | Countercyclical buffer requirement (%)^7^ | **** | |||||||||
| 10 | Bank G-SIB and / or D-SIB additional requirements (%)^8^ | **** | |||||||||
| 11 | Total of bank CET1-specific buffer requirements (%) | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | |||||
| 12 | CET1 available after meeting the bank’s minimum capital<br> requirements (%)^9^ | 16.8 | 16.5 | 17.7 | 17.5 | 17.8 | |||||
| Basel III leverage ratio | **** | ||||||||||
| 13 | Total Basel III leverage ratio exposure measure | 148,038 | 146,652 | 135,545 | 127,301 | 123,643 | |||||
| 14 | Basel III leverage ratio (%)^10^ | 11.4 | 11.3 | 11.1 | 11.7 | 12.0 | |||||
| 14a | Total Basel III supplementary leverage ratio exposure measure^11^ | 150,609 | 147,683 | ||||||||
| 14b | Basel III supplementary leverage ratio (%)^10,11^ | **** | 11.2 | 11.2 | |||||||
| 1 For UBS Americas Holding LLC based on applicable US Basel III<br> rules. 2 There is no local disclosure requirement for liquidity<br> coverage ratio or net stable funding ratio for UBS Americas Holding LLC as<br> of 30 September 2020. 3 The adoption of ASU 2019-12 in<br> the second quarter of 2020 resulted in a retrospective removal of cumulative<br> tax expense and related balances pertaining to UBS Americas Holding LLC<br> within the IHC tax group for financial reporting purposes. For the purpose of<br> regulatory reporting, we have applied this accounting change prospectively<br> and have not restated the corresponding comparative regulatory key<br> figures. 4 UBS Americas Holding LLC, as a designated category III<br> bank, has been subject to a simplification of regulatory capital rules since<br> 1 April 2020. The revisions simplify the framework for regulatory<br> capital deductions and increase risk weights for mortgage servicing assets,<br> certain deferred tax assets arising from temporary differences, and<br> investments in the capital of unconsolidated financial institutions (below<br> the deduction threshold (25%), impacting the CET1 ratio by 0.3% as of both<br> 30 September 2020 and 30 June 2020). 5 Comparative<br> information has been restated where applicable. Refer to the “Introduction and<br> basis for preparation” section of this report for more information. <br> 6 Calculated as 8% of total RWA, based on total capital minimum<br> requirements, excluding CET1 buffer requirements. 7 UBS Americas<br> Holding LLC is currently not subject to the countercyclical buffer<br> requirement. 8 Not applicable, as requirements have not been<br> proposed. 9 This represents the CET1 ratio that is available for<br> meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%<br> and after considering, where applicable, CET1 capital that has been used to<br> meet tier 1 and / or total capital ratio requirements. 10 On the<br> basis of tier 1 capital. 11 UBS Americas Holding LLC, as a<br> designated category III bank, has been subject to supplementary leverage<br> ratio (SLR) reporting since 1 April 2020. US Regulatory authorities have<br> temporarily eased the requirements for the supplementary leverage ratio (the<br> SLR), allowing for the exclusion of US Treasury securities and deposits at<br> the Federal Reserve Banks from the SLR denominator through March 2021. This<br> exclusion resulted in an increase in the SLR of 136 bps on<br> 30 September 2020 and 135 bps on 30 June 2020, respectively. |
All values are in US Dollars.
32
Abbreviations frequently used in our financial reports
A
ABS asset-backed securities
AEI automatic exchange of information
AGM Annual General Meeting of shareholders
A-IRB advanced internal
ratings-based
AIV alternative investment vehicle
ALCO Asset and Liability Committee
AMA advanced measurement approach
AML anti-money laundering
AoA Articles of Association
APAC Asia Pacific
APM alternative performance measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BEAT base erosion and anti-abuse tax
BIS Bank for International Settlements
BoD Board of Directors
BVG Swiss occupational
pension plan
C
CAO Capital Adequacy Ordinance
CCAR Comprehensive Capital Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and Responsibility Committee
CCyB countercyclical buffer
CDO collateralized debt
obligation
CDS credit default swap
CEA Commodity Exchange Act
CEM current exposure method
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CFTC US Commodity Futures Trading Commission
CHF Swiss franc
CIC Corporate & Institutional Clients
CIO Chief Investment Office
CLS Continuous Linked Settlement
CMBS commercial mortgage-backed security
C&ORC Compliance & Operational Risk Control
CRD IV EU Capital Requirements Directive of 2013
CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)
CRR Capital Requirements Regulation
CST combined stress test
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent Capital Plan
DJSI Dow Jones Sustainability Indices
DM discount margin
DOJ US Department of Justice
D-SIB domestic systemically important bank
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EBA European Banking Authority
EC European Commission
ECB European Central Bank
ECL expected credit loss
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and Africa
EOP Equity Ownership Plan
EPE expected positive exposure
EPS earnings per share
ESG environmental, social and governance
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young (Ltd)
F
FA financial advisor
FCA UK Financial Conduct
Authority
FCT foreign currency translation
FINMA Swiss Financial Market Supervisory Authority
FMIA Swiss Financial Market Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax Administration
FVA funding valuation adjustment
FVOCI fair value through other comprehensive income
FVTPL fair value through profit or loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GDP gross domestic product
GEB Group Executive Board
GIA Group Internal Audit
GIIPS Greece, Italy, Ireland,
Portugal and Spain
GMD Group Managing Director
GRI Global Reporting Initiative
GSE government sponsored entities
G-SIB global systemically important bank
H
HQLA**** high-quality liquid assets
HR human resources
33
Appendix
Abbreviations frequently used in our financial reports (continued)
I
IAA internal assessment approach
IAS International Accounting Standards
IASB International Accounting Standards Board
IBOR interbank offered rate
IFRIC International Financial Reporting Interpretations Committee
IFRS International Financial Reporting Standards
IHC intermediate holding company
IMA internal models approach
IMM internal model method
IRB internal ratings-based
IRC incremental risk charge
IRRBB interest rate risk in the banking book
ISDA International Swaps and Derivatives Association
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered Rate
LLC limited liability company
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MiFID II Markets in Financial Instruments Directive II
MRT Material Risk Taker
N
NAV net asset value
NCL Non-core and Legacy Portfolio
NII net interest income
NRV negative replacement value
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive income
OTC over-the-counter
P
PD probability of default
PFE potential future exposure
PIT point in time
P&L profit or loss
POCI purchased or originated credit-impaired
PRA UK Prudential Regulation Authority
PRV positive replacement value
Q
QCCP qualifying central counterparty
QRRE qualifying revolving retail exposures
R
RBA role-based allowances
RBC risk-based capital
RbM risk-based monitoring
RMBS residential mortgage-backed securities
RniV risks not in VaR
RoAE return on attributed equity
RoCET1 return on CET1 capital
RoTE return on tangible equity
RoU right-of-use
RV replacement value
RW risk weight
RWA risk-weighted assets
S
SA standardized approach
SA-CCR standardized approach for counterparty credit risk
SAR stock appreciation right or Special Administrative Region
SBC Swiss Bank Corporation
SDG Sustainable Development Goal
SE structured entity
SEC US Securities and Exchange Commission
SEEOP Senior Executive Equity Ownership Plan
SFT securities financing transaction
SI sustainable investing
SICR significant increase in credit risk
SIX SIX Swiss Exchange
SME small and medium-sized entity
SMF Senior Management Function
SNB Swiss National Bank
SPPI solely payments of principal and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCJA US Tax Cuts and Jobs Act
TLAC total loss-absorbing capacity
TTC through-the-cycle
U
UBS RESI UBS Real Estate Securities Inc.
UoM units of measure
USD US dollar
V
VaR value-at-risk
VAT value added tax
W
WEKO Swiss Competition Commission
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.
34
CautionaryStatement | 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 Annual Report 2019, 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. Percentages and percent changes are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and which can be derived from figures displayed in the tables, is calculated on a rounded basis.
Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.
35
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi______________
Name: Ella Campi
Title: Executive Director
Date: October 20, 2020