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: August 3, 2017
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants'
Name)
Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
Indicate by check mark whether the registrants file or will
file annual reports under cover of Form 20‑F or Form 40-F.
This Form 6-K consists of the Basel III Pillar 3 disclosure
for first half 2017 of UBS Group AG, which appears immediately following this
page.
UBS Group AG
2017
semiannual
Pillar 3
report
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Publisher: UBS Group AG, Zurich,
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Language: English
© UBS 2017. The key symbol and UBS
are among the registered and unregistered trademarks of UBS. All rights
reserved.
Section 1 Regulatory exposures and
risk-weighted assets
Introduction
This report provides additional
Pillar 3 disclosures for UBS Group AG on a consolidated basis as of 30 June
2017 that are required on a semiannual basis. It should be read in conjunction
with our UBS Group AG and significant regulated subsidiaries and sub-groups
second quarter 2017 Pillar 3 report, available under “Pillar 3 disclosures” at
www.ubs.com/investors,
which includes disclosures required on a quarterly
basis
.
More information on risk-weighted
assets (RWA) is provided in our first and second quarter 2017 reports, both available
under “Quarterly reporting” at
www.ubs.com/investors
and in our
UBS Group AG and significant regulated subsidiaries and sub-groups
first and second quarter 2017 Pillar 3 reports, which include information
required on a quarterly basis, both available under “Pillar 3 disclosures” at
www.ubs.com/investors.
UBS’s Pillar 3 disclosures are based on phase-in
rules under the Basel III framework as implemented by the Swiss Federal
Council’s revised Swiss Capital Adequacy Ordinance and required by FINMA
regulation.
FINMA-defined
asset classes
For an overview of
the FINMA-defined asset classes used within this Pillar 3 report, refer to the
Basel III Pillar 3 UBS Group AG 2016 report under “Pillar 3 disclosures” at
www.ubs.com/investors
.
The tables on the following pages present the
net exposure at default and RWA by risk type and FINMA-defined asset class with
references to the sections of this report that contain more information on the
respective topics.
RWA
development during the first half of 2017
During the first half of 2017,
phase-in RWA increased by CHF 12.4 billion to CHF 237.8 billion.
The increase was mainly driven by a CHF 9.7
billion increase in credit risk and a CHF 4.7 billion increase in counterparty
credit risk. This was partly offset by a reduction in market risk RWA of CHF
1.8 billion and a reduction of CHF 1.4 billion in RWA, mainly resulting from
the additional phase-in effect in the first half of 2017 due to capital
deductions for deferred tax assets.
|
Regulatory exposures and risk-weighted
assets¹
|
|
|
|
30.6.17
|
|
|
|
A-IRB / model-based approaches
|
|
Standardized approaches²
|
|
Total
|
|
CHF million
|
|
Net EAD
|
RWA
|
Section or table reference
|
|
Net EAD
|
RWA
|
Section or table reference
|
|
Net EAD
|
RWA
|
|
Credit risk (excluding
counterparty credit risk)
|
|
499,651
|
71,755
|
2
|
|
49,444
|
22,892
|
2
|
|
549,095
|
94,647
|
|
Central governments and central banks
|
|
143,461
|
2,751
|
CR6, CR7
|
|
13,195
|
470
|
CR4, CR5
|
|
156,656
|
3,221
|
|
Banks and securities dealers
|
|
13,679
|
3,222
|
CR6, CR7
|
|
7,094
|
1,912
|
CR4, CR5
|
|
20,774
|
5,134
|
|
Public sector entities, multilateral development banks
|
|
11,180
|
858
|
CR6, CR7
|
|
2,321
|
602
|
CR4, CR5
|
|
13,501
|
1,459
|
|
Corporates: specialized lending
|
|
22,682
|
9,826
|
CR6, CR7
|
|
|
|
|
|
22,682
|
9,826
|
|
Corporates: other lending
|
|
48,652
|
23,694
|
CR6, CR7
|
|
5,616
|
4,339
|
CR4, CR5
|
|
54,267
|
28,033
|
|
Central counterparties
|
|
|
|
|
|
584
|
36
|
CR4, CR5
|
|
584
|
36
|
|
Retail
|
|
259,997
|
31,404
|
CR6, CR7
|
|
11,103
|
7,041
|
CR4, CR5
|
|
271,100
|
38,444
|
|
Residential mortgages
|
|
134,172
|
23,029
|
|
|
5,934
|
2,296
|
|
|
140,106
|
25,325
|
|
Qualifying revolving retail
exposures (QRRE)
|
|
1,594
|
555
|
|
|
|
|
|
|
1,594
|
555
|
|
Other retail³
|
|
124,231
|
7,819
|
|
|
5,169
|
4,744
|
|
|
129,400
|
12,564
|
|
Non-counterparty-related risk⁴
|
|
|
|
|
|
9,531
|
8,493
|
CR4, CR5
|
|
9,531
|
8,493
|
|
Property, equipment and
software
|
|
|
|
|
|
8,364
|
8,364
|
|
|
8,364
|
8,364
|
|
Other
|
|
|
|
|
|
1,166
|
129
|
|
|
1,166
|
129
|
|
Counterparty credit risk²
|
|
90,740
|
23,474
|
3
|
|
84,607
|
10,587
|
3
|
|
175,347
|
34,060
|
|
Central governments and central banks
|
|
4,453
|
1,131
|
CCR3, CCR4
|
|
1,530
|
206
|
CCR3, CCR4
|
|
5,984
|
1,337
|
|
Banks and securities dealers
|
|
18,840
|
4,971
|
CCR3, CCR4
|
|
5,702
|
1,231
|
CCR3, CCR4
|
|
24,542
|
6,202
|
|
Public sector entities, multilateral development banks
|
|
3,826
|
397
|
CCR3, CCR4
|
|
1,184
|
21
|
CCR3, CCR4
|
|
5,010
|
418
|
|
Corporates incl. specialized lending
|
|
42,409
|
13,969
|
CCR3, CCR4
|
|
18,992
|
5,576
|
CCR3, CCR4
|
|
61,401
|
19,545
|
|
Central counterparties
|
|
21,211
|
299
|
|
|
50,981
|
1,651
|
|
|
72,192
|
1,950
|
|
Retail
|
|
|
|
|
|
6,218
|
506
|
CCR3, CCR4
|
|
6,218
|
506
|
|
Credit valuation adjustment (CVA)
|
|
|
2,707
|
CCR2
|
|
|
1,394
|
CCR2
|
|
|
4,102
|
|
Equity positions in the
banking book (CR)
|
|
578
|
2,393
|
2, CR10
|
|
|
|
|
|
578
|
2,393
|
|
Settlement risk
|
|
82
|
132
|
|
|
247
|
346
|
|
|
329
|
478
|
|
Securitization exposure in
banking book
|
|
2,944
|
1,897
|
4
|
|
|
|
|
|
2,944
|
1,897
|
|
Market Risk
|
|
|
13,289
|
5
|
|
281
|
378
|
|
|
281
|
13,667
|
|
Value-at-risk (VaR)
|
|
|
1,315
|
MR3
|
|
|
|
|
|
|
1,315
|
|
Stressed value-at risk (SVaR)
|
|
|
5,654
|
MR3
|
|
|
|
|
|
|
5,654
|
|
Add-on for risks-not-in-VaR (Rniv)
|
|
|
2,840
|
MR3
|
|
|
|
|
|
|
2,840
|
|
Incremental risk charge (IRC)
|
|
|
3,383
|
MR3
|
|
|
|
|
|
|
3,383
|
|
Comprehensive risk measure (CRM)
|
|
|
97
|
MR3
|
|
|
|
|
|
|
97
|
|
Securitization / re-securitization in the trading book
|
|
|
|
|
|
281
|
378
|
SEC2, MR1
|
|
281
|
378
|
|
Operational risk
|
|
|
79,422
|
|
|
|
|
|
|
|
79,422
|
|
Amounts below thresholds for
deduction (250% risk weight)
|
|
681
|
1,804
|
|
|
3,723
|
9,449
|
|
|
4,404
|
11,254
|
|
Deferred tax assets
|
|
|
|
|
|
3,723
|
9,449
|
|
|
3,723
|
9,449
|
|
Significant investments in non-consolidated financial
institutions
|
|
681
|
1,804
|
|
|
|
|
|
|
681
|
1,804
|
|
Total
|
|
594,675
|
194,166
|
|
|
138,301
|
43,653
|
|
|
732,977
|
237,818
|
|
Regulatory exposures and risk-weighted
assets (continued)¹
|
|
|
|
31.12.16
|
|
|
|
A-IRB / model-based approaches
|
|
Standardized approaches²
|
|
Total
|
|
CHF million
|
|
Net EAD
|
RWA
|
Section or table reference
|
|
Net EAD
|
RWA
|
Section or table reference
|
|
Net EAD
|
RWA
|
|
Credit risk (excluding
counterparty credit risk)
|
|
469,932
|
62,804
|
2
|
|
90,627
|
22,095
|
2
|
|
560,559
|
84,899
|
|
Central governments and central banks
|
|
129,371
|
2,074
|
CR6, CR7
|
|
52,930
|
349
|
CR4, CR5
|
|
182,300
|
2,423
|
|
Banks and securities dealers
|
|
13,937
|
2,753
|
CR6, CR7
|
|
5,334
|
1,290
|
CR4, CR5
|
|
19,272
|
4,043
|
|
Public sector entities, multilateral development banks
|
|
10,998
|
712
|
CR6, CR7
|
|
4,084
|
888
|
CR4, CR5
|
|
15,082
|
1,600
|
|
Corporates: specialized lending
|
|
23,331
|
8,252
|
CR6, CR7
|
|
|
|
|
|
23,331
|
8,252
|
|
Corporates: other lending
|
|
49,225
|
22,892
|
CR6, CR7
|
|
6,694
|
4,173
|
CR4, CR5
|
|
55,919
|
27,066
|
|
Central counterparties
|
|
|
|
|
|
971
|
59
|
CR4, CR5
|
|
971
|
59
|
|
Retail
|
|
243,070
|
26,120
|
CR6, CR7
|
|
10,995
|
6,910
|
CR4, CR5
|
|
254,065
|
33,030
|
|
Residential mortgages
|
|
133,470
|
19,985
|
|
|
5,790
|
2,182
|
|
|
139,260
|
22,167
|
|
Qualifying revolving retail
exposures (QRRE)
|
|
1,552
|
541
|
|
|
|
|
|
|
1,552
|
541
|
|
Other retail³
|
|
108,048
|
5,594
|
|
|
5,205
|
4,728
|
|
|
113,253
|
10,322
|
|
Non-counterparty-related risk⁴
|
|
|
|
|
|
9,620
|
8,426
|
CR4, CR5
|
|
9,620
|
8,426
|
|
Property, equipment and
software
|
|
|
|
|
|
8,259
|
8,259
|
|
|
8,259
|
8,259
|
|
Other
|
|
|
|
|
|
1,361
|
168
|
|
|
1,361
|
168
|
|
Counterparty credit risk²
|
|
85,619
|
19,666
|
3
|
|
84,223
|
9,696
|
3
|
|
169,842
|
29,362
|
|
Central governments and central banks
|
|
4,282
|
444
|
CCR3, CCR4
|
|
1,673
|
157
|
CCR3, CCR4
|
|
5,955
|
601
|
|
Banks and securities dealers
|
|
18,492
|
3,838
|
CCR3, CCR4
|
|
5,232
|
944
|
CCR3, CCR4
|
|
23,724
|
4,782
|
|
Public sector entities, multilateral development banks
|
|
4,182
|
320
|
CCR3, CCR4
|
|
2,444
|
51
|
CCR3, CCR4
|
|
6,627
|
371
|
|
Corporates incl. specialized lending
|
|
42,378
|
10,586
|
CCR3, CCR4
|
|
16,018
|
4,287
|
CCR3, CCR4
|
|
58,396
|
14,873
|
|
Central counterparties
|
|
16,284
|
275
|
|
|
53,429
|
2,117
|
|
|
69,713
|
2,392
|
|
Retail
|
|
|
|
|
|
5,426
|
616
|
CCR3, CCR4
|
|
5,426
|
616
|
|
Credit valuation adjustment (CVA)
|
|
|
4,202
|
CCR2
|
|
|
1,524
|
CCR2
|
|
|
5,726
|
|
Equity positions in the
banking book (CR)
|
|
602
|
2,375
|
2, CR10
|
|
|
|
|
|
602
|
2,375
|
|
Settlement risk
|
|
76
|
87
|
|
|
432
|
440
|
|
|
508
|
528
|
|
Securitization exposure in
banking book
|
|
3,350
|
2,068
|
4
|
|
|
|
|
|
3,350
|
2,068
|
|
Market Risk
|
|
|
15,062
|
5
|
|
345
|
428
|
|
|
345
|
15,490
|
|
Value-at-risk (VaR)
|
|
|
2,158
|
MR3
|
|
|
|
|
|
|
2,158
|
|
Stressed value-at risk (SVaR)
|
|
|
6,128
|
MR3
|
|
|
|
|
|
|
6,128
|
|
Add-on for risks-not-in-VaR (Rniv)
|
|
|
3,709
|
MR3
|
|
|
|
|
|
|
3,709
|
|
Incremental risk charge (IRC)
|
|
|
2,963
|
MR3
|
|
|
|
|
|
|
2,963
|
|
Comprehensive risk measure (CRM)
|
|
|
104
|
MR3
|
|
|
|
|
|
|
104
|
|
Securitization / re-securitization in the trading book
|
|
|
|
|
|
345
|
428
|
SEC2, MR1
|
|
345
|
428
|
|
Operational risk
|
|
|
77,827
|
|
|
|
|
|
|
|
77,827
|
|
Amounts below thresholds for
deduction (250% risk weight)
|
|
756
|
2,000
|
|
|
3,823
|
10,864
|
|
|
4,579
|
12,864
|
|
Deferred tax assets
|
|
|
|
|
|
3,823
|
10,864
|
|
|
3,823
|
10,864
|
|
Significant investments in non-consolidated financial
institutions
|
|
756
|
2,000
|
|
|
|
|
|
|
756
|
2,000
|
|
Total
|
|
560,336
|
181,888
|
|
|
179,450
|
43,524
|
|
|
739,786
|
225,412
|
|
1 The presentation of this table has been aligned with the
principles applied in “OV1: Overview of RWA,” which is available in the UBS
Group AG and significant regulated subsidiaries and sub-groups second quarter
2017 Pillar 3 report, available under “Pillar 3 disclosures” at
www.ubs.com/investors. 2 The split between A-IRB / model-based approaches
and Standardized approaches for counterparty credit risk refers to the
exposure measure, whereas the split in CCR3 and CCR4 refers to the risk
weighting approach. As of 30 June 2017, CHF 101,665 million of EAD (31
December 2016: CHF 98,194 million) was subject to the advanced risk weighting
approach, and CHF 1,490 million of EAD (31 December 2016: CHF 1,934 million)
was subject to the standardized risk weighting approach. 3 Consists
primarily of Lombard lending, which represents loans made against the pledge
of eligible marketable securities or cash, as well as exposures to small
businesses, private clients and other retail customers without mortgage
financing. 4 Excludes EAD for deferred tax assets on net operating losses
(30 June 2017: CHF 1,708 million; 31 December 2016: CHF 3,877 million), which
is not subject to credit risk RWA calculation.
|
Introduction
The tables in this section provide
information on the exposures used to determine the firm’s credit risk-related
regulatory capital requirement on the basis of the credit risk framework
illustrated in the “Regulatory exposures and risk-weighted assets” table in
section 1 of this report. Information on counterparty credit risk that arises
from over-the-counter derivatives, exchange-traded derivatives, securities
financing transactions and long settlement transactions, is discussed in
section 3 of this report. Securitization positions subject to the
securitization regulatory framework are reported in section 4 of this report.
The exposure information presented in this
section may differ from our internal management view disclosed in the “Risk
management and control” section of our annual and quarterly reports. This is
due to the fact that certain treatments are specified by regulatory
requirements, although the parameters applied under the advanced internal
ratings-based (A-IRB) approach are generally based on the same methodologies,
data and systems we use for internal credit risk quantification. Such
regulatory requirements include the application of regulatory floors and
multipliers, and differences with respect to eligibility criteria and exposure
definitions. Similarly, the regulatory capital measure of credit risk exposure
also differs from that defined under IFRS.
This section is structured into four
sub-sections:
–
Credit quality of assets
–
Credit risk mitigation
–
Credit risk under the standardized approach
–
Credit risk under internal ratings-based
approaches
Refer to page 14 of our Basel III Pillar 3
UBS Group AG 2016 report, available under “Pillar 3 disclosures” at
www.ubs.com/investors
for
more information on credit risk management, credit risk exposure categories and
our use of the term “loans.”
Credit quality of assets
The table below provides a breakdown
of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures.
Refer to page 17 of our Basel III Pillar 3
UBS Group AG 2016 report under “Pillar 3 disclosures” at
www.ubs.com/investors
for more information on policies for
past due, non-performing and impaired claims as well as our definition of
default.
|
CR1: Credit quality of assets
|
|
|
|
a
|
|
b
|
|
c
|
|
d
|
|
|
|
|
Gross carrying values of:
|
|
Allowances / impairments
|
|
Net values (a + b + c)
|
|
CHF million
|
|
Defaulted exposures
|
|
Non-defaulted exposures
|
|
|
|
|
|
|
|
|
|
30.6.17
|
31.12.16
|
|
30.6.17
|
31.12.16
|
|
30.6.17
|
31.12.16
|
|
30.6.17
|
31.12.16
|
|
1
|
Loans¹
|
|
2,087
|
2,190
|
|
426,167
|
428,758
|
|
(577)
|
(599)
|
|
427,677
|
430,348
|
|
2
|
Debt securities
|
|
0
|
0
|
|
78,375
|
94,175
|
|
0
|
0
|
|
78,375
|
94,175
|
|
3
|
Off-balance sheet exposures
|
|
332
|
267
|
|
166,762
|
178,637
|
|
(53)
|
(54)
|
|
167,041
|
178,849
|
|
4
|
Total
|
|
2,420
|
2,456
|
|
671,304
|
701,569
|
|
(630)
|
(653)
|
|
673,093
|
703,372
|
|
1 Loan exposure is reported in line with the Pillar 3
definition.
|
|
CR2: Changes in stock of
defaulted loans and debt securities
|
|
|
|
|
|
CHF million
|
a
|
|
1
|
Defaulted loans and debt
securities as of 31.12.16
|
2,456
|
|
2
|
Loans and debt securities that have defaulted since the last
reporting period
|
504
|
|
3
|
Returned to non-defaulted status
|
(257)
|
|
4
|
Amounts written off
|
(65)
|
|
5
|
Other changes
|
(220)
|
|
6
|
Defaulted loans and debt
securities as of 30.6.17
|
2,420
|
|
|
Credit risk mitigation
The table below
provides a breakdown of unsecured and partially or fully secured exposures,
including security type, for the categories
Loans
and
Debt securities
.
The total carrying amount of loans decreased
by CHF 2.7 billion, mainly driven by a reduction in cash and balances
with central banks, primarily reflecting higher funding utilization by the
business divisions, partly offset by various debt issuances and rebalancing
within our high-quality liquid assets (HQLA) portfolio. This was partly offset
by an increase in Lombard lending in Wealth Management.
The reduction of CHF 15.8 billion in debt
securities was primarily driven by a decrease in financial assets designated at
fair value, available for sale and held to maturity, mainly reflecting
rebalancing within our HQLA portfolio.
|
CR3: Credit risk mitigation techniques
– overview¹
|
|
|
|
a
|
b1
|
|
b
|
d
|
f
|
|
CHF million
|
|
Exposures unsecured: carrying amount
|
Exposures partially or fully secured: carrying amount
|
Total: carrying amount
|
Exposures secured by collateral
|
Exposures secured by financial guarantees
|
Exposures secured by credit derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
1
|
Loans²
|
|
133,340
|
294,337
|
427,677
|
290,773
|
1,444
|
96
|
|
2
|
Debt securities
|
|
78,375
|
0
|
78,375
|
0
|
0
|
0
|
|
3
|
Total
|
|
211,715
|
294,337
|
506,052
|
290,773
|
1,444
|
96
|
|
4
|
of which: defaulted
|
|
203
|
1,308
|
1,511
|
697
|
258
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
1
|
Loans²
|
|
137,267
|
293,081
|
430,348
|
288,314
|
1,930
|
751
|
|
2
|
Debt securities
|
|
94,175
|
0
|
94,175
|
0
|
0
|
0
|
|
3
|
Total
|
|
231,442
|
293,082
|
524,523
|
288,314
|
1,930
|
751
|
|
4
|
of which: defaulted
|
|
130
|
1,461
|
1,591
|
665
|
318
|
0
|
|
1 Exposures in this table represent carrying values in
accordance with the regulatory scope of consolidation. This table was
prepared on the basis of the disclosure requirements published by FINMA in
October 2015. Once we adopt the interpretation included in “Frequently asked
questions on the revised Pillar 3 disclosure requirements (BCBS 376)"
issued by BCBS in August 2016, exposures secured by collateral and by credit
derivatives will be subject to haircuts. 2 Loan exposure is reported in
line with the Pillar 3 definition.
|
Standardized approach – credit risk mitigation
The table below shows the effect of
credit risk mitigation on the calculation of capital requirements under the
standardized approach.
Credit risk exposure post-credit conversion
factors (CCF) and post-CRM measured under the standardized approach decreased
by CHF 40.2 billion to CHF 49.4 billion as of 30 June 2017. This decrease was
primarily due to the migration of portfolios held for local liquidity
requirements from a measurement under the standardized approach to a
measurement under the A-IRB approach, including a decrease of CHF 37.8 billion
in exposure to central governments and central banks, exposures of CHF 2.3
billion to public sector entities and multilateral development banks and
exposures to corporates of CHF 1.4 billion. This migration increased credit
risk exposures under the A-IRB approach by CHF 33.1 billion. The portion of the
migration related to the aforementioned rebalancing within our HQLA portfolio
represents counterparty credit risk, which did not result in a significant EAD
impact due to higher collateralization levels as of 30 June 2017.
The increase in RWA density was primarily
driven by the aforementioned migration of portfolios held for local liquidity
requirements from measurement under the standardized approach to measurement under
the A-IRB approach, which resulted in a change in the composition of the
portfolio under the standardized approach. However, the net impact on RWA from
this change was not material.
|
CR4: Standardized approach –
credit risk exposure and credit risk mitigation (CRM) effects
|
|
|
|
a
|
b
|
|
|
c
|
d
|
|
|
e
|
f
|
|
|
|
|
Exposures
before CCF and CRM
|
|
Exposures
post CCF and CRM
|
|
RWA and RWA density
|
|
CHF million, except where
indicated
|
|
On-balance sheet amount
|
Off-balance sheet amount
|
Total
|
|
On-balance sheet amount
|
Off-balance sheet amount
|
Total
|
|
RWA
|
RWA density in %
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Asset classes¹
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Central governments and central banks
|
|
13,187
|
106
|
13,293
|
|
13,187
|
0
|
13,187
|
|
493
|
3.7
|
|
2
|
Banks and securities dealers
|
|
6,680
|
897
|
7,576
|
|
6,677
|
437
|
7,115
|
|
1,932
|
27.2
|
|
3
|
Public sector entities and multilateral development banks
|
|
2,321
|
2
|
2,323
|
|
2,329
|
0
|
2,329
|
|
606
|
26.0
|
|
4
|
Corporates²
|
|
6,695
|
3,621
|
10,316
|
|
5,674
|
600
|
6,273
|
|
4,391
|
70.0
|
|
5
|
Retail
|
|
11,739
|
2,188
|
13,927
|
|
10,754
|
255
|
11,009
|
|
6,977
|
63.4
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
9,531
|
|
9,531
|
|
9,531
|
|
9,531
|
|
8,493
|
89.1
|
|
8
|
Total
|
|
50,153
|
6,813
|
56,967
|
|
48,152
|
1,292
|
49,444
|
|
22,892
|
46.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Asset classes¹
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Central governments and central banks
|
|
52,921
|
0
|
52,921
|
|
52,921
|
0
|
52,921
|
|
354
|
0.7
|
|
2
|
Banks and securities dealers
|
|
4,919
|
877
|
5,796
|
|
4,898
|
437
|
5,334
|
|
1,290
|
24.2
|
|
3
|
Public sector entities and multilateral development banks
|
|
4,093
|
2
|
4,094
|
|
4,093
|
0
|
4,093
|
|
892
|
21.8
|
|
4
|
Corporates
|
|
7,364
|
5,027
|
12,391
|
|
6,605
|
168
|
6,774
|
|
4,200
|
62.0
|
|
5
|
Retail
|
|
11,520
|
3,212
|
14,732
|
|
10,679
|
236
|
10,915
|
|
6,873
|
63.0
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
9,620
|
|
9,620
|
|
9,620
|
|
9,620
|
|
8,426
|
87.6
|
|
8
|
Total
|
|
90,437
|
9,117
|
99,554
|
|
88,816
|
841
|
89,657
|
|
22,036
|
24.6
|
|
1 The effect of credit risk mitigation (CRM) is reflected in the
original asset class. 2 As of 30 June 2017, we have prospectively included
loan exposures to central counterparties in accordance with the “Frequently
asked questions on the revised Pillar 3 disclosure requirements (BCBS
376)" document published by BCBS in August 2016.
|
IRB approach – credit derivatives used as credit risk mitigation
We actively manage the credit risk in
our corporate loan portfolios by utilizing credit derivatives. Single-name
credit derivatives that fulfill the operational requirements prescribed by
FINMA are recognized in the RWA calculation using the probability of default (PD)
or rating (and asset class) assigned to the hedge provider. The PD (or rating)
substitution is only applied in the RWA calculation when the PD (or rating) of
the hedge provider is lower than the PD (or rating) of the obligor. In
addition, default correlation between the obligor and hedge provider is taken
into account through the double default approach. Credit derivatives with
tranched cover or first-loss protection are recognized through the
securitization framework. Refer to the “CCR6: Credit derivatives exposures”
table for notional and fair value information on credit derivatives used as
credit risk mitigation.
|
CR7: IRB – effect on RWA of
credit derivatives used as CRM techniques¹
|
|
|
|
|
30.6.17
|
|
31.12.16
|
|
|
|
|
a
|
b
|
|
a
|
b
|
|
|
CHF million
|
|
Pre-credit derivatives RWA
|
Actual RWA
|
|
Pre-credit derivatives RWA
|
Actual RWA
|
|
|
1
|
Central governments and central banks – FIRB
|
|
|
|
|
|
|
|
|
2
|
Central governments and central banks – AIRB
|
|
2,750
|
2,733
|
|
2,085
|
2,061
|
|
|
3
|
Banks and securities dealers – FIRB
|
|
|
|
|
|
|
|
|
4
|
Banks and securities dealers – AIRB
|
|
2,978
|
2,978
|
|
2,437
|
2,437
|
|
|
5
|
Public sector entities, multilateral development banks – FIRB
|
|
|
|
|
|
|
|
|
6
|
Public sector entities, multilateral development banks – AIRB
|
|
889
|
889
|
|
748
|
748
|
|
|
7
|
Corporates: Specialized lending – FIRB
|
|
|
|
|
|
|
|
|
8
|
Corporates: Specialized lending – AIRB
|
|
9,877
|
9,877
|
|
8,326
|
8,326
|
|
|
9
|
Corporates: Other lending – FIRB
|
|
|
|
|
|
|
|
|
10
|
Corporates: Other lending – AIRB
|
|
25,100
|
23,874
|
|
24,855
|
23,110
|
|
|
11
|
Retail: mortgage loans
|
|
23,029
|
23,029
|
|
19,985
|
19,985
|
|
|
12
|
Retail exposures: qualifying revolving retail (QRRE)
|
|
555
|
555
|
|
541
|
541
|
|
|
13
|
Retail: other
|
|
7,820
|
7,820
|
|
5,594
|
5,594
|
|
|
14
|
Equity positions (PD/LGD - approach)
|
|
|
|
|
|
|
|
|
15
|
Total
|
|
72,997
|
71,755
|
|
64,572
|
62,804
|
|
|
1 The effect of credit risk mitigation (CRM) is reflected on the
original asset class.
|
|
Credit risk under the standardized
approach
The standardized approach is
generally applied where it is not possible to use the A-IRB approach. More
information on the movements shown in the table below is provided on page 7
under “Standardized approach – credit risk mitigation.”
|
CR5: Standardized approach –
exposures by asset classes and risk weights
|
|
CHF million
|
|
a
|
b
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
|
Risk weight
|
|
0%
|
10%
|
20%
|
35%
|
50%
|
75%
|
100%
|
150%
|
Others
|
Total credit exposures amount (post CCF and CRM)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Central governments and central banks
|
|
12,308
|
|
123
|
|
638
|
|
125
|
1
|
|
13,195
|
|
2
|
Banks and securities dealers
|
|
|
|
5,539
|
|
1,501
|
|
54
|
|
|
7,094
|
|
3
|
Public sector entities and multilateral development banks
|
|
524
|
|
1,041
|
|
726
|
|
30
|
0
|
|
2,321
|
|
4
|
Corporates¹
|
|
64
|
|
2,042
|
|
143
|
|
3,885
|
64
|
|
6,199
|
|
5
|
Retail
|
|
|
|
|
5,536
|
|
1,857
|
3,711
|
|
|
11,104
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
1,038
|
|
|
|
|
|
8,493
|
|
|
9,531
|
|
8
|
Total
|
|
13,933
|
|
8,745
|
5,536
|
3,008
|
1,857
|
16,299
|
65
|
|
49,444
|
|
9
|
of which: mortgage loans
|
|
|
|
|
5,536
|
|
158
|
240
|
|
|
5,934
|
|
10
|
of which: past due
|
|
|
|
|
|
|
|
|
59²
|
|
59
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Central governments and central banks
|
|
51,862
|
|
879
|
|
31
|
|
156
|
1
|
|
52,930
|
|
2
|
Banks and securities dealers
|
|
|
|
4,650
|
|
645
|
|
39
|
0
|
|
5,334
|
|
3
|
Public sector entities and multilateral development banks
|
|
1,811
|
|
1,226
|
|
810
|
|
237
|
0
|
|
4,084
|
|
4
|
Corporates
|
|
|
|
3,057
|
|
149
|
|
3,482
|
6
|
|
6,694
|
|
5
|
Retail
|
|
|
|
|
5,518
|
|
1,993
|
3,483
|
|
|
10,995
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
1,194
|
|
|
|
|
|
8,426
|
|
|
9,620
|
|
8
|
Total
|
|
54,867
|
|
9,812
|
5,518
|
1,636
|
1,993
|
15,823
|
7
|
0
|
89,657
|
|
9
|
of which: mortgage loans
|
|
|
|
|
5,518
|
|
87
|
257
|
|
|
5,861
|
|
10
|
of which: past due
|
|
|
|
|
|
|
|
0
|
0
|
|
0
|
|
1 As of 30 June 2017, we have prospectively included loan
exposures to central counterparties in accordance with the “Frequently asked
questions on the revised Pillar 3 disclosure requirements (BCBS 376)"
document published by BCBS in August 2016. 2 Includes mortgage loans.
|
Credit risk under internal ratings-based approaches
The tables in this sub-section
provide information on credit risk exposures under the A-IRB approach,
including the main parameters used in A-IRB models for the calculation of
capital requirements, presented by portfolio and probability of default (PD)
range.
Under the A-IRB
approach, the required capital for credit risk is quantified through empirical
models, which we have developed to estimate the PD, loss given default (LGD),
exposure at default (EAD) and other parameters, subject to FINMA approval. The proportion of EAD covered by
either the standardized or the A-IRB approach is provided in the “Regulatory
exposures and risk-weighted assets” table in section 1 of this report.
The “CR6: IRB – Credit risk exposures by
portfolio and PD range” table on the following pages provides a breakdown of
the key parameters used for calculation of capital requirements under the A-IRB
approach, shown by PD range across FINMA-defined asset classes.
Exposures before the application of CCFs
increased by CHF 65.9 billion to CHF 608.6 billion as of 30 June 2017 and
exposures post-CCF and post-credit risk mitigation (CRM) increased by CHF 29.7
billion to CHF 499.7 billion as of 30 June 2017. This increase was
primarily driven by a model update required by FINMA to apply CCFs for
unutilized Lombard loan facilities that were previously excluded from the RWA
calculation. It resulted in an increase of CHF 62.9 billion in the asset class
“Retail: other retail” and, with a contribution of CHF 14.9 billion, was
also the main driver for the increase in EADs post CCF and post CRM in this
portfolio. The migration of portfolios held for local liquidity requirements
from a measurement under the standardized approach to a measurement under the
A-IRB approach, as explained in the “CR4: Standardized approach – credit risk
exposure and credit risk mitigation (CRM) effects” table, resulted in an
increase of CHF 30.7 billion in exposures to central governments and central
banks, an increase of CHF 1.8 billion in exposure to corporates and an increase
of CHF 0.6 billion in exposures to public sector entities and multilateral
development banks. The effect of CHF 30.7 billion on exposures to central
governments and central banks was partly offset by higher funding utilization
by the business divisions, which reduced cash and balances at central banks,
resulting in a net EAD post CCF and post CRM increase of CHF 14.1 billion in
central governments and central banks.
Average CCFs decreased 4 percentage points,
as the aforementioned changes introduced for unutilized Lombard loan facilities
were below the average CCF of the portfolio. The effects from higher CCFs for
construction loans did not materially affect the average CCFs.
In the first half of 2017, we implemented
changes to the PD and LGD parameters for income-producing real estate exposures
(IPRE) and Lombard exposures, as well as LGD parameter updates for exposures to
multinationals, sovereigns and financial institutions. These changes primarily
impacted average LGDs, which increased 3.3 percentage points due to i) IPRE
exposures, mainly reflected in “Corporates: specialized lending,” ii) exposures
to multinationals, sovereigns and financial institutions, mainly reflected in
“Banks and securities dealers” and in “Public sector entities, multilateral
development banks,” and iii) Lombard exposures, mainly reflected in “Retail:
other retail.” Average PDs remained broadly stable compared with 31 December
2016.
Information on RWA,
including details on movements in RWA, is provided on pages 3-4 in our UBS
Group AG and significant regulated subsidiaries and sub-groups reports for the
first and second quarters of 2017, available under “Pillar 3 disclosures” at
www.ubs.com/investors
.
Expected loss increased by CHF 103 million,
primarily due to the aforementioned changes to LGD and PD parameters.
|
CR6: IRB – Credit risk exposures by portfolio and PD range
|
|
|
|
|
|
|
|
|
|
|
|
a
|
b
|
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
k
|
l
|
|
CHF million, except where
indicated
|
|
Original on-balance sheet gross exposure
|
Off-balance sheet exposures pre-CCF
|
Total exposures pre-CCF
|
Average CCF in %
|
EAD post CCF and post CRM¹
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
EL
|
Provisions²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and
central banks
|
|
30.6.17
|
|
0.00 to <0.15
|
|
143,335
|
334
|
143,669
|
29
|
143,431
|
0.0
|
0.1
|
34.2
|
1.0
|
2,731
|
1.9
|
5
|
|
|
0.15 to <0.25
|
|
0
|
0
|
0
|
55
|
0
|
0.2
|
<0.1
|
28.3
|
1.0
|
0
|
18.4
|
0
|
|
|
0.25 to <0.50
|
|
6
|
0
|
6
|
14
|
6
|
0.3
|
<0.1
|
70.0
|
2.3
|
6
|
92.2
|
0
|
|
|
0.50 to <0.75
|
|
6
|
0
|
6
|
15
|
6
|
0.6
|
<0.1
|
24.2
|
2.7
|
2
|
38.9
|
0
|
|
|
0.75 to <2.50
|
|
0
|
5
|
5
|
27
|
1
|
1.3
|
<0.1
|
10.1
|
5.0
|
0
|
31.0
|
0
|
|
|
2.50 to <10.00
|
|
5
|
5
|
10
|
37
|
7
|
3.9
|
<0.1
|
9.9
|
4.2
|
3
|
36.8
|
0
|
|
|
10.00 to <100.00
|
|
0
|
0
|
0
|
0
|
0
|
16.4
|
<0.1
|
15.5
|
1.0
|
0
|
72.1
|
0
|
|
|
100.00 (default)
|
|
20
|
1
|
21
|
55
|
9
|
|
<0.1
|
|
|
9
|
106.0
|
12
|
|
|
Subtotal
|
|
143,373
|
345
|
143,718
|
29
|
143,461
|
0.0
|
0.1
|
34.2
|
1.0
|
2,751
|
1.9
|
17
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and
central banks
|
|
31.12.16
|
|
0.00 to <0.15
|
|
129,277
|
227
|
129,504
|
16
|
129,312
|
0.0
|
<0.1
|
33.7
|
1.0
|
2,035
|
1.6
|
5
|
|
|
0.15 to <0.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50
|
|
8
|
0
|
8
|
14
|
8
|
0.3
|
<0.1
|
72.9
|
2.8
|
8
|
105.2
|
0
|
|
|
0.50 to <0.75
|
|
7
|
0
|
7
|
13
|
7
|
0.6
|
<0.1
|
23.8
|
3.0
|
3
|
39.2
|
0
|
|
|
0.75 to <2.50
|
|
0
|
0
|
0
|
55
|
0
|
1.4
|
<0.1
|
19.7
|
3.6
|
0
|
44.2
|
0
|
|
|
2.50 to <10.00
|
|
4
|
18
|
22
|
29
|
9
|
3.9
|
<0.1
|
19.2
|
3.3
|
6
|
67.8
|
0
|
|
|
10.00 to <100.00
|
|
27
|
0
|
27
|
48
|
27
|
10.2
|
<0.1
|
10.0
|
5.0
|
14
|
52.7
|
0
|
|
|
100.00 (default)
|
|
18
|
1
|
19
|
55
|
8
|
|
<0.1
|
|
|
8
|
106.0
|
11
|
|
|
Subtotal
|
|
129,341
|
245
|
129,587
|
17
|
129,371
|
0.0
|
0.2
|
33.7
|
1.0
|
2,074
|
1.6
|
16
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers
|
|
30.6.17
|
|
0.00 to <0.15
|
|
8,892
|
5,827
|
14,719
|
47
|
10,972
|
0.0
|
0.5
|
40.8
|
1.2
|
1,606
|
14.6
|
3
|
|
|
0.15 to <0.25
|
|
1,309
|
729
|
2,038
|
46
|
1,467
|
0.2
|
0.3
|
46.7
|
1.3
|
627
|
42.7
|
4
|
|
|
0.25 to <0.50
|
|
595
|
219
|
814
|
37
|
674
|
0.4
|
0.2
|
53.9
|
1.2
|
473
|
70.3
|
1
|
|
|
0.50 to <0.75
|
|
477
|
219
|
697
|
34
|
239
|
0.7
|
0.1
|
44.4
|
1.1
|
181
|
75.9
|
1
|
|
|
0.75 to <2.50
|
|
317
|
285
|
602
|
40
|
171
|
1.2
|
0.2
|
43.6
|
1.0
|
164
|
96.1
|
1
|
|
|
2.50 to <10.00
|
|
197
|
205
|
402
|
20
|
106
|
4.3
|
0.2
|
42.4
|
1.0
|
139
|
130.6
|
2
|
|
|
10.00 to <100.00
|
|
63
|
29
|
92
|
39
|
49
|
11.0
|
<0.1
|
12.9
|
2.4
|
30
|
61.9
|
1
|
|
|
100.00 (default)
|
|
3
|
0
|
3
|
0
|
1
|
|
<0.1
|
|
|
1
|
106.0
|
3
|
|
|
Subtotal
|
|
11,853
|
7,513
|
19,367
|
43
|
13,679
|
0.2
|
1.5
|
42.1
|
1.2
|
3,222
|
23.6
|
15
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers
|
|
31.12.16
|
|
0.00 to <0.15
|
|
8,245
|
8,638
|
16,883
|
45
|
11,446
|
0.0
|
0.5
|
35.7
|
1.4
|
1,407
|
12.3
|
2
|
|
|
0.15 to <0.25
|
|
1,299
|
907
|
2,206
|
44
|
1,356
|
0.2
|
0.4
|
39.2
|
1.3
|
490
|
36.2
|
4
|
|
|
0.25 to <0.50
|
|
565
|
388
|
953
|
31
|
541
|
0.4
|
0.2
|
43.1
|
1.2
|
288
|
53.2
|
1
|
|
|
0.50 to <0.75
|
|
339
|
267
|
606
|
43
|
227
|
0.6
|
0.1
|
44.3
|
1.1
|
175
|
77.4
|
1
|
|
|
0.75 to <2.50
|
|
319
|
217
|
536
|
42
|
156
|
1.3
|
0.2
|
43.2
|
1.0
|
149
|
95.3
|
1
|
|
|
2.50 to <10.00
|
|
295
|
191
|
486
|
21
|
196
|
3.7
|
0.2
|
37.5
|
1.3
|
228
|
116.2
|
3
|
|
|
10.00 to <100.00
|
|
13
|
28
|
41
|
41
|
15
|
12.4
|
<0.1
|
20.8
|
3.4
|
15
|
101.5
|
0
|
|
|
100.00 (default)
|
|
3
|
|
3
|
|
|
|
<0.1
|
|
|
0
|
106.0
|
3
|
|
|
Subtotal
|
|
11,078
|
10,636
|
21,714
|
42
|
13,937
|
0.2
|
1.5
|
36.6
|
1.4
|
2,753
|
19.8
|
15
|
5
|
|
CR6: IRB – Credit risk exposures by portfolio and PD range
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
a
|
b
|
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
k
|
l
|
|
CHF million, except where
indicated
|
|
Original on-balance sheet gross exposure
|
Off-balance sheet exposures pre-CCF
|
Total exposures pre-CCF
|
Average CCF in %
|
EAD post CCF and post CRM¹
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
EL
|
Provisions²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities,
multilateral development banks
|
|
30.6.17
|
|
0.00 to <0.15
|
|
9,631
|
1,634
|
11,265
|
15
|
9,881
|
0.0
|
0.3
|
34.9
|
1.2
|
528
|
5.3
|
1
|
|
|
0.15 to <0.25
|
|
457
|
254
|
710
|
11
|
485
|
0.2
|
0.2
|
30.3
|
3.1
|
141
|
29.0
|
0
|
|
|
0.25 to <0.50
|
|
682
|
329
|
1,011
|
21
|
752
|
0.3
|
0.2
|
19.8
|
2.5
|
170
|
22.6
|
1
|
|
|
0.50 to <0.75
|
|
51
|
5
|
55
|
10
|
51
|
0.6
|
<0.1
|
19.8
|
2.5
|
15
|
30.1
|
0
|
|
|
0.75 to <2.50
|
|
7
|
3
|
10
|
12
|
8
|
1.3
|
<0.1
|
18.8
|
2.0
|
2
|
28.7
|
0
|
|
|
2.50 to <10.00
|
|
3
|
0
|
3
|
70
|
3
|
2.7
|
<0.1
|
27.0
|
1.0
|
2
|
53.6
|
0
|
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
10,830
|
2,224
|
13,055
|
16
|
11,180
|
0.0
|
0.7
|
33.6
|
1.3
|
858
|
7.7
|
2
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities,
multilateral development banks
|
|
31.12.16
|
|
0.00 to <0.15
|
|
9,452
|
1,812
|
11,264
|
15
|
9,722
|
0.0
|
0.4
|
29.6
|
1.2
|
457
|
4.7
|
0
|
|
|
0.15 to <0.25
|
|
464
|
376
|
840
|
11
|
507
|
0.2
|
0.2
|
21.8
|
3.0
|
102
|
20.1
|
0
|
|
|
0.25 to <0.50
|
|
646
|
318
|
964
|
22
|
716
|
0.3
|
0.2
|
17.3
|
2.5
|
140
|
19.6
|
0
|
|
|
0.50 to <0.75
|
|
44
|
4
|
48
|
10
|
44
|
0.6
|
<0.1
|
15.6
|
2.6
|
11
|
24.5
|
0
|
|
|
0.75 to <2.50
|
|
3
|
1
|
4
|
20
|
3
|
1.2
|
<0.1
|
14.0
|
2.1
|
1
|
37.5
|
0
|
|
|
2.50 to <10.00
|
|
4
|
0
|
5
|
70
|
4
|
2.7
|
<0.1
|
8.8
|
1.0
|
1
|
17.2
|
0
|
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
10,614
|
2,510
|
13,125
|
15
|
10,998
|
0.0
|
0.8
|
28.4
|
1.4
|
712
|
6.5
|
1
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized
lending
|
|
30.6.17
|
|
0.00 to <0.15
|
|
1,134
|
343
|
1,477
|
64
|
1,352
|
0.1
|
0.3
|
16.4
|
2.0
|
83
|
6.1
|
0
|
|
|
0.15 to <0.25
|
|
793
|
715
|
1,509
|
41
|
1,090
|
0.2
|
0.3
|
24.6
|
1.8
|
176
|
16.2
|
1
|
|
|
0.25 to <0.50
|
|
3,124
|
2,570
|
5,694
|
24
|
3,705
|
0.4
|
0.5
|
31.7
|
1.7
|
1,161
|
31.3
|
4
|
|
|
0.50 to <0.75
|
|
4,681
|
2,059
|
6,740
|
32
|
5,270
|
0.6
|
0.7
|
29.6
|
1.7
|
2,012
|
38.2
|
10
|
|
|
0.75 to <2.50
|
|
8,462
|
2,373
|
10,835
|
41
|
9,401
|
1.4
|
1.9
|
32.2
|
1.7
|
4,832
|
51.4
|
44
|
|
|
2.50 to <10.00
|
|
1,640
|
271
|
1,911
|
54
|
1,786
|
3.4
|
0.4
|
40.6
|
1.6
|
1,480
|
82.9
|
25
|
|
|
10.00 to <100.00
|
|
4
|
2
|
6
|
94
|
6
|
13.1
|
<0.1
|
29.2
|
1.4
|
6
|
95.1
|
0
|
|
|
100.00 (default)
|
|
154
|
10
|
164
|
35
|
72
|
|
<0.1
|
|
|
76
|
106.0
|
85
|
|
|
Subtotal
|
|
19,993
|
8,343
|
28,336
|
35
|
22,682
|
1.4
|
4.1
|
30.9
|
1.7
|
9,826
|
43.3
|
169
|
55
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: specialized
lending
|
|
31.12.16
|
|
0.00 to <0.15
|
|
2,162
|
711
|
2,872
|
65
|
2,635
|
0.1
|
0.7
|
15.1
|
2.0
|
286
|
10.8
|
0
|
|
|
0.15 to <0.25
|
|
1,372
|
740
|
2,112
|
38
|
1,651
|
0.2
|
0.3
|
18.2
|
1.8
|
307
|
18.6
|
1
|
|
|
0.25 to <0.50
|
|
2,874
|
2,256
|
5,130
|
26
|
3,432
|
0.3
|
0.5
|
29.1
|
1.5
|
1,146
|
33.4
|
3
|
|
|
0.50 to <0.75
|
|
5,027
|
2,188
|
7,215
|
31
|
5,685
|
0.6
|
0.6
|
18.8
|
1.8
|
1,923
|
33.8
|
6
|
|
|
0.75 to <2.50
|
|
7,986
|
2,367
|
10,353
|
37
|
8,818
|
1.3
|
1.7
|
18.2
|
1.6
|
3,841
|
43.6
|
19
|
|
|
2.50 to <10.00
|
|
975
|
103
|
1,079
|
36
|
1,010
|
3.5
|
0.2
|
17.6
|
1.8
|
608
|
60.2
|
6
|
|
|
10.00 to <100.00
|
|
52
|
16
|
68
|
29
|
56
|
14.2
|
<0.1
|
28.9
|
1.6
|
84
|
148.5
|
2
|
|
|
100.00 (default)
|
|
127
|
20
|
147
|
50
|
44
|
|
<0.1
|
|
|
57
|
106.0
|
83
|
|
|
Subtotal
|
|
20,575
|
8,401
|
28,976
|
35
|
23,331
|
1.1
|
4.2
|
19.7
|
1.7
|
8,252
|
35.4
|
121
|
54
|
|
CR6: IRB – Credit risk exposures by portfolio and PD range
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
a
|
b
|
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
k
|
l
|
|
CHF million, except where
indicated
|
|
Original on-balance sheet gross exposure
|
Off-balance sheet exposures pre-CCF
|
Total exposures pre-CCF
|
Average CCF in %
|
EAD post CCF and post CRM¹
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
EL
|
Provisions²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending
|
|
30.6.17
|
|
0.00 to <0.15
|
|
12,718
|
20,497
|
33,214
|
36
|
15,590
|
0.1
|
2.2
|
33.1
|
2.2
|
3,764
|
24.1
|
6
|
|
|
0.15 to <0.25
|
|
3,986
|
5,832
|
9,817
|
38
|
5,071
|
0.2
|
1.3
|
33.5
|
2.1
|
1,729
|
34.1
|
4
|
|
|
0.25 to <0.50
|
|
2,235
|
4,758
|
6,993
|
39
|
4,001
|
0.4
|
1.5
|
31.8
|
1.8
|
1,832
|
45.8
|
5
|
|
|
0.50 to <0.75
|
|
3,238
|
3,944
|
7,182
|
35
|
4,635
|
0.6
|
1.7
|
28.1
|
2.1
|
2,345
|
50.6
|
8
|
|
|
0.75 to <2.50
|
|
8,149
|
5,791
|
13,941
|
40
|
10,580
|
1.3
|
8.1
|
22.6
|
1.8
|
5,859
|
55.4
|
31
|
|
|
2.50 to <10.00
|
|
4,181
|
6,234
|
10,415
|
42
|
6,814
|
4.1
|
4.4
|
22.3
|
2.0
|
6,045
|
88.7
|
62
|
|
|
10.00 to <100.00
|
|
399
|
513
|
912
|
54
|
672
|
15.6
|
0.3
|
16.4
|
2.3
|
753
|
112.1
|
16
|
|
|
100.00 (default)
|
|
1,458
|
347
|
1,806
|
46
|
1,290
|
|
0.5
|
|
|
1,367
|
106.0
|
343
|
|
|
Subtotal
|
|
36,363
|
47,917
|
84,280
|
38
|
48,652
|
3.8
|
19.9
|
28.7
|
2.0
|
23,694
|
48.7
|
474
|
458
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: other lending
|
|
31.12.16
|
|
0.00 to <0.15
|
|
10,023
|
17,209
|
27,232
|
36
|
14,214
|
0.1
|
1.7
|
32.9
|
2.3
|
3,227
|
22.4
|
6
|
|
|
0.15 to <0.25
|
|
3,101
|
9,992
|
13,093
|
33
|
5,068
|
0.2
|
1.0
|
39.4
|
1.8
|
2,025
|
40.0
|
4
|
|
|
0.25 to <0.50
|
|
3,717
|
9,150
|
12,867
|
38
|
6,421
|
0.4
|
1.4
|
34.6
|
1.8
|
3,040
|
47.3
|
8
|
|
|
0.50 to <0.75
|
|
2,841
|
3,332
|
6,173
|
38
|
3,936
|
0.6
|
1.5
|
26.8
|
1.6
|
1,768
|
44.9
|
7
|
|
|
0.75 to <2.50
|
|
7,159
|
10,831
|
17,989
|
36
|
10,575
|
1.3
|
8.1
|
22.3
|
1.6
|
5,262
|
49.8
|
29
|
|
|
2.50 to <10.00
|
|
4,491
|
7,029
|
11,520
|
41
|
6,880
|
4.1
|
4.3
|
21.0
|
1.9
|
5,308
|
77.1
|
58
|
|
|
10.00 to <100.00
|
|
473
|
471
|
944
|
52
|
708
|
16.9
|
0.1
|
16.7
|
2.3
|
753
|
106.4
|
19
|
|
|
100.00 (default)
|
|
1,612
|
398
|
2,010
|
55
|
1,423
|
|
0.5
|
|
|
1,508
|
106.0
|
348
|
|
|
Subtotal
|
|
33,417
|
58,412
|
91,829
|
36
|
49,225
|
4.3
|
18.7
|
29.2
|
1.8
|
22,892
|
46.5
|
479
|
468
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential
mortgages
|
|
30.6.17
|
|
0.00 to <0.15
|
|
61,616
|
1,017
|
62,633
|
74
|
62,366
|
0.1
|
127.2
|
10.7
|
|
2,033
|
3.3
|
3
|
|
|
0.15 to <0.25
|
|
12,869
|
182
|
13,051
|
77
|
12,983
|
0.2
|
21.2
|
11.4
|
|
1,114
|
8.6
|
3
|
|
|
0.25 to <0.50
|
|
16,213
|
256
|
16,469
|
79
|
16,357
|
0.3
|
25.4
|
13.2
|
|
2,117
|
12.9
|
7
|
|
|
0.50 to <0.75
|
|
10,195
|
184
|
10,378
|
82
|
10,307
|
0.6
|
14.2
|
16.6
|
|
2,018
|
19.6
|
11
|
|
|
0.75 to <2.50
|
|
20,775
|
1,497
|
22,272
|
66
|
21,700
|
1.4
|
28.5
|
18.7
|
|
8,186
|
37.7
|
55
|
|
|
2.50 to <10.00
|
|
8,918
|
750
|
9,668
|
45
|
9,209
|
4.2
|
11.2
|
14.5
|
|
6,197
|
67.3
|
51
|
|
|
10.00 to <100.00
|
|
747
|
22
|
769
|
90
|
763
|
15.3
|
0.9
|
11.4
|
|
849
|
111.3
|
13
|
|
|
100.00 (default)
|
|
515
|
1
|
516
|
49
|
486
|
|
0.7
|
|
|
515
|
106.0
|
29
|
|
|
Subtotal
|
|
131,848
|
3,908
|
135,757
|
66
|
134,172
|
1.1
|
229.3
|
13.2
|
|
23,029
|
17.2
|
172
|
28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: residential
mortgages
|
|
31.12.16
|
|
0.00 to <0.15
|
|
60,210
|
1,209
|
61,419
|
64
|
60,987
|
0.1
|
124.7
|
10.7
|
|
1,841
|
3.0
|
3
|
|
|
0.15 to <0.25
|
|
12,473
|
167
|
12,639
|
68
|
12,586
|
0.2
|
21.2
|
11.1
|
|
1,017
|
8.1
|
2
|
|
|
0.25 to <0.50
|
|
15,405
|
214
|
15,618
|
66
|
15,546
|
0.3
|
25.6
|
11.3
|
|
1,847
|
11.9
|
6
|
|
|
0.50 to <0.75
|
|
11,294
|
1,011
|
12,305
|
15
|
11,449
|
0.6
|
14.5
|
12.3
|
|
1,978
|
17.3
|
8
|
|
|
0.75 to <2.50
|
|
21,820
|
2,189
|
24,009
|
39
|
22,679
|
1.4
|
29.7
|
12.1
|
|
6,818
|
30.1
|
35
|
|
|
2.50 to <10.00
|
|
8,743
|
197
|
8,940
|
68
|
8,877
|
4.3
|
11.1
|
10.8
|
|
5,105
|
57.5
|
39
|
|
|
10.00 to <100.00
|
|
849
|
27
|
876
|
70
|
868
|
15.4
|
1.0
|
10.7
|
|
873
|
100.6
|
13
|
|
|
100.00 (default)
|
|
510
|
1
|
511
|
36
|
478
|
|
0.7
|
|
|
507
|
106.0
|
33
|
|
|
Subtotal
|
|
131,305
|
5,013
|
136,318
|
44
|
133,470
|
1.1
|
228.4
|
11.3
|
|
19,985
|
15.0
|
139
|
31
|
|
CR6: IRB – Credit risk exposures by portfolio and PD range
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
a
|
b
|
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
k
|
l
|
|
CHF million, except where
indicated
|
|
Original on-balance sheet gross exposure
|
Off-balance sheet exposures pre-CCF
|
Total exposures pre-CCF
|
Average CCF in %
|
EAD post CCF and post CRM¹
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
EL
|
Provisions²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving
retail exposures (QRRE)³
|
|
30.6.17
|
|
0.00 to <0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15 to <0.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50
|
|
98
|
322
|
420
|
|
137
|
1.7
|
34.4
|
47.0
|
|
38
|
28.0
|
1
|
|
|
2.50 to <10.00
|
|
1,035
|
4,814
|
5,850
|
|
1,450
|
2.7
|
796.2
|
42.0
|
|
510
|
35.2
|
16
|
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
24
|
0
|
24
|
|
7
|
|
19.6
|
|
|
7
|
106.0
|
0
|
|
|
Subtotal
|
|
1,158
|
5,136
|
6,294
|
|
1,594
|
3.0
|
850.1
|
42.3
|
|
555
|
34.8
|
17
|
18
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: qualifying revolving
retail exposures (QRRE)³
|
|
31.12.16
|
|
0.00 to <0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15 to <0.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.25 to <0.50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.50 to <0.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50
|
|
90
|
329
|
419
|
|
126
|
1.7
|
32.7
|
47.0
|
|
35
|
28.0
|
1
|
|
|
2.50 to <10.00
|
|
1,015
|
4,789
|
5,804
|
|
1,420
|
2.7
|
764.4
|
42.0
|
|
500
|
35.2
|
16
|
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
24
|
0
|
24
|
|
6
|
|
19.8
|
|
|
7
|
106.0
|
0
|
|
|
Subtotal
|
|
1,128
|
5,119
|
6,247
|
|
1,552
|
2.6
|
816.9
|
42.4
|
|
541
|
34.9
|
17
|
16
|
|
CR6: IRB – Credit risk exposures by portfolio and PD range
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
a
|
b
|
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
j
|
k
|
l
|
|
CHF million, except where
indicated
|
|
Original on-balance sheet gross exposure
|
Off-balance sheet exposures pre-CCF
|
Total exposures pre-CCF
|
Average CCF in %
|
EAD post CCF and post CRM¹
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
EL
|
Provisions²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail⁴
|
|
30.6.17
|
|
0.00 to <0.15
|
|
91,957
|
62,255
|
154,212
|
25
|
107,515
|
0.0
|
203.4
|
26.9
|
|
4,104
|
3.8
|
13
|
|
|
0.15 to <0.25
|
|
2,737
|
857
|
3,594
|
21
|
2,915
|
0.2
|
5.4
|
28.3
|
|
317
|
10.9
|
1
|
|
|
0.25 to <0.50
|
|
6,238
|
3,206
|
9,443
|
11
|
6,597
|
0.3
|
3.6
|
22.3
|
|
890
|
13.5
|
5
|
|
|
0.50 to <0.75
|
|
1,382
|
625
|
2,007
|
23
|
1,529
|
0.6
|
2.0
|
26.0
|
|
344
|
22.5
|
3
|
|
|
0.75 to <2.50
|
|
2,819
|
1,683
|
4,502
|
30
|
3,320
|
1.2
|
70.4
|
32.2
|
|
1,205
|
36.3
|
12
|
|
|
2.50 to <10.00
|
|
1,927
|
1,626
|
3,553
|
13
|
2,146
|
6.1
|
2.5
|
24.7
|
|
836
|
39.0
|
29
|
|
|
10.00 to <100.00
|
|
149
|
299
|
448
|
17
|
200
|
16.6
|
3.4
|
26.4
|
|
114
|
57.2
|
9
|
|
|
100.00 (default)
|
|
24
|
0
|
25
|
33
|
8
|
|
<0.1
|
|
|
9
|
106.0
|
16
|
|
|
Subtotal
|
|
107,232
|
70,551
|
177,783
|
24
|
124,231
|
0.2
|
290.8
|
26.8
|
|
7,819
|
6.3
|
88
|
57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail
|
|
31.12.16
|
|
0.00 to <0.15
|
|
90,111
|
7,191
|
97,301
|
26
|
91,943
|
0.1
|
167.3
|
20.0
|
|
3,052
|
3.3
|
10
|
|
|
0.15 to <0.25
|
|
2,513
|
99
|
2,612
|
32
|
2,546
|
0.2
|
0.9
|
20.0
|
|
196
|
7.7
|
1
|
|
|
0.25 to <0.50
|
|
8,342
|
522
|
8,864
|
8
|
8,384
|
0.4
|
4.4
|
20.0
|
|
1,035
|
12.3
|
6
|
|
|
0.50 to <0.75
|
|
1,932
|
300
|
2,232
|
11
|
1,965
|
0.6
|
1.0
|
20.0
|
|
340
|
17.3
|
2
|
|
|
0.75 to <2.50
|
|
1,734
|
1,054
|
2,788
|
63
|
2,396
|
1.1
|
12.9
|
23.1
|
|
632
|
26.4
|
6
|
|
|
2.50 to <10.00
|
|
769
|
320
|
1,089
|
11
|
803
|
5.4
|
1.0
|
26.3
|
|
329
|
41.0
|
10
|
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
38
|
0
|
38
|
0
|
11
|
|
<0.1
|
|
|
11
|
106.0
|
27
|
|
|
Subtotal
|
|
105,439
|
9,485
|
114,925
|
28
|
108,048
|
0.2
|
187.5
|
20.1
|
|
5,594
|
5.2
|
63
|
70
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.17
|
|
462,652
|
145,938
|
608,590
|
29
|
499,651
|
0.8
|
1,396.5
|
26.3
|
1.3
|
71,755
|
14.4
|
953
|
630
|
|
Total 31.12.16
|
|
442,898
|
99,821
|
542,719
|
33
|
469,932
|
0.9
|
1,258.5
|
23.0
|
1.3
|
62,804
|
13.4
|
850
|
653
|
|
1 CRM through financial collateral is considered in the EAD post
CCF and post CRM, but not in the calculation of average CCF. 2 In line
with the Pillar 3 guidance, provisions are only provided for the subtotals by
asset class. 3 For the calculation of column d) "EAD post CCF and
post CRM" a balance factor approach is used instead of a CCF approach.
The EAD is calculated by multiplying the on-balance sheet exposure with a
fixed factor of 1.4. 4 Reporting has been enhanced to include debit balances
outside approved Lombard lending facilities, which resulted in an increase
for Number of obligors.
|
Equity exposures
The table below provides information
on our equity exposures under the simple risk weight method. Exposure from
equities subject to measurement under the simple risk weight method remained
stable during the first half of 2017.
|
CR10: IRB (equities under the
simple risk weight method)¹
|
|
CHF million, except where
indicated
|
|
On-balance sheet amount
|
Off-balance sheet amount
|
Risk weight in %
|
Exposure amount²
|
RWA³
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Exchange traded equity exposures
|
|
59
|
|
300
|
59
|
187
|
|
Other equity exposures
|
|
871
|
|
400
|
519
|
2,205
|
|
Total
|
|
930
|
0
|
|
578
|
2,393
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Exchange traded equity exposures
|
|
586
|
|
300
|
168
|
535
|
|
Other equity exposures
|
|
791
|
|
400
|
434
|
1,840
|
|
Total
|
|
1,377
|
0
|
|
602
|
2,375
|
|
1 This table excludes significant investments in the common
shares of non-consolidated financial institutions (banks, insurance and other
financial entities) that are subject to the threshold treatment and risk
weighted at 250%. 2 The exposure amount for equities in the banking book
is based on the net position. 3 RWA is calculated post-application of the
A-IRB multiplier of 6%, therefore the respective average risk weight is
higher than 300% and 400%.
|
Section 3 Counterparty credit risk
Counterparty
credit risk (CCR) includes over-the-counter and exchange-traded derivatives,
securities financing transactions (SFTs) and long settlement transactions.
Within traded products, we determine the regulatory credit exposure on the
majority of our derivatives portfolio by applying the effective expected
positive exposure (EPE) and stressed EPE as defined in the Basel III framework.
However, for the rest of the portfolio we apply the current exposure method
(CEM) based on the replacement value of derivatives in combination with a
regulatory prescribed add-on. For the majority of SFTs (securities borrowing,
securities lending, margin lending, repurchase agreements and reverse
repurchase agreements), we determine the regulatory credit exposure using the
close-out period (COP) approach.
RWA for CCR increased by CHF 6.8 billion,
primarily driven by an update of the stress period used for the Basel III
exposure-at-default calculation, as well as the implementation of changes to
the loss given default (LGD) parameters for exposures to multinationals,
sovereigns and financial institutions.
|
CCR1: Analysis of counterparty
credit risk (CCR) exposure by approach
|
|
|
|
a
|
b
|
c
|
d
|
e
|
f
|
|
CHF million, except where
indicated
|
|
Replacement cost
|
Potential future exposure
|
EEPE
|
Alpha used for computing regulatory EAD
|
EAD post-CRM
|
RWA
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
1
|
SA-CCR (for derivatives)¹
|
|
11,117²
|
6,647
|
|
1.0³
|
17,764
|
3,981
|
|
2
|
Internal model method (for derivatives)
|
|
|
|
29,801
|
1.6
|
47,682
|
16,495
|
|
3
|
Simple approach for credit risk mitigation (for SFTs)
|
|
|
|
|
|
|
|
|
4
|
Comprehensive approach for credit risk mitigation (for SFTs)
|
|
|
|
|
|
15,862
|
3,560
|
|
5
|
VaR (for SFTs)
|
|
|
|
|
|
21,846
|
3,972
|
|
6
|
Total
|
|
|
|
|
|
103,155
|
28,008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
1
|
SA-CCR (for derivatives)¹
|
|
13,642²
|
4,092
|
|
1.0³
|
17,734
|
3,744
|
|
2
|
Internal model method (for derivatives)
|
|
|
|
30,163
|
1.6
|
48,260
|
12,482
|
|
3
|
Simple approach for credit risk mitigation (for SFTs)
|
|
|
|
|
|
|
|
|
4
|
Comprehensive approach for credit risk mitigation (for SFTs)
|
|
|
|
|
|
13,059
|
2,312
|
|
5
|
VaR (for SFTs)
|
|
|
|
|
|
21,075
|
2,706
|
|
6
|
Total
|
|
|
|
|
|
100,128
|
21,244
|
|
1 Standardized approach for CCR. Calculated in accordance with
the current exposure method (CEM) until SA-CCR is implemented with expected
effective date 1 January 2018. 2 Replacement costs include collateral
mitigation for on- and off-balance sheet exposures related to CCR for
derivative transactions. 3 With expected effective date 1 January 2018, an
alpha factor of 1.4 will be used for calculating regulatory EAD, following
the implementation of SA-CCR.
|
In addition to the
default risk capital requirements for CCR determined based on the A-IRB or
standardized approach, we are required to add a capital charge on derivatives to
cover the risk of mark-to-market losses associated with the deterioration of
counterparty credit quality. This capital charge is called credit valuation
adjustment (CVA). The advanced CVA value-at-risk (VaR) approach was used to
calculate the CVA capital charge where we apply the internal model method
(IMM). Where this is not the case, the standardized CVA approach was applied.
More information on our portfolios subject to the CVA capital charge as of 30
June 2017 is provided in the table below.
Exposures at default (EADs) subject to the
advanced CVA capital charge decreased by CHF 8.6 billion. This was primarily due
to a decrease in our Foreign Exchange, Rates and Credit businesses within the
Investment Bank, mainly related to foreign exchange contracts, and a reduction
in Corporate Center – Non-core and Legacy Portfolio, mainly reflecting fair
value changes in interest rate contracts, as well as maturities and trade
terminations.
|
CCR2: Credit valuation
adjustment (CVA) capital charge
|
|
|
|
|
30.6.17
|
|
31.12.16
|
|
|
|
a
|
b
|
|
a
|
b
|
|
CHF million
|
|
EAD post CRM¹
|
RWA
|
|
EAD post CRM¹
|
RWA
|
|
|
Total portfolios subject to the advanced CVA capital charge
|
|
29,102
|
2,707
|
|
37,663
|
4,202
|
|
1
|
(i) VaR component (including the 3× multiplier)
|
|
|
614
|
|
|
1,326
|
|
2
|
(ii) Stressed VaR component (including the 3× multiplier)
|
|
|
2,093
|
|
|
2,876
|
|
3
|
All portfolios subject to the standardized CVA capital charge
|
|
7,472
|
1,394
|
|
8,034
|
1,524
|
|
4
|
Total subject to the CVA capital charge
|
|
36,574
|
4,102
|
|
45,698
|
5,726
|
|
1 Includes EAD of the underlying portfolio subject to the
respective CVA charge.
|
|
CCR3: Standardized approach – CCR exposures by regulatory
portfolio and risk weights
|
|
CHF million
|
|
a
|
b
|
c
|
d
|
e
|
f
|
g
|
h
|
i
|
|
Risk weight
|
|
0%
|
10%
|
20%
|
50%
|
75%
|
100%
|
150%
|
Others
|
Total credit exposure
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory portfolio
|
|
30.6.17
|
|
1
|
Central governments and central banks
|
|
194
|
|
|
|
|
|
|
|
194
|
|
2
|
Banks and securities dealers
|
|
|
|
311
|
76
|
|
2
|
|
|
389
|
|
3
|
Public sector entities and multilateral development banks
|
|
4
|
|
|
|
|
3
|
|
|
7
|
|
4
|
Corporates
|
|
|
|
|
|
|
819
|
|
|
819
|
|
5
|
Retail
|
|
|
|
|
|
8
|
74
|
|
|
82
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Total
|
|
198
|
|
311
|
76
|
8
|
898
|
0
|
0
|
1,490
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory portfolio
|
|
31.12.16
|
|
1
|
Central governments and central banks
|
|
206
|
|
|
|
|
|
|
|
206
|
|
2
|
Banks and securities dealers
|
|
|
|
314
|
61
|
|
|
|
|
375
|
|
3
|
Public sector entities and multilateral development banks
|
|
|
|
|
|
|
4
|
|
|
4
|
|
4
|
Corporates
|
|
|
|
|
|
|
984
|
0
|
|
984
|
|
5
|
Retail
|
|
|
|
|
|
|
365
|
|
|
365
|
|
6
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Total
|
|
206
|
|
314
|
61
|
|
1,353
|
0
|
0
|
1,934
|
|
|
RWA for CCR increased by CHF 7.2
billion, primarily driven by the implementation of changes to the LGD
parameters for exposures to multinationals, sovereigns and financial
institutions, and by an update of the stress period used for the Basel III EAD
calculation. These changes also impacted the RWA density, which increased 6.4
percentage points to 26.6% as of 30 June 2017. More information on RWA, including details on
movements in RWA, is provided on pages 4-5 in our UBS Group AG and significant
regulated subsidiaries and sub-groups reports for the first and second quarters
of 2017, available under “Pillar 3 disclosures”
at
www.ubs.com/investors
.
The 10.1 percentage point increase in average
LGDs is primarily driven by the aforementioned changes to the LGD parameters
for exposures to multinationals, sovereigns and financial institutions.
|
CCR4: IRB – CCR exposures by
portfolio and PD scale
|
|
|
|
a
|
b
|
c
|
d
|
e
|
f
|
g
|
|
CHF million, except where
indicated
|
|
EAD post CRM
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and
central banks
|
|
30.6.17
|
|
0.00 to <0.15
|
|
5,038
|
0.0
|
0.1
|
52.3
|
0.7
|
642
|
12.7
|
|
0.15 to <0.25
|
|
127
|
0.2
|
<0.1
|
71.0
|
0.9
|
56
|
43.9
|
|
0.25 to <0.50
|
|
573
|
0.3
|
<0.1
|
98.1
|
1.0
|
555
|
96.8
|
|
0.50 to <0.75
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50
|
|
44
|
0.8
|
<0.1
|
86.5
|
0.0
|
62
|
141.7
|
|
2.50 to <10.00
|
|
7
|
4.3
|
<0.1
|
86.8
|
1.0
|
22
|
303.6
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
5,789
|
0.1
|
0.2
|
57.5
|
0.7
|
1,336
|
23.1
|
|
|
|
|
|
|
|
|
|
|
|
Central governments and
central banks
|
|
31.12.16
|
|
0.00 to <0.15
|
|
5,346
|
0.0
|
0.1
|
42.4
|
0.7
|
418
|
7.8
|
|
0.15 to <0.25
|
|
249
|
0.2
|
<0.1
|
61.7
|
1.0
|
99
|
39.8
|
|
0.25 to <0.50
|
|
107
|
0.3
|
<0.1
|
42.0
|
1.0
|
45
|
41.8
|
|
0.50 to <0.75
|
|
0
|
0.7
|
<0.1
|
42.0
|
1.0
|
0
|
61.4
|
|
0.75 to <2.50
|
|
38
|
0.8
|
<0.1
|
42.0
|
0.1
|
27
|
69.1
|
|
2.50 to <10.00
|
|
8
|
4.6
|
<0.1
|
42.0
|
1.0
|
12
|
142.6
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
5,750
|
0.1
|
0.2
|
43.2
|
0.7
|
601
|
10.4
|
|
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
|
|
|
|
a
|
b
|
c
|
d
|
e
|
f
|
g
|
|
CHF million, except where
indicated
|
|
EAD post CRM
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers
|
|
30.6.17
|
|
0.00 to <0.15
|
|
17,933
|
0.1
|
0.4
|
50.0
|
0.7
|
3,171
|
17.7
|
|
0.15 to <0.25
|
|
4,204
|
0.2
|
0.3
|
50.0
|
0.7
|
1,552
|
36.9
|
|
0.25 to <0.50
|
|
1,265
|
0.4
|
0.2
|
50.9
|
0.9
|
702
|
55.5
|
|
0.50 to <0.75
|
|
290
|
0.6
|
0.1
|
65.8
|
0.7
|
267
|
92.0
|
|
0.75 to <2.50
|
|
359
|
1.1
|
0.2
|
65.1
|
0.6
|
268
|
74.6
|
|
2.50 to <10.00
|
|
70
|
5.0
|
0.1
|
43.1
|
0.7
|
106
|
151.2
|
|
10.00 to <100.00
|
|
0
|
13.0
|
<0.1
|
66.0
|
1.0
|
1
|
350.5
|
|
100.00 (default)
|
|
31
|
|
<0.1
|
|
|
33
|
106.0
|
|
Subtotal
|
|
24,153
|
0.3
|
1.3
|
50.5
|
0.7
|
6,099
|
25.3
|
|
|
|
|
|
|
|
|
|
|
|
Banks and securities dealers
|
|
31.12.16
|
|
0.00 to <0.15
|
|
16,912
|
0.1
|
0.4
|
37.9
|
0.7
|
2,161
|
12.8
|
|
0.15 to <0.25
|
|
4,051
|
0.2
|
0.3
|
39.7
|
0.9
|
1,251
|
30.9
|
|
0.25 to <0.50
|
|
1,185
|
0.4
|
0.2
|
44.5
|
1.0
|
572
|
48.3
|
|
0.50 to <0.75
|
|
510
|
0.7
|
0.1
|
52.0
|
0.5
|
182
|
35.6
|
|
0.75 to <2.50
|
|
524
|
1.1
|
0.2
|
46.2
|
0.7
|
320
|
61.0
|
|
2.50 to <10.00
|
|
165
|
5.1
|
0.1
|
34.9
|
1.0
|
207
|
125.1
|
|
10.00 to <100.00
|
|
1
|
10.2
|
<0.1
|
42.0
|
1.0
|
1
|
175.6
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
23,348
|
0.2
|
1.2
|
39.0
|
0.7
|
4,694
|
20.1
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities,
multilateral development banks
|
|
30.6.17
|
|
0.00 to <0.15
|
|
4,846
|
0.0
|
0.1
|
41.6
|
1.9
|
356
|
7.3
|
|
0.15 to <0.25
|
|
100
|
0.2
|
<0.1
|
43.3
|
1.0
|
27
|
26.9
|
|
0.25 to <0.50
|
|
34
|
0.4
|
<0.1
|
58.7
|
1.0
|
20
|
59.0
|
|
0.50 to <0.75
|
|
|
|
|
|
|
|
|
|
0.75 to <2.50
|
|
0
|
1.6
|
<0.1
|
35.2
|
1.0
|
0
|
74.2
|
|
2.50 to <10.00
|
|
0
|
2.7
|
<0.1
|
35.0
|
0.6
|
0
|
83.4
|
|
10.00 to <100.00
|
|
23
|
28.0
|
<0.1
|
10.0
|
1.0
|
13
|
55.4
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
5,004
|
0.2
|
0.2
|
41.6
|
1.9
|
416
|
8.3
|
|
|
|
|
|
|
|
|
|
|
|
Public sector entities,
multilateral development banks
|
|
31.12.16
|
|
0.00 to <0.15
|
|
6,438
|
0.0
|
0.1
|
32.2
|
1.4
|
308
|
4.8
|
|
0.15 to <0.25
|
|
125
|
0.2
|
<0.1
|
38.7
|
1.0
|
31
|
24.5
|
|
0.25 to <0.50
|
|
35
|
0.4
|
<0.1
|
41.2
|
1.0
|
14
|
41.3
|
|
0.50 to <0.75
|
|
0
|
0.6
|
<0.1
|
32.0
|
1.0
|
0
|
35.4
|
|
0.75 to <2.50
|
|
1
|
1.4
|
<0.1
|
44.3
|
1.0
|
1
|
107.6
|
|
2.50 to <10.00
|
|
0
|
2.7
|
<0.1
|
31.0
|
0.3
|
0
|
71.4
|
|
10.00 to <100.00
|
|
24
|
28.0
|
<0.1
|
10.0
|
1.0
|
13
|
55.4
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
6,623
|
0.1
|
0.2
|
32.3
|
1.4
|
367
|
5.5
|
|
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
|
|
|
|
a
|
b
|
c
|
d
|
e
|
f
|
g
|
|
CHF million, except where
indicated
|
|
EAD post CRM
|
Average PD in %
|
Number of obligors (in thousands)
|
Average LGD in %
|
Average maturity in years
|
RWA
|
RWA density in %
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: including
specialized lending¹
|
|
30.6.17
|
|
0.00 to <0.15
|
|
36,489
|
0.0
|
11.3
|
36.1
|
0.6
|
4,548
|
12.5
|
|
0.15 to <0.25
|
|
10,726
|
0.2
|
1.5
|
43.8
|
0.5
|
4,300
|
40.1
|
|
0.25 to <0.50
|
|
2,753
|
0.3
|
0.9
|
61.9
|
1.1
|
2,774
|
100.8
|
|
0.50 to <0.75
|
|
2,226
|
0.6
|
0.9
|
54.0
|
0.8
|
2,569
|
115.4
|
|
0.75 to <2.50
|
|
6,540
|
1.1
|
1.8
|
20.1
|
0.8
|
3,567
|
54.5
|
|
2.50 to <10.00
|
|
1,843
|
3.2
|
0.3
|
13.4
|
0.4
|
961
|
52.2
|
|
10.00 to <100.00
|
|
4
|
13.0
|
<0.1
|
28.6
|
1.0
|
7
|
183.5
|
|
100.00 (default)
|
|
1
|
|
<0.1
|
|
|
1
|
106.0
|
|
Subtotal
|
|
60,582
|
0.3
|
16.7
|
36.9
|
0.6
|
18,727
|
30.9
|
|
|
|
|
|
|
|
|
|
|
|
Corporates: including
specialized lending¹
|
|
31.12.16
|
|
0.00 to <0.15
|
|
37,120
|
0.0
|
11.0
|
23.4
|
0.6
|
3,237
|
8.7
|
|
0.15 to <0.25
|
|
9,294
|
0.2
|
1.5
|
33.9
|
0.5
|
3,317
|
35.7
|
|
0.25 to <0.50
|
|
2,913
|
0.4
|
1.0
|
58.3
|
1.1
|
2,548
|
87.5
|
|
0.50 to <0.75
|
|
1,819
|
0.6
|
0.8
|
46.0
|
0.9
|
1,616
|
88.9
|
|
0.75 to <2.50
|
|
5,039
|
1.2
|
1.7
|
18.8
|
0.9
|
2,494
|
49.5
|
|
2.50 to <10.00
|
|
1,225
|
3.1
|
0.2
|
15.1
|
0.6
|
672
|
54.8
|
|
10.00 to <100.00
|
|
2
|
13.5
|
<0.1
|
35.3
|
1.0
|
4
|
208.9
|
|
100.00 (default)
|
|
1
|
|
<0.1
|
|
|
2
|
106.0
|
|
Subtotal
|
|
57,413
|
0.3
|
16.1
|
27.0
|
0.6
|
13,889
|
24.2
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail²
|
|
30.6.17
|
|
0.00 to <0.15
|
|
5,344
|
0.0
|
17.8
|
26.9
|
|
196
|
3.7
|
|
0.15 to <0.25
|
|
35
|
0.2
|
0.2
|
25.6
|
|
3
|
9.8
|
|
0.25 to <0.50
|
|
125
|
0.4
|
0.2
|
21.2
|
|
16
|
13.1
|
|
0.50 to <0.75
|
|
155
|
0.6
|
0.1
|
29.5
|
|
40
|
25.6
|
|
0.75 to <2.50
|
|
439
|
1.0
|
11.6
|
30.9
|
|
152
|
34.6
|
|
2.50 to <10.00
|
|
33
|
3.5
|
5.0
|
33.5
|
|
17
|
50.0
|
|
10.00 to <100.00
|
|
4
|
20.9
|
<0.1
|
30.5
|
|
3
|
73.2
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
6,136
|
0.2
|
35.0
|
27.2
|
|
427
|
7.0
|
|
|
|
|
|
|
|
|
|
|
|
Retail: other retail
|
|
31.12.16
|
|
0.00 to <0.15
|
|
4,619
|
0.1
|
10.1
|
20.2
|
|
152
|
3.3
|
|
0.15 to <0.25
|
|
87
|
0.2
|
0.1
|
20.0
|
|
7
|
7.7
|
|
0.25 to <0.50
|
|
129
|
0.3
|
0.1
|
20.0
|
|
16
|
12.4
|
|
0.50 to <0.75
|
|
9
|
0.6
|
0.0
|
20.0
|
|
1
|
17.3
|
|
0.75 to <2.50
|
|
52
|
1.2
|
0.4
|
20.1
|
|
19
|
36.7
|
|
2.50 to <10.00
|
|
166
|
5.7
|
0.6
|
21.0
|
|
55
|
33.3
|
|
10.00 to <100.00
|
|
|
|
|
|
|
|
|
|
100.00 (default)
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
5,061
|
0.3
|
11.4
|
20.2
|
|
251
|
5.0
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.17
|
|
101,665
|
0.3
|
53.3
|
40.9
|
0.9
|
27,005
|
26.6
|
|
Total 31.12.16
|
|
98,194
|
0.2
|
29.1
|
30.8
|
0.9
|
19,802
|
20.2
|
|
1 Includes exposures to managed funds. 2 Reporting has been
enhanced to include debit balances outside approved Lombard lending
facilities, which resulted in an increase for Number of obligors.
|
Collateral
received and posted from derivative transactions decreased by CHF 8 billion and
CHF 6 billion, respectively. This was mostly driven by a reduction in
replacement values, predominantly in our Foreign Exchange, Rates and Credit
businesses within the Investment Bank, mainly related to foreign exchange
contracts, reflecting currency market movements, and a reduction in Corporate
Center – Non-core and Legacy Portfolio, mostly in interest rate contracts,
reflecting fair value changes, as well as maturities and trade terminations.
The increase in collateral received from securities financing transactions was primarily
related to our prime brokerage business. Collateral posted in securities
financing transactions increased mainly due to the aforementioned rebalancing
of our HQLA portfolio.
|
CCR5: Composition of collateral
for CCR exposure¹
|
|
|
|
a
|
b
|
|
|
c
|
d
|
|
|
e
|
|
f
|
|
|
|
Collateral used in derivative transactions
|
|
Collateral used in SFTs
|
|
|
|
Fair value of collateral received
|
|
Fair value of posted collateral
|
|
Fair value of collateral received
|
|
Fair value of posted collateral
|
|
CHF million
|
|
Segregated²
|
Unsegregated
|
Total
|
|
Segregated³
|
Unsegregated
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Cash – domestic currency
|
|
|
1,140
|
1,140
|
|
24
|
966
|
989
|
|
296
|
|
3,605
|
|
Cash – other currencies
|
|
2,243
|
36,028
|
38,271
|
|
2,625
|
19,318
|
21,943
|
|
37,949
|
|
98,942
|
|
Sovereign debt
|
|
1,381
|
11,674
|
13,055
|
|
5,640
|
7,849
|
13,490
|
|
197,339
|
|
134,796
|
|
Other debt securities
|
|
|
1,135
|
1,135
|
|
348
|
660
|
1,008
|
|
68,835
|
|
27,525
|
|
Equity securities
|
|
2,715
|
279
|
2,994
|
|
706
|
1,350
|
2,056
|
|
246,743
|
|
146,167
|
|
Total
|
|
6,339
|
50,255
|
56,595
|
|
9,343
|
30,144
|
39,487
|
|
551,162
|
|
411,035
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Cash – domestic currency
|
|
|
1,643
|
1,643
|
|
19
|
1,258
|
1,277
|
|
384
|
|
3,088
|
|
Cash – other currencies
|
|
1,636
|
39,633
|
41,269
|
|
2,048
|
23,301
|
25,350
|
|
35,160
|
|
88,136
|
|
Sovereign debt
|
|
1,209
|
16,302
|
17,511
|
|
6,761
|
9,363
|
16,123
|
|
214,573
|
|
129,668
|
|
Other debt securities
|
|
|
1,530
|
1,530
|
|
31
|
667
|
698
|
|
70,723
|
|
31,409
|
|
Equity securities
|
|
2,613
|
40
|
2,653
|
|
547
|
1,731
|
2,277
|
|
208,426
|
|
149,493
|
|
Total
|
|
5,458
|
59,148
|
64,606
|
|
9,406
|
36,319
|
45,725
|
|
529,266
|
|
401,794
|
|
1 This table was prepared on the basis of the disclosure
requirements published by FINMA in October 2015. Once we adopt the
interpretation included in “Frequently asked questions on the revised Pillar
3 disclosure requirements (BCBS 376)" issued by BCBS in August 2016,
collateral received and posted will be subject to haircuts. Furthermore, this
table includes collateral received and posted with and without the right of
rehypothecation, but excludes securities placed with central banks related to
undrawn credit lines and for payment, clearing and settlement purposes for
which there were no associated liabilities or contingent liabilities. 2
Includes collateral received in derivative transactions, primarily initial
margins, that are placed with a third-party custodian and to which UBS has
only access in the case of counterparty default. Prior-period information has
been restated accordingly. 3 Includes collateral posted to central
counterparties, where we apply a 0% risk weight for trades that we have
entered into on behalf of a client and where the client has signed a legally
enforceable agreement stipulating that the default risk of that central
counterparty is carried by the client.
|
Notionals for
derivatives decreased by CHF 19.7 billion for protection bought and by CHF 18.4
billion for protection sold, primarily driven by reductions in Corporate Center
– Group ALM following trade compression with central counterparties, as well as
the continuous reduction in Corporate Center – Non-core and Legacy Portfolio. An
additional reduction was due to lower trading volumes in the Investment Bank.
|
CCR6: Credit derivatives
exposures
|
|
|
|
30.6.17
|
|
31.12.16
|
|
|
|
a
|
b
|
|
a
|
b
|
|
CHF million
|
|
Protection bought
|
Protection
sold
|
|
Protection bought
|
Protection
sold
|
|
Notionals¹
|
|
|
|
|
|
|
|
Single-name credit default swaps
|
|
75,638
|
64,614
|
|
91,418
|
81,326
|
|
Index credit default swaps
|
|
40,603
|
42,905
|
|
45,034
|
44,611
|
|
Total return swaps
|
|
4,540
|
2,088
|
|
5,478
|
2,088
|
|
Credit options
|
|
4,431
|
55
|
|
2,946
|
54
|
|
Other credit derivatives
|
|
|
|
|
|
|
|
Total notionals
|
|
125,212
|
109,662
|
|
144,875
|
128,079
|
|
Fair values
|
|
|
|
|
|
|
|
Positive fair value (asset)
|
|
1,087
|
1,947
|
|
1,969
|
1,917
|
|
Negative fair value
(liability)
|
|
2,699
|
1,270
|
|
2,780
|
2,036
|
|
1 Includes notional amounts for client-cleared transactions.
|
Section 4 Securitizations
Introduction
This section provides information on
traditional and synthetic securitization exposures in the
banking and
trading book based on the Basel III framework. Securitized exposures are
generally risk weighted, based on their external ratings. This section also
provides information on the regulatory capital requirement associated with the
securitization exposures in the banking book.
In a traditional securitization, a pool of
loans (or other debt obligations) is typically transferred to structured
entities that have been established to own the loan pool and to issue tranched
securities to third-party investors referencing this pool of loans. In a
synthetic securitization, legal ownership of securitized pools of assets is
typically retained, but associated credit risk is transferred to structured
entities typically through guarantees, credit derivatives or credit-linked
notes. Hybrid structures with a mix of traditional and synthetic features are
disclosed as synthetic securitizations.
We act in various roles in securitization
transactions. As originator, we create or purchase financial assets, which are
then securitized in traditional or synthetic securitization transactions,
enabling us to transfer significant risk to third-party investors. As sponsor,
we manage, provide financing for or advise securitization programs. In line
with the Basel III framework, sponsoring includes underwriting activities. In
all other cases, we act in the role of investor by taking securitization
positions.
Securitization exposures in the banking and
trading book
The tables “SEC1: Securitization
exposures in the banking book” and “SEC2: Securitization exposures in the
trading book” outline the carrying values on the balance sheet
in the
banking and trading books as of 30 June 2017 and 31 December 2016. The activity
is further broken down by our role (originator, sponsor or investor) and by securitization
type (traditional or synthetic).
Amounts disclosed under the
Traditional
column of these tables reflect the total outstanding notes at par value issued
by the securitization vehicle at issuance. For synthetic securitization transactions,
the amounts disclosed generally reflect the balance sheet carrying values of
the securitized exposures at issuance.
|
SEC1: Securitization exposures in the banking book
|
|
|
|
|
a
|
b
|
c
|
|
e
|
f
|
g
|
|
h1
|
h2
|
h3
|
|
i
|
j
|
k
|
|
|
|
|
|
|
Bank acts as originator
|
|
Bank acts as sponsor
|
|
Bank acts as originator & sponsor
|
|
Bank acts as investor
|
|
Total
|
|
|
CHF million
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Retail (total)
|
|
86
|
|
86
|
|
142
|
|
142
|
|
|
|
|
|
75
|
|
75
|
|
303
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
|
Residential mortgage
|
|
86
|
|
86
|
|
|
|
|
|
|
|
|
|
75
|
|
75
|
|
161
|
|
|
3
|
Credit card receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
Student loans
|
|
|
|
|
|
142
|
|
142
|
|
|
|
|
|
|
|
|
|
142
|
|
|
5
|
Consumer loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
Other retail exposures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Wholesale (total)
|
|
15
|
2,540
|
2,555
|
|
30
|
|
30
|
|
|
|
|
|
130
|
|
130
|
|
2,715
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Loans to corporates or SME
|
|
|
2,465
|
2,465
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,465
|
|
|
9
|
Commercial mortgage
|
|
|
|
|
|
0
|
|
0
|
|
|
|
|
|
0
|
|
0
|
|
0
|
|
|
10
|
Lease and receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
Trade receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
Other wholesale
|
|
15
|
75
|
90
|
|
30
|
|
30
|
|
|
|
|
|
130
|
|
130
|
|
250
|
|
|
13
|
Re-securitization
|
|
0
|
|
|
|
0
|
|
|
|
|
|
|
|
0
|
|
|
|
0
|
|
|
14
|
Total securitization /
re-securitization
(including retail and
wholesale)
|
|
101
|
2,540
|
2,641
|
|
172
|
|
172
|
|
|
|
|
|
204
|
|
204
|
|
3,018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Retail (total)
|
|
103
|
|
103
|
|
162
|
|
162
|
|
|
|
|
|
210
|
|
210
|
|
475
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
|
Residential mortgage
|
|
103
|
|
103
|
|
|
|
|
|
|
|
|
|
210
|
|
210
|
|
313
|
|
|
3
|
Credit card receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
Student loans
|
|
|
|
|
|
162
|
|
162
|
|
|
|
|
|
|
|
|
|
162
|
|
|
5
|
Consumer loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
Other retail exposures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Wholesale (total)
|
|
|
2,712
|
2,712
|
|
31
|
|
31
|
|
|
|
|
|
175
|
|
175
|
|
2,918
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Loans to corporates or SME
|
|
|
2,670
|
2,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,670
|
|
|
9
|
Commercial mortgage
|
|
|
|
|
|
0
|
|
0
|
|
|
|
|
|
0
|
|
0
|
|
0
|
|
|
10
|
Lease and receivables
|
|
|
|
|
|
0
|
|
0
|
|
|
|
|
|
|
|
|
|
0
|
|
|
11
|
Trade receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
Other wholesale
|
|
|
43
|
43
|
|
31
|
|
31
|
|
|
|
|
|
175
|
|
175
|
|
249
|
|
|
13
|
Re-securitization
|
|
0
|
|
|
|
0
|
|
|
|
|
|
|
|
0
|
|
|
|
0
|
|
|
14
|
Total securitization /
re-securitization
(including retail and
wholesale)
|
|
103
|
2,712
|
2,815
|
|
193
|
|
193
|
|
|
|
|
|
385
|
|
385
|
|
3,393
|
|
|
SEC2: Securitization exposures in the trading book
|
|
|
|
|
a
|
b
|
c
|
|
e
|
f
|
g
|
|
h1
|
h2
|
h3
|
|
i
|
j
|
k
|
|
|
|
|
|
|
Bank acts as originator
|
|
Bank acts as sponsor
|
|
Bank acts as originator & sponsor
|
|
Bank acts as investor
|
|
Total
|
|
|
CHF million
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
Traditional
|
Synthetic
|
Sub-total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Retail (total)
|
|
1
|
|
1
|
|
5
|
|
5
|
|
|
|
|
|
31
|
|
31
|
|
38
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
|
Residential mortgage
|
|
1
|
|
1
|
|
5
|
|
5
|
|
|
|
|
|
31
|
|
31
|
|
38
|
|
|
3
|
Credit card receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
Student loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
|
Consumer loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
Other retail exposures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Wholesale (total)
|
|
|
|
|
|
1
|
|
1
|
|
5
|
|
5
|
|
8
|
|
8
|
|
14
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Loans to corporates or SME
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
|
Commercial mortgage
|
|
|
|
|
|
|
|
|
|
5
|
|
5
|
|
8
|
|
8
|
|
14
|
|
|
10
|
Lease and receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
Trade receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
Other wholesale
|
|
|
|
|
|
1
|
|
1
|
|
|
|
|
|
|
|
|
|
1
|
|
|
13
|
Re-securitization
|
|
|
5
|
5
|
|
|
|
|
|
|
|
|
|
9
|
|
9
|
|
14
|
|
|
14
|
Total securitization /
re-securitization
(including retail and
wholesale)
|
|
1
|
5
|
7
|
|
6
|
|
6
|
|
5
|
|
5
|
|
48
|
|
48
|
|
66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Retail (total)
|
|
5
|
|
5
|
|
6
|
|
6
|
|
|
|
|
|
31
|
|
31
|
|
42
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
|
Residential mortgage
|
|
5
|
|
5
|
|
6
|
|
6
|
|
|
|
|
|
31
|
|
31
|
|
42
|
|
|
3
|
Credit card receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
Student loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0
|
|
0
|
|
0
|
|
|
5
|
Consumer loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
Other retail exposures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
Wholesale (total)
|
|
|
|
|
|
0
|
|
0
|
|
36
|
|
36
|
|
3
|
|
3
|
|
39
|
|
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
Loans to corporates or SME
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
|
Commercial mortgage
|
|
|
|
|
|
|
|
|
|
36
|
|
36
|
|
3
|
|
3
|
|
39
|
|
|
10
|
Lease and receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
Trade receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
Other wholesale
|
|
|
|
|
|
0
|
|
0
|
|
|
|
|
|
0
|
|
0
|
|
0
|
|
|
13
|
Re-securitization
|
|
|
5
|
5
|
|
|
|
|
|
|
|
|
|
9
|
|
9
|
|
14
|
|
|
14
|
Total securitization /
re-securitization
(including retail and
wholesale)
|
|
5
|
5
|
10
|
|
6
|
|
6
|
|
36
|
|
36
|
|
43
|
|
43
|
|
95
|
|
|
|
|
|
SEC3: Securitization exposures in the banking book and
associated regulatory capital requirements - bank acting as originator or as
sponsor
|
|
|
|
|
|
|
a
|
b
|
c
|
d
|
e
|
|
f
|
g
|
i
|
|
|
|
j
|
k
|
m
|
|
|
|
n
|
☐
|
q
|
|
|
|
Total exposure values
|
|
Exposure values (by RW bands)
|
|
Exposure values (by regulatory approach)
|
|
Total RWA
|
|
RWA (by regulatory approach)
|
|
Total capital charge after cap
|
|
Capital charge after cap
|
|
CHF million
|
|
|
|
≤20% RW
|
>20% to 50% RW
|
>50% to 100% RW
|
>100% to <1250% RW
|
1250% RW
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Total exposures
|
|
2,739
|
|
162
|
2,465
|
11
|
|
102
|
|
172
|
2,465
|
102
|
|
1,823
|
|
31
|
523
|
1,269
|
|
146
|
|
2
|
42
|
102
|
|
2
|
Traditional securitization
|
|
274
|
|
162
|
|
11
|
|
102
|
|
172
|
|
102
|
|
1,300
|
|
31
|
|
1,269
|
|
104
|
|
2
|
|
102
|
|
3
|
of which: securitization
|
|
274
|
|
162
|
|
11
|
|
102
|
|
172
|
|
102
|
|
1,300
|
|
31
|
|
1,269
|
|
104
|
|
2
|
|
102
|
|
4
|
of which: retail underlying
|
|
229
|
|
142
|
|
|
|
87
|
|
142
|
|
87
|
|
1,101
|
|
18
|
|
1,083
|
|
88
|
|
1
|
|
87
|
|
5
|
of which: wholesale
|
|
45
|
|
19
|
|
11
|
|
15
|
|
30
|
|
15
|
|
199
|
|
13
|
|
186
|
|
16
|
|
1
|
|
15
|
|
6
|
of which: re-securitization
|
|
0
|
|
|
0
|
|
0
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
7
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
of which: non-senior
|
|
0
|
|
|
0
|
|
0
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
9
|
Synthetic securitization
|
|
2,465
|
|
|
2,465
|
|
|
|
|
|
2,465
|
|
|
523
|
|
|
523
|
|
|
42
|
|
|
42
|
|
|
10
|
of which: securitization
|
|
2,465
|
|
|
2,465
|
|
|
|
|
|
2,465
|
|
|
523
|
|
|
523
|
|
|
42
|
|
|
42
|
|
|
11
|
of which: retail underlying
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
of which: wholesale
|
|
2,465
|
|
|
2,465
|
|
|
|
|
|
2,465
|
|
|
523
|
|
|
523
|
|
|
42
|
|
|
42
|
|
|
13
|
of which: re-securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
|
of which: non-senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Total exposures
|
|
2,966
|
|
182
|
2,670
|
11
|
|
103
|
|
193
|
2,670
|
103
|
|
1,940
|
|
41
|
613
|
1,286
|
|
155
|
|
3
|
49
|
103
|
|
2
|
Traditional securitization
|
|
296
|
|
182
|
|
11
|
|
103
|
|
193
|
|
103
|
|
1,327
|
|
41
|
|
1,286
|
|
106
|
|
3
|
|
103
|
|
3
|
of which: securitization
|
|
296
|
|
182
|
|
11
|
|
103
|
|
193
|
|
103
|
|
1,327
|
|
41
|
|
1,286
|
|
106
|
|
3
|
|
103
|
|
4
|
of which: retail underlying
|
|
265
|
|
162
|
|
|
|
103
|
|
162
|
|
103
|
|
1,312
|
|
26
|
|
1,286
|
|
105
|
|
2
|
|
103
|
|
5
|
of which: wholesale
|
|
31
|
|
20
|
|
11
|
|
0
|
|
31
|
|
0
|
|
17
|
|
16
|
|
1
|
|
1
|
|
1
|
|
0
|
|
6
|
of which: re-securitization
|
|
0
|
|
|
0
|
|
0
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
7
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
of which: non-senior
|
|
0
|
|
|
0
|
|
0
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
9
|
Synthetic securitization
|
|
2,670
|
|
|
2,670
|
|
|
|
|
|
2,670
|
|
|
613
|
|
|
613
|
|
|
49
|
|
|
49
|
|
|
10
|
of which: securitization
|
|
2,670
|
|
|
2,670
|
|
|
|
|
|
2,670
|
|
|
613
|
|
|
613
|
|
|
49
|
|
|
49
|
|
|
11
|
of which: retail underlying
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
of which: wholesale
|
|
2,670
|
|
|
2,670
|
|
|
|
|
|
2,670
|
|
|
613
|
|
|
613
|
|
|
49
|
|
|
49
|
|
|
13
|
of which: re-securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
|
of which: non-senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEC4: Securitization exposures in the banking book and
associated regulatory capital requirements - bank acting as investor
|
|
|
|
|
|
|
a
|
b
|
c
|
d
|
e
|
|
f
|
g
|
i
|
|
|
|
j
|
k
|
m
|
|
|
|
n
|
☐
|
q
|
|
|
|
Total exposure values
|
|
Exposure values (by RW bands)
|
|
Exposure values (by regulatory approach)
|
|
Total RWA
|
|
RWA (by regulatory approach)
|
|
Total capital charge after cap
|
|
Capital charge after cap
|
|
CHF million
|
|
|
|
≤20% RW
|
>20% to 50% RW
|
>50% to 100% RW
|
>100% to <1250% RW
|
1250% RW
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
IRB RBA
|
IRB SFA
|
1250%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.17
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Total exposures
|
|
204
|
|
124
|
9
|
71
|
0
|
0
|
|
204
|
|
0
|
|
74
|
|
72
|
|
2
|
|
6
|
|
6
|
|
0
|
|
2
|
Traditional securitization
|
|
204
|
|
124
|
9
|
71
|
0
|
0
|
|
204
|
|
0
|
|
74
|
|
72
|
|
2
|
|
6
|
|
6
|
|
0
|
|
3
|
of which: securitization
|
|
204
|
|
124
|
9
|
71
|
0
|
0
|
|
204
|
|
0
|
|
74
|
|
72
|
|
2
|
|
6
|
|
6
|
|
0
|
|
4
|
of which: retail underlying
|
|
75
|
|
62
|
9
|
3
|
|
0
|
|
74
|
|
0
|
|
18
|
|
16
|
|
2
|
|
1
|
|
1
|
|
0
|
|
5
|
of which: wholesale
|
|
130
|
|
62
|
|
68
|
0
|
|
|
130
|
|
|
|
56
|
|
56
|
|
|
|
4
|
|
4
|
|
|
|
6
|
of which: re-securitization
|
|
0
|
|
|
|
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
7
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
of which: non-senior
|
|
0
|
|
|
|
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
9
|
Synthetic securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10
|
of which: securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
of which: retail underlying
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
of which: wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13
|
of which: re-securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
|
of which: non-senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.16
|
|
Asset classes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
Total exposures
|
|
385
|
|
255
|
48
|
81
|
0
|
1
|
|
383
|
|
1
|
|
128
|
|
111
|
|
17
|
|
10
|
|
9
|
|
1
|
|
2
|
Traditional securitization
|
|
385
|
|
255
|
48
|
81
|
0
|
1
|
|
383
|
|
1
|
|
128
|
|
111
|
|
17
|
|
10
|
|
9
|
|
1
|
|
3
|
of which: securitization
|
|
385
|
|
255
|
48
|
81
|
0
|
1
|
|
383
|
|
1
|
|
128
|
|
111
|
|
17
|
|
10
|
|
9
|
|
1
|
|
4
|
of which: retail underlying
|
|
210
|
|
147
|
48
|
15
|
0
|
0
|
|
210
|
|
0
|
|
55
|
|
53
|
|
2
|
|
4
|
|
4
|
|
0
|
|
5
|
of which: wholesale
|
|
175
|
|
108
|
0
|
66
|
0
|
1
|
|
173
|
|
1
|
|
73
|
|
58
|
|
15
|
|
6
|
|
5
|
|
1
|
|
6
|
of which: re-securitization
|
|
0
|
|
|
|
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
7
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
of which: non-senior
|
|
0
|
|
|
|
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
0
|
|
|
|
0
|
|
9
|
Synthetic securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10
|
of which: securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
of which: retail underlying
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
of which: wholesale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13
|
of which: re-securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
of which: senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
|
of which: non-senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Overview
The amount of capital required to
underpin market risk in the regulatory trading book is calculated using a
variety of methods approved by FINMA. The components of market risk RWA are
value-at-risk (VaR), stressed VaR (SVaR), an add-on for risks that are
potentially not fully modeled in VaR, the incremental risk charge (IRC), the
comprehensive risk measure (CRM) for the correlation portfolio and the
securitization framework for securitization positions in the trading book. Refer
to pages 38-39 in the Basel III Pillar 3 UBS Group AG 2016 report under “Pillar
3 disclosures” at
www.ubs.com/investors
for more
information on each of these components.
Securitization
positions in the trading book
Our exposure to securitization
positions in the trading book is limited and relates primarily to positions in
Corporate Center – Non-core and Legacy Portfolio that we continue to wind down.
A small amount of exposure also arises from secondary trading in commercial
mortgage-backed securities in the Investment Bank. Refer to the “Regulatory
exposures and risk-weighted assets” table in section 1 and to section 4 of this
report for more information.
The table below provides information on
market risk RWA from securitization exposures in the trading book.
|
MR1: Market risk under
standardized approach
|
|
|
30.6.17
|
31.12.16
|
|
|
a
|
a
|
|
|
Outright products
|
|
|
|
1
|
Interest rate risk (general and specific)
|
|
|
|
2
|
Equity risk (general and specific)
|
|
|
|
3
|
Foreign exchange risk
|
|
|
|
4
|
Commodity risk
|
|
|
|
|
Options
|
|
|
|
5
|
Simplified approach
|
|
|
|
6
|
Delta-plus method
|
|
|
|
7
|
Scenario approach
|
|
|
|
8
|
Securitization
|
378
|
428
|
|
9
|
Total
|
378
|
428
|
|
|
Regulatory calculation of market risk
The table below shows minimum,
maximum, average and period-end regulatory VaR, SVaR, the IRC and the
comprehensive risk capital charge.
During the first half of 2017, 10-day 99%
regulatory and SVaR increased, driven primarily by Equities and Foreign
Exchange, Rates and Credit businesses.
|
MR3: Internal models approach
values for trading portfolios
|
|
|
For the six-month
period ended
30.6.17
|
For the six-month
period ended
31.12.16
|
|
CHF million
|
a
|
a
|
|
|
VaR (10-day 99%)
|
|
|
|
1
|
Maximum value
|
69
|
84
|
|
2
|
Average value
|
25
|
27
|
|
3
|
Minimum value
|
2
|
5
|
|
4
|
Period end
|
31
|
16
|
|
|
Stressed VaR (10-day 99%)
|
|
|
|
5
|
Maximum value
|
364
|
179
|
|
6
|
Average value
|
76
|
67
|
|
7
|
Minimum value
|
9
|
20
|
|
8
|
Period end
|
42
|
31
|
|
|
Incremental risk charge
(99.9%)
|
|
|
|
9
|
Maximum value
|
325
|
280
|
|
10
|
Average value
|
244
|
225
|
|
11
|
Minimum value
|
174
|
144
|
|
12
|
Period end
|
271
|
192
|
|
|
Comprehensive risk capital
charge (99.9%)
|
|
|
|
13
|
Maximum value
|
9
|
12
|
|
14
|
Average value
|
8
|
8
|
|
15
|
Minimum value
|
4
|
7
|
|
16
|
Period end
|
5
|
8
|
|
17
|
Floor (standardized measurement method)
|
1
|
1
|
|
|
MR4:
Comparison of VaR estimates with gains/losses
The “Group: development of backtesting
revenues and actual trading revenues against backtesting VaR (1-day, 99%
confidence)” chart below shows the six-month development of backtesting VaR
against the Group’s backtesting revenues for the first half of 2017. The chart
shows the negative and the positive tails of the backtesting VaR distribution
at 99% confidence intervals representing, the losses and gains, respectively,
that could potentially be realized over a one-day period at that level of
confidence.
The asymmetry between the negative and
positive tails is due to the long gamma risk profile that was run historically
in the Investment Bank. This long gamma position profits from increases in
volatility, which therefore benefits the positive tail of the VaR simulated
profit or loss distribution.
There were no Group VaR negative backtesting
exceptions in the first half of 2017. The total number of negative backtesting
exceptions within a 250-business-day window decreased from seven to two as the
oldest exceptions had fallen out of the time window. Correspondingly, the FINMA
VaR multiplier for market risk RWA calculation decreased from 3.65 to 3.00.
More information on the backtesting
exceptions that occurred during 2016 is provided on page 151 of our Annual Report
2016, available under “Annual reporting” at
www.ubs.com/investors
,
and on page 48 of our Basel III Pillar 3 UBS Group AG 2016 report, available
under “Pillar 3 disclosures” at
www.ubs.com/investors
.
Abbreviations frequently used in our
financial reports
A
ABS asset-backed
security
AEI automatic
exchange of
information
AGM annual general
meeting of shareholders
A-IRB advanced internal
ratings-based
AIV alternative
investment vehicle
AMA advanced
measurement approach
AT1 additional tier 1
B
BCBS Basel Committee on
Banking Supervision
BD business
division
BIS Bank for International
Settlements
BoD Board of Directors
C
CC Corporate Center
CCAR Comprehensive
Capital Analysis and Review
CCF credit conversion
factor
CCP central
counterparty
CCR counterparty
credit risk
CDO collateralized
debt
obligation
CDR constant default
rate
CDS credit default
swap
CEA Commodity
Exchange Act
loss
CEO Chief Executive
Officer
CET1 common equity tier
1
CFO Chief Financial
Officer
CHF Swiss franc
CLN credit-linked
note
CLO collateralized
loan obligation
CMBS commercial mortgage-
backed security
CVA credit valuation
adjustment
D
DBO defined benefit
obligation
DCCP Deferred Contingent
Capital Plan
DOJ Department of
Justice
DOL Department of
Labor
DTA deferred tax
asset
DVA debit valuation
adjustment
E
EAD exposure at
default
EC European
Commission
ECB European Central Bank
EIR effective
interest rate
EMEA Europe, Middle East
and Africa
EOP Equity Ownership
Plan
EPS earnings per
share
ETD exchange-traded
derivatives
ETF exchange-traded
fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered
Rate
F
FCA UK Financial
Conduct
Authority
FCT foreign currency
translation
FDIC Federal Deposit
Insurance Corporation
FINMA Swiss Financial
Market Supervisory Authority
FRA forward rate
agreement
FSA UK Financial
Services Authority
FSB Financial
Stability Board
FTA Swiss Federal
Tax
Administration
FTP funds transfer
price
FVA funding valuation
adjustment
FX foreign
exchange
G
GAAP generally accepted
accounting principles
GBP British pound
GEB Group Executive
Board
GIIPS Greece, Italy,
Ireland,
Portugal and Spain
Group ALM Group Asset and
Liability Management
G-SIB global
systemically important bank
H
HQLA high-quality liquid
assets
I
IAS International
Accounting Standards
IASB International
Accounting Standards Board
IFRS International
Financial Reporting Standards
IRB internal
ratings-based
IRC incremental risk
charge
ISDA International
Swaps and Derivatives Association
K
KPI key performance
indicator
L
LCR liquidity
coverage ratio
LGD loss given
default
LIBOR London Interbank
Offered Rate
LLC limited
liability company
LRD leverage ratio
denominator
LTV loan-to-value
Abbreviations frequently used in our
financial reports (continued)
N
NAV net asset value
NPA non-prosecution
agreement
NRV negative
replacement value
NSFR net stable funding
ratio
O
OCI other
comprehensive income
OTC over-the-counter
P
PD probability of
default
PFE potential future
exposure
PRA UK Prudential
Regulation Authority
PRV positive
replacement value
R
RBC risk-based
capital
RMBS residential
mortgage-backed security
RoAE return on
attributed equity
RoE return on equity
RoTE return on tangible
equity
RWA risk-weighted
assets
S
SE structured
entity
SEC US Securities and
Exchange Commission
SEEOP Senior Executive
Equity Ownership Plan
SFT securities
financing transaction
SNB Swiss National
Bank
SRB systemically
relevant bank
SRM Single Resolution
Mechanism
SVaR stressed
value-at-risk
T
TBTF too big to fail
TLAC total
loss-absorbing capacity
U
USD US dollar
V
VaR value-at-risk
Cautionary
Statement
|
This report and
the information contained herein are provided solely for information purposes,
and are not to be construed as solicitation of an offer to buy or sell any
securities or other financial instruments in Switzerland, the United States or
any other jurisdiction. No investment decision relating to securities of or
relating to UBS Group AG, UBS AG or their affiliates should be made on the
basis of this report. Refer to UBS’s second quarter 2017 report and its Annual
Report 2016, 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, percent changes and absolute
variances are calculated on the basis of rounded figures displayed in the
tables and text and may not precisely reflect the percentages, percent changes
and absolute variances that would be calculated on the basis of figures that
are not rounded.
Tables |
Within tables, blank fields
generally indicate that the field is not applicable or not meaningful, or that
information is not available as of the relevant date or for the relevant
period. Zero values generally indicate that the respective figure is zero on an
actual or rounded basis. Percentage changes are presented as a mathematical
calculation of the change between periods.
UBS Group AG
P.O. Box
CH-8098 Zurich
www.ubs.com
SIGNATURES
Pursuant to the requirements
of the Securities Exchange Act of 1934, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
UBS GROUP AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Federica Pisacane Rohde___
Name: Federica Pisacane Rohde
Title: Executive Director
UBS AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Federica Pisacane Rohde___
Name: Federica Pisacane Rohde
Title: Executive Director
Date: August 3, 2017
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