Report of Foreign Issuer (6-k)

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 21, 2015

UBS Group AG

Commission File Number: 1-36764

UBS AG

Commission File Number: 1-15060

(Registrants’ Names)

Bahnhofstrasse 45, Zurich, Switzerland, and

Aeschenvorstadt 1, Basel, Switzerland

(Address of principal executive office)

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

Form 20-F x Form 40-F ¨

This Form 6-K consists of the Basel III Pillar 3 disclosure for first half 2015 of UBS Group AG and UBS AG, which appears immediately following this page.

LOGO

Basel III Pillar 3

First Half 2015 Report


Table of contents

4		Introduction

4		Location of Pillar 3 disclosures

7		Our approach to measuring risk exposure and risk-weighted assets

8		Scope of regulatory consolidation

8		Table 1: Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation

9		Overview of Basel III exposures and risk-weighted assets

10		Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets

12		Credit risk

12		Table 3: Regulatory gross credit risk by exposure segment and RWA
13		Table 4: Regulatory gross credit exposure by geographical region
13		Table 5: Regulatory gross credit exposure by counterparty type
14		Table 6: Regulatory gross credit exposure by residual contractual maturity
14		Table 7: Derivation of regulatory net credit exposure
15		Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives

16		Advanced internal ratings-based approach

16		Table 9a: Sovereigns – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
17		Table 9b: Banks – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
18		Table 9c: Corporates – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
19		Table 9d: Residential mortgages – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
20		Table 9e: Lombard lending – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
21		Table 9f: Qualifying revolving retail exposures – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
22		Table 9g: Other retail – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings




23		Standardized approach

23		Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized approach
24		Table 10b: Regulatory net credit exposure under the standardized approach risk weighted using external ratings
24		Table 11: Eligible financial collateral recognized under the standardized approach

25		Impairment, default and credit loss

25		Table 12: Impaired assets by region
25		Table 13: Impaired assets by exposure segment
26		Table 14: Changes in allowances and provisions
26		Table 15: Total actual and expected credit losses

27		Derivatives credit risk

27		Table 16: Credit exposure of derivative instruments

28		Other credit risk information

28		Table 17: Credit derivatives

29		Equity instruments in the banking book

29		Table 18: Equity instruments in the banking book

30		Market risk

30		Backtesting of VaR

30		Table 19: Group: backtesting regulatory value-at-risk (1-day, 99% confidence, 5 years of historical data)
30		Chart 1: Group: development of backtesting revenues against backtesting VaR (1-day, 99% confidence)
30		Chart 2: Investment Bank and Corporate Center – Non-core and Legacy Portfolio daily revenue distribution

31		Securitization

31		Table 20: Securitization/re-securitization

32		Objectives, roles and involvement

33		Securitization exposures in the banking and trading book

34		Table 21: Securitization activity for the period in the banking book
34		Securitization activity for the period in the trading book
35		Table 22: Outstanding securitized exposures
36		Table 23: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book
37		Table 24: Exposures intended to be securitized in the banking and trading book
37		Table 25: Securitization positions retained or purchased in the banking book


38		Table 26: Securitization positions retained or purchased in the trading book
39		Table 27a: Capital requirement for securitization/re-securitization positions retained or purchased in the banking book
39		Table 27b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – banking book
39		Table 27c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters – banking book
40		Gains on sale – securitization exposures to be deducted from Basel III tier 1 capital
40		Securitization exposures subject to early amortization in the banking and trading book
40		Table 28: Re-securitization positions retained or purchased in the banking book
40		Table 29: Re-securitization positions retained or purchased in the trading book
40		Outstanding notes issued by securitization vehicles related to UBS’s retained exposures subject to the market risk approach
41		Table 30: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk
41		Table 31a: Securitization positions and capital requirement for trading book positions subject to the securitization framework
42		Table 31b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – trading book
42		Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters – trading book
42		Table 32: Capital requirement for securitization positions related to correlation products

43		Balance sheet reconciliation

43		Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation

45		Composition of capital

45		Table 34: Composition of capital


Corporate calendar UBS Group AG

Publication of the third quarter 2015 report:		Tuesday, 3 November 2015
Publication of the fourth quarter 2015 report:		Tuesday, 9 February 2016
Publication of the Annual Report 2015:		Friday, 18 March 2016
Publication of the first quarter 2016 report:		Tuesday, 3 May 2016

Contacts

Switchboards

For all general inquiries.

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London +44-20-7568 0000

New York +1-212-821 3000

Hong Kong +852-2971 8888

www.ubs.com/contact

Investor Relations

UBS’s Investor Relations team supports institutional, professional and retail investors from our offices in Zurich, London, New York and Singapore.

UBS Group AG, Investor Relations

P.O. Box, CH-8098 Zurich,

Switzerland

investorrelations@ubs.com

www.ubs.com/investors

Hotline Zurich +41-44-234 4100

Hotline New York +1-212-882 5734

Fax (Zurich) +41-44-234 3415

Media Relations

UBS’s Media Relations team supports global media and journalists from offices in Zurich, London, New York and Hong Kong.

www.ubs.com/media

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mediarelations@ubs.com

London +44-20-7567 4714

ubs-media-relations@ubs.com

New York +1-212-882 5857

mediarelations-ny@ubs.com

Hong Kong +852-2971 8200

sh-mediarelations-ap@ubs.com

Office of the Company Secretary

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

UBS Group AG, Office of the

Company Secretary

P.O. Box, CH-8098 Zurich,

Switzerland

sh-company-secretary@ubs.com

Hotline +41-44-235 6652

Fax +41-44-235 8220

Shareholder Services

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

UBS Group AG, Shareholder Services

P.O. Box, CH-8098 Zurich,

Switzerland

sh-shareholder-services@ubs.com

Hotline +41-44-235 6652

Fax +41-44-235 8220

US Transfer Agent

For global registered share-related inquiries in the US.

Computershare

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College Station

TX 77842, USA

Shareholder online inquiries:

https://www-us.computershare.com/

investor/Contact

Shareholder website:

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Calls from outside the US

+1-201-680 6578

Fax +1-201-680 4675

Imprint

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

Language: English

Introduction

This report provides an update to our Bank for International Settlements (BIS) Basel III Pillar 3 disclosures as presented in our Annual Report 2014 to the extent that this information was not already provided in our first and second quarter 2015 reports. This report relates to UBS Group AG on a consolidated basis as Pillar 3 disclosure requirements are applicable at this level. An exception is the requirement to disclose total and tier 1 capital ratios related to the significant bank subsidiaries UBS AG, UBS Switzerland AG and UBS Limited, which are presented in the “Financial information” section of our second quarter 2015 report. Furthermore, selected regulatory information for UBS AG (consolidated) is presented in the “Capital management” section of our second quarter 2015 report.

The capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 aims to encourage market discipline by requiring banks to publish a range of disclosures, mainly on risk and capital.

This report is based on phase-in rules under the BIS Basel III framework, as implemented by the revised Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council, and required by Swiss Financial Market Supervisory Authority (FINMA) regulation. Further, as UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group and UBS AG are required to comply with regulations based on the Basel III framework as applicable for Swiss SRB on a consolidated basis.

FINMA requires us to publish comprehensive quantitative and qualitative Pillar 3 disclosures annually, as well as an update of quantitative disclosures and any significant changes to qualitative information semi-annually. In the first half of 2015, we did not have any significant changes to qualitative information.

Capital information as of 30 June 2015 for UBS Group AG (consolidated) and UBS AG (consolidated) is provided in the “Capital management” section of our second quarter 2015 report.

Refer to the “Capital management” section of our second quarter 2015 report for more information on regulatory requirements and differences between the Swiss SRB and BIS Basel III capital regulations

Refer to the “Pillar 3, SEC filings & other disclosures” section at www.ubs.com/investors for more information on G-SIBs indicators and previous Pillar 3 reports

Revised Pillar 3 disclosure requirements

In January 2015, the Basel Committee on Banking Supervision (BCBS) issued revised Pillar 3 disclosure requirements that aim to improve comparability and consistency of disclosures, through the introduction of harmonized templates. The revised requirements will take effect at the end of 2016.

Refer to the “Regulatory and legal developments” section of our Annual Report 2014 for more information on the revised Pillar 3 disclosure requirements

Location of Pillar 3 disclosures

The following table provides an overview of Pillar 3 disclosures in our UBS Group AG Annual Report 2014 and our second quarter 2015 report, where relevant.


Pillar 3 disclosures	Location in our UBS Group AG Annual Report 2014	Location in our second quarter 2015 report
Scope of consolidation	Financial information – Note 1 Summary of significant accounting policies (on pages 405–425) UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Scope of regulatory consolidation (on page 605) Table 1c: Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation
Capital structure	Capital management (on pages 251–260)	Capital management (on pages 91 and 97) Financial information (on pages 184, 188 and 191)
Capital adequacy	Capital management (on pages 245–275)	Capital management (on pages 88–113) Financial information (on pages 184, 188 and 191)
Capital instruments	Capital management (on pages 255–256) “Bondholder information” at www.ubs.com/investors	Capital management (on page 95) “Bondholder information” at www.ubs.com/investors
Risk management objectives, policies and methodologies – qualitative disclosures	Risk management and control (on pages 170–231)

Location of Pillar 3 disclosures (continued)


Pillar 3 disclosures	Location in our UBS Group AG Annual Report 2014	Location in our second quarter 2015 report¹
Risk-weighted assets	Capital management (on pages 261–267)	Capital management (on pages 100–104)
	UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014
	Segmentation of Basel III exposures and risk-weighted assets (on pages 606–608)
	Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets
Credit risk	Risk management and control (on page 181 and pages 198–203)
	Information on
	– Impaired assets by region,
	– Impaired assets by exposure segment,
	– Changes in allowances and provisions, and on
	– Total expected loss and actual credit losses (on pages 185–190 and page 203)
	UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014
	Credit risk (on pages 609–626)
	Table 3: Regulatory gross credit risk by exposure segment and RWA
	Table 4: Regulatory gross credit exposure by geographical region
	Table 5: Regulatory gross credit exposure by counterparty type
	Table 6: Regulatory gross credit exposure by residual contractual maturity
	Table 7: Derivation of regulatory net credit exposure
	Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives
	Table 9a: Sovereigns – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9b: Banks – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9c: Corporates – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9d: Residential mortgages – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9e: Lombard lending – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9f: Qualifying revolving retail exposures – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 9g: Other retail – Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
	Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized approach
	Table 10b: Regulatory net credit exposure under the standardized approach risk-weighted using external ratings
	Table 11: Eligible financial collateral recognized under the standardized approach
	Table 12: Credit exposure of derivative instruments
	Table 13: Credit derivatives
	Table 14: Equity instruments in the banking book
Market risk	Risk management and control (on pages 206–207) Information on Group regulatory value-at-risk (on page 209 and pages 211–218) Note 24 Fair value measurement (on pages 469–472)	Risk management and control (on pages 73–77 in our second quarter 2015 report and 70–74 in our first quarter 2015 report)

¹ Or, where indicated, in our first quarter 2015 report.

Location of Pillar 3 disclosures (continued)


Pillar 3 disclosures	Location in our UBS Group AG Annual Report 2014	Location in our second quarter 2015 report
Operational risk	Risk management and control (on pages 229–231)
Interest rate risk in the banking book	Risk management and control (on pages 219–221)	Risk management and control (on pages 73 and 77)
Securitization	UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Securitization (on pages 628–642)
	Table 15: Securitization/re-securitization
	Table 16: Securitization activity for the year in the banking book
	Table 17: Securitization activity for the year in the trading book
	Table 18: Outstanding securitized exposures
	Table 19: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book
	Table 20: Exposures intended to be securitized in the banking and trading book
	Table 21: Securitization positions retained or purchased in the banking book
	Table 22: Securitization positions retained or purchased in the trading book
	Table 23a: Capital requirement for securitization/re-securitization positions retained or purchased in the banking book
	Table 23b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – banking book
	Table 23c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters – banking book
	Securitization exposures to be deducted from Basel III tier 1 capital
	Securitization exposures subject to early amortization in the banking and trading book
	Table 24: Re-securitization positions retained or purchased in the banking book
	Table 25: Re-securitization positions retained or purchased in the trading book
	Table 26: Outstanding notes issued by securitization vehicles related to UBS’s retained exposures subject to the market risk approach
	Table 27: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk
	Table 28a: Securitization positions and capital requirement for trading book positions subject to the securitization framework
	Table 28b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – trading book
	Table 28c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters – banking book
	Table 29: Capital requirement for securitization positions related to correlation products
Composition of capital	UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 Composition of capital (on pages 643–647)
	Table 30:Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
	Table 31:Composition of capital
G-SIBs indicator (annual disclosure requirement only)	Refer to “Pillar 3, SEC filings & other disclosures” at www.ubs.com/investors
Remuneration (annual disclosure requirement only)	Compensation (on pages 300, 338–339, 342–343, 345–348, 350–351, 355, 359–360, 363–373)

Our approach to measuring risk exposure and risk-weighted assets

Measures of risk exposure may differ depending on whether the exposures are calculated for financial accounting purposes under International Financial Reporting Standards (IFRS), for determining our regulatory capital or for risk management purposes. Our Basel III Pillar 3 disclosures are generally based on measures of risk exposure used to determine the regulatory capital required to underpin those risks.

The table below provides a summary of the approaches we use for the main risk categories to determine regulatory capital.

The naming conventions for the exposure segments used in the following tables are based on BIS rules and may differ from those under Swiss and European Union (EU) regulations. For example, “sovereigns” under the BIS naming convention are termed “central governments and central banks” under the Swiss and EU regulations. Similarly, “banks” are “institutions” and “residential mortgages” are “claims secured by residential real estate.”

Our risk-weighted assets (RWA) are published according to the BIS Basel III framework, as implemented by the revised Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and required by FINMA regulation.

Refer to the “Capital management” section of our second quarter 2015 report for more information on differences between Swiss SRB and BIS Basel III capital regulations


Category		UBS approach
Credit risk
Counterparty credit risk by exposure segment		Under the advanced internal ratings-based (A-IRB) approach applied for the majority of our businesses, counterparty risk weights are determined by reference to internal counterparty ratings and loss given default estimates. We use internal models to measure the credit risk exposures to third parties on derivatives and securities financing transactions. All internal credit risk models are approved by FINMA. For a subset of our credit portfolio, we apply the standardized approach, based on external ratings.
Securitization/re-securitization in the banking book		Securitization/re-securitization exposures in the banking book are generally assessed using the ratings-based approach, applying risk weights based on external ratings. For certain exposures, the supervisory formula-based approach is applied, considering the A-IRB risk weights.
Equity instruments in the banking book		Simple risk weight method under the IRB approach.
Credit valuation adjustment (CVA)		The credit valuation adjustment (CVA) is an additional capital charge to the existing counterparty credit risk default charge. Banks are required to hold capital for the risk of mark-to-market losses (i.e., CVA) associated with the deterioration of counterparty credit quality. The model that we use is approved by FINMA. For a subset of our credit portfolio, we apply the standardized approach.
Settlement risk		Capital requirements for failed transactions are determined according to the rules for failed trades and non-delivery-versus-payment transactions under the Basel III framework.
Non-counterparty-related risk		The required capital for non-counterparty-related assets such as our premises, other property, equipment and software, deferred tax assets on temporary differences and defined benefit plans is calculated according to prescribed regulatory risk weights.
Market risk		The regulatory capital requirement is calculated using a variety of methods approved by FINMA. The components are value-at-risk (VaR), stressed VaR (SVaR), an add-on for risks which are potentially not fully modeled in VaR (RniV), 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, which is described below. Details on the derivation of RWA for each of these components are provided in the “Risk management and control” section of our Annual Report 2014.
Securitization/re-securitization in the trading book		Securitization/re-securitization in the trading book are assessed for their general market risk as well as for their specific risk. The capital charged for general market risk is determined by the VaR and SVaR methods, whereas the capital charge for specific risk is determined using the CRM method or the ratings-based approach, applying risk weights based on external ratings.
Operational risk		Our model to quantify operational risk meets the regulatory capital standard under the advanced measurement approach and is approved by FINMA. Operational risk RWA also include the incremental operational risk RWA based on the supplemental operational risk capital analysis mutually agreed to by UBS and FINMA.

Refer to the “Risk management and control” section of our Annual Report 2014 for more information

Scope of regulatory consolidation

The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS, and includes subsidiaries directly or indirectly controlled by UBS Group AG that are active in the banking and finance sector. However, subsidiaries consolidated under IFRS that are active in sectors other than banking and finance are excluded from the regulatory scope of consolidation. More information on the IFRS scope of consolidation, as well as the list of significant subsidiaries included in this scope as of 31 December 2014, are available in the “Financial information” section of our Annual Report 2014.

Refer to “Note 1 Summary of significant accounting policies” and “Note 30 Interests in subsidiaries and other entities” in the “Financial information” section of our Annual Report 2014 for more information

The main differences in the basis of consolidation between IFRS and regulatory capital purposes relate to the following entities as of 30 June 2015:

–

Investments in insurance, real estate and commercial companies as well as investment vehicles which were consolidated under IFRS, but not for regulatory capital purposes, and were subject to risk weighting;

–

Joint ventures which were fully consolidated for regulatory capital purposes, but which were accounted for under the equity method under IFRS;

–

Entities which have issued preferred securities which were consolidated for regulatory capital purposes but not consolidated under IFRS. These entities hold bonds issued by UBS AG, which are eliminated in the consolidated regulatory capital accounts. These entities do not have material third-party asset balances, and their equity is attributable to non-controlling interests.

The table below provides a list of the most significant entities that were included in the IFRS scope of consolidation, but not in the regulatory capital scope of consolidation. As of 30 June 2015, entities consolidated under IFRS, but not included in the regulatory scope of consolidation, did not report any significant capital deficiencies.

In the banking book, certain equity investments were not required to be consolidated, neither under IFRS nor in the regulatory scope. These investments mainly consisted of infrastructure holdings and joint operations (for example, settlement and clearing institutions, stock and financial futures exchanges) and included our participation in the SIX Group. These investments were risk weighted based on applicable threshold rules.

Refer to “Table 18: Equity instruments in the banking book” of this report for more information on the measurement of these instruments

Refer to “Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” of this report for more information

Refer to “Note 25 Restricted and transferred financial assets” in the “Financial information” section of our Annual Report 2014 for more information on transferability restrictions under IFRS 12

Table 1: Main legal entities according to the IFRS scope of consolidation not subject to the regulatory scope of consolidation


	30.6.15
CHF million	Total assets¹		Total equity¹			Purpose
UBS Global Asset Management Life Ltd – Long Term Fund		10,893		15		Life insurance

UBS International Life Limited		5,098		69		Life insurance

UBS A&Q Alternative Solution Master Limited		953		688	²	Investment vehicle for feeder funds

UBS A&Q Alternative Solution Limited		689		679	²	Investment vehicle for multiple investors

UBS Global Life AG		670		11		Life insurance

A&Q Alpha Select Hedge Fund XL		347		174	²	Investment vehicle for multiple investors

UBS Life AG		320		57		Life insurance

UBS Alpha Select Hedge Fund		277		270	²	Fund

O’Connor Global Multi-Strategy Alpha (Levered) Limited		196		190	²	Investment vehicle for multiple investors

UBS Life Insurance Company USA		187		40		Life insurance

UBS Real Estate Investments Inc.		149		116		Real estate

Master Triple Net Holdings LLC		126		12		Real estate

UBS Multi-Manager Alternative Commodities Fund Ltd.		121		114	²	Fund

¹ Total assets and total equity on a standalone basis. ² Represents the net asset value (NAV) of issued fund units. These fund units are subject to liability treatment in the Group Financial Statements under IFRS.

Overview of Basel III exposures and risk-weighted assets

“Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets” and subsequent tables provide a breakdown according to BIS-defined exposure segments as follows:

–

Sovereigns, consisting of exposures relating to sovereign states and their central banks, the BIS, the International Monetary Fund, the EU (including the European Central Bank) and eligible multilateral development banks.

–

Banks, consisting of exposures to legal entities holding a banking license. This segment also includes securities firms subject to supervisory and regulatory arrangements, including risk-based capital requirements, which are comparable to those applied to banks according to the framework. This segment also includes exposures to public sector entities with tax-raising power or entities whose liabilities are fully guaranteed by a public entity.

–

Corporates, consisting of all exposures that do not fit into any of the other exposure segments. This segment includes private commercial entities such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds).

–

Central counterparties (CCP) are clearing houses that interpose themselves between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer and thereby ensuring the future performance of open contracts. A CCP becomes counterparty to trades with market participants through novation, an open offer system, or another legally binding arrangement.

–

Retail, Residential mortgages, consisting of residential mortgages, regardless of exposure size, if the debtor occupies or rents out the mortgaged property.

–

Retail, Lombard lending, consisting of loans made against the pledge of eligible marketable securities or cash.

–

Retail, Qualifying revolving retail exposures, consisting of unsecured revolving credits that exhibit appropriate loss characteristics

relating to credit card relationships treated under the advanced internal ratings-based (A-IRB) approach.

–

Retail, Other retail, consisting of exposures to small businesses, private clients and other retail customers without mortgage financing.

Table 2 also shows the gross and net exposure at default (EAD) per risk type and exposure segment, which forms the basis for the calculation of the RWA as well as the capital requirement per exposure category. The Basel III credit risk-related component “Stressed expected positive exposure (sEPE)” is newly included in “Counterparty credit risk by exposure segment” while “Credit valuation adjustment (CVA)” is still disclosed separately in this table. Comparative figures for December 2014 have been restated accordingly.

Gross EAD decreased by CHF 19 billion to CHF 725 billion in the first half of 2015, primarily as a result of lower exposures to sovereigns and non-counterparty-related risk. The reduction in non-counterparty-related risk was mainly due to decreases related to defined benefit pension plans and deferred tax assets recognized for tax loss carry-forwards.

Capital requirements presented in the following tables are calculated based on our Swiss SRB Basel III total capital requirement of 12.6% of RWA as of 30 June 2015 and 11.1% of RWA as of 31 December 2014, respectively.

Refer to the table “Basel III risk-weighted assets by risk type, exposure and business divisions and Corporate Center units” in the “Capital management” section of our second quarter 2015 report for more information on RWA by business divisions and Corporate Center units

Refer to the table “Basel III RWA movement by key driver, risk type and reporting segment” in the “Capital management” section of our Annual Report 2014 for more information on RWA movements

Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets

30.6.15

Basel III (phase-in)

Gross EAD

Net EAD

RWA¹

Capital requirement

CHF million

Total

A-IRB/
model-
based
approach

Standardized
approach

Total

A-IRB/
model-
based
approach

Standardized
approach

Total

A-IRB/
model-
based
approach

Standardized
approach

Total²

Credit risk

706,589

520,337

166,412

686,749

84,069

23,285

107,354

10,616

2,940

13,556

Counterparty credit risk by exposure segment³

699,814

513,786

166,219

680,005

74,051

20,547

94,598

9,351

2,595

11,946

Sovereigns

152,467

87,334

65,132

152,467

992

176

1,168

125

147

Banks

55,313

44,393

8,699

53,091

7,017

1,939

8,956

886

245

1,131

Corporates

165,775

136,743

15,648

152,391

42,538

11,179

53,716

5,372

1,412

6,783

Central counterparties

72,768

68,567

3,349

423

Retail

253,492

245,317

8,174

253,490

23,504

3,906

27,409

2,968

493

3,461

Residential mortgages

136,860

130,928

5,931

136,859

17,596

2,223

19,819

2,222

281

2,503

Lombard lending

112,238

5,097

644

Qualifying revolving retail exposures

1,512

527

Other retail

2,882

638

2,243

2,881

283

1,683

1,966

212

248

Securitization/re-securitization in the banking book

5,125

1,273

161

Equity instruments in the banking book⁴

1,331

4,326

546

Credit valuation adjustment (CVA)

4,166

2,481

6,647

526

313

839

Settlement risk

318

193

287

253

256

509

Non-counterparty-related risk

16,926

17,304

2,185

Deferred tax assets

7,840

10,137

1,280

Property, equipment and software

6,973

881

Other

2,112

193

Market risk

1,668

12,708

1,605

Value-at-risk (VaR)

1,451

183

Stressed value-at-risk (SVaR)

3,192

403

Add-on for risks-not-in-VaR (RNiV)

4,460

563

Incremental risk charge (IRC)

2,543

321

Comprehensive risk measure (CRM)

103

Securitization/re-securitization in the trading book⁵

1,668

959

121

Operational risk

74,723

9,436

of which: incremental RWA⁶

13,327

1,683

Total Swiss SRB

725,183

522,006

183,337

705,343

171,500

40,589

212,088

21,656

5,125

26,782

¹ Refer to the “Capital management” section of our second quarter 2015 report for more information on the differences between phase-in and fully applied RWA. ² Calculated based on our Swiss SRB Basel III total capital requirement of 12.6% of RWA. ³ Includes sEPE, most of which relates to exposures to Banks and Corporates. ⁴ Simple risk weight method. ⁵ The EAD of securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. ⁶ Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS and FINMA.

Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets (continued)

31.12.14

Basel III (phase-in)

Gross EAD

Net EAD

RWA¹

Capital requirement

CHF million

Total

A-IRB/
model-
based
approach

Standardized
approach

Total

A-IRB/
model-
based
approach

Standardized
approach

Total

A-IRB/
model-
based
approach

Standardized
approach

Total²

Credit risk

720,039

553,788

144,021

697,810

86,282

22,318

108,601

9,594

2,482

12,075

Counterparty credit risk by exposure segment³

709,293

543,230

143,841

687,072

72,406

18,694

91,099

8,051

2,079

10,129

Sovereigns

166,261

108,939

57,321

166,261

1,319

189

1,508

147

168

Banks

59,302

48,628

7,916

56,544

8,070

2,360

10,430

897

262

1,160

Corporates

172,605

145,399

15,899

161,298

41,126

10,650

51,775

4,573

1,184

5,757

Central counterparties

54,291

1,478

164

Retail

256,834

240,263

8,414

248,678

21,892

4,017

25,909

2,434

447

2,881

Residential mortgages

137,159

131,121

6,038

137,159

15,767

2,234

18,002

1,753

248

2,002

Lombard lending

115,192

107,036

5,359

596

Qualifying revolving retail exposures

1,524

532

Other retail

2,959

582

2,376

2,959

233

1,783

2,016

198

224

Securitization/re-securitization in the banking book

9,048

2,650

295

Equity instruments in the banking book⁴

1,448

4,735

526

Credit valuation adjustment (CVA)

6,395

3,381

9,775

711

376

1,087

Settlement risk

250

180

242

244

340

Non-counterparty-related risk

22,126

19,060

2,119

Deferred tax assets

10,010

8,897

989

Property, equipment and software

6,760

752

Other

5,356

3,404

378

Market risk

1,610

16,483

1,833

Value-at-risk (VaR)

2,024

225

Stressed value-at-risk (SVaR)

4,115

458

Add-on for risks-not-in-VaR (RNiV)

5,911

657

Incremental risk charge (IRC)

3,039

338

Comprehensive risk measure (CRM)

131

Securitization/re-securitization in the trading book⁵

1,610

1,262

140

Operational risk

76,734

8,532

of which: incremental RWA⁶

17,451

1,940

Total Swiss SRB

743,774

555,398

166,147

721,545

179,498

41,379

220,877

19,958

4,601

24,559

¹ Refer to the “Capital management” section of our Annual Report 2014 for more information on the differences between phase-in and fully applied RWA. ² Calculated based on our Swiss SRB Basel III total capital requirement of 11.1% of RWA. ³ Includes sEPE, most of which relates to exposures to Banks and Corporates. ⁴ Simple risk weight method. ⁵ The EAD of securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. ⁶ Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS and FINMA.

Credit risk

The tables in this section provide details on the exposures used to determine the firm’s credit risk-related regulatory capital requirement. The parameters applied under the A-IRB approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section therefore differs from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from that required under IFRS. The following credit risk-related tables are based on Basel III phase-in requirements and correspond to the counterparty credit risk by exposure segment. Stressed expected positive exposure (sEPE) is newly included in counterparty credit risk and comparative figures for December 2014 have been restated accordingly in the following tables.

Refer to the “Risk management and control” section of our Annual Report 2014 for more information

The regulatory gross credit exposure for banking products is equal to the drawn loan amounts represented on the balance

sheet, with the exception of off-balance sheet commitments where the regulatory gross credit exposure is calculated by applying a credit conversion factor to the undrawn amount or contingent claim.

Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective EPE and sEPE as defined in the Basel III framework. However, for a small portion 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 securities financing transactions (securities borrowing/lending and repurchase agreements/reverse repurchase agreements), we determine the regulatory gross credit exposure using the close-out period (COP) approach. The regulatory gross credit exposure for traded products is equal to regulatory net credit exposure in the credit risk tables on the following pages.

The regulatory net credit exposure detailed in the tables on the following pages is shown as the regulatory exposure at default after applying collateral, netting and other eligible risk mitigants permitted by the relevant regulations. The information on impaired and defaulted assets, consistent with the regulatory capital treatment, is presented in the “Impairment, default and credit loss” section of this report.

Table 3: Regulatory gross credit risk by exposure segment and RWA

This table shows the derivation of RWA from the regulatory gross credit exposure including sEPE broken down by major types of credit exposure according to classes of financial instruments.


	Exposure									Average regulatory risk weighting			RWA¹
CHF million	Average regulatory gross credit exposure²		Regulatory gross credit exposure		Less: regulatory credit risk offsets and adjustments			Regulatory net credit exposure
Cash and balances with central banks		75,543		83,412					83,412		0	%		143

Due from banks³		11,946		12,535		(1,225	)		11,309		24	%		2,662

Loans		311,945		311,828		(12,751	)		299,077		16	%		47,316

Financial assets designated at fair value		3,063		2,918		(363	)		2,555		31	%		794

Guarantees, commitments and forward starting transactions		31,870		33,929		(4,295	)		29,634		33	%		9,714

Banking products		434,368		444,622		(18,634	)		425,988		14	%		60,630

Derivatives		81,490		76,187					76,187		23	%		17,368

Cash collateral on derivative instruments		45,010		42,890					42,890		4	%		1,731

Securities financing		56,772		58,430					58,430		8	%		4,729

Traded products		183,273		177,506					177,506		13	%		23,829

Trading portfolio assets		1,427		1,178					1,178		101	%		1,184

Financial investments available-for-sale		67,374		65,206					65,206		2	%		1,445

Other assets		11,632		11,303		(1,175	)		10,128		74	%		7,509

Other products		80,433		77,686		(1,175	)		76,511		13	%		10,139

Total 30.6.15		698,073		699,814		(19,809	)		680,005		14	%		94,598

Total 31.12.14		671,762		709,293		(22,221	)		687,072		13	%		91,099

¹ The derivation of RWA is based on the various credit risk parameters of the A-IRB approach and the standardized approach, respectively. ² The average regulatory gross credit exposure represents the average of the applicable quarter-end exposures for the relevant reporting periods. ³ Includes non-bank financial institutions.

Table 4: Regulatory gross credit exposure by geographical region

This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by geographical regions. The geographical distribution is based on the legal domicile of the counterparty or issuer.


CHF million	Asia Pacific		Latin America		Middle East and Africa		North America		Switzerland		Rest of Europe		Total regulatory gross credit exposure		Total regulatory net credit exposure
Cash and balances with central banks		2,834		1				40,310		32,488		7,779		83,412		83,412

Due from banks¹		3,666		101		219		3,686		918		3,945		12,535		11,309

Loans		24,287		6,086		4,570		77,373		164,792		34,720		311,828		299,077

Financial assets designated at fair value		583		4				1,727		0		604		2,918		2,555

Guarantees, commitments and forward starting transactions		838		362		410		16,272		7,216		8,830		33,929		29,634

Banking products		32,208		6,554		5,200		139,369		205,414		55,878		444,622		425,988

Derivatives		8,209		843		428		26,038		6,297		34,373		76,187		76,187

Cash collateral on derivative instruments		4,916		473		82		17,776		211		19,431		42,890		42,890

Securities financing		4,901		349		1,084		25,450		2,091		24,555		58,430		58,430

Traded products		18,026		1,665		1,594		69,264		8,598		78,359		177,506		177,506

Trading portfolio assets		87		23		19		729		9		310		1,178		1,178

Financial investments available-for-sale		2,013		93				28,721		1,374		33,004		65,206		65,206

Other assets		581		74		37		5,422		1,203		3,986		11,303		10,128

Other products		2,682		190		56		34,871		2,587		37,300		77,686		76,511

Total 30.6.15		52,915		8,409		6,850		243,504		216,599		171,537		699,814		680,005

Total 31.12.14		55,198		8,658		7,632		261,607		211,551		164,646		709,293		687,072

¹ Includes non-bank financial institutions.

Table 5: Regulatory gross credit exposure by counterparty type

This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by counterparty type. The counterparty type is different from the BIS-defined exposure segments used in certain other tables in this section.


CHF million	Private individuals		Corporates¹		Public entities (including sovereigns and central banks)		Banks and multilateral institutions		Total regulatory gross credit exposure		Total regulatory net credit exposure
Cash and balances with central banks						83,099		313		83,412		83,412

Due from banks¹						580		11,955		12,535		11,309

Loans		195,798		113,028		3,002				311,828		299,077

Financial assets designated at fair value				2,531				387		2,918		2,555

Guarantees, commitments and forward starting transactions		2,217		29,786		97		1,828		33,929		29,634

Banking products		198,016		145,345		86,779		14,483		444,622		425,988

Derivatives		2,330		45,133		5,555		23,168		76,187		76,187

Cash collateral on derivative financial instruments		48		41,783		232		828		42,890		42,890

Securities financing		76		41,267		3,915		13,173		58,430		58,430

Traded products		2,453		128,183		9,702		37,169		177,506		177,506

Trading portfolio assets				1,006		134		37		1,178		1,178

Financial investments available-for-sale				9,738		39,629		15,839		65,206		65,206

Other assets		4,361		4,140		1,559		1,242		11,303		10,128

Other products		4,361		14,884		41,322		17,119		77,686		76,511

Total 30.6.15		204,830		288,411		137,802		68,770		699,814		680,005

Total 31.12.14		205,470		283,300		153,477		67,046		709,293		687,072

¹ Includes non-bank financial institutions.

Table 6: Regulatory gross credit exposure by residual contractual maturity

This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by residual contractual maturity, not taking into account any early redemption features.



CHF million	On demand¹		Due in 1 year or less		Due between 1 year and 5 years		Due over 5 years		Total regulatory gross credit exposure		Total regulatory net credit exposure
Cash and balances with central banks		83,412								83,412		83,412

Due from banks²		10,525		1,887		98		25		12,535		11,309

Loans		40,163		153,674		70,015		47,977		311,828		299,077

Financial assets designated at fair value				589		1,978		352		2,918		2,555

Guarantees, commitments and forward starting transactions		87		11,203		19,427		3,212		33,929		29,634

Banking products		134,187		167,353		91,517		51,565		444,622		425,988

Derivatives		990		45,052		16,220		13,924		76,187		76,187

Cash collateral on derivative instruments		9,119		7,251		9,156		17,363		42,890		42,890

Securities financing		44,415		13,445		571				58,430		58,430

Traded products		54,524		65,748		25,947		31,288		177,506		177,506

Trading portfolio assets				225		424		528		1,178		1,178

Financial investments available-for-sale		29		25,243		35,937		3,997		65,206		65,206

Other assets		7,057		1,202		1,604		1,440		11,303		10,128

Other products		7,085		26,670		37,965		5,965		77,686		76,511

Total 30.6.15		195,796		259,771		155,429		88,817		699,814		680,005

Total 31.12.14		239,564		250,598		141,195		77,935		709,293		687,072

¹ Includes loans without a fixed term, collateral swaps and cash collateral on derivative instruments and securities financing transactions, on which notice of termination has not been given. ² Includes non-bank financial institutions.

Table 7: Derivation of regulatory net credit exposure

This table provides a derivation of the regulatory net credit exposure from the regulatory gross credit exposure including sEPE according to the A-IRB approach and the standardized approach.


CHF million	Advanced IRB approach			Standardized approach			Total 30.6.15			Total 31.12.14
Total regulatory gross credit exposure		522,967			176,847			699,814			709,293

Less: regulatory credit risk offsets and adjustments		(9,181	)		(10,628	)		(19,809	)		(22,221	)

Total regulatory net credit exposure		513,786			166,219			680,005

Total 31.12.14		543,230			143,841						687,072

Refer to the “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets” section of this report for more information on the regulatory net credit exposure by exposure segment

Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives

This table provides a breakdown of regulatory gross credit exposures including sEPE covered by guarantees and credit derivatives, according to BIS-defined exposure segments. The amounts in the table reflect the values used for determining regulatory capital to the extent collateral is eligible under the BIS framework.

CHF million

Regulatory gross
credit exposure

of which: covered by
guarantees¹

of which: covered by
credit derivatives

Exposure segment

Sovereigns

152,467

117

Banks

55,313

248

Corporates

165,775

3,455

6,964

Central counterparties

72,768

Retail

Residential mortgages

136,860

Lombard lending

112,238

570

Qualifying revolving retail exposures

1,512

Other retail

2,882

Total 30.6.15

699,814

4,448

6,972

Total 31.12.14

709,293

4,507

9,392

¹ Includes guarantees and standby letters of credit provided by third parties, mainly banks.

Advanced internal ratings-based approach

UBS uses the advanced internal ratings-based (A-IRB) approach for calculating certain credit risk exposures. Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval.

Refer to the “Risk management and control” section of our Annual Report 2014 for more information

Tables 9a to 9g provide a breakdown of the regulatory net credit exposure, weighted average PD, LGD, RWA and the average risk weight under the A-IRB approach by internal UBS ratings across BIS-defined exposure segments.

In line with the numbers presented in table 2, impaired and defaulted assets and sEPE are now included in tables 9a through 9g. Comparative figures for December 2014 have been restated accordingly.

Table 9a: Sovereigns – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0		78,093		3		0.0			29.2			0		0.0

Rating 1		3,989		96		0.0			30.5			137		3.4

Rating 2		1,966				0.0			40.6			198		10.1

Rating 3		2,683				0.1			50.0			360		13.4

Rating 4		124				0.2			67.8			53		43.0

Rating 5		429		9		0.4			41.6			200		46.6

Sub-investment grade

Rating 6		9				0.6			18.5			3		31.7

Rating 7		3		0		1.0			13.0			1		27.3

Rating 8		2		0		1.7			59.9			3		130.8

Rating 9		6		0		2.7			13.3			3		44.3

Rating 10		6				4.6			40.9			9		137.6

Rating 11		3		0		7.8			13.0			1		52.9

Rating 12		6				13.0			27.3			8		130.9

Rating 13		0				22.0			10.0			0		60.3

Impaired and defaulted²		16		1								16		106.0

Total 30.6.15		87,334		*109*		0.0	²		30.3	²		992		1.1

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0		95,107		1		0.0			33.1			29		0.0

Rating 1		6,888		79		0.0			32.9			243		3.5

Rating 2		2,277		4		0.0			44.2			223		9.8

Rating 3		4,142				0.1			51.6			584		14.1

Rating 4		185				0.2			58.9			67		36.4

Rating 5		286				0.4			42.4			126		44.0

Sub-investment grade

Rating 6		8				0.6			10.2			2		21.0

Rating 7		9		0		1.0			42.6			6		63.0

Rating 8		1				1.7			85.8			1		175.7

Rating 9		7		0		2.7			12.6			3		42.3

Rating 10		3				4.6			39.8			4		121.8

Rating 11		1		0		7.8			16.1			0		66.4

Rating 12		9				13.0			30.7			13		154.3

Rating 13		0				22.0			10.0			0		54.5

Impaired and defaulted²		17		1								18		106.0

Total 31.12.14		108,939		84		0.0	²		34.1	²		1,319		1.2

Table 9b: Banks – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹		Average LGD in %		RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		23,957		1,965		0.0		37.5		2,358		9.8

Rating 3		12,441		3,125		0.1		39.5		1,418		11.4

Rating 4		3,983		692		0.2		39.1		1,047		26.3

Rating 5		1,900		12		0.4		41.8		865		45.5

Sub-investment grade

Rating 6		1,075		118		0.6		44.3		618		57.5

Rating 7		579		185		1.0		36.8		335		57.8

Rating 8		133		52		1.7		33.8		66		49.5

Rating 9		174		19		2.7		38.8		185		106.2

Rating 10		113		81		4.6		36.4		51		45.5

Rating 11		24				7.8		44.8		44		185.0

Rating 12		13		0		13.0		43.4		27		218.1

Rating 13		1				22.0		34.8		3		207.9

Impaired and defaulted²		0								0		106.0

Total 30.6.15		44,393		*6,248*		0.1²		38.5²		7,017		15.8

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		29,231		5,550		0.0			35.9			2,859		9.8

Rating 3		12,022		1,567		0.1			35.6			2,028		16.9

Rating 4		3,644		106		0.2			39.3			1,135		31.1

Rating 5		2,197		6		0.4			44.9			940		42.8

Sub-investment grade

Rating 6		779		7		0.6			43.0			484		62.1

Rating 7		425				1.0			43.9			253		59.5

Rating 8		80				1.7			30.6			58		72.6

Rating 9		141				2.7			36.2			149		105.5

Rating 10		45				4.6			35.5			53		116.8

Rating 11		31				7.8			43.0			56		179.5

Rating 12		11		1		13.0			43.3			25		225.5

Rating 13		5				22.0			43.6			12		259.1

Impaired and defaulted²		17										18		106.0

Total 31.12.14		48,628		7,236		0.1	²		36.7	²		8,070		16.6

Table 9c: Corporates – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure			of which: loan commitments		Average PD in %¹			Average LGD in %			RWA			Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		44,950			2,345		0.0			18.4			4,755			10.6

Rating 3		17,410			4,745		0.1			33.3			3,806			21.9

Rating 4		14,468			1,521		0.2			34.3			4,179			28.9

Rating 5		10,983			948		0.4			36.4			5,031			45.8

Sub-investment grade

Rating 6		12,779			407		0.6			28.0			6,030			47.2

Rating 7		12,907			867		1.0			24.3			6,147			47.6

Rating 8		10,027			1,019		1.7			17.5			4,091			40.8

Rating 9		6,174			435		2.7			21.0			3,430			55.6

Rating 10		3,710			1,033		4.6			18.5			2,241			60.4

Rating 11		1,253			390		7.8			17.4			836			66.7

Rating 12		418			97		13.0			15.6			287			68.7

Rating 13		191			6		22.0			14.2			143			75.0

Impaired and defaulted²		1,473			9								1,561			106.0

Total 30.6.15		136,743	³		*13,822*		0.7	²		25.1	²		42,538	⁴		31.1

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets. ³ Includes exposures to managed funds with a regulatory net credit exposure of approximately CHF 38,963 million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. ⁴ Includes high volatility commercial real estate (HVCRE) exposures related to specialized lending secured by properties sharing higher volatilities in portfolio default rates (RWA: CHF 120 million as of 30 June 2015).



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure			of which: loan commitments		Average PD in %¹			Average LGD in %			RWA			Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		53,700			2,568		0.0			19.2			3,744			7.0

Rating 3		20,974			5,431		0.1			36.8			4,108			19.6

Rating 4		11,427			1,354		0.2			37.9			3,728			32.6

Rating 5		12,071			992		0.4			36.4			5,417			44.9

Sub-investment grade

Rating 6		13,741			708		0.6			26.9			6,114			44.5

Rating 7		12,287			500		1.0			22.8			5,424			44.1

Rating 8		8,250			611		1.7			18.5			3,492			42.3

Rating 9		5,579			586		2.7			20.8			3,038			54.4

Rating 10		3,994			1,575		4.6			21.1			3,028			75.8

Rating 11		1,416			452		7.8			17.5			1,068			75.4

Rating 12		300			82		13.0			14.6			186			62.1

Rating 13		108			21		22.0			23.1			135			124.3

Impaired and defaulted²		1,552			4								1,645			106.0

Total 31.12.14		145,399	³		14,884		0.7	²		25.8	²		41,126	⁴		28.3

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets. Refer to the “Risk management and control” section of our Annual Report 2014 for impaired and defaulted figures. ³ Includes exposures to managed funds with a regulatory net credit exposure of approximately CHF 45,653 million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. ⁴ Includes high volatility commercial real estate (HVCRE) exposures related to specialized lending secured by properties sharing higher volatilities in portfolio default rates (RWA: CHF 159 million as of 31 December 2014).

Table 9d: Residential mortgages – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		37,982		167		0.0			10.6			687		1.8

Rating 3		16,615		47		0.1			11.0			621		3.7

Rating 4		17,340		50		0.2			11.2			1,160		6.7

Rating 5		15,133		49		0.4			11.4			1,622		10.7

Sub-investment grade

Rating 6		11,583		49		0.6			12.4			1,796		15.5

Rating 7		11,611		199		1.0			12.1			2,518		21.7

Rating 8		9,010		65		1.7			12.1			2,733		30.3

Rating 9		5,736		22		2.7			11.3			2,379		41.5

Rating 10		3,145		13		4.6			10.9			1,741		55.4

Rating 11		1,454		6		7.8			10.8			1,051		72.3

Rating 12		587		4		13.0			10.8			516		87.9

Rating 13		223		3		22.0			11.1			230		103.4

Impaired and defaulted²		509		0								540		106.0

Total 30.6.15		130,928		*674*		0.8	²		11.3	²		17,596		13.4

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		37,281		156		0.0			10.6			579		1.6

Rating 3		16,673		45		0.1			11.0			540		3.2

Rating 4		17,109		48		0.2			11.2			995		5.8

Rating 5		15,197		47		0.4			11.4			1,433		9.4

Sub-investment grade

Rating 6		11,824		60		0.6			12.4			1,658		14.0

Rating 7		12,011		236		1.0			12.0			2,331		19.4

Rating 8		9,318		57		1.7			12.1			2,517		27.0

Rating 9		5,829		34		2.7			11.3			2,132		36.6

Rating 10		3,144		9		4.6			11.0			1,525		48.5

Rating 11		1,452		13		7.8			10.8			909		62.6

Rating 12		581		4		13.0			10.8			443		76.3

Rating 13		224		5		22.0			11.0			199		89.1

Impaired and defaulted²		477										506		106.0

Total 31.12.14		131,121		714		0.8	²		11.3	²		15,767		12.0

Table 9e: Lombard lending – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		59,044		205		0.0			20.0			1,467		2.5

Rating 3		38,317		65		0.1			20.0			1,568		4.1

Rating 4		2,999		3		0.2			20.0			179		6.0

Rating 5		6,819		7		0.4			20.0			832		12.2

Sub-investment grade

Rating 6		2,374		10		0.6			20.0			383		16.1

Rating 7		1,345		1		1.0			20.0			259		19.3

Rating 8		389		15		1.7			20.0			101		25.9

Rating 9		104				2.7			20.0			30		29.1

Rating 10		488		26		4.6			20.0			151		31.1

Rating 11		348		11		7.8			20.0			116		33.3

Rating 12

Rating 13

Impaired and defaulted²		11										11		106.0

Total 30.6.15		112,238		*343*		0.2	²		20.0	²		5,097		4.5

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		56,020		199		0.0			20.0			1,473		2.6

Rating 3		35,336		102		0.1			20.0			1,577		4.5

Rating 4		3,257		6		0.2			20.0			250		7.7

Rating 5		6,651		32		0.4			19.6			807		12.1

Sub-investment grade

Rating 6		3,007		2		0.6			20.0			520		17.3

Rating 7		1,463		1		1.0			20.0			315		21.6

Rating 8		358		11		1.7			20.2			111		31.0

Rating 9		38				2.7			20.0			11		29.1

Rating 10		503		28		4.6			20.0			156		31.0

Rating 11		398		11		7.8			20.0			132		33.3

Rating 12

Rating 13

Impaired and defaulted²		6										6		106.0

Total 31.12.14		107,036		393		0.2	²		20.0	²		5,359		5.0

Table 9f: Qualifying revolving retail exposures – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings

30.6.15

CHF million, except where indicated

Regulatory net
credit exposure

of which: loan
commitments

Average
PD in %¹

Average
LGD in %

RWA

Average risk
weight in %

Investment grade

Rating 0

Rating 1

Rating 2

Rating 3

Rating 4

Rating 5

Sub-investment grade

Rating 6

Rating 7

Rating 8

132

1.7

47.0

28.0

Rating 9

1,373

2.7

42.0

483

35.2

Rating 10

Rating 11

Rating 12

Rating 13

Impaired and defaulted²

106.0

Total 30.6.15

1,512

2.6

42.4

527

34.9

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments	Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2

Rating 3

Rating 4

Rating 5

Sub-investment grade

Rating 6

Rating 7

Rating 8		124			1.7			47.0			35		28.0

Rating 9		1,394			2.7			42.0			490		35.2

Rating 10

Rating 11

Rating 12

Rating 13

Impaired and defaulted²		7									7		106.0

Total 31.12.14		1,524			2.6	²		42.4	²		532		34.9

Table 9g: Other Retail – A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings



	30.6.15
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		152				0.0			17.8			6		3.9

Rating 3		25				0.1			17.0			1		4.0

Rating 4		5				0.2			7.8			0		3.2

Rating 5		8				0.4			12.1			1		8.1

Sub-investment grade

Rating 6		5				0.6			15.5			1		14.3

Rating 7		206				1.0			40.0			90		43.8

Rating 8		5				1.7			40.0			2		48.6

Rating 9		204		2		2.7			55.5			164		80.5

Rating 10		12				4.6			33.3			6		52.7

Rating 11		6				7.8			33.0			3		55.1

Rating 12		1				13.0			28.3			0		51.1

Rating 13

Impaired and defaulted²		7										8		106.0

Total 30.6.15		638		2		1.4	²		37.7	²		283		44.4

¹ Average PD for the internal rating categories are based on midpoint values. ² Weighted average PD and LGD exclude impaired and defaulted assets.



	31.12.14
CHF million, except where indicated	Regulatory net credit exposure		of which: loan commitments		Average PD in %¹			Average LGD in %			RWA		Average risk weight in %
Investment grade

Rating 0

Rating 1

Rating 2		146				0.0			18.0			7		4.8

Rating 3		63				0.1			18.4			3		4.3

Rating 4		7				0.2			12.4			0		5.1

Rating 5		10				0.4			11.3			1		7.3

Sub-investment grade

Rating 6		2				0.6			14.1			0		12.9

Rating 7		107				1.0			32.8			38		35.7

Rating 8		3				1.7			22.7			1		28.1

Rating 9		217		1		2.7			51.8			163		75.0

Rating 10		8				4.6			26.4			3		42.0

Rating 11		10				7.8			49.7			8		81.1

Rating 12		0				13.0			16.5			0		30.2

Rating 13

Impaired and defaulted²		8										9		106.0

Total 31.12.14		582		1		1.5	²		34.1	²		233		40.1

Standardized approach

The standardized approach is generally applied where it is not possible to use the A-IRB approach. The standardized approach requires banks to use risk assessments prepared by external credit assessment institutions (ECAI) or export credit agencies to determine the risk weightings applied to rated counterparties. We use FINMA-recognized ECAI risk assessments to determine

the risk weight for certain counterparties according to the BIS-defined exposure segments.

We use three FINMA-recognized ECAI for this purpose: Standard & Poor’s Ratings Group, Moody’s Investors Service and Fitch Ratings. The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its website.

Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized approach

This table provides a breakdown of the regulatory gross and net credit exposure by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.



CHF million	Total exposure											Total exposure
Risk weight	0%			>0–20%		21–50%		51–100%		over 100%		30.6.15		31.12.14

Regulatory gross credit exposure

Sovereigns		64,774			103		205		45		5		65,132		57,321

Banks					8,129		513		118				8,760		8,044

Corporates		2			4,996		966		16,027		21		22,012		21,065

Central counterparties		31,822	¹		39,947		364		92		543		72,768		54,291

Retail

Residential mortgages							5,662		269				*5,932*		6,038

Lombard lending

Qualifying revolving retail exposures

Other retail									2,244				*2,244*		2,377

Total 30.6.15		96,598			53,175		7,710		18,795		570		176,847

Total 31.12.14		86,387			35,861		9,823		16,823		243				149,136


Regulatory net credit exposure

Sovereigns		64,774			103		205		45		5		65,132		57,321

Banks					8,129		513		57				8,699		7,916

Corporates		2			4,996		958		9,671		21		15,648		15,899

Central counterparties		31,822	¹		35,746		364		92		543		68,567		54,291

Retail

Residential mortgages							5,662		268				*5,931*		6,038

Lombard lending

Qualifying revolving retail exposures

Other retail									2,243				*2,243*		2,376

Total 30.6.15		96,598			48,974		7,702		12,376		570		166,219

Total 31.12.14		86,387			35,859		9,705		11,662		228				143,841

¹ A risk weight of 0% is applied for trades UBS has entered into with central counterparties on behalf of its client and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client.

Table 10b: Regulatory net credit exposure under the standardized approach risk weighted using external ratings

This table provides a breakdown of the rated and unrated regulatory net credit exposure by ECAI and by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.



CHF million		Total exposure											Total exposure
Risk weight		0%			>0–20%		21–50%		51–100%		over 100%		30.6.15		31.12.14

Regulatory net credit exposure¹

Sovereigns	Rated²		64,736			103		205		0		5		65,049		57,249
	Unrated		39							45				83		72

Banks	Rated²					4,389		21		14				4,424		3,720
	Unrated					3,740		492		43				4,275		4,196

Corporates	Rated²					4,996		958		54		4		6,012		7,038
	Unrated		2							9,618		17		9,637		8,861

Central counterparties	Rated²		4,282	³		1,774								6,056		196
	Unrated⁴		27,540	³		33,972		364		92		543		62,511		54,095

Retail	Rated²
	Unrated							5,662		2,511				8,174		8,414

Total 30.6.15			96,598			48,974		7,702		12,376		570		166,219

Total 31.12.14			86,387			35,859		9,705		11,662		228				143,841

¹ For a breakdown of securitization exposures by risk weight bands and rating clusters refer to tables 27a to 27c (banking book) and 31a to 31c (trading book) of this report. ² We use three FINMA recognized ECAI for this purpose: Standard & Poor’s Ratings Group, Moody’s Investors Service and Fitch Ratings. ³ A risk weight of 0% is applied for trades UBS has entered into with central counterparties on behalf of its client and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client. ⁴ In accordance with the regulations based on the Basel III framework, external ratings are not used for the risk weighting of trades with qualifing central counterparties.

Table 11: Eligible financial collateral recognized under standardized approach

This table provides a breakdown of the financial collateral eligible for recognition in the regulatory capital calculation under the standardized approach, according to BIS-defined exposure segments.

CHF million

Regulatory net credit exposure
under standardized approach

Eligible financial collateral
recognized in capital calculation¹

30.6.15

31.12.14

30.6.15

31.12.14

Exposure segment

Sovereigns

65,132

57,321

Banks

8,699

7,916

1,058

1,662

Corporates

15,648

15,899

8,408

6,604

Central counterparties

68,567

54,291

29,824

9,465

Retail

Residential mortgages

5,931

6,038

Lombard lending

Qualifying revolving retaill exposures

Other retail

2,243

2,376

Total

166,219

143,841

39,331

17,752

¹ Reflects the impact of the application of regulatory haircuts for exposures not covered under an internal exposure model. The eligible financial collateral recognized in the capital calculation is based on the difference between the regulatory gross credit exposure and the regulatory net credit exposure.

Impairment, default and credit loss

The “Risk management and control” section and “Note 12 Allowances and provisions for credit losses” in the “Financial information” section of our Annual Report 2014 provide additional information on the impaired, default and credit loss-related disclosures.

Table 12: Impaired assets by geographical region

This table shows a breakdown by region of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses. Impaired asset exposures include loans, guarantees, loan commitments and securities financing transactions.



CHF million	Impaired assets		Specific allowances and provisions			Impaired assets net of specific allowances and provisions		Collective allowances and provisions			Total allowances and provisions 30.6.15			Total allowances and provisions 31.12.14
Asia Pacific		51		(38	)		13		0			(38	)		(38	)

Latin America		20		(17	)		2		0			(17	)		(19	)

Middle East and Africa		11		(6	)		6		0			(6	)		(22	)

North America		67		(46	)		21		(1	)		(47	)		(50	)

Switzerland		924		(378	)		546		(4	)		(382	)		(411	)

Rest of Europe		230		(156	)		74		0			(156	)		(194	)

Total 30.6.15		1,303		(640	)		663		(6	)		(646	)

Total 31.12.14		1,396		(727	)		668		(8	)					(735	)

Table 13: Impaired assets by exposure segment

This table provides a breakdown by exposure segment of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses.



CHF million	Impaired assets		Specific allowances and provisions			Collective allowances and provisions			Total allowances and provisions 30.6.15			Write-offs for the six-month period ended 30.6.15			Total allowances and provisions 31.12.14
Sovereigns		13		(10	)		0			(10	)		0			(11	)

Banks		7		(6	)		0			(6	)		0			(15	)

Corporates		1,024		(505	)		0			(505	)		(97	)		(560	)

Central counterparties		0		0			0			0			0			0

Retail

Residential mortgages		130		(38	)		0			*(38*	)		0			(38	)

Lombard lending		54		(49	)		0			*(49*	)		(1	)		(54	)

Qualifying revolving other retail exposures		23		(16	)		0			*(16*	)		(12	)		(16	)

Other retail		52		(16	)		(1	)		*(17*	)		(1	)		(36	)

Not allocated segment¹		0		0			(4	)		(4	)		0			(5	)

Total 30.6.15		1,303		(640	)		(6	)		(646	)		(112	)

Total 31.12.14		1,396		(727	)		(8	)					(154	)		(735	)

¹ With the exception of Wealth Management Americas lombard lending, collective loan loss allowances are not allocated to individual counterparties.

Table 14: Changes in allowances and provisions

This table provides a breakdown of movements in the specific and collective allowances and provisions for credit losses for impaired assets.

Refer to “Note 12 Allowances and provisions for credit losses” in the “Financial information” section of our Annual Report 2014 for more information



CHF million	Specific allowances and provisions for banking products and securities financing			Collective allowances			For the six-month period ended 30.6.15			For the year ended 31.12.14
Balance at the beginning of the period		727			8			735			750

Write-offs/usage of provisions		(111	)		(1	)		(112	)		(154	)

Recoveries		27			0			28			29

Increase/(decrease)		30			(1	)		29			78

Foreign currency translations		(31	)		0			(31	)		21

Other		(3	)					(3	)		11

Balance at the end of the period		640			6			646			735

Table 15: Total actual and expected credit losses

This table provides a breakdown by exposure segment of the actual credit (loss)/recovery amount (including credit valuation adjustments on derivatives) recognized in our income statement, as well as the corresponding expected loss. A comparison of our expected loss versus actual loss for 2015 will be provided in our full-year Basel III Pillar 3 disclosure to be included in our Annual Report 2015.

Refer to “Comparison of actual versus expected loss” in the “Risk management and control” section of our Annual Report 2014 for more information



	Actual loss¹			Expected loss			Actual loss¹
CHF million	For the six-month period ended 30.6.15			As of 31.12.13 for the year ended 31.12.14			For the year ended 31.12.14
Sovereigns					(2	)		(1	)

Banks		21			(39	)		(18	)

Corporates		(29	)		(189	)		(135	)

Central counterparties					0			0

Retail

Residential mortgages		(4	)		(111	)		1

Lombard lending		1			(30	)		12

Qualifying revolving other retail exposures		(1	)		(16	)		(5	)

Other retail		6			(5	)		(2	)

Not allocated segment²		5						15

Total gain (loss)		(1	)		(392	)		(133	)

¹ Reflects credit losses recognized in our IFRS income statement, including recoveries. Comparative figures for 31 December 2014 have been restated accordingly. ² Includes changes in collective loan loss allowances.

Derivatives credit risk

Table 16: Credit exposure of derivative instruments

This table provides an overview of our credit exposures arising from derivatives. Exposures are provided based on the balance sheet carrying values of derivatives as well as regulatory net credit exposures. The net balance sheet credit exposure differs from the regulatory net credit exposures because of differences in valuation methods, netting and collateral deductions used for accounting and regulatory capital purposes. Net current credit exposure is derived from gross positive replacement values

which reflect the balance sheet carrying values of derivatives after netting and eligible financial collateral, where an enforceable master netting agreement is in place. Regulatory net credit exposure is calculated using our internal models or the supervisory approach.

Refer to “Note 14 Derivative instruments and hedge accounting” in the “Financial information” section of our Annual Report 2014 for more information on derivative instruments



CHF million	30.6.15			31.12.14
Gross positive replacement values		173,681			256,978

Netting benefits recognized¹		(127,026	)		(198,744	)

Collateral held¹		(25,159	)		(30,794	)

of which: cash collateral		(21,416	)		(25,128	)

of which: non-cash collateral		(3,743	)		(5,666	)

Net current credit exposure		21,496			27,439


Regulatory net credit exposure (total counterparty credit risk)		76,187			82,961

of which: based on internal models (effective EPE)		*59,125*			68,917

of which: based on supervisory approaches (current exposure method)		*17,062*			14,044

¹ For the purpose of this disclosure, the amounts of financial instruments and cash collateral not set off in the balance sheet have been capped by relevant netting agreements so as not to exceed the net amount of financial assets presented on the balance sheet; i.e., over-collateralization, where it exists, is not reflected in the table.

Other credit risk information

Our credit derivatives trading is predominantly conducted on a collateralized basis. This means that our mark-to-market exposures arising from derivatives activities with collateralized counterparties are typically closed out in full or reduced to nominal levels on a regular basis by the use of collateral.

Derivatives trading with counterparties with high credit ratings is typically conducted under an International Swaps and Derivatives Association (ISDA) master netting agreement. Credit exposures to those counterparties from credit default swaps (CDS), together with exposures from other over-the-counter

(OTC) derivatives, are netted and included in the calculation of the collateral that is required to be posted. Trading with lower-rated counterparties, such as hedge funds, would generally require an initial margin to be posted by the counterparty.

We receive collateral from or post collateral to our counterparties based on our open net receivable or net payable from OTC derivative activities. Under the terms of the ISDA master netting agreement and similar agreements, this collateral, which generally takes the form of cash or highly liquid debt securities, is available to cover any amounts due under those derivative transactions.

Table 17: Credit derivatives

This table provides an overview of the notional amount of credit derivatives, including those used to manage risks within our banking and trading books. Notional amounts of credit derivatives do not include any netting benefits. For capital underpinning

of the counterparty credit risk of derivative positions, the effective EPE or exposure according to current exposure method is applied. Notional amounts are reported based on the regulatory scope of consolidation.



	Regulatory banking book						Regulatory trading book						Total
Notional amounts, CHF million	Protection bought		Protection sold		Total		Protection bought		Protection sold		Total		30.6.15		31.12.14
Credit default swaps		11,784		786		12,570		159,388		155,386		314,775		327,345		483,875

Total rate of return swaps		232				232		4,370		4,724		9,094		9,326		8,899

Options and warrants								4,277		52		4,330		4,330		8,028

Total 30.6.15		12,017		786		12,803		168,036		160,162		328,198		341,001

Total 31.12.14		13,970		751		14,722		248,849		237,231		486,080				500,802

Measured on a notional basis, our counterparties for buying and selling protection are mainly banks and, to a lesser extent, broker-dealers and central counterparties. In the first half of 2015, we saw a material reduction in notional exposures of CDS in the regulatory trading book, primarily with banks.

Refer to “Note 14 Derivative instruments and hedge accounting” in the “Financial information” section of our Annual Report 2014 for more information on credit derivatives by instrument and counterparty

Equity instruments in the banking book

The regulatory capital view for equity instruments in the banking book differs from the IFRS view, primarily due to the following:

–	Differences in the basis of valuation, for example financial investments available-for-sale are subject to fair value accounting under IFRS but for regulatory capital purposes have the “lower of cost or market” or “cost less impairment” concept applied.

–	Certain instruments which are held as debt investments on the IFRS balance sheet, mainly investment fund units, are treated as equity instruments for regulatory capital purposes.

–	Certain instruments which are held as trading portfolio assets on the IFRS balance sheet, but which are not part of the regulatory VaR framework, are included as equity instruments in the banking book for regulatory capital purposes.

–	Differences in the scope of consolidation.

Refer to the “Scope of regulatory consolidation” section of this report for more information

Table 18: Equity instruments in the banking book

The table below shows the different equity instruments categories held in the banking book with their amounts as recognized under IFRS, followed by the regulatory capital adjustment amount. This adjustment considers the abovementioned differences to IFRS resulting in the total regulatory equity instruments

exposure under the BIS framework, the corresponding RWA and the capital charge.

The table also shows net realized gains and losses and unrealized revaluation gains relating to equity instruments.



	As of
CHF million		30.6.15	31.12.14
Equity instruments

Financial investments available-for-sale		564	664

Investments in associates		908	927

Total equity instruments under IFRS		1,472	1,591

Regulatory capital adjustment¹		620	780

Total equity instruments under regulatory capital²		2,092	2,371

of which: to be risk weighted

publicly traded (risk weighted at 300%)		*141*	219

privately held (risk weighted at 400%)³		*863*	1,039

not deducted in application of threshold, but risk weighted at 250%		*736*	738

of which: deduction from common equity tier 1 capital⁴		352	375

RWA according to simple risk weight method⁵		4,326	4,735

Capital requirement according to simple risk weight method⁵		546	526

Total capital charge		898	901


Net realized gains/(losses) and unrealized gains from equity instruments		For the six months ended 30.6.15	For the year ended 31.12.14

Net realized gains/(losses) from disposals		75	80

Unrealized revaluation gains		220	285

of which: included in tier 2 capital		99	128

¹ Includes CHF 474 million of investment fund units treated as debt investments under IFRS as of 30 June 2015. ² Total equity instruments under regulatory capital of CHF 2,092 million, as of 30 June 2015, excluding CHF 408 million booked in trust entities (compensation and benefit vehicles) and CHF 352 million goodwill of investments in associates, i.e., CHF 1,331 million net EAD is also disclosed in the “Equity instruments in the banking book” line of “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets. ³ Includes CHF 408 million exposure booked in trust entites (compensation and benefit vehicles) that did not generate risk-weighted assets. ⁴ Under the Basel III framework, goodwill of investments in associates is deducted from common equity tier 1 capital. ⁵ The risk-weighted assets of CHF 4,326 million and the capital requirement of CHF 546 million, as of 30 June 2015, are also disclosed in the “Equity instruments in the banking book” line of “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.”

Market risk

The “Risk management and control” section of our quarterly and annual reports provides comprehensive information on market risk-related Pillar 3 disclosures.

Refer to “Market risk” in the “Risk management and control” section of our Annual Report 2014, as well as our first and second quarter 2015 reports for more information

Backtesting of VaR

For backtesting purposes, we compute backtesting VaR using a 99% confidence level and one-day holding period for the population included within regulatory VaR. The backtesting process compares backtesting VaR calculated on positions at the close of each business day with the revenues generated by those positions on the following business day. Backtesting revenues exclude non-trading revenues, such as fees and commissions and revenues from intraday trading, to ensure a like-for-like comparison. A backtesting exception occurs when backtesting revenues are negative and the absolute value of those revenues is greater than the previous day’s backtesting VaR.

We did not have any Group downside backtesting exceptions in the first six months of 2015. There were two downside

backtesting exceptions in the 12 months preceding the end of June 2015. The chart “Group: development of backtesting revenues against backtesting VaR” shows the development of backtest VaR against backtesting revenues of the Group for the first six months of 2015. The chart shows both the negative and positive tails of the backtest VaR distribution at 99% confidence intervals representing, respectively, the losses and gains that could potentially be realized over a one-day period at that level of confidence. The positive backtesting revenue in the chart in January 2015 resulted from the significant market volatility following the Swiss National Bank’s decision to discontinue the minimum targeted exchange rate for the Swiss franc versus the euro. Extreme market moves, particularly in foreign exchange markets, were observed far outside of the 99th percentile of the historical VaR time series.

The histogram “Investment Bank and Corporate Center – Non-core and Legacy Portfolio daily revenue distribution” shows the daily revenue distribution for the Investment Bank and Corporate Center – Non-core and Legacy Portfolio for the first six months of 2015. This includes, in addition to backtesting revenues, revenues such as commissions and fees, revenues from intraday trading and own credit.

Table 19: Group: backtesting regulatory value-at-risk (1-day, 99% confidence, 5 years of historical data)

This table shows the Group’s minimum, maximum, average and period-end regulatory backtesting VaR.



	For the six months ended 30.6.15				For the year ended 31.12.14
CHF million	Min.	Max.	Average	30.6.15	Min.	Max.	Average	31.12.14
Group	14	35	20	20	15	38	22	20


Chart 1: Group: development of backtesting revenues¹against backtesting Var² (1-day, 99% confidence)		Chart 2: Investment Bank and Corporate Center – Non-core and Legacy Portfolio daily revenue distribution¹

		¹ In addition to backtesting revenues, includes revenues such as commissions and fees, revenues from intraday trading, and own credit.
¹ Excludes non-trading revenues, such as commissions and fees, and revenues from intraday trading.
² Based on Basel III regulatory VaR, excludes CVA positions and their eligible hedges which are subject to the new standalone CVA charge.

Securitization

This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the Basel III framework. Securitized exposures are risk weighted, generally, based on their external ratings. This section also provides details of the regulatory capital requirement associated with these exposures.

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 different 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 or advise securitization programs. In line with the Basel III framework, sponsoring includes underwriting, that is, placing securities in the market. In all other cases, we act in the role of investor by taking securitization positions.

RWA attributable to securitization positions decreased to CHF 2.2 billion as of 30 June 2015 from CHF 3.9 billion as of 31 December 2014, mainly due to a decline of CHF 1.5 billion in Corporate Center – Non-core and Legacy Portfolio, predominantly from the sale of bond positions held as hedges against derivative exposures, as well as the sale of collateralized loan obligation bond positions.

Refer to “Note 30 Interests in subsidiaries and other entities” in the “Financial information” section of our Annual Report 2014 for more information on structured entities

Refer to “Corporate Center – Non-core and Legacy Portfolio” in the “Risk management and control” section of our Annual Report 2014 for more information on RWA by portfolio composition and exposure category

Table 20: Securitization/re-securitization

30.6.15

31.12.14

CHF million

Gross EAD

Net EAD

RWA

Capital

requirement

Gross EAD

Net EAD

RWA

Capital
requirement

Securitization/re-securitization in the banking book

5,125

1,273

161

9,048

2,650

295

CC – Non-core and Legacy Portfolio

1,418

757

4,735

2,028

226

Other business divisions¹

3,708

516

4,313

622

Securitization/re-securitization in the trading book

1,668

959

121

1,610

1,262

140

CC – Non-core and Legacy Portfolio

1,195

730

1,205

993

110

Other business divisions¹

474

229

405

268

¹ Mainly reflecting exposures in the Investment Bank.

Objectives, roles and involvement

Securitization in the banking book

Securitization positions held in the banking book include tranches of synthetic securitization of loan exposures and over-the-counter derivatives. These were primarily hedging transactions executed in 2014, 2013 and 2012 by synthetically transferring counterparty credit risk. In addition, securitization in the banking book includes legacy risk positions in Corporate Center – Non Core and Legacy portfolio. As of 30 June 2015, this portfolio consisted primarily of CDS positions referencing asset-backed securities (ABS) assets with related cash and synthetic hedges to mitigate the impact of directional movements.

In the first half of 2015, we acted in the roles of both originator and sponsor. As originator, we sold originated commercial mortgage loans into securitization programs. As sponsor, we managed or advised securitization programs and helped to place the securities in the market. Refer to “Table 21: Securitization activity for the period in the banking book” for an overview of our originating and sponsoring activities in the first half of 2015 and in full year 2014, respectively.

Securitization and re-securitization positions in the banking book are measured either at fair value or at amortized cost less impairment. The impairment assessment for a securitized position is generally based on the net present value of future cash flows expected from the underlying pool of assets.

Securitization in the trading book

Securitizations (including correlation products) held in the trading book are part of the trading activities, which typically include market-making and client facilitation. Included in the trading book are positions in our correlation book and legacy positions in leveraged super senior tranches. In the trading book, securitization and re-securitization positions are measured at fair value reflecting market prices where available or are based on our internal pricing models.

Type of structured entities and affiliated entities involved in the securitization transactions

For the securitization of third-party exposures, the type of structured entities employed is selected as appropriate based on the type of transaction undertaken. Examples include limited liability corporations, common law trusts and depositor entities.

We manage or advise significant groups of affiliated entities that invest in exposures we have securitized or in structured entities that we sponsor. Significant groups of affiliated entities include North Street, Brooklands/ELM, and East Street, which

are involved in the US, European and Asia Pacific reference-linked note programs, respectively.

Refer to “Note 30 Interests in subsidiaries and other entities” in the “Financial information” section of our Annual Report 2014 for more information on structured entities

Refer to the “Corporate Center” section of our second quarter 2015 report for more information on RWA by portfolio composition and exposure category

Managing and monitoring of the credit and market risk of securitization positions

The banking book securitization and re-securitization portfolio is subject to specific risk monitoring, which may include interest rate and credit spread sensitivity analysis, as well as inclusion in firm-wide earnings-at-risk, capital-at-risk and combined stress test metrics.

The trading book securitization and re-securitization positions are also subject to multiple risk limits in our Investment Bank, such as management VaR and stress limits as well as market value limits. As part of managing risks within pre-defined risk limits, traders may utilize hedging and risk mitigation strategies. Hedging may, however, expose the firm to basis risks as the hedging instrument and the position being hedged may not always move in parallel. Such basis risks are managed within the overall limits. Any retained securitization from origination activities and any purchased securitization positions are governed by risk limits together with any other trading positions. Legacy trading book securitization exposure is subject to the same management VaR limit framework. Additionally, risk limits are used to control the unwind, novation and asset sales process on an ongoing basis.

Regulatory capital treatment of securitization structures

Generally, in both the banking and trading book we apply the ratings-based approach to securitization positions using ratings, if available, from Standard & Poor’s Ratings Group, Moody’s Investors Service and Fitch Ratings for all securitization and re-securitization exposures. The selection of the External Credit Assessment Institutions (ECAI) is based on the primary rating agency concept. This concept is applied, in principle, to avoid that the credit assessment by one ECAI is applied for one or more tranches and another ECAI for the other tranches unless this is the result of the application of the specific rules for multiple assessments. If any two of the abovementioned rating agencies have issued a rating for a particular position, we would apply the lower credit rating of the two. If all three rating agencies have issued a rating for a particular position, we would

apply the middle credit rating of the three. Under the ratings-based approach, the amount of capital required for securitization and re-securitization exposures in the banking book is capped at the level of the capital requirement that would have been assessed against the underlying assets had they not been securitized. This treatment has been applied in particular to the US and European reference-linked note programs. For the purposes of determining regulatory capital and the Pillar 3 disclosure for these positions, the underlying exposures are reported under the standardized approach, the advanced internal ratings-based approach or the securitization approach, depending on the category of the underlying security. If the underlying security is reported under the standardized approach or the advanced internal ratings-based approach, the related positions are excluded from the tables on the following pages.

The supervisory formula approach is applied to synthetic securitizations of portfolios of counterparty credit risk inherent in derivatives and loan exposures for which an external rating was not sought. The supervisory formula approach is also applied to leveraged super senior tranches.

In the trading book, the comprehensive risk measure is used for the correlation portfolio as defined by Basel III requirements. This measure broadly covers securitizations of liquid corporate underlying assets as well as associated hedges that are not necessarily securitizations, for example, single-name credit default swaps and credit default swaps on indices.

We do not apply the concentration ratio approach or the internal assessment approach to securitization positions.

The counterparty risk of interest rate or foreign currency derivatives with securitization vehicles is treated under the advanced internal ratings-based approach and is therefore not part of this disclosure.

Accounting policies

Refer to “Note 1 Summary of significant accounting policies” in the “Financial information” section of our Annual Report 2014 for information on accounting policies that relate to securitization activities, primarily “Note 1a item 3 Subsidiaries and structured entities” and “Note 1a item 12 Securitization structures set up by UBS.”

We disclose our intention to securitize exposures as an originator, if assets are designated for securitization and a tentative pricing date for a transaction is known as of the balance sheet date or if a pricing of a transaction has been fixed. Exposures intended to be securitized continue to be valued in the same way until such time as the securitization transaction takes place.

Presentation principles

It is our policy to present Pillar 3 disclosures for securitization transactions and balances in line with the capital adequacy treatments which were applied under Pillar 1 in the respective period presented.

We do not amend comparative prior period numbers for presentational changes triggered by new and revised information from third-party data providers, as long as the updated information does not impact the Pillar 1 treatments of prior periods.

Good practice guidelines

On 18 December 2008, the European Banking Federation, the Association for Financial Markets in Europe, the European Savings Banks Group and the European Association of Public Banks and Funding Agencies published the “Industry good practice guidelines on Pillar 3 disclosure requirement for securitization.” These guidelines were slightly revised in 2009 and 2010, and were incorporated in this report.

Securitization exposures in the banking and trading book

Table 21 outlines the exposures measured as the transaction size we securitized at inception in the banking book in the first half of 2015 and in full year 2014. The activity is further broken down by our role (originator/sponsor) and by type (traditional/synthetic).

Amounts disclosed under the Traditional column of this table 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.

For securitization transactions where we acted as originator, exposures are split into two parts: those in which we have retained securitization positions and/or continue to be involved on an ongoing basis (for example credit enhancement or implicit support), and those in which we do not have retained securitization positions and/or have no further involvement.

Where we acted as both originator and sponsor to a securitization, originated assets are reported under Originator and the total amount of the underlying assets securitized is reported under Sponsor. As a result, as of 30 June 2015 and 31 December 2014, amounts of CHF 0.6 billion and CHF 2.9 billion, respectively, were included in “Table 21: Securitization activity for the period in the banking book” and “Table 22: Outstanding securitized exposures” under both Originator and Sponsor.

Table 21: Securitization activity for the period in the banking book

Originator

Sponsor

Traditional

Synthetic

Realized
gains/(losses)
on traditional
securitizations

Traditional

Synthetic

CHF million

Securitization
positions retained

No securitization
positions retained

Securitization
positions retained

No securitization
positions retained

Residential mortgages

Commercial mortgages

222

367

2,616

Credit card receivables

Leasing

Loans to
corporates or
small and medium-sized
enterprises

Consumer loans

Student loans

Trade receivables

Re-securitizations

Other

Total 30.6.15

222

367

2,616

Residential mortgages

Commercial mortgages

1,680

1,262

9,258

Credit card receivables

Leasing

Loans to
corporates or
small and medium-sized
enterprises

Consumer loans

Student loans

Trade receivables

Re-securitizations

Other

351

Total 31.12.14

1,680

1,262

351

9,258

Securitization activity for the period in the trading book

In the first half of 2015 and in full year 2014, we had no securitization activity in the trading book.

Table 22: Outstanding securitized exposures

This table outlines the outstanding transaction size of securitization exposures which we have originated/sponsored and retained securitization positions at the balance sheet date in the banking or trading book and/or are otherwise involved on an ongoing basis, for example through the provision of credit enhancement or implicit support.

Amounts disclosed under the Traditional column in this table reflect the total outstanding notes at par value issued by the securitization vehicle. For synthetic securitization transactions, we generally disclose the balance sheet carrying values

of the exposures securitized or, for hybrid structures, the outstanding notes at par value issued by the securitization vehicle.

The table also includes securitization activities conducted in the first half of 2015 and in full year 2014 in which we retained/purchased positions. These can also be found in “Table 21: Securitization activity for the period in the banking book.” Where no positions were retained, the outstanding transaction size is only disclosed in the year of inception for originator transactions.

All values in this table are as of the balance sheet date.



	Banking book								Trading book¹
	Originator				Sponsor				Originator				Sponsor
CHF million	Traditional		Synthetic		Traditional		Synthetic		Traditional		Synthetic		Traditional²		Synthetic
Residential mortgages						1,273				1,053				4,894

Commercial mortgages		589				19,281								4,662

Credit card receivables

Leasing						249

Loans to corporates or small and medium-sized enterprises

Consumer loans

Student loans						360								640

Trade receivables

Re-securitizations				45								993		1,759

Other				4,683		406

Total 30.6.15		589		4,728		21,568		0		1,053		993		11,956		0


Residential mortgages										1,008				7,307

Commercial mortgages		2,942				17,234								2,437

Credit card receivables

Leasing						282

Loans to corporates or small and medium-sized enterprises

Consumer loans

Student loans						405								742

Trade receivables

Re-securitizations				243		1,106				199		1,057

Other				7,306		463

Total 31.12.14		2,942		7,549		19,489		0		1,207		1,057		10,487		0

¹ In line with our disclosure principles, we disclose the UBS originated and sponsored deals only where the positions result in an RWA or capital deduction under Pillar 1. ² This disclosure excludes sponsor-only activity where we do not retain a position. In such cases, we advised the originator or placed securities in the market for a fee, and this activity did not otherwise impact our capital.

Table 23: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book

This table provides a breakdown of the outstanding impaired or past due exposures at the balance sheet date as well as losses recognized in our income statement for transactions in which we acted as originator or sponsor in the banking book. Losses are reported after taking into account the offsetting effects of any credit protection from eligible risk mitigation instruments under the Basel III framework for the retained or purchased positions.

Where we did not retain positions, impaired or past due information is only reported in the year of inception of a transaction. Where available, past due information is derived from investor reports. Past due is generally defined as delinquency above 60 days. Where investor reports do not provide this information, alternative methods have been applied, which may include an assessment of the fair value of the retained position or reference assets, or identification of any credit events.



	30.6.15								31.12.14
	Originator				Sponsor				Originator				Sponsor
CHF million	Impaired or past due in securitized exposures		Recognized losses in income statement		Impaired or past due in securitized exposures		Recognized losses in income statement		Impaired or past due in securitized exposures		Recognized losses in income statement		Impaired or past due in securitized exposures		Recognized losses in income statement
Residential mortgages						11										0

Commercial mortgages						42		1						30

Credit card receivables

Leasing																0

Loans to corporates or small and medium-sized enterprises

Consumer loans

Student loans						6								8

Trade receivables

Re-securitizations

Other												6

Total		0		0		60		1		0		6		38		1

Table 24: Exposures intended to be securitized in the banking and trading book

This table provides the amount of exposures by exposure type we intend to securitize in the banking and trading book. We disclose our intention to securitize exposures as an originator if assets are designated for securitization and a tentative pricing date for a transaction is known at the balance sheet date or if a pricing of a transaction has been fixed.

30.6.15

31.12.14

CHF million

Banking book

Trading book

Banking book

Trading book

Residential mortgages

Commercial mortgages

307

144

Credit card receivables

Leasing

Loans to corporates or small and
medium-sized enterprises

Consumer loans

Student loans

Trade receivables

Re-securitizations

Other

Total

307

144

Table 25: Securitization positions retained or purchased in the banking book

This table provides a breakdown of securitization positions we retained or purchased in the banking book, irrespective of our role in the securitization transaction. The value disclosed is the net exposure amount at default subject to risk-weighting at the balance sheet date.



	30.6.15						31.12.14
CHF million	On balance sheet		Off balance sheet¹		Total		On balance sheet		Off balance sheet¹		Total
Residential mortgages		383				383		499				499

Commercial mortgages		15				15		31				31

Credit card receivables

Leasing		1				1		1				1

Loans to corporates or small and medium-sized enterprises		0				0		173				173

Consumer loans		1				1		1				1

Student loans		167				167		402				402

Trade receivables

Re-securitizations		12		0		12		452		39		492

Other²		4,546				4,546		7,449				7,449

Total³		5,125		0		5,125		9,009		39		9,048

¹ Synthetic long exposures through sold CDS positions are classified as off balance sheet exposures. ² “Other” primarily includes securitization of portfolios of counterparty credit risk in over-the-counter (OTC) derivatives and loan exposures. ³ The total exposure of CHF 5,125 million as of 30 June 2015 is also disclosed in “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets” in line “Securitization/re-securitization in the banking book.”

Table 26: Securitization positions retained or purchased in the trading book

This table provides a breakdown of securitization positions we purchased or retained in the trading book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction. Gross long and gross short amounts reflect the positions prior to the eligible offsetting of cash and derivative positions. Net long and net short amounts

are the result of offsetting cash and derivative positions to the extent eligible under the Basel III framework. The amounts disclosed are either the fair value or, in the case of derivative positions, the aggregate of the notional amount and the associated replacement value at the balance sheet date.



	Cash positions				Derivative positions				Total
CHF million	Gross long		Gross short		Gross long		Gross short		Net long		Net short		Net Total^1,2
Residential mortgages		9		2		376		486		6		23		28

Commercial mortgages		259		0		1,276		1,298		435		30		465

Credit card receivables

Leasing

Loans to corporates or small and medium-sized enterprises

Consumer loans

Student loans

Trade receivables

Re-securitizations		23		1		78		23		14		1		15

Other		3		0		201		192		12				12

Total 30.6.15		294		4		1,931		1,998		467		54		521


Residential mortgages		14		3		481		633		16		45		61

Commercial mortgages		238				1,299		1,332		427		6		433

Credit card receivables

Leasing

Loans to corporates or small and medium-sized enterprises

Consumer loans

Student loans

Trade receivables

Re-securitizations		28		1		106		39		15		4		18

Other		3		0		203		203		3				3

Total 31.12.14		283		4		2,090		2,208		461		55		515

¹ Since 1 January 2014, both net long and net short positions are underpinned in the trading book and EAD capped at maximum possible loss. ² 30 June 2015 does not include CHF 1,147 million related to leveraged super senior tranches treated under the supervisory formula approach which are reported in “Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating clusters-trading book.” Including these exposures, net total exposures were CHF 1,668 million, which equals the gross and net exposure of securitization/re-securitization in the trading book disclosed in “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.”

Table 27a: Capital requirement for securitization/re-securitization positions retained or purchased in the banking book

Tables 27a to 27c provide the capital requirements for securitization and re-securitization positions we purchased or retained in the banking book, irrespective of our role in the securitization transaction, split by risk weight bands and regulatory capital approach.

We use three FINMA-recognized ECAI for this purpose: Standard & Poor’s Ratings Group, Moody’s Investors Service and Fitch Ratings.



	30.6.15										31.12.14
	Ratings-based approach				Supervisory formula approach						Ratings-based approach				Supervisory formula approach
CHF million	Securitiza- tion		Re- securitiza- tion		Securitiza- tion		Re- securitiza- tion		Total		Securitiza- tion		Re- securitiza- tion		Securitiza- tion		Re- securitiza- tion		Total
over 0–20%		12				37				49		20		16		45				81

over 20–35%		2		0		3				5		5		2		53				60

over 35–50%		0		0						0		6		18						24

over 50–75%		7		0						7		11		0						11

over 75–100%		15								15		7								7

over 100–250%		1		0						1		6		0						6

over 250–1,249%		0		0						0		5		1						6

1,250% rated		31		18						48		34		10						44

1,250% unrated		0				34				34		16		2		37				55

Total¹		69		18		74		0		161		110		49		135		0		295

¹ Refer to “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.” On 30 June 2015, CHF 5,125 million banking book securitization RWA translated to an overall capital requirement of CHF 161 million.

Table 27b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – banking book


	30.6.15				31.12.14
CHF million	Exposure amount		Capital requirement		Exposure amount		Capital requirement
AAA		203		3		223		4

AA		290		6		917		27

A+		32		1		54		1

A		107		3		335		8

A–		46		2		119		5

BBB+		3		0		121		10

BBB		86		7		126		11

BBB–		111		15		69		12

BB+		3		1		26		10

BB		0		0		9		5

BB–		0		0		6		6

Below BB–/unrated		31		49		44		62

Total		913		87		2,050		159

Table 27c: Securitization/re-securitization exposures treated under the supervisory formula approach by risk-weight clusters – banking book


	30.6.15				31.12.14
CHF million	Exposure amount		Capital requirement		Exposure amount		Capital requirement
over 0–20%		4,058		37		5,190		45

over 20–35%		132		3		1,782		53

1,250%		22		34		27		37

Total		4,212		74		6,998		135

Gains on sale – securitization exposures to be deducted from Basel III tier 1 capital

In the first half of 2015 and in full year 2014, we have not retained any significant exposures relating to securitization for which we have recorded gains on sale requiring deduction from Basel III tier 1 capital.

Securitization exposures subject to early amortization in the banking and trading book

In the first half of 2015 and in full year 2014, we had no securitization structures in the banking and trading book that are subject to early amortization treatment.

Table 28: Re-securitization positions retained or purchased in the banking book

The table below shows the total of re-securitization positions (cash as well as synthetic) held in the banking book, broken down into positions for which credit risk mitigation has been recognized and those for which no credit risk mitigation has been recognized. Credit risk mitigation includes protection bought by entering into credit derivatives with third-party protection sellers, as well as financial collateral received. Both

bought credit protection and financial collateral must be eligible under the Basel III framework. In the first half of 2015 and in full year 2014, no credit risk mitigation has been recognized for re-securitization positions (cash as well as synthetic) held in the banking book. As of 30 June 2015, none of the retained or purchased banking book re-securitization positions had an integrated insurance wrapper.



CHF million	With credit risk mitigation		Without credit risk mitigation		Total
Total 30.6.15		0		12		12

Total 31.12.14		0		492		492

Table 29: Re-securitization positions retained or purchased in the trading book

The table below outlines re-securitization positions retained or purchased subject to the securitization framework for specific market risk held in the trading book on a gross long and gross short basis, including synthetic long and short positions resulting from derivative transactions. It also includes positions on a

net long and net short basis, that is, gross long and short positions after offsetting to the extent it is eligible under the Basel III framework. As of 30 June 2015, none of the retained or purchased trading book re-securitization positions had an integrated insurance wrapper.



CHF million	Gross long		Gross short		Net long		Net short
Total 30.6.15		102		24		14		1

Total 31.12.14		134		41		15		4

Outstanding notes issued by securitization vehicles related to UBS’s retained exposures subject to the market risk approach

The information presented in table 26 in our Annual Report 2014 is now located within the “Trading Book” information in “Table 22: Outstanding securitized exposures” in this report.

In the first half of 2015 and in full year 2014, there was no origination activity for securitization vehicles in the trading book.

Table 30: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk

This table outlines products in the correlation portfolio that we retained or purchased in the trading book, irrespective of our role in the securitization transaction. They are subject to either the comprehensive risk measure or the securitization framework for specific risk. Correlation products subject to the securitization framework are leveraged super senior positions. The values

disclosed are market values for cash positions, replacement values and notional values for derivative positions. Derivatives are split by positive replacement value and negative replacement value. The decrease in notional values related to positive and negative replacement values resulted mainly from trades maturing during the year, as well as from trade terminations.

Cash positions

Derivative positions

30.6.15

Assets

Liabilities

Assets

Liabilities

CHF million

Market value

Positive
replacement
value

Positive
replacement
value notionals

Negative
replacement
value

Negative
replacement
value notionals

Positions subject to comprehensive risk measure

112

531

2,083

340

3,157

Positions subject to securitization framework¹

2,658

31.12.14

Positions subject to comprehensive risk measure

137

609

254

4,019

627

5,610

Positions subject to securitization framework¹

3,095

¹ Includes leveraged super senior tranches.

Table 31a: Securitization positions and capital requirement for trading book positions subject to the securitization framework

Tables 31a to 31c outline securitization positions we purchased or retained and the capital requirement in the trading book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction, broken

down by risk weight bands and regulatory capital approach. The amounts disclosed for securitization positions are market values at the balance sheet date after eligible netting under the Basel III framework.



	30.6.15									31.12.14
	Ratings-based approach									Ratings-based approach
CHF million	Net long		Net short		Net Total		Capital requirement			Net long		Net short		Net Total		Capital requirement
over 0–20%		360		25		385		6			346		0		347		5

over 20–35%		57		0		57		2			51				51		2

over 35–50%		2		0		2		0			17		0		18		1

over 50–75%		5		0		5		0			8		3		11		1

over 75–100%		6		5		10		2			0		6		6		1

over 100–250%		1				1		0			8				8		2

over 250–1,249%		0				0		1					0		0		0

1,250% rated		6		29		35		55			13		42		55		76

1,250% unrated		21		4		25		26			18		2		20		28

Total¹		458		63		521		92	²		461		55		516		116

¹ Leveraged super senior tranches (subject to the securitization framework) are not included in this table, but disclosed in “Table 30: Correlation products subject to the comprehensive risk measure or the securitization framework for specific risk.” ² The capital requirement of CHF 121 million as of 30 June 2015 disclosed in “Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets” in line “Securitization/re-securitization in the trading book” is comprised of the total ratings-based approach charge of CHF 92 million and CHF 29 million capital requirement for leveraged super senior tranches as disclosed in “Table 32: Capital requirement for securitization positions related to correlation products.”

Table 31b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters – trading book



	30.6.15				31.12.14
CHF million	Exposure amount		Capital requirement		Exposure amount		Capital requirement
AAA		385		6		301		4

AA		19		1		60		1

A+

A		6		0		12		1

A–		38		2		35		1

BBB+		2		0		14		1

BBB						4		0

BBB–		10		1		6		1

BB+		0		0		8		2

BB		1		1		0		0

BB–

Below BB–/unrated		60		81		75		104

Total		521		92		515		116

Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by risk weight clusters – trading book



	30.6.15				31.12.14
CHF million	Exposure amount		Capital requirement		Exposure amount		Capital requirement
over 0–20%		1,147		29		1,095		24

Total		1,147		29		1,095		24

Table 32: Capital requirement for securitization positions related to correlation products

This table outlines the capital requirement for securitization positions in the trading book for correlation products, including positions subject to comprehensive risk measure and positions related to leveraged super senior positions and certain re-securitized corporate credit exposures positions subject to the securitization framework. Our model does not distinguish between

“default risk,” “migration risk” and “correlation risk.” The capital requirement for positions subject to the comprehensive risk measure declined due to the execution of a series of risk transfers to exit the majority of the correlation trading portfolio market risk.



	Capital requirement
CHF million	30.6.15		31.12.14
Positions subject to comprehensive risk measure		13		15

Positions subject to securitization framework¹		29		24

Total		42		39

¹ Leveraged super senior tranches.

Balance sheet reconciliation

Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation

The table below provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by BIS and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded

and referenced where relevant to display all components that are used in “Table 34: Composition of capital.”

Refer to the “Introduction” section of this report for more information



	Balance sheet in accordance with IFRS scope of consolidation		Effect of deconsolidated entities for regulatory consolidation			Effect of additional consolidated entities for regulatory consolidation		Balance sheet in accordance with regulatory scope of consolidation		References¹
CHF million	30.6.15
Assets

Cash and balances with central banks		84,646							84,646

Due from banks		13,343		(288	)				13,056

Cash collateral on securities borrowed		27,689							27,689

Reverse repurchase agreements		60,848							60,848

Trading portfolio assets		128,476		(17,286	)				111,190

Positive replacement values		173,681		25					173,707

Cash collateral receivables on derivative instruments		24,842							24,842

Financial assets designated at fair value		5,425							5,425

Loans		313,852		106					313,958

Financial investments available-for-sale		66,771		(80	)				66,691

Consolidated participations		0		202					202

Investments in associates		908							908

of which: goodwill		*352*							352		4

Property, equipment and software		7,050		(86	)				6,964

Goodwill and intangible assets		6,242							6,242

of which: goodwill		*5,885*							5,885		4

of which: intangible assets		*357*							357		5

Deferred tax assets		10,000		(1	)				9,999

of which: deferred tax assets recognized for tax loss carry-forwards		*5,907*		(1	)				5,906		9

of which: deferred tax assets on temporary differences		*4,093*							4,093		12

Other assets		26,394		(90	)		1		26,266

of which: goodwill related to assets of disposal group held for sale		27							27		4

Total assets		950,168		(17,537	)		2		932,633

¹ References link respective lines of this table to the respective reference numbers provided in the column “References” in “Table 34: Composition of capital.”

Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)



	Balance sheet in accordance with IFRS scope of consolidation			Effect of deconsolidated entities for regulatory consolidation			Effect of additional consolidated entities for regulatory consolidation			Balance sheet in accordance with regulatory scope of consolidation			References¹
CHF million	30.6.15
Liabilities

Due to banks		13,270			(51	)					13,220

Cash collateral on securities lent		10,652									10,652

Repurchase agreements		13,032									13,032

Trading portfolio liabilities		32,181			(10	)					32,171

Negative replacement values		171,202			103						171,305

Cash collateral payables on derivative instruments		38,603									38,603

Financial liabilities designated at fair value		66,366			14						66,380

Due to customers		377,054			139						377,192

Debt issued		100,558			(22	)					100,536

of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital²		1,158									1,158			13

of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital²		2,145									2,145			13

of which: amount eligible for low-trigger loss-absorbing tier 2 capital³		9,613									9,613			7

of which: amount eligible for capital instruments subject to phase-out from tier 2 capital⁴		1,798									1,798			8

Provisions		3,594			(1	)					3,593

Other liabilities		70,402			(17,632	)		1			52,771

of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))⁵		*855*									855			13

Total liabilities		896,915			(17,460	)		1			879,456

Share capital		375			(1	)		1			375			1

Share premium		31,005									31,005			1

Treasury shares		(1,624	)								(1,624	)		3

Retained earnings		25,704			(205	)					25,499			2

Other comprehensive income recognized directly in equity, net of tax		(5,249	)		128			(1	)		(5,121	)		3

of which: unrealized gains/(losses) from cash flow hedges according to regulatory scope of consolidation⁶		1,626									1,626			11

Equity attributable to UBS Group AG shareholders		50,211			(78	)		0			50,134

Equity attributable to non-controlling interests		3,042			1						3,043			3, 6

Total equity		53,253			(77	)		0			53,177

Total liabilities and equity		950,168			(17,537	)		2			932,633

¹ References link respective lines of this table to the respective reference numbers provided in the column “References” in “Table 34: Composition of capital.” ² Represents IFRS book value. ³ IFRS book value is CHF 9,625 million. ⁴ IFRS book value is CHF 3,754 million. ⁵ IFRS book value is CHF 977 million. Refer to the “Compensation” section of our Annual Report 2014 for more information on DCCP. 6 IFRS value is CHF 1,589 million, excluding non-controlling interests in UBS AG.

Composition of capital

Table 34: Composition of capital

The table below provides the “Composition of capital” as defined by BIS and FINMA. The naming convention does not always reflect UBS’s naming convention used in our external reports. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in “Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.” Where relevant, the effect of phase-in arrangements is disclosed as well.

Refer to the “Capital management” section of our second quarter 2015 report for more information on phase-in arrangements

An overview of the main features of our regulatory capital instruments, as well as the full terms and conditions, are published in the “Bondholder information” section of our Investor Relations website.

Refer to “Bondholder information” at www.ubs.com/investors for more information on the capital instruments of UBS Group AG and UBS AG on a consolidated and on a standalone basis



		Phase-in amounts			Effect of the transition phase			References¹
CHF million, except where indicated		30.6.15			30.6.15
1	Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus		31,381						1

2	Retained earnings		25,499						2

3	Accumulated other comprehensive income (and other reserves)		(6,746	)					3

4	Directly issued capital subject to phase-out from common equity tier 1 capital (only applicable to non-joint stock companies)

5	Common share capital issued by subsidiaries and held by third parties (amount allowed in Group common equity tier 1 capital)		1,164						3

6	Common equity tier 1 capital before regulatory adjustments		51,298

7	Prudential valuation adjustments		(84	)

8	Goodwill, net of tax, less hybrid capital and additional tier 1 capital²		(2,486	)		(3,729	)		4

9	Intangible assets, net of tax²		(351	)					5

10	Deferred tax assets recognized for tax loss carry-forwards³		(2,525	)		(3,787	)		9

11	Unrealized (gains)/losses from cash flow hedges, net of tax		(1,626	)					11

12	Expected losses on advanced internal ratings-based portfolio less general provisions		(314	)

13	Securitization gain on sale

14	Own credit related to financial liabilities designated at fair value and replacement values, net of tax		(412	)

15	Defined benefit plans

16	Compensation and own shares-related capital components (not recognized in net profit)		(1,523	)

17	Reciprocal crossholdings in common equity

17a	Qualifying interest where a controlling influence is exercised together with other owners (CET instruments)

17b	Consolidated investments (CET1 instruments)

18	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold)

19	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)

20	Mortgage servicing rights (amount above 10% threshold)

21	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)		(115	)		(924	)		12

22	Amount exceeding the 15% threshold

23	of which: significant investments in the common stock of financials

24	of which: mortgage servicing rights

25	of which: deferred tax assets arising from temporary differences

26	Expected losses on equity investments treated according to the PD/LGD approach

26a	Other adjustments relating to the application of an internationally accepted accounting standard		(312	)

26b	Other deductions		(2,844	)					13

27	Regulatory adjustments applied to common equity tier 1 due to insufficient additional tier 1 and tier 2 to cover deductions

28	Total regulatory adjustments to common equity tier 1		(12,592	)		(8,441	)

29	Common equity tier 1 capital (CET1)		38,706			(8,441	)

¹ References link respective lines of this table to the respective reference numbers provided in the column “References” in “Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.” ² The CHF 6,215 million (CHF 2,486 million and CHF 3,729 million) reported in line 8 includes goodwill on investments in associates of CHF 352 million, DTL on goodwill of CHF 50 million and goodwill related to assets of disposal group held for sale of CHF 27 million reported in “Other assets” in table 33. The CHF 351 million reported in line 9 includes DTL on intangibles of CHF 5 million. ³ The CHF 6,312 million (CHF 2,525 million and CHF 3,787 million) deferred tax assets recognized for tax loss carry-forwards reported in line 10 differ from the CHF 5,907 million deferred tax assets shown in the line “Deferred tax assets” in table 33 because the latter figure is shown after the offset of deferred tax liabilities for cash flow hedge gains (CHF 423 million) and other temporary differences, which are adjusted out in line 11 and other lines of this table, respectively.

Table 34: Composition of capital (continued)



		Phase-in amounts			Effect of the transition phase			References¹
CHF million, except where indicated		30.6.15			30.6.15
30	Directly issued qualifying additional tier 1 instruments plus related stock surplus		3,777

31	of which: classified as equity under applicable accounting standards

32	of which: classified as liabilities under applicable accounting standards²		3,777						13

33	Directly issued capital instruments subject to phase-out from additional tier 1

34	Additional tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in Group additional tier 1)		1,840			(1,840	)		6

35	of which: instruments issued by subsidiaries subject to phase-out		1,840			(1,840	)

36	Additional tier 1 capital before regulatory adjustments		5,616			(1,840	)

37	Investments in own additional tier 1 instruments

38	Reciprocal crossholdings in additional tier 1 instruments

38a	Qualifying interest where a controlling influence is exercised together with other owners (AT1 instruments)

38b	Holdings in companies which are to be consolidated (additional tier1 instruments)

39	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)

40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

41	National specific regulatory adjustments		(3,729	)		3,729

42	Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions

	Tier 1 adjustments on impact of transitional arrangements		(3,729	)		3,729

	of which: prudential valuation adjustment

	of which: own CET1 instruments

	of which: goodwill net of tax, offset against hybrid capital and loss-absorbing capital		(3,729	)		3,729

	of which: intangible assets (net of related tax liabilities)

	of which: gains from the calculation of cash flow hedges

	of which: IRB shortfall of provisions to expected losses

	of which: gains on sales related to securitization transactions

	of which: gains/losses in connection with own credit risk

	of which: investments

	of which: expected loss amount for equity exposures under the PD/LGD approach

	of which: mortgage servicing rights

42a	Excess of the adjustments which are allocated to the common equity tier 1 capital

43	Total regulatory adjustments to additional tier 1 capital		(3,729	)		3,729

44	Additional tier 1 capital (AT1)		1,887			1,889

45	Tier 1 capital (T1 = CET1 + AT1)		40,593			(6,552	)

46	Directly issued qualifying tier 2 instruments plus related stock surplus³		10,537						7

47	Directly issued capital instruments subject to phase-out from tier 2		1,831			(1,831	)		8

48	Tier 2 instruments (and CET1 and additional tier 1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Group tier 2)

49	of which: instruments issued by subsidiaries subject to phase-out

50	Provisions

51	Tier 2 capital before regulatory adjustments		12,368			(1,831	)

52	Investments in own tier 2 instruments		(38	)		33			7, 8

53	Reciprocal cross holdings in tier 2 instruments

53a	Qualifying interest where a controlling influence is exercised together with other owners (tier 2 instruments)

53b	Investments to be consolidated (tier 2 instruments)

54	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above the 10% threshold)

55	Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

¹ References link respective lines of this table to the respective reference numbers provided in the column “References” in “Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.” ² CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF 1,158 million and CHF 2,145 million recognized in the line “Debit issued” in table 33, CHF 855 million DCCP recognized in the line “Other liabilities” in table 33 and CHF 536 million recognized in DCCP-related charges for regulatory capital purposes in the line 26b “Other deductions” of this table. ³ The CHF 10,537 million in the line 46 includes CHF 9,613 million low-trigger loss-absorbing tier 2 capital recognized in line “Debt issue” in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in line 52 and high-trigger loss-absorbing capital of CHF 918 million reported in line 58 of this table.

Table 34: Composition of capital (continued)



		Phase-in amounts			Effect of the transition phase			References¹
CHF million, except where indicated		30.6.15			30.6.15
56	National specific regulatory adjustments

56a	Excess of the adjustments which are allocated to the additional tier 1 capital

57	Total regulatory adjustments to tier 2 capital		(38	)		33

58	Tier 2 capital (T2)		12,329			(1,798	)

	of which: high-trigger loss-absorbing capital^{2, 3}		918						13

	of which: low-trigger loss-absorbing capital³		9,613						7

59	Total capital (TC = T1 + T2)		52,923			(8,350	)

	Amount with risk weight pursuant the transitional arrangement (phase-in)					(2,311	)

	of which: DTA on temporary differences, excess over threshold					(2,311	)

60	Total risk-weighted assets		212,088			(2,311	)

	Capital ratios and buffers

61	Common equity tier 1 (as a percentage of risk-weighted assets)		18.2

62	Tier 1 (Pos 45 as a percentage of risk-weighted assets)		19.1

63	Total capital (pos 59 as a percentage of risk-weighted assets)		25.0

64	CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of risk-weighted assets		7.5

65	of which: capital buffer requirement		2.9

66	of which: bank-specific countercyclical buffer requirement		0.2

67	of which: G-SIB buffer requirement

68	Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets)		17.2

68a–f	Not applicable for systemically relevant banks according to FINMA RS 11/2

72	Non significant investments in the capital of other financials		1,104

73	Significant investments in the common stock of financials		738

74	Mortgage servicing rights (net of related tax liability)

75	Deferred tax assets arising from temporary differences (net of related tax liability)		4,170

	Applicable caps on the inclusion of provisions in tier 2

76	Provisions eligible for inclusion in tier 2 in respect of exposures subject to standardized approach (prior to application of cap)

77	Cap on inclusion of provisions in tier 2 under standardized approach

78	Provisions eligible for inclusion in tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)

79	Cap for inclusion of provisions in tier 2 under internal ratings-based approach

¹ References link respective lines of this table to the respective reference numbers provided in the column “References” in “Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation.” ² CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF 1,158 million and CHF 2,145 million recognized in the line “Debit issued” in table 33, CHF 855 million DCCP recognized in the line “Other liabilities” in table 33 and CHF 536 million recognized in DCCP-related charge for regulatory capital purpose in the line 26b “Other deductions” of this table. ³ The CHF 10,537 million in the line 46 includes CHF 9,613 million low-trigger loss-absorbing tier 2 capital recognized in line “Debt issue” in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in the line 52 and high-trigger loss-absorbing capital of CHF 918 million reported in line 58 of this table.

Notice to investors | 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 2015 report and its Annual Report 2014 for additional information. These reports are available at www.ubs.com/investors.

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 based on rounded figures displayed in the tables and text and may not precisely reflect the percentages, percent changes and absolute variances that would be derived based on 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.

This Form 6-K is hereby incorporated by reference into (1) each of the registration statements of UBS AG on Form F-3 (Registration Number 333-204908) and of UBS Group AG on Form S-8 (Registration Numbers 333-200634; 333-200635; 333-200641; and 333-200665) and Form F-4 (Registration number 333-199011), and into each prospectus outstanding under any of the foregoing registration statements, (2) any outstanding offering circular or similar document issued or authorized by UBS AG that incorporates by reference any Form 6-K’s of UBS AG that are incorporated into its registration statements filed with the SEC, and (3) the base prospectus of Corporate Asset Backed Corporation (“CABCO”) dated June 23, 2004 (Registration Number 333-111572), the Form 8-K of CABCO filed and dated June 23, 2004 (SEC File Number 001-13444), and the Prospectus Supplements relating to the CABCO Series 2004-101 Trust dated May 10, 2004 and May 17, 2004 (Registration Number 033-91744 and 033-91744-05).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


UBS Group AG

By:		/s/ David Kelly
Name:		David Kelly
Title:		Managing Director

By:		/s/ Sarah M. Starkweather
Name:		Sarah M. Starkweather
Title:		Executive Director

UBS AG

By:		/s/ David Kelly
Name:		David Kelly
Title:		Managing Director

By:		/s/ Sarah M. Starkweather
Name:		Sarah M. Starkweather
Title:		Executive Director

Date: August 21, 2015

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