UBS UBS Group AG

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.”

Balance sheet in accordance with IFRS scope of consolidation

Effect of deconsolidated entities for regulatory consolidation

Effect of additional consolidated entities for regulatory consolidation

Balance sheet in accordance with regulatory scope of consolidation

References ¹

CHF million

30.9.15

Assets

Cash and balances with central banks

96,535

96,535

Due from banks

13,222

(286)

12,936

Cash collateral on securities borrowed

28,568

28,568

Reverse repurchase agreements

73,382

73,382

Trading portfolio assets

127,177

(17,077)

110,100

Positive replacement values

186,014

24

186,038

Cash collateral receivables on derivative instruments

27,032

27,032

Financial assets designated at fair value

5,230

5,230

Loans

312,321

107

312,429

Financial investments available-for-sale

61,677

(80)

61,596

Consolidated participations

0

202

202

Investments in associates

1,010

1,010

of which: goodwill

358

358

4

Property, equipment and software

7,358

(88)

7,271

Goodwill and intangible assets

6,441

6,441

of which: goodwill

6,097

6,097

4

of which: intangible assets

344

344

5

Deferred tax assets

11,669

(1)

11,668

of which: deferred tax assets recognized for tax loss carry-forwards

6,315

(1)

6,314

9

of which: deferred tax assets on temporary differences    

5,354

5,354

12

Other assets

22,109

(188)

1

21,883

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

27

27

4

Total assets

979,746

(17,425)

1

962,322

Liabilities

Due to banks

11,202

(53)

11,149

Cash collateral on securities lent

7,381

7,381

Repurchase agreements

17,373

17,373

Trading portfolio liabilities

35,184

35,184

Negative replacement values

179,657

99

179,756

Cash collateral payables on derivative instruments

40,791

0

40,791

Financial liabilities designated at fair value

62,081

23

62,104

Due to customers

385,808

38

385,846

Debt issued

102,731

(16)

102,715

of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital ²          

2,795

2,795

13

of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital ²       

2,308

2,308

13

of which: amount eligible for low-trigger loss-absorbing tier 2 capital ³

10,198

10,198

7

of which: amount eligible for capital instruments subject to phase-out from tier 2 capital ⁴

1,667

1,667

8

Provisions

4,097

(1)

4,096

Other liabilities

77,407

(17,429)

1

59,978

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

908

908

13

Total liabilities

923,712

(17,340)

1

906,374

Equity

Share capital

385

(1)

1

385

1

Share premium

31,004

0

31,004

1

Treasury shares

(1,643)

0

(1,643)

3

Retained earnings

28,353

(204)

0

28,148

2

Other comprehensive income recognized directly in equity, net of tax

(4,022)

119

(1)

(3,904)

3

of which: unrealized gains / (losses) from cash flow hedges according to regulatory scope of consolidation

2,056

2,056

11

Equity attributable to UBS Group AG shareholders

54,077

(86)

1

53,991

Equity attributable to non-controlling interests

1,957

1,957

6

Total equity

56,034

(86)

1

55,949

Total liabilities and equity

979,746

(17,425)

1

962,322

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 10,218 million. 4 IFRS book value is CHF 3,745 million. 5 IFRS book value is CHF 1,100 million. Refer to the "Compensation" section of our Annual Report 2014 for more information on the DCCP.

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 third quarter 2015 report for more information on phase-in arrangements

Phase-in amounts

Effect of the transition phase

References ¹

CHF million, except where indicated

30.9.15

30.9.15

1

Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus       

31,389

1

2

Retained earnings                                           

28,148

2

3

Accumulated other comprehensive income (and other reserves)                                      

(5,547)

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)

6

Common equity tier 1 capital before regulatory adjustments                                     

53,991

7

Prudential valuation adjustments                                          

(61)

8

Goodwill, net of tax, less hybrid capital and additional tier 1 capital²

(2,573)

(3,859)

4

9

Intangible assets, net of tax²

(339)

5

10

Deferred tax assets recognized for tax loss carry-forwards³

(2,602)

(3,904)

9

11

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

(2,056)

11

12

Expected losses on advanced internal ratings-based portfolio less general provisions

(308)

13

Securitization gain on sale                         

14

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

(462)

15

Defined benefit plans

16

Compensation and own shares-related capital components (not recognized in net profit)                              

(1,527)

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)                             

(667)

(1,776)

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

(351)

26b

Other deductions

(2,557)

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                                     

(13,503)

(9,540)

29

Common equity tier 1 capital (CET1)                           

40,488

(9,540)

30

Directly issued qualifying additional tier 1 instruments plus related stock surplus                                  

5,578

31

of which: classified as equity under applicable accounting standards                                    

32

of which: classified as liabilities under applicable accounting standards⁵

5,578

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)                    

1,919

(1,919)

6

35

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

1,919

(1,919)

36

Additional tier 1 capital before regulatory adjustments                                      

7,497

(1,919)

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                                         

(3,859)

3,859

42

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

Tier 1 adjustments on impact of transitional arrangements

(3,859)

3,859

of which: prudential valuation adjustment

of which: own CET1 instruments

of which: goodwill net of tax, offset against hybrid capital and loss-absorbing capital

(3,859)

3,859

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                                     

(3,859)

3,859

44

Additional tier 1 capital (AT1)                           

3,638

1,940

45

Tier 1 capital (T1 = CET1 + AT1)

44,125

(7,599)

Table 34: Composition of capital  -  continued

Numbers phase-in

Effect of the transition phase

References ¹

46

Directly issued qualifying tier 2 instruments plus related stock surplus⁴

11,124

7

47

Directly issued capital instruments subject to phase-out from tier 2                                  

1,674

(1,674)

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                                       

12,798

(1,674)

52

Investments in own tier 2 instruments                                       

(17)

8

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)                      

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                                      

(17)

8

58

Tier 2 capital (T2)                                         

12,781

(1,667)

of which: high-trigger loss-absorbing capital⁵

916

13

of which: low-trigger loss-absorbing capital⁴

10,198

7

59

Total capital (TC = T1 + T2)                                      

56,906

(9,266)

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

(4,442)

of which:  DTA on temporary differences, excess over threshold

(4,442)

60

Total risk-weighted assets                                         

220,755

(4,442)

Capital ratios and buffers                                         

61

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

18.3

62

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

20.0

63

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

25.8

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)                              

18.0

68a-f

Not applicable for systemically relevant banks according to FINMA RS 11/2

72

Non significant investments in the capital of other financials                                     

1,074

73

Significant investments in the common stock of financials                                     

848

74

Mortgage servicing rights (net of related tax liability)                                     

75

Deferred tax assets arising from temporary differences (net of related tax liability)                                 

5,782

Applicable caps on the inclusion of provisions in tier 2                                   

76

Provisions eligible for inclusion in tier 2 in respect of exposures subject to standardised 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 The CHF 6,432 million (CHF 2,573 million and CHF 3,859 million) reported in line 8 includes goodwill on investments in associates of CHF 358 million, DTL on goodwill of CHF 51 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 339 million reported in line 9 includes DTL on intangibles of CHF 5 million. 3 The CHF 6,506 million (CHF 2,602 million and CHF 3,904 million) deferred tax assets recognized for tax loss carry-forwards reported in line 10 differ from the CHF 6,315 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 and other temporary differences, which are adjusted out in line 11 and other lines of this table respectively. 4 The CHF 11,124 million in the line 46 includes CHF 10,208 million low-trigger loss-absorbing tier 2 capital recognized in line "Debt issued" in table 33, which is shown net of CHF 10 million investments in own tier 2 instruments reported in the line 52 of this table and high-trigger loss-absorbing capital of CHF 916 million reported in line 58. 5 CHF 5,578 million and CHF 916 million reported in line 32 and 58 of this table, respectively, includes the following positions: CHF 2,795 million and CHF 2,308 million recognized in the line "Debt issued" in Table 33, CHF 908 million DCCP recognized in the line "Other liabilities" in Table 33 and CHF 482 million recognized in DCCP-related charge for regulatory capital purposes in the line 26b "Other deductions" of this table.