Report of Foreign Issuer (6-k)
July 29 2016 - 7:12AM
Edgar (US Regulatory)
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: July 29, 2016
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.
This Form 6-K consists of the 2Q16 UBS
Group AG (consolidated) BIS Basel III leverage ratio information, published
today by the registrants, which appears immediately following this page.
UBS Group AG (consolidated) BIS Basel III leverage ratio information
Second quarter 2016
This document
provides BIS Basel III leverage ratio information as of 30 June 2016, as
required by the revised FINMA Circular
2008 / 22 “Disclosure – banks.”
®
Refer to our second quarter 2016 report for information on our Swiss
SRB leverage ratio as of 30 June 2016
®
Refer to “Basel III Pillar 3 First Half 2016 Report,” which will be
available from 17 August 2016 under “Pillar 3, SEC filings & other
disclosures” at
www.ubs.com/investors
for more information
®
Refer to the “UBS Group AG consolidated supplemental disclosures
required under Basel III Pillar 3 regulations” in the “Additional regulatory
information” section of our Annual Report 2015 for more information
BIS Basel III leverage ratio disclosure requirements
The tables
in the following section provide BIS leverage ratio information according to
the current disclosure requirements.
The BIS leverage ratio is calculated by
dividing the period-end tier 1 capital by the period-end leverage ratio
denominator (LRD). The LRD consists of IFRS on-balance sheet assets and
off-balance sheet items. Derivative exposures are adjusted for a number of
items, including replacement value and eligible cash variation margin netting,
the current exposure method add-on and net notional amounts for written credit
derivatives. The LRD further includes an additional charge for counterparty
credit risk related to securities financing transactions. In addition, balance
sheet assets deducted from our tier 1 capital are excluded from LRD, resulting
in a difference between phase-in and fully applied LRD for DTAs and net defined
benefit pension plan assets.
The table “Reconciliation of IFRS total
assets to BIS Basel III total on-balance sheet exposures excluding derivatives
and securities financing transactions” below shows the difference between total
IFRS assets per IFRS consolidation scope and the BIS total on-balance sheet
exposures, which are the starting point for calculating the BIS LRD as shown
in the “BIS Basel III leverage ratio common disclosure” table on the next page.
The difference is due to the application of the regulatory scope of
consolidation for the purpose of the BIS calculation. In addition, carrying
values for derivative financial instruments and securities financing
transactions are deducted from IFRS total assets. They are measured differently
under BIS leverage ratio rules and are therefore added back in separate exposure
line items in the “BIS Basel III leverage ratio common disclosure” table on the
next page.
®
Refer to our second quarter 2016 report for
information on our Swiss SRB leverage ratio as of 30 June 2016
®
Refer to the “UBS Group AG consolidated supplemental disclosures
required under Basel III Pillar 3 regulations” in the “Additional regulatory
information” section of our Annual Report 2015 for more information on the
regulatory scope of consolidation
BIS Basel III leverage ratio
As of 30
June 2016, our BIS Basel III leverage ratio was 4.2% on a fully applied basis
and 4.8% on a phase-in basis. The BIS Basel III LRD was CHF 898 billion on a
fully applied basis and CHF 902 billion on a phase-in basis.
®
Refer to our second quarter 2016 report for
information on our BIS Basel III leverage ratio movements
|
Reconciliation of IFRS total
assets to BIS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
|
|
CHF million
|
30.6.16
|
|
On-balance sheet exposures
|
|
|
IFRS total assets
|
989,397
|
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation
|
(15,154)
|
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are outside the scope of consolidation for
accounting purposes but consolidated for regulatory purposes
|
0
|
|
Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
|
Less carrying value of derivative financial instruments in IFRS
total assets¹
|
(228,420)
|
|
Less carrying value of securities financing transactions in IFRS
total assets²
|
(119,310)
|
|
Adjustments to accounting values
|
0
|
|
On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral
|
626,513
|
|
Asset amounts deducted in determining BIS Basel III tier 1
capital
|
(12,873)
|
|
Total on-balance sheet
exposures (excluding derivatives and securities financing transactions)
|
613,640
|
|
1 Consists of positive replacement values and cash collateral
receivables on derivative instruments in accordance with the regulatory scope
of consolidation. 2 Consists of cash collateral on securities borrowed,
reverse repurchase agreements, margin loans and prime brokerage receivables
related to securities financing transactions in accordance with the
regulatory scope of consolidation.
|
The naming convention in the following
table is based on BIS guidance and does not reflect UBS naming conventions.
|
BIS Basel III leverage ratio
common disclosure
|
|
|
|
|
|
CHF million, except where
indicated
|
30.6.16
|
|
|
|
|
|
|
On-balance sheet exposures
|
|
|
1
|
On-balance sheet items excluding derivatives and SFTs¹, but
including collateral
|
626,513
|
|
2
|
(Asset amounts deducted in determining Basel III tier 1 capital)
|
(12,873)
|
|
3
|
Total on-balance sheet exposures
(excluding derivatives and SFTs¹)
|
613,640
|
|
|
|
|
|
|
Derivative exposures
|
|
|
4
|
Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin)
|
61,822
|
|
5
|
Add-on amounts for PFE² associated with all derivatives
transactions
|
87,572
|
|
6
|
Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative accounting framework
|
0
|
|
7
|
(Deductions of receivables assets for cash variation margin
provided in derivatives transactions)
|
(17,088)
|
|
8
|
(Exempted CCP³ leg of client-cleared trade exposures)
|
(15,286)
|
|
9
|
Adjusted effective notional amount of all written credit
derivatives⁴
|
144,907
|
|
10
|
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)⁵
|
(140,714)
|
|
11
|
Total derivative exposures
|
121,213
|
|
|
|
|
|
|
Securities financing
transaction exposures
|
|
|
12
|
Gross SFT¹ assets (with no recognition of netting), after
adjusting for sale accounting transactions
|
171,837
|
|
13
|
(Netted amounts of cash payables and cash receivables of gross
SFT¹ assets)
|
(52,528)
|
|
14
|
CCR⁶ exposure for SFT¹ assets
|
10,433
|
|
15
|
Agent transaction exposures
|
0
|
|
16
|
Total securities financing
transaction exposures
|
129,742
|
|
|
|
|
|
|
Other off-balance sheet
exposures
|
|
|
17
|
Off-balance sheet exposure at gross notional amount
|
105,954
|
|
18
|
(Adjustments for conversion to credit equivalent amounts)
|
(68,119)
|
|
19
|
Total off-balance sheet
items
|
37,836
|
|
|
Total exposures (leverage
ratio denominator), phase-in
|
902,431
|
|
|
(Additional asset amounts deducted in determining Basel III tier
1 capital fully applied)
|
(4,236)
|
|
|
Total exposures (leverage
ratio denominator), fully applied
|
898,195
|
|
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), phase-in
|
|
|
20
|
Tier 1 capital
|
42,934
|
|
21
|
Total exposures (leverage ratio denominator)
|
902,431
|
|
|
Leverage ratio
|
|
|
22
|
Basel III leverage ratio
phase-in (%)
|
4.8
|
|
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), fully applied
|
|
|
20
|
Tier 1 capital
|
38,049
|
|
21
|
Total exposures (leverage ratio denominator)
|
898,195
|
|
|
Leverage ratio
|
|
|
22
|
Basel III leverage ratio
fully applied (%)
|
4.2
|
|
1 Securities financing transactions. 2 Potential future
exposure – Current exposure method (CEM add-on) based on notional amounts.
3 Central cleared counterparties. 4 Includes protection sold including
agency transactions. 5 Protection sold can be offset with protection
bought on the same underlying reference entity provided the conditions according
to the Basel III leverage ratio framework and disclosure requirements are
met. 6 Counterparty credit risk.
|
The naming
convention in the following table is based on BIS guidance and does not reflect
UBS naming conventions.
|
BIS Basel III leverage ratio
summary comparison
|
|
CHF million
|
30.6.16
|
|
1
|
Total consolidated assets as per published financial statements
|
989,397
|
|
2
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation¹
|
(28,028)
|
|
3
|
Adjustment for fiduciary assets recognised on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
|
4
|
Adjustments for derivative financial instruments
|
(107,207)
|
|
5
|
Adjustment for securities financing transactions (i.e., repos
and similar secured lending)
|
10,433
|
|
6
|
Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures)
|
37,836
|
|
7
|
Other adjustments
|
0
|
|
8
|
Leverage ratio exposure
(leverage ratio denominator), phase-in
|
902,431
|
|
1 This item includes assets that are deducted from tier 1
capital.
|
|
BIS Basel III leverage ratio
|
|
|
|
|
|
CHF million, except where
indicated
|
|
Phase-in
|
30.6.16
|
31.3.16
|
31.12.15
|
30.9.15
|
|
Total tier 1 capital
|
42,934
|
43,541
|
44,559
|
44,125
|
|
BIS total exposures (leverage ratio denominator)
|
902,431
|
910,000
|
904,014
|
941,216
|
|
BIS Basel III leverage ratio (%)
|
4.8
|
4.8
|
4.9
|
4.7
|
|
|
|
|
|
|
|
Fully applied
|
30.6.16
|
31.3.16
|
31.12.15
|
30.9.15
|
|
Total tier 1 capital
|
38,049
|
37,438
|
36,198
|
36,526
|
|
BIS total exposures (leverage ratio denominator)
|
898,195
|
905,801
|
897,607
|
935,536
|
|
BIS Basel III leverage ratio (%)
|
4.2
|
4.1
|
4.0
|
3.9
|
Notice
to investors |
This
document 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 document. Refer to UBS’s second quarter 2016 report
and its Annual Report 2015 for additional information. These reports are
available at www.ubs.com/investors.
Rounding
|
Numbers presented throughout this document may not add up precisely
to the totals provided in the tables and text. Percentages, percent changes and
absolute variances are calculated on the basis of rounded figures displayed in
the tables and text and may not precisely reflect the percentages, percent
changes and absolute variances that would be 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.
Percentage changes are presented as a mathematical calculation of the change
between periods.
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 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: July 29, 2016
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