Report of Foreign Issuer (6-k)
August 04 2016 - 6:30AM
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: August 4, 2016
UBS AG
Commission File Number: 1-15060
(Registrant’s Name)
Bahnhofstrasse 45, Zurich, Switzerland
(Address of principal executive office)
Indicate by check mark whether the registrants file or will
file annual reports under cover of Form 20‑F or Form 40-F.
This Form 6-K consists of the Second Quarter 2016 Report of
UBS AG, which appears immediately following this page.
UBS AG
Second
quarter
2016
report
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supports
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Fax (Zurich) +41-44-234 3415
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Corporate calendar UBS AG
Publication dates of quarterly and
annual reports and results will be made available as part of the corporate
calendar of UBS AG at
www.ubs.com/investors
Publisher: UBS AG, Zurich, Switzerland | www.ubs.com
Language: English
© UBS 2016. The key symbol and UBS
are among the registered and unregistered trademarks of UBS. All rights
reserved.
Second quarter 2016 report
UBS AG (consolidated) key figures
|
UBS AG (consolidated) key
figures
|
|
|
|
|
|
|
|
|
|
|
|
As of or for the quarter ended
|
|
As of or year-to-date
|
|
CHF million, except where
indicated
|
|
30.6.16
|
31.3.16
|
31.12.15
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
|
|
|
|
|
Results
|
|
|
|
|
|
|
|
|
|
Operating income
|
|
7,399
|
6,855
|
6,771
|
7,784
|
|
14,254
|
16,644
|
|
Operating expenses
|
|
5,942
|
5,876
|
6,543
|
6,087
|
|
11,818
|
12,254
|
|
Operating profit / (loss) before tax
|
|
1,457
|
979
|
228
|
1,698
|
|
2,436
|
4,391
|
|
Net profit / (loss) attributable to UBS AG shareholders
|
|
1,009
|
713
|
950
|
1,178
|
|
1,723
|
3,201
|
|
|
|
|
|
|
|
|
|
|
|
Key performance indicators¹
|
|
|
|
|
|
|
|
|
|
Profitability
|
|
|
|
|
|
|
|
|
|
Return on tangible equity (%)
|
|
8.6
|
6.0
|
8.1
|
10.4
|
|
7.3
|
14.1
|
|
Return on assets, gross (%)
|
|
3.0
|
2.9
|
2.8
|
3.1
|
|
2.9
|
3.2
|
|
Cost / income ratio (%)
|
|
80.2
|
85.7
|
95.8
|
78.1
|
|
82.9
|
73.5
|
|
Growth
|
|
|
|
|
|
|
|
|
|
Net profit growth (%)
|
|
(14.3)
|
(64.8)
|
6.4
|
48.7
|
|
(46.2)
|
73.4
|
|
Net new money growth for combined wealth management businesses
(%)²
|
|
1.7
|
5.9
|
2.9
|
1.5
|
|
3.8
|
2.6
|
|
Resources
|
|
|
|
|
|
|
|
|
|
Common equity tier 1 capital ratio (fully applied, %)³
|
|
15.0
|
14.9
|
15.4
|
15.6
|
|
15.0
|
15.6
|
|
Leverage ratio (phase-in, %)⁴
|
|
5.5
|
5.6
|
5.7
|
5.1
|
|
5.5
|
5.1
|
|
|
|
|
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
|
|
|
|
|
Profitability
|
|
|
|
|
|
|
|
|
|
Return on equity (RoE) (%)
|
|
7.4
|
5.1
|
6.9
|
8.9
|
|
6.3
|
12.1
|
|
Return on risk-weighted assets, gross (%)⁵
|
|
13.8
|
13.0
|
12.8
|
14.6
|
|
13.4
|
15.5
|
|
Resources
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
990,135
|
968,158
|
943,256
|
951,528
|
|
990,135
|
951,528
|
|
Equity attributable to UBS AG shareholders
|
|
53,353
|
55,660
|
55,248
|
51,685
|
|
53,353
|
51,685
|
|
Common equity tier 1 capital (fully applied)³
|
|
32,184
|
32,118
|
32,042
|
32,834
|
|
32,184
|
32,834
|
|
Common equity tier 1 capital (phase-in)³
|
|
38,913
|
38,762
|
41,516
|
39,169
|
|
38,913
|
39,169
|
|
Risk-weighted assets (fully applied)³
|
|
214,210
|
214,973
|
208,186
|
210,400
|
|
214,210
|
210,400
|
|
Common equity tier 1 capital ratio (phase-in, %)³
|
|
17.9
|
17.8
|
19.5
|
18.5
|
|
17.9
|
18.5
|
|
Total capital ratio (fully applied, %)³
|
|
21.2
|
20.9
|
21.0
|
20.2
|
|
21.2
|
20.2
|
|
Total capital ratio (phase-in, %)³
|
|
23.5
|
23.9
|
24.9
|
23.8
|
|
23.5
|
23.8
|
|
Leverage ratio (fully applied, %)⁴
|
|
5.0
|
5.0
|
4.9
|
4.5
|
|
5.0
|
4.5
|
|
Leverage ratio denominator (fully applied)⁴
|
|
899,075
|
907,277
|
898,251
|
946,457
|
|
899,075
|
946,457
|
|
Other
|
|
|
|
|
|
|
|
|
|
Invested assets (CHF billion)⁶
|
|
2,677
|
2,618
|
2,689
|
2,628
|
|
2,677
|
2,628
|
|
Personnel (full-time equivalents)⁷
|
|
57,387
|
58,053
|
58,131
|
59,648
|
|
57,387
|
59,648
|
|
1 Refer to the "Measurement of performance" section of
our Annual Report 2015 and to the “Recent developments” section of the UBS
Group second quarter 2016 report for the definitions of our key performance indicators.
2 Based on adjusted net new money which excludes the negative effect on net
new money of CHF 6.6 billion in Wealth Management from our balance sheet and
capital optimization program in the second quarter of 2015. 3 Based on the
Basel III framework as applicable for Swiss systemically relevant banks
(SRBs). Refer to the "Capital management" section of the UBS Group
second quarter 2016 report for more information. 4 Calculated in
accordance with Swiss SRB rules. Refer to the “Capital management” section of
the UBS Group second quarter 2016 report for more information. From 31
December 2015 onward, the leverage ratio denominator calculation is aligned
with the Basel III rules. Figures for periods prior to 31 December 2015 are
calculated in accordance with former Swiss SRB rules and are therefore not
fully comparable. 5 Based on fully applied risk-weighted assets. 6
Includes invested assets for Personal & Corporate Banking. 7 As of 30
June 2016, the breakdown of personnel by business division and Corporate
Center was as follows: Wealth Management: 10,131; Wealth Management Americas:
13,643; Personal & Corporate Banking: 5,012; Asset Management: 2,340;
Investment Bank: 5,014; Corporate Center – Services: 21,042; Corporate Center
– Group ALM: 134; Corporate Center – Non-core and Legacy Portfolio: 70.
|
Introduction
Structure of this report
Following the establishment of UBS
Group AG as the holding company for the UBS Group and the parent company of UBS
AG, UBS Group AG is the primary financial reporting entity for the UBS Group. 100% of UBS AG’s issued shares are held by
UBS Group AG, and UBS AG's shares are no longer publicly traded following delisting
from the New York Stock Exchange and SIX Swiss Exchange in 2015. Financial
information for UBS AG (consolidated) does not differ materially from that for
UBS Group AG (consolidated).
This report includes risk and capital
management information for UBS AG (consolidated), the interim consolidated
financial statements of UBS AG for the quarter ended 30 June 2016, as well as selected
financial and regulatory information for UBS AG (standalone).
®
Refer to the UBS Group second quarter 2016 report in “Quarterly
reporting” at
www.ubs.com/investors
for more information
Comparison UBS Group AG (consolidated)
vs UBS AG (consolidated)
The table on the following page
contains a comparison of selected financial and capital information
between UBS Group AG (consolidated) and UBS AG (consolidated).
The accounting policies applied under
International Financial Reporting Standards (IFRS) to both UBS Group AG and UBS
AG consolidated financial statements are identical. However, there are certain
scope and presentation differences:
–
Assets, liabilities, operating income, operating
expenses and operating profit before tax relating to UBS Group AG and its
directly held subsidiaries, including UBS Business Solutions AG, are reflected
in the consolidated financial statements of UBS Group AG, but not of UBS AG.
UBS AG’s assets, liabilities, operating income, and operating expenses related
to transactions with UBS Group AG and its directly held subsidiaries are not
subject to elimination in the UBS AG consolidated financial statements, but are
eliminated in the UBS Group AG consolidated financial statements.
–
Total equity of UBS Group AG (consolidated) was
lower than total equity of UBS AG (consolidated) as of 30 June 2016, primarily
related to employee share-based compensation awards.
–
Preferred notes issued by UBS AG are presented
in the consolidated UBS Group AG balance sheet as equity attributable to
non-controlling interests (NCI), while in the consolidated UBS AG balance sheet,
these preferred notes are required to be presented as equity attributable to
preferred noteholders.
–
Refer to the "Capital management"
section of this report for more information on differences in regulatory
capital between UBS Group AG (consolidated) and UBS AG (consolidated).
|
Comparison UBS Group AG (consolidated) versus UBS AG
(consolidated)
|
|
|
|
As of or for the quarter ended 30.6.16
|
|
CHF million, except where
indicated
|
|
UBS Group AG
(consolidated)
|
UBS AG
(consolidated)
|
Difference
(absolute)
|
|
|
|
|
|
|
|
Income statement
|
|
|
|
|
|
Operating income
|
|
7,404
|
7,399
|
5
|
|
Operating expenses
|
|
5,915
|
5,942
|
(27)
|
|
Operating profit / (loss) before tax
|
|
1,489
|
1,457
|
32
|
|
of which: Wealth Management
|
|
518
|
514
|
4
|
|
of which: Wealth Management
Americas
|
|
237
|
225
|
12
|
|
of which: Personal &
Corporate Banking
|
|
534
|
533
|
1
|
|
of which: Asset Management
|
|
114
|
113
|
1
|
|
of which: Investment Bank
|
|
284
|
267
|
17
|
|
of which: Corporate Center
|
|
(198)
|
(195)
|
(3)
|
|
of which: Services
|
|
(113)
|
(109)
|
(4)
|
|
of which: Group ALM
|
|
44
|
42
|
2
|
|
of which: Non-core and
Legacy Portfolio
|
|
(129)
|
(128)
|
(1)
|
|
Net profit / (loss)
|
|
1,113
|
1,088
|
25
|
|
of which: net profit /
(loss) attributable to shareholders
|
|
1,034
|
1,009
|
25
|
|
of which: net profit /
(loss) attributable to preferred noteholders
|
|
|
78
|
(78)
|
|
of which: net profit /
(loss) attributable to non-controlling interests
|
|
79
|
1
|
78
|
|
|
|
|
|
|
|
Statement of comprehensive
income
|
|
|
|
|
|
Other comprehensive income
|
|
445
|
446
|
(1)
|
|
of which: attributable to
shareholders
|
|
117
|
118
|
(1)
|
|
of which: attributable to
preferred noteholders
|
|
|
328
|
(328)
|
|
of which: attributable to
non-controlling interests
|
|
329
|
0
|
329
|
|
Total comprehensive income
|
|
1,558
|
1,535
|
23
|
|
of which: attributable to
shareholders
|
|
1,151
|
1,127
|
24
|
|
of which: attributable to
preferred noteholders
|
|
|
406
|
(406)
|
|
of which: attributable to
non-controlling interests
|
|
407
|
1
|
406
|
|
|
|
|
|
|
|
Balance sheet
|
|
|
|
|
|
Total assets
|
|
989,397
|
990,135
|
(738)
|
|
Total liabilities
|
|
935,835
|
936,096
|
(261)
|
|
Total equity
|
|
53,562
|
54,039
|
(477)
|
|
of which: equity attributable
to shareholders
|
|
52,876
|
53,353
|
(477)
|
|
of which: equity
attributable to preferred noteholders
|
|
|
649
|
(649)
|
|
of which: equity
attributable to non-controlling interests
|
|
686
|
37
|
649
|
|
|
|
|
|
|
|
Capital information
|
|
|
|
|
|
Common equity tier 1 capital (fully applied)
|
|
30,264
|
32,184
|
(1,920)
|
|
Common equity tier 1 capital (phase-in)
|
|
37,064
|
38,913
|
(1,849)
|
|
Additional tier 1 capital (fully applied)
|
|
7,785
|
2,688
|
5,097
|
|
Tier 2 capital (fully applied)
|
|
11,331
|
10,441
|
890
|
|
Total capital (fully applied)
|
|
49,381
|
45,313
|
4,068
|
|
Risk-weighted assets (fully applied)
|
|
213,840
|
214,210
|
(370)
|
|
Common equity tier 1 capital ratio (fully applied, %)
|
|
14.2
|
15.0
|
(0.8)
|
|
Common equity tier 1 capital ratio (phase-in, %)
|
|
17.1
|
17.9
|
(0.8)
|
|
Total capital ratio (fully applied, %)
|
|
23.1
|
21.2
|
1.9
|
|
Leverage ratio denominator (fully applied)
|
|
898,195
|
899,075
|
(880)
|
|
Leverage ratio (fully applied, %)
|
|
5.5
|
5.0
|
0.5
|
|
As of or for the quarter ended 31.3.16
|
|
As of or for the quarter ended 31.12.15
|
|
UBS Group AG
(consolidated)
|
UBS AG
(consolidated)
|
Difference
(absolute)
|
|
UBS Group AG
(consolidated)
|
UBS AG
(consolidated)
|
Difference
(absolute)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,833
|
6,855
|
(22)
|
|
6,775
|
6,771
|
4
|
|
5,855
|
5,876
|
(21)
|
|
6,541
|
6,543
|
(2)
|
|
978
|
979
|
(1)
|
|
234
|
228
|
6
|
|
557
|
552
|
5
|
|
344
|
342
|
2
|
|
211
|
204
|
7
|
|
14
|
8
|
6
|
|
399
|
399
|
0
|
|
355
|
356
|
(1)
|
|
90
|
90
|
0
|
|
171
|
171
|
0
|
|
253
|
236
|
17
|
|
80
|
83
|
(3)
|
|
(534)
|
(502)
|
(32)
|
|
(729)
|
(732)
|
3
|
|
(203)
|
(193)
|
(10)
|
|
(345)
|
(349)
|
4
|
|
(148)
|
(127)
|
(21)
|
|
(56)
|
(54)
|
(2)
|
|
(183)
|
(182)
|
(1)
|
|
(329)
|
(329)
|
0
|
|
708
|
713
|
(5)
|
|
950
|
951
|
(1)
|
|
707
|
713
|
(6)
|
|
949
|
950
|
(1)
|
|
|
0
|
0
|
|
|
0
|
0
|
|
0
|
0
|
0
|
|
1
|
1
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(358)
|
(358)
|
0
|
|
214
|
214
|
0
|
|
(308)
|
(308)
|
0
|
|
177
|
177
|
0
|
|
|
(50)
|
50
|
|
|
35
|
(35)
|
|
(50)
|
(1)
|
(49)
|
|
37
|
2
|
35
|
|
349
|
355
|
(6)
|
|
1,164
|
1,165
|
(1)
|
|
399
|
405
|
(6)
|
|
1,126
|
1,126
|
0
|
|
|
(50)
|
50
|
|
|
35
|
(35)
|
|
(50)
|
(1)
|
(49)
|
|
38
|
3
|
35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
966,873
|
968,158
|
(1,285)
|
|
942,819
|
943,256
|
(437)
|
|
910,088
|
910,557
|
(469)
|
|
885,511
|
886,013
|
(502)
|
|
56,786
|
57,601
|
(815)
|
|
57,308
|
57,243
|
65
|
|
54,845
|
55,660
|
(815)
|
|
55,313
|
55,248
|
65
|
|
|
1,905
|
(1,905)
|
|
|
1,954
|
(1,954)
|
|
1,941
|
36
|
1,905
|
|
1,995
|
41
|
1,954
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,853
|
32,118
|
(2,265)
|
|
30,044
|
32,042
|
(1,998)
|
|
36,580
|
38,762
|
(2,182)
|
|
40,378
|
41,516
|
(1,138)
|
|
7,585
|
2,643
|
4,942
|
|
6,154
|
1,252
|
4,902
|
|
11,112
|
10,217
|
895
|
|
11,237
|
10,325
|
912
|
|
48,551
|
44,978
|
3,573
|
|
47,435
|
43,619
|
3,816
|
|
213,558
|
214,973
|
(1,415)
|
|
207,530
|
208,186
|
(656)
|
|
14.0
|
14.9
|
(0.9)
|
|
14.5
|
15.4
|
(0.9)
|
|
16.9
|
17.8
|
(0.9)
|
|
19.0
|
19.5
|
(0.5)
|
|
22.7
|
20.9
|
1.8
|
|
22.9
|
21.0
|
1.9
|
|
905,801
|
907,277
|
(1,476)
|
|
897,607
|
898,251
|
(644)
|
|
5.4
|
5.0
|
0.4
|
|
5.3
|
4.9
|
0.4
|
Risk and capital management
Management report
Risk management and control
Risk management and control
UBS AG (consolidated) risk profile
The risk profile of UBS AG
(consolidated) does not differ materially from that of UBS Group AG
(consolidated), and risk information provided in the UBS Group second quarter
2016 report is equally applicable to UBS AG (consolidated).
The credit risk profile of UBS AG
(consolidated) differs from that of UBS Group AG (consolidated) primarily in
relation to receivables of UBS AG and UBS Switzerland AG from UBS Group AG. As
a result of these receivables, total banking products exposure of UBS AG
(consolidated) as of 30 June 2016 was CHF 0.9 billion or 0.2% higher than the
exposure of UBS Group, compared with CHF 1.7 billion or 0.3% as of 31 March
2016.
®
Refer to the "Risk management and control" section of the
UBS Group second quarter 2016 report
in “Quarterly
reporting” at
www.ubs.com/investors
for more information
Capital management
UBS is
considered a
systemically relevant bank (SRB) under Swiss banking law and both UBS Group and
UBS AG are, on a consolidated basis, required to comply with regulations based
on the Basel III framework as applicable for Swiss SRBs. Therefore, the capital
and leverage ratio disclosures in this section focus on Swiss SRB capital
information. The capital and leverage ratio framework and requirements
applicable to UBS AG (consolidated) are consistent with those applicable to UBS
Group AG (consolidated).
In May 2016, the Swiss Federal Council
adopted the amendments to the too big to fail (TBTF) provisions, based on the
cornerstones announced by the Swiss Federal Council in October 2015. The
revised Capital Adequacy Ordinance forms the basis of a revised Swiss SRB
framework which became effective as of 1 July 2016. Information on the revised
Swiss SRB framework and requirements, as well as information on the current
Swiss SRB framework and requirements applicable to UBS
AG (consolidated) can be found in the “Capital management” section of the UBS
Group second quarter 2016 report.
In this section, we disclose UBS AG
(consolidated) capital and leverage ratio information and differences between
UBS Group AG (consolidated) and UBS AG (consolidated) in
accordance with the current Swiss SRB framework effective as of 30 June 2016.
®
Refer to the UBS Group second quarter 2016 report in the section
“Quarterly reporting” at
www.ubs.com/investors
, for more information
UBS AG
(consolidated) capital information
|
Swiss SRB capital ratio
requirements and information (phase-in)
|
|
|
|
Capital ratio (%)
|
|
Capital
|
|
|
|
Requirement¹
|
|
Actual²
|
|
Requirement
|
|
Eligible²˒³
|
|
CHF million, except where
indicated
|
|
30.6.16
|
|
30.6.16
|
|
31.3.16
|
31.12.15
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Base capital (common equity tier 1 capital)
|
|
4.5
|
|
4.5
|
|
4.5
|
4.5
|
|
9,759
|
|
9,759
|
9,796
|
9,567
|
|
Buffer capital (common equity tier 1 capital and high-trigger
loss-absorbing capital)
|
|
6.4⁴
|
|
13.8
|
|
13.3
|
15.0
|
|
13,961
|
|
29,927
|
28,965
|
31,948
|
|
of which: effect of
countercyclical buffer
|
|
0.2
|
|
0.2
|
|
0.2
|
0.2
|
|
407
|
|
407
|
415
|
356
|
|
Progressive buffer capital (low-trigger loss-absorbing capital)
|
|
3.4
|
|
4.8
|
|
5.6
|
4.9
|
|
7,368
|
|
10,441
|
12,236
|
10,325
|
|
Phase-out capital (tier 2 capital)
|
|
|
|
0.3
|
|
0.4
|
0.5
|
|
|
|
741
|
947
|
996
|
|
Total
|
|
14.3
|
|
23.5
|
|
23.9
|
24.9
|
|
31,087
|
|
50,867
|
51,945
|
52,837
|
|
1 The total capital ratio requirement of 14.3% is the current
phase-in requirement according to the Swiss Capital Adequacy Ordinance. Prior
to the implementation of the Swiss SRB framework, FINMA also defined a total
capital ratio target for UBS AG consolidated of 14.4%, which will be
effective until it is exceeded by the Swiss SRB phase-in capital
requirement. 2 Swiss SRB CET1 capital exceeding the base capital
requirement is allocated to the buffer capital. 3 As of 30 June 2016,
high-trigger loss-absorbing capital (LAC) is included in the buffer capital.
Before, high-trigger LAC was included in the progressive buffer capital. 4
CET1 capital can be substituted by high-trigger loss-absorbing capital up to 2.6%.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swiss SRB capital information
|
|
|
|
|
|
|
|
|
|
|
|
Phase-in
|
|
Fully applied
|
|
CHF million, except where
indicated
|
|
|
|
|
|
30.6.16
|
31.3.16
|
|
31.12.15
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Common equity tier 1 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total common equity tier 1 capital
|
|
|
|
|
|
38,913
|
38,762
|
|
41,516
|
|
32,184
|
32,118
|
32,042
|
|
Additional tier 1 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High-trigger loss-absorbing capital
|
|
|
|
|
|
772¹
|
2,019¹
|
|
0²
|
|
2,688
|
2,643
|
1,252
|
|
Total tier 1 capital³
|
|
|
|
|
|
39,685
|
40,781
|
|
41,516
|
|
34,872
|
34,761
|
33,294
|
|
Tier 2 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low-trigger loss-absorbing capital
|
|
|
|
|
|
10,441
|
10,217
|
|
10,325
|
|
10,441
|
10,217
|
10,325
|
|
Phase-out capital
|
|
|
|
|
|
741
|
947
|
|
996
|
|
|
|
|
|
Total tier 2 capital
|
|
|
|
|
|
11,182
|
11,164
|
|
11,321
|
|
10,441
|
10,217
|
10,325
|
|
Total capital
|
|
|
|
|
|
50,867
|
51,945
|
|
52,837
|
|
45,313
|
44,978
|
43,619
|
|
Risk-weighted assets
|
|
|
|
|
|
216,863
|
217,699
|
|
212,609
|
|
214,210
|
214,973
|
208,186
|
|
Common equity tier 1 capital ratio (%)
|
|
|
|
|
|
17.9
|
17.8
|
|
19.5
|
|
15.0
|
14.9
|
15.4
|
|
Tier 1 capital ratio (%)
|
|
|
|
|
|
18.3
|
18.7
|
|
19.5
|
|
16.3
|
16.2
|
16.0
|
|
Total capital ratio (%)
|
|
|
|
|
|
23.5
|
23.9
|
|
24.9
|
|
21.2
|
20.9
|
21.0
|
|
1 High-trigger loss-absorbing capital (30 June 2016: CHF 2,688
million, 31 March 2016: CHF 2,643 million) was partly offset by required
deductions for goodwill (30 June 2016: CHF 1,916 million, 31 March 2016: CHF
624 million). 2 High-trigger loss-absorbing capital of CHF 1,252 million
was offset by required deductions for goodwill. 3 Includes on a phase-in
basis hybrid capital subject to phase-out (30 June 2016: CHF 649 million, 31
March 2016: CHF 1,904 million, 31 December 2015: CHF 1,954 million), offset
by required deductions for goodwill.
|
As of 30
June 2016, fully applied total capital of UBS AG (consolidated) was CHF 4.1
billion lower than for UBS Group AG (consolidated), reflecting CHF 5.1 billion
lower AT1 capital and CHF 0.9 billion lower tier 2 capital, partly offset by
CHF 1.9 billion higher CET1 capital.
The difference of CHF 1.9 billion in fully
applied CET1 capital was primarily due to compensation-related regulatory
capital accruals, liabilities and capital instruments which are reflected at
the UBS Group AG level.
The difference of CHF 5.1 billion in fully
applied AT1 capital relates to AT1 capital notes issued at the UBS Group AG level,
as well as CHF 1.0 billion of high-trigger loss-absorbing Deferred Contingent
Capital Plan (DCCP) awards granted to eligible employees for the performance
years 2014 and 2015.
The difference of CHF 0.9 billion in tier 2
capital relates to high-trigger loss-absorbing capital, in the form of 2012 and
2013 DCCP awards, held at the UBS Group AG level.
Differences in capital between UBS Group AG
(consolidated) and UBS AG (consolidated) related to employee compensation plans
will reverse to the extent underlying services are performed by employees of,
and are consequently charged to, UBS AG and its subsidiaries. Such reversal
generally occurs over the service period of the employee compensation plans.
|
Swiss SRB capital information
(UBS Group AG vs UBS AG consolidated)
|
|
As of 30.6.16
|
|
Phase-in
|
|
Fully applied
|
|
CHF million, except where
indicated
|
|
UBS Group AG (consolidated)
|
UBS AG (consolidated)
|
Differences
|
|
UBS Group AG (consolidated)
|
UBS AG (consolidated)
|
Differences
|
|
Common equity tier 1 capital
|
|
|
|
|
|
|
|
|
|
Total common equity tier 1 capital
|
|
37,064
|
38,913
|
(1,849)
|
|
30,264
|
32,184
|
(1,920)
|
|
Additional tier 1 capital
|
|
|
|
|
|
|
|
|
|
High-trigger loss-absorbing capital
|
|
5,374
|
772
|
4,602
|
|
5,374
|
2,688
|
2,686
|
|
Low-trigger loss-absorbing capital
|
|
496
|
|
496
|
|
2,411
|
|
2,411
|
|
Total additional tier 1 capital
|
|
5,870
|
772
|
5,098
|
|
7,785
|
2,688
|
5,097
|
|
Total tier 1 capital
|
|
42,934
|
39,685
|
3,249
|
|
38,049
|
34,872
|
3,177
|
|
Tier 2 capital
|
|
|
|
|
|
|
|
|
|
High-trigger loss-absorbing capital
|
|
890
|
|
890
|
|
890
|
|
890
|
|
Low-trigger loss-absorbing capital
|
|
10,441
|
10,441
|
0
|
|
10,441
|
10,441
|
0
|
|
Phase-out capital
|
|
741
|
741
|
0
|
|
|
|
|
|
Total tier 2 capital
|
|
12,072
|
11,182
|
890
|
|
11,331
|
10,441
|
890
|
|
Total capital
|
|
55,006
|
50,867
|
4,139
|
|
49,381
|
45,313
|
4,068
|
|
Risk-weighted assets
|
|
216,671
|
216,863
|
(192)
|
|
213,840
|
214,210
|
(370)
|
|
Common equity tier 1 capital ratio (%)
|
|
17.1
|
17.9
|
(0.8)
|
|
14.2
|
15.0
|
(0.8)
|
|
Tier 1 capital ratio (%)
|
|
19.8
|
18.3
|
1.5
|
|
17.8
|
16.3
|
1.5
|
|
Total capital ratio (%)
|
|
25.4
|
23.5
|
1.9
|
|
23.1
|
21.2
|
1.9
|
|
Reconciliation IFRS equity to Swiss SRB capital (UBS Group AG vs
UBS AG consolidated)
|
|
As of 30.6.16
|
|
Phase-in
|
|
Fully applied
|
|
CHF million
|
|
UBS Group AG (consolidated)
|
UBS AG (consolidated)
|
Differences
|
|
UBS Group AG (consolidated)
|
UBS AG (consolidated)
|
Differences
|
|
Total IFRS equity
|
|
53,562
|
54,039
|
(477)
|
|
53,562
|
54,039
|
(477)
|
|
Equity attributable to preferred noteholders and other
non-controlling interests
|
|
(686)
|
(686)
|
0
|
|
(686)
|
(686)
|
0
|
|
Defined benefit plans
|
|
(59)
|
(59)
|
0
|
|
(99)
|
(99)
|
0
|
|
Deferred tax assets recognized for tax loss carry-forwards
|
|
(4,619)
|
(4,619)
|
0
|
|
(7,699)
|
(7,699)
|
0
|
|
Deferred tax assets on temporary differences, excess over
threshold
|
|
(822)
|
(715)
|
(107)
|
|
(1,938)
|
(1,761)
|
(177)
|
|
Goodwill, net of tax, less hybrid capital and loss-absorbing additional
tier 1 capital
|
|
(3,847)
|
(3,847)
|
0
|
|
(6,412)
|
(6,412)
|
0
|
|
Intangible assets, net of tax
|
|
(272)
|
(272)
|
0
|
|
(272)
|
(272)
|
0
|
|
Unrealized (gains) / losses from cash flow hedges, net of
tax
|
|
(2,332)
|
(2,332)
|
0
|
|
(2,332)
|
(2,332)
|
0
|
|
Compensation and own shares-related capital components
|
|
(1,348)
|
|
(1,348)
|
|
(1,348)
|
|
(1,348)
|
|
Unrealized own credit related to financial liabilities
designated at fair value, net of tax, and replacement values
|
|
(390)
|
(390)
|
0
|
|
(390)
|
(390)
|
0
|
|
Unrealized gains related to financial assets available for sale,
net of tax
|
|
(339)
|
(339)
|
0
|
|
(339)
|
(339)
|
0
|
|
Prudential valuation
adjustments
|
|
(63)
|
(63)
|
0
|
|
(63)
|
(63)
|
0
|
|
Consolidation scope
|
|
(126)
|
(126)
|
0
|
|
(126)
|
(126)
|
0
|
|
Other
|
|
(1,592)
|
(1,675)
|
83
|
|
(1,592)
|
(1,675)
|
83
|
|
Total common equity tier 1
capital
|
|
37,064
|
38,913
|
(1,849)
|
|
30,264
|
32,184
|
(1,920)
|
|
High-trigger loss-absorbing capital
|
|
5,374
|
2,688
|
2,686
|
|
5,374
|
2,688
|
2,686
|
|
Low-trigger loss-absorbing capital
|
|
2,411
|
|
2,411
|
|
2,411
|
|
2,411
|
|
Hybrid capital subject to phase-out
|
|
649
|
649
|
0
|
|
|
|
|
|
Goodwill, net of tax, offset against hybrid capital and
low-trigger loss-absorbing capital
|
|
(2,565)
|
(2,565)
|
0
|
|
|
|
|
|
Total additional tier 1
capital
|
|
5,870
|
772
|
5,097
|
|
7,785
|
2,688
|
5,097
|
|
Total tier 1 capital
|
|
42,934
|
39,685
|
3,249
|
|
38,049
|
34,872
|
3,177
|
|
Total tier 2 capital
|
|
12,072
|
11,182
|
890
|
|
11,331
|
10,441
|
890
|
|
Total capital
|
|
55,006
|
50,867
|
4,139
|
|
49,381
|
45,313
|
4,068
|
UBS AG (consolidated) leverage ratio information
|
Swiss SRB leverage ratio
requirements and information (phase-in)
|
|
|
|
Swiss SRB leverage ratio (%)
|
|
Swiss SRB leverage ratio capital
|
|
|
|
Requirement¹
|
|
Actual²
|
|
Requirement
|
|
Eligible²˒³
|
|
CHF million, except where
indicated
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Base capital (common equity tier 1 capital)
|
|
1.1
|
|
1.1
|
1.1
|
1.1
|
|
9,755
|
|
9,755
|
9,843
|
9,769
|
|
Buffer capital (common equity tier 1 capital and high-trigger
loss-absorbing capital)
|
|
1.5⁴
|
|
3.3
|
3.2
|
3.5
|
|
13,549
|
|
29,930
|
28,919
|
31,747
|
|
Progressive buffer capital (low-trigger loss-absorbing capital)
|
|
0.8
|
|
1.2
|
1.3
|
1.1
|
|
7,365
|
|
10,441
|
12,236
|
10,325
|
|
Total
|
|
3.4
|
|
5.5
|
5.6
|
5.7
|
|
30,669
|
|
50,127
|
50,998
|
51,841
|
|
1 Requirements for base capital (24% of 4.5%), buffer capital
(24% of 6.3%) and progressive buffer capital (24% of 3.4%). The total
leverage ratio requirement of 3.4% is the current phase-in requirement
according to the Swiss Capital Adequacy Ordinance. In addition, FINMA defined
a total leverage ratio target of 3.5%, which will be effective until it is
exceeded by the Swiss SRB phase-in requirement. 2 Swiss SRB CET1 capital
exceeding the base capital requirement is allocated to the buffer capital.
3 As of 30 June 2016, high-trigger loss-absorbing capital (LAC) is included
in the buffer capital. Before, high-trigger LAC was included in the
progressive buffer capital. 4 CET1 capital can be substituted by
high-trigger loss-absorbing capital up to 0.6%.
|
The leverage ratio framework for UBS
AG (consolidated) is consistent with that of UBS Group AG (consolidated).
As of 30 June 2016, the Swiss SRB leverage
ratio of UBS AG (consolidated) was 0.5 percentage points lower than that of UBS
Group AG (consolidated) on both a fully applied and a phase-in basis, mainly as
CET1 capital including loss-absorbing capital of UBS AG (consolidated) was CHF
4.1 billion lower on both a fully applied and phase-in basis.
|
Swiss SRB leverage ratio (UBS
Group AG vs UBS AG consolidated)
|
|
|
|
As of 30.6.16
|
|
|
|
|
CHF million, except where indicated
|
UBS Group AG
(consolidated)
|
UBS AG
(consolidated)
|
Differences
|
|
Total IFRS assets
|
989,397
|
990,135
|
(738)
|
|
Difference between IFRS and regulatory scope of consolidation¹
|
(15,154)
|
(15,202)
|
48
|
|
Less derivative exposures and securities financing transactions²
|
(347,729)
|
(347,729)
|
0
|
|
On-balance sheet exposures
(excluding derivative exposures and securities financing transactions)
|
626,513
|
627,203
|
(690)
|
|
Derivative exposures
|
121,213
|
121,213
|
0
|
|
Securities financing transactions
|
129,742
|
129,742
|
0
|
|
Off-balance sheet items
|
37,836
|
37,848
|
(12)
|
|
Items deducted from Swiss SRB tier 1 capital, phase-in
|
(12,873)
|
(12,767)
|
(106)
|
|
Total exposures (leverage
ratio denominator), phase-in
|
902,431
|
903,240
|
(809)
|
|
Additional items deducted from Swiss SRB tier 1 capital, fully
applied
|
(4,236)
|
(4,164)
|
(72)
|
|
Total exposures (leverage
ratio denominator), fully applied
|
898,195
|
899,075
|
(880)
|
|
|
|
|
|
|
Phase-in
|
|
|
|
|
Common equity tier 1 capital
|
37,064
|
38,913
|
(1,849)
|
|
Loss-absorbing capital
|
17,201
|
11,213
|
5,988
|
|
Common equity tier 1 capital
including loss-absorbing capital
|
54,265
|
50,127
|
4,138
|
|
Swiss SRB leverage ratio
(%)
|
6.0
|
5.5
|
0.5
|
|
|
|
|
|
|
Fully applied
|
|
|
|
|
Common equity tier 1 capital
|
30,264
|
32,184
|
(1,920)
|
|
Loss-absorbing capital
|
19,116
|
13,129
|
5,987
|
|
Common equity tier 1 capital
including loss-absorbing capital
|
49,381
|
45,313
|
4,068
|
|
Swiss SRB leverage ratio
(%)
|
5.5
|
5.0
|
0.5
|
|
1 Represents the difference between the IFRS and the regulatory
scope of consolidation, which is the applicable scope for the LRD
calculation. 2 Consists of positive replacement values, cash collateral
receivables on derivative instruments, 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, which are presented separately under
derivative exposures and securities financing transactions in this table.
|
Consolidated
financial statements
Unaudited
UBS AG interim consolidated financial
statements (unaudited)
|
Income statement
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million, except per
share data
|
|
Note
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
Interest income
|
|
3
|
|
3,548
|
3,406
|
3,409
|
|
4
|
4
|
|
6,953
|
6,583
|
|
Interest expense
|
|
3
|
|
(2,390)
|
(1,697)
|
(1,918)
|
|
41
|
25
|
|
(4,088)
|
(3,454)
|
|
Net interest income
|
|
3
|
|
1,157
|
1,708
|
1,491
|
|
(32)
|
(22)
|
|
2,866
|
3,129
|
|
Credit loss (expense) / recovery
|
|
|
|
(7)
|
(3)
|
(13)
|
|
133
|
(46)
|
|
(9)
|
(29)
|
|
Net interest income after credit loss expense
|
|
|
|
1,151
|
1,706
|
1,479
|
|
(33)
|
(22)
|
|
2,857
|
3,100
|
|
Net fee and commission income
|
|
4
|
|
4,087
|
4,121
|
4,409
|
|
(1)
|
(7)
|
|
8,208
|
8,832
|
|
Net trading income
|
|
3
|
|
1,891
|
1,011
|
1,612
|
|
87
|
17
|
|
2,902
|
3,741
|
|
Other income
|
|
5
|
|
270
|
17
|
285
|
|
|
(5)
|
|
288
|
972
|
|
Total operating income
|
|
|
|
7,399
|
6,855
|
7,784
|
|
8
|
(5)
|
|
14,254
|
16,644
|
|
Personnel expenses
|
|
6
|
|
3,953
|
3,899
|
4,124
|
|
1
|
(4)
|
|
7,852
|
8,297
|
|
General and administrative expenses
|
|
7
|
|
1,727
|
1,711
|
1,723
|
|
1
|
0
|
|
3,438
|
3,470
|
|
Depreciation and impairment of property, equipment and software
|
|
|
|
239
|
242
|
209
|
|
(1)
|
14
|
|
481
|
429
|
|
Amortization and impairment of intangible assets
|
|
|
|
24
|
23
|
30
|
|
4
|
(20)
|
|
47
|
58
|
|
Total operating expenses
|
|
|
|
5,942
|
5,876
|
6,087
|
|
1
|
(2)
|
|
11,818
|
12,254
|
|
Operating profit / (loss) before tax
|
|
|
|
1,457
|
979
|
1,698
|
|
49
|
(14)
|
|
2,436
|
4,391
|
|
Tax expense / (benefit)
|
|
8
|
|
369
|
265
|
443
|
|
39
|
(17)
|
|
634
|
1,112
|
|
Net profit / (loss)
|
|
|
|
1,088
|
713
|
1,255
|
|
53
|
(13)
|
|
1,802
|
3,278
|
|
Net profit / (loss) attributable to preferred noteholders
|
|
|
|
78
|
0
|
76
|
|
|
3
|
|
78
|
76
|
|
Net profit / (loss) attributable to non-controlling interests
|
|
|
|
1
|
0
|
1
|
|
|
0
|
|
1
|
1
|
|
Net profit / (loss)
attributable to UBS AG shareholders
|
|
|
|
1,009
|
713
|
1,178
|
|
42
|
(14)
|
|
1,723
|
3,201
|
UBS AG interim consolidated financial statements (unaudited)
|
Statement of comprehensive income
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income
attributable to UBS AG shareholders
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
|
1,009
|
713
|
1,178
|
|
1,723
|
3,201
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that may be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Foreign currency translation
|
|
|
|
|
|
|
|
|
Foreign currency translation movements, before tax
|
|
311
|
(953)
|
(748)
|
|
(642)
|
(1,582)
|
|
Foreign exchange amounts reclassified to the income statement
from equity
|
|
26
|
123
|
(2)
|
|
149
|
(2)
|
|
Income tax relating to foreign currency translation movements
|
|
(2)
|
5
|
4
|
|
3
|
7
|
|
Subtotal foreign currency translation, net of tax
|
|
335
|
(825)
|
(746)
|
|
(491)
|
(1,577)
|
|
Financial assets available
for sale
|
|
|
|
|
|
|
|
|
Net unrealized gains / (losses) on financial assets available
for sale, before tax
|
|
116
|
253
|
(103)
|
|
369
|
119
|
|
Impairment charges reclassified to the income statement from
equity
|
|
3
|
0
|
0
|
|
3
|
0
|
|
Realized gains reclassified to the income statement from equity
|
|
(166)
|
(89)
|
(87)
|
|
(255)
|
(208)
|
|
Realized losses reclassified to the income statement from equity
|
|
5
|
13
|
7
|
|
19
|
23
|
|
Income tax relating to net unrealized gains / (losses) on
financial assets available for sale
|
|
3
|
(46)
|
37
|
|
(44)
|
(1)
|
|
Subtotal financial assets available for sale, net of tax
|
|
(39)
|
131
|
(146)
|
|
93
|
(67)
|
|
Cash flow hedges
|
|
|
|
|
|
|
|
|
Effective portion of changes in fair value of derivative instruments
designated as cash flow hedges, before tax
|
|
502
|
944
|
(420)
|
|
1,445
|
(156)
|
|
Net (gains) / losses reclassified to the income statement from
equity
|
|
(274)
|
(303)
|
(265)
|
|
(577)
|
(510)
|
|
Income tax relating to cash flow hedges
|
|
(47)
|
(127)
|
140
|
|
(174)
|
136
|
|
Subtotal cash flow hedges, net of tax
|
|
181
|
513
|
(545)
|
|
694
|
(530)
|
|
Total other comprehensive
income that may be reclassified to the income statement, net of tax
|
|
476
|
(181)
|
(1,437)
|
|
296
|
(2,173)
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that will not be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Defined benefit plans
|
|
|
|
|
|
|
|
|
Gains / (losses) on defined benefit plans, before tax
|
|
(198)
|
(191)
|
(581)
|
|
(389)
|
154
|
|
Income tax relating to defined benefit plans
|
|
(4)
|
12
|
170
|
|
8
|
(16)
|
|
Subtotal defined benefit plans, net of tax
|
|
(202)
|
(179)
|
(412)
|
|
(381)
|
138
|
|
Own credit on financial
liabilities designated at fair value
|
|
|
|
|
|
|
|
|
Gains / (losses) from own credit on financial liabilities
designated at fair value, before tax
|
|
(173)
|
68
|
|
|
(105)
|
|
|
Income tax relating to own credit on financial liabilities
designated at fair value
|
|
16
|
(16)
|
|
|
0
|
|
|
Subtotal own credit on financial liabilities designated at fair
value, net of tax
|
|
(157)
|
52
|
|
|
(105)
|
0
|
|
Total other comprehensive
income that will not be reclassified to the income statement, net of tax
|
|
(359)
|
(127)
|
(412)
|
|
(486)
|
138
|
|
|
|
|
|
|
|
|
|
|
Total other comprehensive
income
|
|
118
|
(308)
|
(1,849)
|
|
(190)
|
(2,035)
|
|
Total comprehensive income
attributable to UBS AG shareholders
|
|
1,127
|
405
|
(671)
|
|
1,533
|
1,166
|
|
Statement of comprehensive income (continued)
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income
attributable to preferred noteholders
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
|
78
|
0
|
76
|
|
78
|
76
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that will not be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Foreign currency translation movements, before tax
|
|
328
|
(50)
|
(49)
|
|
279
|
(173)
|
|
Income tax relating to foreign currency translation movements
|
|
0
|
0
|
0
|
|
0
|
0
|
|
Subtotal foreign currency translation, net of tax
|
|
328
|
(50)
|
(49)
|
|
279
|
(173)
|
|
Total other comprehensive
income that will not be reclassified to the income statement, net of tax
|
|
328
|
(50)
|
(49)
|
|
279
|
(173)
|
|
Total comprehensive income
attributable to preferred noteholders
|
|
406
|
(50)
|
26
|
|
357
|
(98)
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income
attributable to non-controlling interests
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
|
1
|
0
|
1
|
|
1
|
1
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that will not be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Foreign currency translation movements, before tax
|
|
0
|
(1)
|
(2)
|
|
0
|
(4)
|
|
Income tax relating to foreign currency translation movements
|
|
0
|
0
|
0
|
|
0
|
0
|
|
Subtotal foreign currency translation, net of tax
|
|
0
|
(1)
|
(2)
|
|
0
|
(4)
|
|
Total other comprehensive
income that will not be reclassified to the income statement, net of tax
|
|
0
|
(1)
|
(2)
|
|
0
|
(4)
|
|
Total comprehensive income
attributable to non-controlling interests
|
|
1
|
0
|
(1)
|
|
1
|
(2)
|
|
|
|
|
|
|
|
|
|
|
Total comprehensive income
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
|
1,088
|
713
|
1,255
|
|
1,802
|
3,278
|
|
Other comprehensive income
|
|
446
|
(358)
|
(1,900)
|
|
88
|
(2,212)
|
|
of which: other
comprehensive income that may be reclassified to the income statement
|
|
476
|
(181)
|
(1,437)
|
|
296
|
(2,173)
|
|
of which: other
comprehensive income that will not be reclassified to the income statement
|
|
(30)
|
(177)
|
(463)
|
|
(207)
|
(39)
|
|
Total comprehensive income
|
|
1,535
|
355
|
(645)
|
|
1,890
|
1,066
|
UBS AG interim consolidated financial statements (unaudited)
|
Balance sheet
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% change from
|
|
CHF million
|
|
Note
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
31.3.16
|
31.12.15
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
Cash and balances with central banks
|
|
|
|
94,246
|
105,710
|
91,306
|
|
(11)
|
3
|
|
Due from banks
|
|
|
|
12,870
|
13,472
|
11,866
|
|
(4)
|
8
|
|
Loans
|
|
|
|
307,860
|
306,629
|
312,723
|
|
0
|
(2)
|
|
Cash collateral on securities borrowed
|
|
11
|
|
29,367
|
32,432
|
25,584
|
|
(9)
|
15
|
|
Reverse repurchase agreements
|
|
11
|
|
73,289
|
73,562
|
67,893
|
|
0
|
8
|
|
Trading portfolio assets
|
|
9
|
|
101,364
|
105,332
|
124,047
|
|
(4)
|
(18)
|
|
of which: assets pledged as
collateral which may be sold or repledged by counterparties
|
|
|
|
30,778
|
32,549
|
51,943
|
|
(5)
|
(41)
|
|
Positive replacement values
|
|
9, 10, 11
|
|
198,441
|
180,518
|
167,435
|
|
10
|
19
|
|
Cash collateral receivables on derivative instruments
|
|
11
|
|
29,955
|
25,460
|
23,763
|
|
18
|
26
|
|
Financial assets designated at fair value
|
|
9, 11
|
|
63,922
|
40,652
|
5,808
|
|
57
|
|
|
Financial assets available for sale
|
|
9
|
|
18,211
|
31,266
|
62,543
|
|
(42)
|
(71)
|
|
Financial assets held to maturity
|
|
|
|
4,798
|
2,889
|
|
|
66
|
|
|
Investments in associates
|
|
|
|
950
|
953
|
954
|
|
0
|
0
|
|
Property, equipment and software
|
|
|
|
7,941
|
7,750
|
7,683
|
|
2
|
3
|
|
Goodwill and intangible assets
|
|
|
|
6,402
|
6,326
|
6,568
|
|
1
|
(3)
|
|
Deferred tax assets
|
|
|
|
12,150
|
12,190
|
12,833
|
|
0
|
(5)
|
|
Other assets
|
|
12
|
|
28,368
|
23,016
|
22,249
|
|
23
|
28
|
|
Total assets
|
|
|
|
990,135
|
968,158
|
943,256
|
|
2
|
5
|
|
Balance sheet (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% change from
|
|
CHF million
|
|
Note
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
31.3.16
|
31.12.15
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
Due to banks
|
|
|
|
15,259
|
11,350
|
11,836
|
|
34
|
29
|
|
Due to customers
|
|
|
|
429,555
|
416,966
|
402,522
|
|
3
|
7
|
|
Cash collateral on securities lent
|
|
11
|
|
6,301
|
6,353
|
8,029
|
|
(1)
|
(22)
|
|
Repurchase agreements
|
|
11
|
|
8,043
|
6,516
|
9,653
|
|
23
|
(17)
|
|
Trading portfolio liabilities
|
|
9
|
|
29,614
|
33,157
|
29,137
|
|
(11)
|
2
|
|
Negative replacement values
|
|
9, 10, 11
|
|
196,006
|
179,018
|
162,430
|
|
9
|
21
|
|
Cash collateral payables on derivative instruments
|
|
11
|
|
36,352
|
36,690
|
38,282
|
|
(1)
|
(5)
|
|
Financial liabilities designated at fair value
|
|
9, 11, 13
|
|
59,664
|
57,761
|
62,995
|
|
3
|
(5)
|
|
Debt issued
|
|
14
|
|
85,931
|
87,796
|
82,359
|
|
(2)
|
4
|
|
Provisions
|
|
15
|
|
3,653
|
3,961
|
4,163
|
|
(8)
|
(12)
|
|
Other liabilities
|
|
12
|
|
65,719
|
70,988
|
74,606
|
|
(7)
|
(12)
|
|
Total liabilities
|
|
|
|
936,096
|
910,557
|
886,013
|
|
3
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity
|
|
|
|
|
|
|
|
|
|
|
Share capital
|
|
|
|
386
|
386
|
386
|
|
0
|
0
|
|
Share premium
|
|
|
|
29,483
|
29,484
|
29,477
|
|
0
|
0
|
|
Retained earnings
|
|
|
|
27,235
|
30,019
|
29,433
|
|
(9)
|
(7)
|
|
Other comprehensive income recognized directly in equity, net of
tax
|
|
|
|
(3,752)
|
(4,228)
|
(4,047)
|
|
(11)
|
(7)
|
|
Equity attributable to UBS
AG shareholders
|
|
|
|
53,353
|
55,660
|
55,248
|
|
(4)
|
(3)
|
|
Equity attributable to preferred noteholders
|
|
|
|
649
|
1,905
|
1,954
|
|
(66)
|
(67)
|
|
Equity attributable to non-controlling interests
|
|
|
|
37
|
36
|
41
|
|
3
|
(10)
|
|
Total equity
|
|
|
|
54,039
|
57,601
|
57,243
|
|
(6)
|
(6)
|
|
Total liabilities and equity
|
|
|
|
990,135
|
968,158
|
943,256
|
|
2
|
5
|
UBS AG interim consolidated financial statements (unaudited)
|
Statement of changes in equity
|
|
|
|
|
|
CHF million
|
Share capital
|
Share premium
|
Treasury shares
|
Retained earnings
|
|
Balance as of 1 January 2015
|
384
|
32,057
|
(37)
|
22,902
|
|
Issuance of share capital
|
1
|
|
|
|
|
Acquisition of treasury shares
|
|
|
(272)
|
|
|
Disposal of treasury shares
|
|
|
265
|
|
|
Treasury share gains / (losses) and net premium / (discount) on
own equity derivative activity
|
|
43
|
|
|
|
Premium on shares issued and warrants exercised
|
|
293
|
|
|
|
Employee share and share option plans
|
|
(6)
|
|
|
|
Tax (expense) / benefit recognized in share premium
|
|
1
|
|
|
|
Dividends
|
|
(1,914)²
|
|
|
|
Preferred notes
|
|
|
|
|
|
Total comprehensive income for the period
|
|
|
|
3,340
|
|
of which: net profit /
(loss)
|
|
|
|
3,201
|
|
of which: other
comprehensive income that may be reclassified to the income statement, net of
tax
|
|
|
|
|
|
of which: other
comprehensive income that will not be reclassified to the income statement,
net of tax – defined benefit plans
|
|
|
|
138
|
|
of which: other
comprehensive income that will not be reclassified to the income statement,
net of tax – foreign currency translation
|
|
|
|
|
|
Balance as of 30 June 2015
|
386
|
30,474
|
(44)
|
26,241
|
|
|
|
|
|
|
|
Balance as of 1 January 2016
|
386
|
29,477
|
0
|
29,433
|
|
Issuance of share capital
|
|
|
|
|
|
Premium on shares issued and warrants exercised
|
|
3
|
|
|
|
Employee share and share option plans
|
|
(2)
|
|
|
|
Tax (expense) / benefit recognized in share premium
|
|
6
|
|
|
|
Dividends
|
|
|
|
(3,434)²
|
|
Preferred notes
|
|
|
|
|
|
New consolidations / (deconsolidations) and other increases /
(decreases)
|
|
(2)
|
|
|
|
Total comprehensive income for the period
|
|
|
|
1,237
|
|
of which: net profit /
(loss)
|
|
|
|
1,723
|
|
of which: other
comprehensive income that may be reclassified to the income statement, net of
tax
|
|
|
|
|
|
of which: other
comprehensive income that will not be reclassified to the income statement,
net of tax – defined benefit plans
|
|
|
|
(381)
|
|
of which: other
comprehensive income that will not be reclassified to the income statement,
net of tax – own credit
|
|
|
|
(105)
|
|
of which: other
comprehensive income that will not be reclassified to the income statement,
net of tax – foreign currency translation
|
|
|
|
|
|
Balance as of 30 June 2016
|
386
|
29,483
|
0
|
27,235
|
|
1 Excludes defined benefit plans and own credit that are
recorded directly in Retained earnings. 2 Reflects the payment of an
ordinary cash dividend of CHF 0.89 out of retained earnings (2015: CHF 0.50
out of the capital contribution reserve).
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income recognized directly in equity, net
of tax¹
|
of which: foreign currency translation
|
of which: financial assets available for sale
|
of which: cash flow hedges
|
Total equity attributable to UBS AG shareholders
|
Preferred noteholders
|
Non-controlling interests
|
Total equity
|
|
(3,199)
|
(5,591)
|
236
|
2,156
|
52,108
|
2,013
|
45
|
54,165
|
|
|
|
|
|
1
|
|
|
1
|
|
|
|
|
|
(272)
|
|
|
(272)
|
|
|
|
|
|
265
|
|
|
265
|
|
|
|
|
|
43
|
|
|
43
|
|
|
|
|
|
293
|
|
|
293
|
|
|
|
|
|
(6)
|
|
|
(6)
|
|
|
|
|
|
1
|
|
|
1
|
|
|
|
|
|
(1,914)
|
(76)
|
(5)
|
(1,995)
|
|
|
|
|
|
0
|
0
|
|
0
|
|
(2,173)
|
(1,577)
|
(67)
|
(530)
|
1,166
|
(98)
|
(2)
|
1,066
|
|
|
|
|
|
3,201
|
76
|
1
|
3,278
|
|
(2,173)
|
(1,577)
|
(67)
|
(530)
|
(2,173)
|
|
|
(2,173)
|
|
|
|
|
|
138
|
|
|
138
|
|
|
|
|
|
0
|
(173)
|
(4)
|
(177)
|
|
(5,373)
|
(7,168)
|
169
|
1,626
|
51,685
|
1,840
|
38
|
53,562
|
|
|
|
|
|
|
|
|
|
|
(4,047)
|
(5,857)
|
172
|
1,638
|
55,248
|
1,954
|
41
|
57,243
|
|
|
|
|
|
0
|
|
|
0
|
|
|
|
|
|
3
|
|
|
3
|
|
|
|
|
|
(2)
|
|
|
(2)
|
|
|
|
|
|
6
|
|
|
6
|
|
|
|
|
|
(3,434)
|
(78)
|
(5)
|
(3,517)
|
|
|
|
|
|
0
|
(1,584)
|
|
(1,584)
|
|
|
|
|
|
(2)
|
|
0
|
(2)
|
|
296
|
(491)
|
93
|
694
|
1,533
|
357
|
1
|
1,890
|
|
|
|
|
|
1,723
|
78
|
1
|
1,802
|
|
296
|
(491)
|
93
|
694
|
296
|
|
|
296
|
|
|
|
|
|
(381)
|
|
|
(381)
|
|
|
|
|
|
(105)
|
|
|
(105)
|
|
|
|
|
|
0
|
279
|
0
|
278
|
|
(3,752)
|
(6,348)
|
264
|
2,332
|
53,353
|
649
|
37
|
54,039
|
|
|
|
|
|
|
|
|
|
UBS AG interim consolidated financial statements (unaudited)
|
Statement of cash flows
|
|
|
|
|
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
Cash flow from / (used in)
operating activities
|
|
|
|
|
Net profit / (loss)
|
|
1,802
|
3,278
|
|
Non-cash items included in
net profit and other adjustments:
|
|
|
|
|
Depreciation and impairment of property, equipment and software
|
|
481
|
429
|
|
Amortization and impairment of intangible assets
|
|
47
|
58
|
|
Credit loss expense / (recovery)
|
|
9
|
29
|
|
Share of net profits of associates
|
|
(40)
|
(52)
|
|
Deferred tax expense / (benefit)
|
|
243
|
691
|
|
Net loss / (gain) from investing activities
|
|
(798)
|
(673)
|
|
Net loss / (gain) from financing activities
|
|
6,781
|
(2,980)
|
|
Other net adjustments
|
|
(573)
|
7,908
|
|
Net change in operating
assets and liabilities:
|
|
|
|
|
Due from / to banks
|
|
3,317
|
2,843
|
|
Cash collateral on securities borrowed and reverse repurchase
agreements
|
|
(13,109)
|
(1,019)
|
|
Cash collateral on securities lent and repurchase agreements
|
|
(1,832)
|
3,537
|
|
Trading portfolio and replacement values
|
|
14,773
|
6,407
|
|
Financial assets designated at fair value
|
|
(59,498)
|
(778)
|
|
Cash collateral on derivative instruments
|
|
(6,824)
|
2,608
|
|
Loans
|
|
1,144
|
(7,547)
|
|
Due to customers
|
|
21,702
|
(20,243)
|
|
Other assets, provisions and other liabilities
|
|
(6,955)
|
(4,695)
|
|
Income taxes paid, net of refunds
|
|
(207)
|
(210)
|
|
Net cash flow from / (used
in) operating activities
|
|
(39,536)
|
(10,408)
|
|
|
|
|
|
|
Cash flow from / (used in)
investing activities
|
|
|
|
|
Purchase of subsidiaries, associates and intangible assets
|
|
(23)
|
(38)
|
|
Disposal of subsidiaries, associates and intangible assets¹
|
|
72
|
190
|
|
Purchase of property, equipment and software
|
|
(934)
|
(795)
|
|
Disposal of property, equipment and software
|
|
193
|
520
|
|
Purchase of financial assets available for sale
|
|
(7,363)
|
(65,516)
|
|
Disposal and redemption of financial assets available for sale
|
|
51,112
|
49,967
|
|
Net (purchase) / redemption of financial assets held to maturity
|
|
(4,878)
|
|
|
Net cash flow from / (used
in) investing activities
|
|
38,177
|
(15,673)
|
|
|
|
|
|
|
Table continues on the next page.
|
|
|
|
|
Statement of cash flows (continued)
|
|
|
|
|
|
|
Table continued from previous page.
|
|
|
|
|
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
Cash flow from / (used in)
financing activities
|
|
|
|
|
Net short-term debt issued / (repaid)
|
|
9,797
|
5,353
|
|
Distributions paid on UBS shares
|
|
(3,434)
|
(1,632)
|
|
Issuance of long-term debt, including financial liabilities
designated at fair value
|
|
18,857
|
33,204
|
|
Repayment of long-term debt, including financial liabilities
designated at fair value
|
|
(17,365)
|
(25,044)
|
|
Dividends paid and repayments of preferred notes
|
|
(1,366)
|
(77)
|
|
Net changes in non-controlling interests
|
|
(5)
|
(5)
|
|
Net cash flow from / (used
in) financing activities
|
|
6,484
|
11,799
|
|
|
|
|
|
|
Effects of exchange rate differences on cash and cash
equivalents
|
|
(1,293)
|
(5,595)
|
|
Net increase / (decrease) in
cash and cash equivalents
|
|
3,832
|
(19,876)
|
|
Cash and cash equivalents at the beginning of the period
|
|
102,962
|
116,715
|
|
Cash and cash equivalents at
the end of the period
|
|
106,795
|
96,838
|
|
|
|
|
|
|
Cash and cash equivalents comprise:
|
|
|
|
|
Cash and balances with central banks
|
|
94,181
|
84,646
|
|
Due from banks
|
|
11,613
|
11,720
|
|
Money market paper²
|
|
1,001
|
473
|
|
Total³
|
|
106,795
|
96,838
|
|
|
|
|
|
|
Additional information
|
|
|
|
|
Net cash flow from / (used in) operating activities include:
|
|
|
|
|
Cash received as interest
|
|
5,995
|
5,315
|
|
Cash paid as interest
|
|
3,416
|
2,927
|
|
Cash received as dividends on equity investments, investment
funds and associates⁴
|
|
999
|
1,182
|
|
1 Includes dividends received from associates. 2 Money market
paper is included in the balance sheet under Trading portfolio assets,
Financial assets available for sale and Financial assets designated at fair
value. 3 Comprises balances with an original maturity of three months or
less. CHF 3,631 million and CHF 3,404 million of cash and cash equivalents
(mainly reflected in Due from banks) were restricted as of 30 June 2016 and
30 June 2015, respectively. Refer to Note 25 in the Annual Report 2015 for
more information. 4 Includes dividends received from associates reported
within cash flow from / (used in) investing activities.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Notes to the UBS AG interim
consolidated financial statements (unaudited)
Note
1
Basis of accounting
The consolidated financial statements
(the Financial Statements) of UBS AG and its subsidiaries (together referred to
as “UBS AG” in these Financial Statements) are prepared in accordance with
International Financial Reporting Standards (IFRS), as issued by the
International Accounting Standards Board (IASB), and are stated in Swiss francs
(CHF), the currency of Switzerland where UBS AG is incorporated. UBS AG is 100%
held by UBS Group AG. These interim Financial Statements are prepared in
accordance with IAS 34,
Interim Financial Reporting.
In preparing
these interim Financial Statements, the same accounting policies and methods of
computation have been applied as in the UBS AG consolidated annual Financial
Statements for the period ended 31 December 2015, except for the changes
described below and in “Note 1 Basis of accounting” in the “Consolidated
financial statements” section of the first quarter 2016 report. These interim
Financial Statements are unaudited and should be read in conjunction with UBS
AG’s audited consolidated Financial Statements included in the Annual Report
2015. In the opinion of management, all necessary adjustments were made for a
fair presentation of UBS AG’s financial position, results of operations and
cash flows.
Preparation of these interim Financial
Statements requires management to make estimates and assumptions that affect
the reported amounts of assets, liabilities, income, expenses and disclosures
of contingent assets and liabilities. These estimates and assumptions are based
on the best available information. Actual results in the future could differ
from such estimates and such differences may be material to the Financial
Statements. Revisions to estimates, based on regular reviews, are recognized in
the period in which they occur. For more information on areas of estimation
uncertainty considered to require critical judgment, refer to item 2 of “Note
1a Significant accounting policies” in the audited “Consolidated financial
statements” section of the Annual Report 2015.
London Clearing House interest rate swaps
converted to a settlement model
Effective 30 June 2016, UBS AG
elected to convert its interest rate swaps (IRS) transacted with the London
Clearing House from the previous collateral model to a settlement model. The
IRS are now legally settled on a daily basis resulting in the derecognition of
the associated assets and liabilities. Previously, UBS AG applied IAS 32
netting principles to offset the IRS with the associated variation margin.
Gross cash collateral receivables and payables on derivative instruments and
corresponding netting presented in Note 11 decreased by CHF 93 billion as of 30
June 2016, with no change to net cash collateral receivables and payables on
derivative instruments recognized on the balance sheet
.
®
Refer to Note 11 for more information
Derecognition of exchange-traded
derivative client cash balances from UBS AG’s balance sheet
In accordance with UBS AG's
accounting policy, client cash balances associated with derivatives clearing
and execution services are not recognized on the balance sheet if, through
contractual agreement, regulation or practice, UBS AG does not obtain benefits
from or control the client cash balances. These conditions are considered to
have been met when (i) UBS AG is not permitted to reinvest client cash balances;
(ii) interest paid by central counterparties (CCPs), brokers or deposit banks
on cash deposits forms part of the client cash balances with deductions being
made solely as compensation for clearing and execution services provided; (iii)
UBS AG does not guarantee and is not liable to clients for the performance of
the CCP, broker or deposit bank; and (iv) the client cash balances are legally
isolated from UBS AG’s estate.
During the second quarter of 2016, UBS AG formally
and legally waived certain rights available to it under the rules of the US
Commodity Futures Trading Commission that had previously enabled it to invest
certain client cash balances in other assets, making them a source of benefit
to UBS AG. As a result, UBS AG derecognized related client cash balances.
Consequently,
Cash collateral receivables on derivative
instruments
decreased by CHF 2.8 billion,
Due from
banks
decreased by CHF 0.9 billion and
Cash
collateral payables on derivative instruments
decreased by CHF 3.6
billion as of 30 June 2016.
Note
1
Basis of accounting
(continued)
Amendments to
IFRS 2 Share-based Payment
In June 2016, the IASB issued
amendments to IFRS 2,
Share-based Payment,
which are
mandatorily effective for UBS on 1 January 2018, with early adoption permitted.
The amendments require that the approach used to account for vesting conditions
when measuring cash-settled share-based payments is consistent with that used
for equity-settled share-based payments. The amendments also clarify the
classification of share-based payments settled net of withholding tax as well
as the accounting consequences resulting from a modification of share-based
payments from cash-settled to equity-settled. UBS AG expects that the adoption
of these amendments will not have a material impact on its financial
statements.
UBS AG‘s businesses are organized globally
into five business divisions: Wealth Management, Wealth Management Americas,
Personal & Corporate Banking, Asset Management and the Investment Bank,
supported by Corporate Center. The five business divisions qualify as
reportable segments for the purpose of segment reporting and, together with
Corporate Center and its units, reflect the management structure of UBS AG.
Refer to "Note 1a item 34 Segment reporting" and "Note 2 Segment
reporting" in the audited “Consolidated financial statements” section of
the Annual Report 2015 for more information on UBS AG's reporting segments.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
2
Segment reporting
(continued)
|
|
|
Wealth Management
|
|
Wealth Management Americas
|
|
Personal & Corporate Banking
|
|
Asset Management
|
|
Investment Bank
|
|
Corporate Center
|
|
UBS AG
|
|
CHF million
|
|
|
|
|
|
|
|
|
|
|
|
Services
|
Group ALM
|
Non-core and Legacy Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended 30
June 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
954
|
|
652
|
|
957
|
|
(17)
|
|
140
|
|
(162)
|
386
|
(44)
|
|
2,866
|
|
Non-interest income
|
|
2,541
|
|
3,074
|
|
908
|
|
963
|
|
3,858
|
|
147
|
(160)
|
64
|
|
11,397
|
|
Allocations from Corporate Center Group ALM to business
divisions and other CC units
|
|
207
|
|
44
|
|
180
|
|
5
|
|
(116)
|
|
36
|
(311)
|
(46)
|
|
0
|
|
Income
|
|
3,702
|
|
3,771
|
|
2,046
|
|
951
|
|
3,882
|
|
22
|
(85)
|
(26)
|
|
14,263
|
|
Credit loss (expense) / recovery
|
|
(1)
|
|
(2)
|
|
2
|
|
0
|
|
(5)
|
|
0
|
0
|
(3)
|
|
(9)
|
|
Total operating income
|
|
3,700
|
|
3,769
|
|
2,048
|
|
951
|
|
3,877
|
|
22
|
(85)
|
(29)
|
|
14,254
|
|
Personnel expenses
|
|
1,205
|
|
2,398
|
|
425
|
|
367
|
|
1,555
|
|
1,859
|
15
|
28
|
|
7,852
|
|
General and administrative expenses
|
|
278
|
|
296
|
|
122
|
|
116
|
|
398
|
|
2,100
|
8
|
120
|
|
3,438
|
|
Services (to) / from business divisions and Corporate Center
|
|
1,148
|
|
618
|
|
561
|
|
262
|
|
1,402
|
|
(4,102)
|
(23)
|
134
|
|
0
|
|
of which: services from CC
Services
|
|
1,107
|
|
611
|
|
609
|
|
274
|
|
1,349
|
|
(4,116)
|
55
|
110
|
|
0
|
|
Depreciation and impairment of property, equipment and software
|
|
1
|
|
1
|
|
8
|
|
1
|
|
13
|
|
458
|
0
|
0
|
|
481
|
|
Amortization and impairment of intangible assets
|
|
2
|
|
26
|
|
0
|
|
2
|
|
6
|
|
11
|
0
|
0
|
|
47
|
|
Total operating expenses¹
|
|
2,635
|
|
3,340
|
|
1,116
|
|
748
|
|
3,374
|
|
324
|
0
|
282
|
|
11,818
|
|
Operating profit / (loss)
before tax
|
|
1,066
|
|
429
|
|
932
|
|
203
|
|
503
|
|
(302)
|
(84)
|
(311)
|
|
2,436
|
|
Tax expense / (benefit)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
634
|
|
Net profit / (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,802
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 30 June 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
119,201
|
|
61,605
|
|
140,323
|
|
11,661
|
|
282,425
|
|
22,851
|
251,541
|
100,527
|
|
990,135
|
|
For the six months ended 30
June 2015²
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
874
|
|
492
|
|
937
|
|
(18)
|
|
609
|
|
(162)
|
430
|
(35)
|
|
3,129
|
|
Non-interest income
|
|
3,217
|
|
3,080
|
|
808
|
|
996
|
|
4,495
|
|
418
|
478
|
54
|
|
13,545
|
|
Allocations from Corporate Center Group ALM to business
divisions and other CC units
|
|
236
|
|
52
|
|
210
|
|
9
|
|
(86)
|
|
86
|
(480)
|
(27)
|
|
0
|
|
Income
|
|
4,327
|
|
3,624
|
|
1,956
|
|
987
|
|
5,018
|
|
342
|
427
|
(8)
|
|
16,674
|
|
Credit loss (expense) / recovery
|
|
0
|
|
0
|
|
(25)
|
|
0
|
|
(6)
|
|
0
|
0
|
2
|
|
(29)
|
|
Total operating income
|
|
4,327
|
|
3,624
|
|
1,931
|
|
987
|
|
5,012
|
|
342
|
427
|
(6)
|
|
16,644
|
|
Personnel expenses
|
|
1,316
|
|
2,245
|
|
447
|
|
342
|
|
1,948
|
|
1,915
|
15
|
69
|
|
8,297
|
|
General and administrative expenses
|
|
254
|
|
332
|
|
117
|
|
111
|
|
384
|
|
2,173
|
8
|
91
|
|
3,470
|
|
Services (to) / from business divisions and Corporate Center
|
|
1,055
|
|
589
|
|
534
|
|
233
|
|
1,366
|
|
(3,946)
|
(20)
|
190
|
|
0
|
|
of which: services from CC
Services
|
|
1,027
|
|
583
|
|
584
|
|
241
|
|
1,336
|
|
(3,963)
|
34
|
159
|
|
0
|
|
Depreciation and impairment of property and equipment
|
|
3
|
|
1
|
|
8
|
|
1
|
|
13
|
|
403
|
0
|
0
|
|
429
|
|
Amortization and impairment of intangible assets
|
|
2
|
|
25
|
|
0
|
|
3
|
|
18
|
|
11
|
0
|
0
|
|
58
|
|
Total operating expenses¹
|
|
2,629
|
|
3,192
|
|
1,107
|
|
689
|
|
3,729
|
|
556
|
2
|
349
|
|
12,254
|
|
Operating profit / (loss)
before tax
|
|
1,698
|
|
432
|
|
824
|
|
298
|
|
1,284
|
|
(214)
|
425
|
(355)
|
|
4,391
|
|
Tax expense / (benefit)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,112
|
|
Net profit / (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,278
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31 December 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
119,850
|
|
60,993
|
|
141,174
|
|
12,874
|
|
253,571
|
|
22,866
|
237,560
|
94,369
|
|
943,256
|
|
1 Refer to Note 17 for information on restructuring expenses.
2 Figures in this table may differ from those originally published in
quarterly and annual reports due to adjustments following organizational
changes, restatements due to the retrospective adoption of new accounting
standards or changes in accounting policies, and events after the reporting
period.
|
Note
3
Net interest and trading income
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest and trading
income
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
1,157
|
1,708
|
1,491
|
|
(32)
|
(22)
|
|
2,866
|
3,129
|
|
Net trading income
|
|
1,891
|
1,011
|
1,612
|
|
87
|
17
|
|
2,902
|
3,741
|
|
Total net interest and
trading income
|
|
3,048
|
2,719
|
3,104
|
|
12
|
(2)
|
|
5,768
|
6,870
|
|
Wealth Management
|
|
736
|
750
|
711
|
|
(2)
|
4
|
|
1,486
|
1,517
|
|
Wealth Management Americas
|
|
446
|
439
|
375
|
|
2
|
19
|
|
885
|
732
|
|
Personal & Corporate Banking
|
|
643
|
643
|
628
|
|
0
|
2
|
|
1,286
|
1,315
|
|
Asset Management
|
|
(1)
|
(9)
|
(2)
|
|
(89)
|
(50)
|
|
(9)
|
(8)
|
|
Investment Bank
|
|
1,169
|
1,021
|
1,341
|
|
14
|
(13)
|
|
2,190
|
3,058
|
|
of which: Corporate Client
Solutions
|
|
251
|
120
|
212
|
|
109
|
18
|
|
371
|
486
|
|
of which: Investor Client
Services
|
|
918
|
901
|
1,128
|
|
2
|
(19)
|
|
1,818
|
2,572
|
|
Corporate Center
|
|
55
|
(125)
|
51
|
|
|
8
|
|
(69)
|
254
|
|
of which: Services
|
|
(13)
|
(9)
|
(2)
|
|
44
|
550
|
|
(23)
|
23
|
|
of which: Group ALM
|
|
53
|
(73)
|
87
|
|
|
(39)
|
|
(20)
|
350
|
|
of which: own credit on
financial liabilities designated at fair value
|
|
|
|
259
|
|
|
|
|
|
486
|
|
of which: Non-core and
Legacy Portfolio
|
|
16
|
(43)
|
(34)
|
|
|
|
|
(27)
|
(118)
|
|
Total net interest and
trading income
|
|
3,048
|
2,719
|
3,104
|
|
12
|
(2)
|
|
5,768
|
6,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
|
|
|
|
|
|
|
|
|
|
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
Interest income from loans and deposits¹
|
|
2,345
|
2,329
|
2,141
|
|
1
|
10
|
|
4,673
|
4,241
|
|
Interest income from securities financing transactions²
|
|
284
|
252
|
215
|
|
13
|
32
|
|
536
|
407
|
|
Interest income from trading portfolio³
|
|
781
|
688
|
904
|
|
14
|
(14)
|
|
1,469
|
1,660
|
|
Interest income from financial assets and liabilities designated
at fair value
|
|
76
|
73
|
48
|
|
4
|
58
|
|
148
|
91
|
|
Interest income from financial assets available for sale and
held to maturity³
|
|
63
|
65
|
101
|
|
(3)
|
(38)
|
|
128
|
185
|
|
Total
|
|
3,548
|
3,406
|
3,409
|
|
4
|
4
|
|
6,953
|
6,583
|
|
Interest expense
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense on loans and deposits⁴
|
|
415
|
323
|
176
|
|
28
|
136
|
|
736
|
342
|
|
Interest expense on securities financing transactions⁵
|
|
332
|
286
|
254
|
|
16
|
31
|
|
618
|
446
|
|
Interest expense on trading portfolio⁶
|
|
951
|
376
|
753
|
|
153
|
26
|
|
1,327
|
1,163
|
|
Interest expense on financial assets and liabilities designated
at fair value
|
|
197
|
201
|
178
|
|
(2)
|
11
|
|
398
|
369
|
|
Interest expense on debt issued
|
|
495
|
513
|
556
|
|
(4)
|
(11)
|
|
1,008
|
1,134
|
|
Total
|
|
2,390
|
1,697
|
1,918
|
|
41
|
25
|
|
4,088
|
3,454
|
|
Net interest income
|
|
1,157
|
1,708
|
1,491
|
|
(32)
|
(22)
|
|
2,866
|
3,129
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net trading income
|
|
|
|
|
|
|
|
|
|
|
|
Investment Bank Corporate Client Solutions
|
|
91
|
(38)
|
53
|
|
|
72
|
|
52
|
167
|
|
Investment Bank Investor Client Services
|
|
1,307
|
802
|
1,128
|
|
63
|
16
|
|
2,110
|
2,364
|
|
Other business divisions and Corporate Center
|
|
493
|
247
|
431
|
|
100
|
14
|
|
740
|
1,210
|
|
Net trading income
|
|
1,891
|
1,011
|
1,612
|
|
87
|
17
|
|
2,902
|
3,741
|
|
of which: net gains /
(losses) from financial liabilities designated at fair value⁷
|
|
(648)
|
1,059
|
1,247
|
|
|
|
|
411
|
259
|
|
1 Consists of interest income from balances with central banks,
amounts due from banks and loans, and negative interest on amounts due to
banks and customers. 2 Includes interest income on securities borrowed and
reverse repurchase agreements and negative interest, including fees, on
securities lent and repurchase agreements. 3 Includes dividend income.
4 Consists of interest expense on amounts due to banks and customers, and
negative interest on balances with central banks, amounts due from banks and
loans. 5 Includes interest expense on securities lent and repurchase
agreements and negative interest, including fees, on securities borrowed and
reverse repurchase agreements. 6 Includes expense related to dividend
payment obligations on trading liabilities. 7 Excludes fair value changes
of hedges related to financial liabilities designated at fair value and foreign
currency translation effects arising from translating foreign currency
transactions into the respective functional currency, both of which are
reported within net trading income.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
4
Net fee
and commission income
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
Underwriting fees
|
|
282
|
246
|
385
|
|
15
|
(27)
|
|
528
|
752
|
|
of which: equity
underwriting fees
|
|
137
|
113
|
267
|
|
21
|
(49)
|
|
250
|
496
|
|
of which: debt underwriting
fees
|
|
145
|
133
|
118
|
|
9
|
23
|
|
278
|
256
|
|
M&A and corporate finance fees
|
|
176
|
139
|
190
|
|
27
|
(7)
|
|
315
|
368
|
|
Brokerage fees
|
|
880
|
968
|
995
|
|
(9)
|
(12)
|
|
1,848
|
2,073
|
|
Investment fund fees
|
|
779
|
814
|
916
|
|
(4)
|
(15)
|
|
1,593
|
1,839
|
|
Portfolio management and advisory fees
|
|
1,968
|
1,966
|
1,951
|
|
0
|
1
|
|
3,934
|
3,892
|
|
Other
|
|
438
|
426
|
445
|
|
3
|
(2)
|
|
864
|
865
|
|
Total fee and commission
income
|
|
4,523
|
4,560
|
4,883
|
|
(1)
|
(7)
|
|
9,083
|
9,788
|
|
Brokerage fees paid
|
|
192
|
197
|
210
|
|
(3)
|
(9)
|
|
390
|
442
|
|
Other
|
|
243
|
242
|
264
|
|
0
|
(8)
|
|
486
|
514
|
|
Total fee and commission
expense
|
|
436
|
440
|
474
|
|
(1)
|
(8)
|
|
875
|
957
|
|
Net fee and commission
income
|
|
4,087
|
4,121
|
4,409
|
|
(1)
|
(7)
|
|
8,208
|
8,832
|
|
of which: net brokerage fees
|
|
687
|
771
|
785
|
|
(11)
|
(12)
|
|
1,458
|
1,630
|
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
Associates and subsidiaries
|
|
|
|
|
|
|
|
|
|
|
|
Net gains / (losses) from disposals of subsidiaries¹
|
|
(49)
|
(123)
|
2
|
|
(60)
|
|
|
(172)
|
143
|
|
Net gains / (losses) from disposals of investments in associates
|
|
0
|
0
|
0
|
|
|
|
|
0
|
0
|
|
Share of net profits of associates
|
|
22
|
18
|
29
|
|
22
|
(24)
|
|
40
|
52
|
|
Total
|
|
(27)
|
(104)
|
31
|
|
(74)
|
|
|
(132)
|
196
|
|
Financial assets available
for sale
|
|
|
|
|
|
|
|
|
|
|
|
Net gains / (losses) from disposals
|
|
161
|
76
|
80
|
|
112
|
101
|
|
237
|
185
|
|
Impairment charges
|
|
(3)
|
0
|
0
|
|
|
|
|
(3)
|
0
|
|
Total
|
|
158
|
76
|
80
|
|
108
|
98
|
|
233
|
185
|
|
Net income from properties (excluding net gains / (losses) from
disposals)²
|
|
7
|
7
|
7
|
|
0
|
0
|
|
14
|
13
|
|
Net gains / (losses) from investment properties
|
|
1
|
0
|
(2)
|
|
|
|
|
1
|
(2)
|
|
Net gains / (losses) from disposals of properties held for sale
|
|
120
|
0
|
1
|
|
|
|
|
120
|
378
|
|
Net gains / (losses) from disposals of loans and receivables
|
|
0
|
(1)
|
0
|
|
(100)
|
|
|
(1)
|
26
|
|
Other
|
|
11
|
40
|
168
|
|
(73)
|
(93)
|
|
51
|
176
|
|
Total other income
|
|
270
|
17
|
285
|
|
|
(5)
|
|
288
|
972
|
|
1 Includes foreign exchange gains / (losses) reclassified from
other comprehensive income related to disposed foreign subsidiaries and
branches. 2 Includes net rent received from third parties and net
operating expenses.
|
Note
6
Personnel
expenses
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
Salaries and variable compensation
|
|
2,505
|
2,340
|
2,617
|
|
7
|
(4)
|
|
4,845
|
5,242
|
|
Contractors
|
|
117
|
101
|
88
|
|
16
|
33
|
|
218
|
169
|
|
Social security
|
|
155
|
181
|
207
|
|
(14)
|
(25)
|
|
336
|
437
|
|
Pension and other post-employment benefit plans
|
|
150
|
199
|
188
|
|
(25)
|
(20)
|
|
349
|
412
|
|
Wealth Management Americas: Financial advisor compensation¹
|
|
911
|
909
|
878
|
|
0
|
4
|
|
1,820
|
1,748
|
|
Other personnel expenses
|
|
114
|
170
|
147
|
|
(33)
|
(22)
|
|
284
|
289
|
|
Total personnel expenses²
|
|
3,953
|
3,899
|
4,124
|
|
1
|
(4)
|
|
7,852
|
8,297
|
|
1 Financial advisor compensation consists of grid-based
compensation based directly on compensable revenues generated by financial
advisors and supplemental compensation calculated on the basis of financial
advisor productivity, firm tenure, assets and other variables. It also
includes expenses related to compensation commitments with financial advisors
entered into at the time of recruitment which are subject to vesting
requirements. 2 Includes restructuring expenses. Refer to Note 17 for more
information.
|
Note
7
General
and administrative expenses
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15
|
|
Occupancy
|
|
218
|
231
|
224
|
|
(6)
|
(3)
|
|
449
|
451
|
|
Rent and maintenance of IT and other equipment
|
|
125
|
140
|
98
|
|
(11)
|
28
|
|
265
|
247
|
|
Communication and market data services
|
|
157
|
166
|
146
|
|
(5)
|
8
|
|
323
|
302
|
|
Administration
|
|
203
|
199
|
166
|
|
2
|
22
|
|
403
|
318
|
|
Marketing and public relations
|
|
129
|
98
|
113
|
|
32
|
14
|
|
227
|
192
|
|
Travel and entertainment
|
|
111
|
115
|
119
|
|
(3)
|
(7)
|
|
227
|
225
|
|
Professional fees
|
|
322
|
276
|
324
|
|
17
|
(1)
|
|
598
|
610
|
|
Outsourcing of IT and other services
|
|
375
|
433
|
424
|
|
(13)
|
(12)
|
|
807
|
817
|
|
Provisions for litigation, regulatory and similar matters¹
|
|
72
|
39
|
71
|
|
85
|
1
|
|
111
|
130
|
|
Other
|
|
15
|
13
|
37
|
|
15
|
(59)
|
|
28
|
178
|
|
Total general and
administrative expenses²
|
|
1,727
|
1,711
|
1,723
|
|
1
|
0
|
|
3,438
|
3,470
|
|
1 Reflects the net increase in provisions for litigation,
regulatory and similar matters recognized in the income statement. Refer to
Note 15 for more information. Also includes recoveries from third parties
(second quarter of 2016: CHF 0 million; first quarter of 2016: CHF 3 million;
second quarter of 2015: CHF 0 million). 2 Includes restructuring expenses.
Refer to Note 17 for more information.
|
UBS AG recognized a net income tax
expense of CHF 369 million in the second quarter of 2016 compared with a net
tax expense of CHF 443 million in the second quarter of 2015.
The current tax expense was CHF 218 million
in the second quarter of 2016 compared with CHF 247 million in the same quarter
a year earlier and related to taxable profits of UBS Switzerland AG and other
subsidiaries. Deferred tax expenses were CHF 150 million in the second quarter
of 2016 compared with CHF 196 million in the second quarter of 2015 and mainly
related to the amortization of deferred tax assets previously recognized in
relation to Swiss tax losses carried forward and deductible temporary differences
to reflect their offset against profits for the quarter.
In 2014 and 2015, UBS Limited recognized
deferred tax assets of CHF 223 million in connection with the transfer of
certain businesses from UBS AG London branch, reflecting the transfer of net
operating loss carryforwards.
During the second quarter of 2016, Her
Majesty's Revenue and Customs (HMRC) indicated that it may seek to challenge
this transfer of net operating loss carryforwards, notwithstanding its prior
confirmation to the contrary. To the extent that UBS Limited does not prevail
in a dispute on the validity of the transfer of net operating loss
carryforwards, it would incur a reduction in recognized deferred tax assets of
approximately CHF 113 million as well as potential current tax expenses for
prior periods. This would be in addition to a reduction in recognized deferred
tax assets of approximately CHF 110 million assuming currently proposed changes
in UK tax law are enacted in the second half of 2016.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
9
Fair value measurement
This Note provides fair value
measurement information for both financial and non-financial instruments and
should be read in conjunction with “Note 24 Fair value measurement” in the audited
“Consolidated financial statements” section of the Annual Report 2015 which
provides more information on valuation principles, valuation governance,
valuation techniques, valuation adjustments, fair value hierarchy
classification, valuation inputs, sensitivity of fair value measurements and
methods applied to calculate fair values for financial instruments not measured
at fair value.
Day-1 reserves
The table below summarizes the
changes in deferred day-1 profit or loss reserves during the respective period.
Deferred day-1 profit or loss related to
financial instruments other than financial assets available for sale is
released into
Net trading income
when pricing of
equivalent products or the underlying parameters become observable or when the
transaction is closed out.
Deferred day-1 profit or loss related to financial
assets available for sale is released into
Other
comprehensive income
when pricing of equivalent products or the
underlying parameters become observable and is released into
Other income
when the assets are sold.
|
Deferred day-1 profit or loss
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
Balance at the beginning of
the period
|
|
474
|
421
|
458
|
|
421
|
480
|
|
Profit / (loss) deferred on new transactions
|
|
38
|
123
|
69
|
|
160
|
145
|
|
(Profit) / loss recognized in the income statement
|
|
(53)
|
(58)
|
(86)
|
|
(110)
|
(167)
|
|
(Profit) / loss recognized in other comprehensive income
|
|
(23)
|
0
|
0
|
|
(23)
|
0
|
|
Foreign currency translation
|
|
8
|
(13)
|
(16)
|
|
(5)
|
(33)
|
|
Balance at the end of the
period
|
|
444
|
474
|
425
|
|
444
|
425
|
Note
9
Fair value measurement
(continued)
b) Fair value
measurements and classification within the fair value hierarchy
The fair value hierarchy
classification of financial and non-financial assets and liabilities measured
at fair value is summarized in the table below.
|
Determination of fair values
from quoted market prices or valuation techniques¹
|
|
|
|
30.6.16
|
|
31.3.16
|
|
31.12.15
|
|
CHF billion
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets measured at fair
value on a recurring basis
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets held for trading²
|
|
78.6
|
16.2
|
2.2
|
97.0
|
|
81.2
|
17.3
|
3.1
|
101.6
|
|
96.4
|
21.9
|
2.1
|
120.4
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government bills / bonds
|
|
14.7
|
1.4
|
0.0
|
16.1
|
|
13.6
|
2.2
|
0.0
|
15.8
|
|
12.9
|
3.3
|
0.0
|
16.2
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
|
0.1
|
6.5
|
0.8
|
7.5
|
|
0.3
|
7.8
|
1.0
|
9.1
|
|
0.2
|
8.1
|
0.7
|
9.0
|
|
Loans
|
|
0.0
|
3.1
|
0.9
|
4.0
|
|
0.0
|
1.3
|
1.2
|
2.6
|
|
0.0
|
1.8
|
0.8
|
2.6
|
|
Investment fund units
|
|
5.3
|
3.5
|
0.1
|
8.9
|
|
4.9
|
4.2
|
0.2
|
9.3
|
|
6.1
|
5.7
|
0.2
|
11.9
|
|
Asset-backed securities
|
|
0.0
|
0.7
|
0.0
|
0.7
|
|
0.0
|
0.6
|
0.2
|
0.8
|
|
0.0
|
1.0
|
0.2
|
1.2
|
|
Equity instruments
|
|
50.3
|
0.5
|
0.2
|
51.0
|
|
48.3
|
0.5
|
0.3
|
49.1
|
|
62.4
|
1.5
|
0.1
|
64.0
|
|
Financial assets for
unit-linked investment contracts
|
|
8.2
|
0.5
|
0.1
|
8.7
|
|
14.2
|
0.7
|
0.1
|
14.9
|
|
14.8
|
0.7
|
0.1
|
15.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positive replacement values
|
|
1.3
|
194.9
|
2.3
|
198.4
|
|
0.7
|
177.8
|
2.0
|
180.5
|
|
0.5
|
164.0
|
2.9
|
167.4
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
0.0
|
90.2
|
0.0
|
90.2
|
|
0.0
|
84.0
|
0.0
|
84.1
|
|
0.0
|
74.4
|
0.1
|
74.5
|
|
Credit derivative contracts
|
|
0.0
|
3.8
|
0.9
|
4.7
|
|
0.0
|
5.0
|
0.8
|
5.8
|
|
0.0
|
5.4
|
1.3
|
6.7
|
|
Foreign exchange contracts
|
|
0.5
|
79.7
|
0.4
|
80.7
|
|
0.4
|
69.5
|
0.4
|
70.3
|
|
0.3
|
64.9
|
0.5
|
65.7
|
|
Equity / index contracts
|
|
0.0
|
17.9
|
0.9
|
18.8
|
|
0.0
|
16.6
|
0.7
|
17.3
|
|
0.0
|
15.9
|
1.0
|
16.9
|
|
Commodity contracts
|
|
0.0
|
3.2
|
0.0
|
3.2
|
|
0.0
|
2.6
|
0.0
|
2.6
|
|
0.0
|
3.4
|
0.0
|
3.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value
|
|
41.1
|
20.0
|
2.8
|
63.9
|
|
27.0
|
10.4
|
3.3
|
40.7
|
|
0.2
|
2.3
|
3.3
|
5.8
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government bills / bonds
|
|
40.9
|
5.6
|
0.0
|
46.6
|
|
26.8
|
2.5
|
0.0
|
29.3
|
|
0.0
|
0.0
|
0.0
|
0.0
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
|
0.0
|
12.2
|
0.0
|
12.2
|
|
0.1
|
5.7
|
0.0
|
5.7
|
|
0.0
|
0.0
|
0.0
|
0.0
|
|
Loans (including structured
loans)
|
|
0.0
|
2.1
|
1.5
|
3.6
|
|
0.0
|
2.2
|
1.7
|
3.9
|
|
0.0
|
2.3
|
1.7
|
4.0
|
|
Structured reverse
repurchase and securities borrowing agreements
|
|
0.0
|
0.0
|
1.2
|
1.2
|
|
0.0
|
0.0
|
1.4
|
1.4
|
|
0.0
|
0.0
|
1.5
|
1.6
|
|
Other
|
|
0.2
|
0.0
|
0.1
|
0.3
|
|
0.1
|
0.0
|
0.1
|
0.3
|
|
0.2
|
0.0
|
0.1
|
0.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets available for sale
|
|
4.2
|
13.4
|
0.6
|
18.2
|
|
11.9
|
18.7
|
0.7
|
31.3
|
|
34.2
|
27.7
|
0.7
|
62.5
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government bills / bonds
|
|
3.2
|
0.4
|
0.0
|
3.6
|
|
9.4
|
0.9
|
0.0
|
10.3
|
|
31.1
|
2.0
|
0.0
|
33.1
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
|
0.9
|
9.7
|
0.0
|
10.6
|
|
2.5
|
14.5
|
0.0
|
17.0
|
|
3.0
|
22.2
|
0.0
|
25.2
|
|
Investment fund units
|
|
0.0
|
0.0
|
0.1
|
0.2
|
|
0.0
|
0.0
|
0.1
|
0.2
|
|
0.0
|
0.1
|
0.1
|
0.2
|
|
Asset-backed securities
|
|
0.0
|
3.3
|
0.0
|
3.3
|
|
0.0
|
3.2
|
0.0
|
3.2
|
|
0.0
|
3.4
|
0.0
|
3.4
|
|
Equity instruments
|
|
0.1
|
0.1
|
0.4
|
0.6
|
|
0.1
|
0.0
|
0.5
|
0.6
|
|
0.1
|
0.0
|
0.5
|
0.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-financial assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Precious metals and other physical commodities
|
|
4.4
|
0.0
|
0.0
|
4.4
|
|
3.8
|
0.0
|
0.0
|
3.8
|
|
3.7
|
0.0
|
0.0
|
3.7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets measured at fair
value on a non-recurring basis
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets³
|
|
5.3
|
0.1
|
0.1
|
5.5
|
|
0.3
|
0.1
|
0.1
|
0.4
|
|
0.3
|
0.1
|
0.1
|
0.4
|
|
Total assets measured at
fair value
|
|
134.9
|
244.7
|
7.9
|
387.5
|
|
124.9
|
224.3
|
9.0
|
358.2
|
|
135.2
|
216.0
|
9.0
|
360.3
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
9
Fair value measurement
(continued)
|
Determination of fair values
from quoted market prices or valuation techniques¹ (continued)
|
|
|
|
30.6.16
|
|
31.3.16
|
|
31.12.15
|
|
CHF billion
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities measured at fair
value on a recurring basis
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio liabilities
|
|
25.7
|
3.7
|
0.1
|
29.6
|
|
29.0
|
4.0
|
0.1
|
33.2
|
|
25.5
|
3.5
|
0.2
|
29.1
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government bills / bonds
|
|
6.8
|
0.7
|
0.0
|
7.6
|
|
7.4
|
0.8
|
0.0
|
8.1
|
|
6.0
|
0.8
|
0.0
|
6.8
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
|
0.0
|
2.7
|
0.1
|
2.8
|
|
0.0
|
2.9
|
0.1
|
3.0
|
|
0.0
|
2.4
|
0.1
|
2.5
|
|
Investment fund units
|
|
0.4
|
0.1
|
0.0
|
0.4
|
|
0.5
|
0.1
|
0.0
|
0.6
|
|
0.7
|
0.1
|
0.0
|
0.7
|
|
Equity instruments
|
|
18.5
|
0.2
|
0.1
|
18.8
|
|
21.1
|
0.3
|
0.1
|
21.4
|
|
18.8
|
0.2
|
0.0
|
19.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Negative replacement values
|
|
1.3
|
190.7
|
4.0
|
196.0
|
|
0.8
|
175.1
|
3.1
|
179.0
|
|
0.6
|
158.5
|
3.3
|
162.4
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
0.0
|
81.6
|
0.6
|
82.2
|
|
0.0
|
77.2
|
0.3
|
77.5
|
|
0.0
|
67.2
|
0.3
|
67.6
|
|
Credit derivative contracts
|
|
0.0
|
3.9
|
1.6
|
5.5
|
|
0.0
|
5.1
|
1.3
|
6.3
|
|
0.0
|
5.4
|
1.3
|
6.7
|
|
Foreign exchange contracts
|
|
0.5
|
80.4
|
0.2
|
81.0
|
|
0.4
|
71.1
|
0.2
|
71.7
|
|
0.3
|
63.0
|
0.2
|
63.5
|
|
Equity / index contracts
|
|
0.0
|
21.7
|
1.6
|
23.3
|
|
0.0
|
19.3
|
1.3
|
20.6
|
|
0.0
|
19.7
|
1.4
|
21.2
|
|
Commodity contracts
|
|
0.0
|
3.1
|
0.0
|
3.1
|
|
0.0
|
2.5
|
0.0
|
2.5
|
|
0.0
|
3.2
|
0.0
|
3.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial liabilities designated at fair value
|
|
0.0
|
48.0
|
11.6
|
59.7
|
|
0.0
|
47.0
|
10.7
|
57.8
|
|
0.0
|
52.3
|
10.7
|
63.0
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-structured fixed-rate
bonds
|
|
0.0
|
0.9
|
3.3
|
4.2
|
|
0.0
|
1.0
|
3.0
|
4.0
|
|
0.0
|
1.5
|
2.6
|
4.1
|
|
Structured debt instruments
issued
|
|
0.0
|
42.5
|
6.8
|
49.3
|
|
0.0
|
42.1
|
5.8
|
47.9
|
|
0.0
|
45.7
|
6.7
|
52.4
|
|
Structured over-the-counter
debt instruments
|
|
0.0
|
4.3
|
0.9
|
5.3
|
|
0.0
|
3.4
|
1.4
|
4.7
|
|
0.0
|
4.7
|
0.8
|
5.5
|
|
Structured repurchase
agreements
|
|
0.0
|
0.2
|
0.6
|
0.8
|
|
0.0
|
0.5
|
0.6
|
1.0
|
|
0.0
|
0.3
|
0.6
|
0.8
|
|
Loan commitments and
guarantees
|
|
0.0
|
0.1
|
0.0
|
0.1
|
|
0.0
|
0.1
|
0.0
|
0.1
|
|
0.0
|
0.1
|
0.0
|
0.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other liabilities – amounts due under unit-linked investment
contracts
|
|
0.0
|
9.0
|
0.0
|
9.0
|
|
0.0
|
15.1
|
0.0
|
15.1
|
|
0.0
|
15.7
|
0.0
|
15.7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities measured at fair
value on a non-recurring basis
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other liabilities³
|
|
0.0
|
5.3
|
0.0
|
5.3
|
|
0.0
|
0.2
|
0.0
|
0.2
|
|
0.0
|
0.2
|
0.0
|
0.2
|
|
Total liabilities measured
at fair value
|
|
27.0
|
256.8
|
15.7
|
299.6
|
|
29.8
|
241.5
|
13.9
|
285.3
|
|
26.1
|
230.3
|
14.1
|
270.5
|
|
1 Bifurcated embedded derivatives are presented on the same
balance sheet lines as their host contracts and are excluded from this table.
As of 30 June 2016, net bifurcated embedded derivative assets held at fair
value totaling CHF 0.1 billion (of which CHF 0.2 billion were net Level 2
assets and CHF 0.1 billion net Level 2 liabilities) were recognized on the
balance sheet within Debt issued. As of 31 March 2016, net bifurcated
embedded derivative assets held at fair value totaling CHF 0.1 billion (of
which CHF 0.1 billion were net Level 2 assets and CHF 0.0 billion net Level 2
liabilities) were recognized on the balance sheet within Debt issued. As of
31 December 2015, net bifurcated embedded derivative liabilities held at fair
value totaling CHF 0.1 billion (of which CHF 0.1 billion were net Level 2
assets and CHF 0.2 billion net Level 2 liabilities) were recognized on the
balance sheet within Debt issued. 2 Financial assets held for trading do
not include precious metals and other physical commodities. 3 Other assets
and other liabilities primarily consist of assets held for sale as well as
assets and liabilities of a disposal group held for sale, which are measured
at the lower of their net carrying amount or fair value less costs to sell.
Refer to Note 17 for more information on the disposal group held for sale.
|
All financial and non-financial assets
and liabilities measured or disclosed at fair value are categorized into one of
three fair value hierarchy levels. In certain cases, the inputs used to measure
fair value may fall within different levels of the fair value hierarchy. For
disclosure purposes, the level in the hierarchy within which the instrument is
classified in its entirety is based on the lowest level input that is
significant to the position’s fair value measurement:
–
Level 1 – quoted prices (unadjusted) in active
markets for identical assets and liabilities;
–
Level 2 – valuation techniques for which all
significant inputs are, or are based on, observable market data or
–
Level 3 – valuation techniques for which
significant inputs are not based on observable market data.
Note
9
Fair value measurement
(continued)
c) Transfers between Level 1 and
Level 2 in the fair value hierarchy
The amounts disclosed reflect
transfers between Level 1 and Level 2 for instruments which were held for the
entire reporting period.
Assets totaling approximately CHF 0.3
billion, which were mainly comprised of financial assets held for trading,
primarily government bills / bonds as well as equity instruments, and
liabilities totaling approximately CHF 0.3 billion were transferred from Level
2 to Level 1 during the first six months of 2016, generally due to increased
levels of trading activity observed within the market.
Assets totaling approximately CHF 0.5
billion, which were mainly comprised of financial assets available for sale,
primarily corporate and municipal bonds, and liabilities totaling approximately
CHF 0.1 billion were transferred from Level 1 to Level 2 during the first six
months of 2016, generally due to diminished levels of trading activity observed
within the market.
d) Movements of Level 3 instruments
Significant
changes in Level 3 instruments
The table on the following pages
presents additional information about Level 3 assets and liabilities measured
at fair value on a recurring basis. Level 3 assets and liabilities may be
hedged with instruments classified as Level 1 or Level 2 in the fair value
hierarchy and, as a result, realized and unrealized gains and losses included
in the table may not include the effect of related hedging activity. Further,
the realized and unrealized gains and losses presented within the table are not
limited solely to those arising from Level 3 inputs, as valuations are generally
derived from both observable and unobservable parameters.
Assets and liabilities transferred into or
out of Level 3 are presented as if those assets or liabilities had been
transferred at the beginning of the year.
Assets transferred into and out of Level 3
totaled CHF 1.5 billion and CHF 0.9 billion, respectively. Transfers into Level 3 were primarily comprised of structured loans
and equity instruments, due to decreased observability of the respective credit
spread and equity market pricing inputs. Transfers out of Level 3 were
primarily comprised of traded loans and credit derivative contracts, reflecting
increased observability of the respective credit spread inputs.
Liabilities transferred into and out of Level
3 totaled CHF 1.7 billion and CHF 1.5 billion, respectively. Transfers into Level 3 were primarily comprised of equity-linked
structured debt instruments issued and interest rate contracts, due to
decreased observability of the respective equity volatility and rates
volatility inputs used to determine the fair value of the options embedded in
these structures. Transfers out of Level 3 were primarily comprised of
equity-linked structured debt instruments issued resulting from changes in the
availability of observable equity volatility inputs used to determine the fair
value of the options embedded in these structures.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
9
Fair value measurement
(continued)
|
Movements of Level 3
instruments
|
|
|
|
|
|
|
|
|
|
|
|
Total gains / losses included in comprehensive income
|
|
|
|
|
|
|
|
|
|
CHF billion
|
Balance as of 31 December 2014
|
Net interest income, net trading income and other income
|
of which: related to Level 3 instruments held at the end of the
reporting period
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Transfers into Level 3
|
Transfers out of Level 3
|
Foreign currency translation
|
Balance as of 30 June 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets held for
trading
|
3.5
|
(0.6)
|
(0.2)
|
0.3
|
(3.2)
|
3.0
|
0.0
|
0.4
|
(0.5)
|
(0.2)
|
2.8
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
1.4
|
0.0
|
0.0
|
0.2
|
(0.3)
|
0.0
|
0.0
|
0.1
|
(0.1)
|
(0.1)
|
1.1
|
|
Loans
|
1.1
|
(0.6)
|
(0.1)
|
0.0
|
(2.4)
|
3.0
|
0.0
|
0.1
|
(0.3)
|
(0.1)
|
0.9
|
|
Asset-backed securities
|
0.6
|
0.0
|
0.0
|
0.1
|
(0.4)
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.2
|
|
Other
|
0.5
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.0
|
0.2
|
0.0
|
0.0
|
0.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated
at fair value
|
3.5
|
(0.6)
|
(0.2)
|
0.0
|
0.0
|
0.9
|
0.0
|
0.3
|
(0.4)
|
(0.2)
|
3.4
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans (including structured
loans)
|
1.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.9
|
0.0
|
0.3
|
(0.4)
|
0.0
|
1.6
|
|
Structured reverse
repurchase and securities borrowing agreements
|
2.4
|
(0.6)
|
(0.2)
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
(0.2)
|
1.6
|
|
Other
|
0.1
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets available
for sale
|
0.6
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positive replacement values
|
4.4
|
(0.3)
|
(0.3)
|
0.0
|
0.0
|
1.5
|
(1.7)
|
0.4
|
(0.3)
|
(0.1)
|
3.8
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative contracts
|
1.7
|
0.0
|
0.0
|
0.0
|
0.0
|
0.9
|
(0.8)
|
0.1
|
(0.1)
|
(0.1)
|
1.6
|
|
Foreign exchange contracts
|
0.6
|
(0.1)
|
(0.1)
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.0
|
0.0
|
0.6
|
|
Equity / index contracts
|
1.9
|
(0.2)
|
(0.3)
|
0.0
|
0.0
|
0.5
|
(0.7)
|
0.1
|
(0.2)
|
(0.1)
|
1.3
|
|
Other
|
0.3
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.2
|
0.0
|
0.0
|
0.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Negative replacement values
|
5.0
|
(0.4)
|
(0.6)
|
0.0
|
0.0
|
0.4
|
(1.0)
|
0.4
|
(0.3)
|
(0.4)
|
3.7
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivative contracts
|
1.7
|
(0.2)
|
(0.2)
|
0.0
|
0.0
|
0.0
|
(0.2)
|
0.2
|
(0.1)
|
(0.1)
|
1.3
|
|
Foreign exchange contracts
|
0.3
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.3
|
|
Equity / index contracts
|
2.4
|
(0.2)
|
(0.3)
|
0.0
|
0.0
|
0.4
|
(0.7)
|
0.2
|
(0.2)
|
(0.1)
|
1.8
|
|
Other
|
0.6
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.0
|
(0.1)
|
0.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial liabilities
designated at fair value
|
11.9
|
0.4
|
0.3
|
0.0
|
0.0
|
3.8
|
(3.7)
|
1.0
|
(1.6)
|
(0.9)
|
10.9
|
|
of which:
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-structured fixed-rate
bonds
|
2.2
|
(0.2)
|
(0.1)
|
0.0
|
0.0
|
0.7
|
(0.1)
|
0.0
|
(0.3)
|
(0.2)
|
2.2
|
|
Structured debt instruments
issued
|
7.3
|
0.5
|
0.1
|
0.0
|
0.0
|
2.8
|
(2.6)
|
0.9
|
(1.3)
|
(0.5)
|
7.0
|
|
Structured over-the-counter
debt instruments
|
1.5
|
0.1
|
0.1
|
0.0
|
0.0
|
0.2
|
(0.7)
|
0.0
|
0.0
|
(0.2)
|
1.1
|
|
Structured repurchase
agreements
|
0.9
|
0.0
|
0.2
|
0.0
|
0.0
|
0.0
|
(0.3)
|
0.0
|
0.0
|
0.0
|
0.6
|
|
1 Total Level 3 assets as of 30 June 2016 were CHF 7.9 billion
(31 March 2016: CHF 9.0 billion; 31 December 2015: CHF 9.0 billion). Total
Level 3 liabilities as of 30 June 2016 were CHF 15.7 billion (31 March 2016:
CHF 13.9 billion; 31 December 2015: CHF 14.1 billion).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total gains / losses included in comprehensive income
|
|
|
|
|
|
|
|
|
|
Balance as of 31 December 2015
|
Net interest income, net trading income and other income
|
of which: related to Level 3 instruments held at the end of the
reporting period
|
Purchases
|
Sales
|
Issuances
|
Settlements
|
Transfers into Level 3
|
Transfers out of Level 3
|
Foreign currency translation
|
Balance as of 30 June 2016¹
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.1
|
(0.1)
|
0.0
|
0.6
|
(3.0)
|
2.5
|
0.0
|
0.5
|
(0.4)
|
(0.1)
|
2.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.7
|
0.1
|
0.1
|
0.5
|
(0.3)
|
0.0
|
0.0
|
0.0
|
(0.1)
|
(0.1)
|
0.8
|
|
0.8
|
0.0
|
0.1
|
0.0
|
(2.3)
|
2.5
|
0.0
|
0.1
|
(0.2)
|
0.0
|
0.9
|
|
0.2
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.0
|
|
0.4
|
(0.2)
|
(0.2)
|
0.1
|
(0.3)
|
0.0
|
0.0
|
0.4
|
0.0
|
0.0
|
0.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.3
|
(0.2)
|
(0.2)
|
0.0
|
0.0
|
0.2
|
(0.8)
|
0.4
|
(0.1)
|
(0.1)
|
2.8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.7
|
(0.2)
|
(0.2)
|
0.0
|
0.0
|
0.2
|
(0.5)
|
0.4
|
(0.1)
|
(0.1)
|
1.5
|
|
1.5
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
(0.3)
|
0.0
|
0.0
|
0.0
|
1.2
|
|
0.1
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.7
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.9
|
0.0
|
0.0
|
0.0
|
0.0
|
0.5
|
(1.1)
|
0.5
|
(0.4)
|
(0.1)
|
2.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.3
|
0.1
|
0.1
|
0.0
|
0.0
|
0.1
|
(0.3)
|
0.1
|
(0.2)
|
0.0
|
0.9
|
|
0.5
|
0.0
|
0.0
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.0
|
0.0
|
0.4
|
|
1.0
|
0.0
|
0.0
|
0.0
|
0.0
|
0.2
|
(0.3)
|
0.2
|
(0.1)
|
0.0
|
0.9
|
|
0.1
|
(0.2)
|
(0.1)
|
0.0
|
0.0
|
0.2
|
(0.4)
|
0.2
|
0.0
|
0.0
|
0.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.3
|
0.8
|
0.8
|
0.0
|
0.0
|
0.5
|
(1.1)
|
0.6
|
(0.2)
|
0.0
|
4.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.3
|
0.7
|
0.6
|
0.0
|
0.0
|
0.1
|
(0.4)
|
0.0
|
0.0
|
0.0
|
1.6
|
|
0.2
|
0.0
|
0.0
|
0.0
|
0.0
|
0.0
|
(0.1)
|
0.0
|
0.0
|
0.0
|
0.2
|
|
1.4
|
0.0
|
0.0
|
0.0
|
0.0
|
0.4
|
(0.2)
|
0.1
|
(0.1)
|
0.0
|
1.6
|
|
0.3
|
0.2
|
0.2
|
0.0
|
0.0
|
0.0
|
(0.3)
|
0.5
|
0.0
|
0.0
|
0.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10.7
|
0.5
|
0.5
|
0.0
|
0.0
|
2.3
|
(1.4)
|
1.1
|
(1.3)
|
(0.2)
|
11.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.6
|
0.3
|
0.3
|
0.0
|
0.0
|
0.4
|
(0.1)
|
0.1
|
(0.1)
|
(0.1)
|
3.3
|
|
6.7
|
0.2
|
0.2
|
0.0
|
0.0
|
1.2
|
(0.9)
|
0.9
|
(1.2)
|
(0.2)
|
6.8
|
|
0.8
|
0.0
|
0.0
|
0.0
|
0.0
|
0.6
|
(0.5)
|
0.0
|
0.0
|
0.0
|
0.9
|
|
0.6
|
0.0
|
0.0
|
0.0
|
0.0
|
0.1
|
(0.1)
|
0.0
|
0.0
|
0.0
|
0.6
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
9
Fair value measurement
(continued)
e) Valuation of assets and liabilities
classified as Level 3
The table below presents assets and
liabilities recognized at fair value and classified as Level 3, together with
the valuation techniques used to measure fair value, the significant inputs
used in the valuation technique that are considered unobservable and a range of
values and respective weighted averages, where applicable, for those
unobservable inputs.
The range of values represents the highest
and lowest level input used in the valuation techniques. Therefore, the range
does not reflect the level of uncertainty regarding a particular input, but
rather the different underlying characteristics of the relevant assets and
liabilities. The ranges and weighted averages will vary from period to period
and from parameter to parameter based on characteristics of the instruments
held at each balance sheet date. Further, the ranges and weighted averages of
unobservable inputs may differ across other financial institutions due to the
diversity of the products in each firm’s inventory.
The significant unobservable inputs disclosed
in the table below are consistent with those included in “Note 24 Fair value
measurement” in the audited “Consolidated financial statements” section of the
Annual Report 2015. A description of the potential effect that a change in each
unobservable input in isolation may have on a fair value measurement, including
information to facilitate an understanding of factors that give rise to the
input ranges shown, is also provided in Note 24 of the Annual Report 2015.
|
Valuation techniques and inputs
used in the fair value measurement of Level 3 assets and liabilities
|
|
|
Fair value
|
|
|
|
Significant unobservable
input(s)¹
|
Range of inputs
|
|
|
Assets
|
|
Liabilities
|
|
Valuation technique(s)
|
|
30.6.16
|
|
31.12.15
|
|
|
CHF billion
|
30.6.16
|
31.12.15
|
|
30.6.16
|
31.12.15
|
|
|
low
|
high
|
weighted average²
|
|
low
|
high
|
weighted average²
|
unit¹
|
|
Financial assets held for
trading / Trading portfolio liabilities, Financial assets / liabilities
designated at fair value and Financial assets available for sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate bonds and
municipal bonds, including bonds issued by financial institutions
|
0.9
|
0.7
|
|
0.1
|
0.1
|
|
Relative value to market comparable
|
|
Bond price equivalent
|
0
|
131
|
88
|
|
0
|
134
|
94
|
points
|
|
Traded loans, loans
designated at fair value, loan commitments and guarantees
|
2.6
|
2.6
|
|
0.0
|
0.0
|
|
Relative value to market comparable
|
|
Loan price equivalent
|
80
|
103
|
94
|
|
65
|
100
|
93
|
points
|
|
|
|
|
|
|
|
|
Discounted expected cash flows
|
|
Credit spread
|
54
|
624
|
|
|
30
|
252
|
|
basis points
|
|
|
|
|
|
|
|
|
Market comparable and securitization model
|
|
Discount margin / spread
|
1
|
17
|
3
|
|
1
|
14
|
2
|
%
|
|
Investment fund units³
|
0.2
|
0.3
|
|
0.0
|
0.0
|
|
Relative value to market comparable
|
|
Net asset value
|
|
|
|
|
|
|
|
|
|
Asset-backed securities
|
0.0
|
0.2
|
|
0.0
|
0.0
|
|
Discounted cash flow projection
|
|
Constant prepayment rate
|
1
|
8
|
3
|
|
0
|
18
|
5
|
%
|
|
|
|
|
|
|
|
|
|
|
Discount margin / spread
|
3
|
4
|
3
|
|
0
|
12
|
3
|
%
|
|
|
|
|
|
|
|
|
Relative value to market comparable
|
|
Bond price equivalent
|
1
|
88
|
11
|
|
1
|
92
|
72
|
points
|
|
Equity instruments³
|
0.7
|
0.6
|
|
0.1
|
0.0
|
|
Relative value to market comparable
|
|
Price
|
|
|
|
|
|
|
|
|
|
Structured (reverse)
repurchase agreements
|
1.2
|
1.5
|
|
0.6
|
0.6
|
|
Discounted expected cash flows
|
|
Funding spread
|
15
|
179
|
|
|
18
|
183
|
|
basis points
|
|
Financial assets for
unit-linked investment contracts³
|
0.1
|
0.1
|
|
|
|
|
Relative value to market comparable
|
|
Price
|
|
|
|
|
|
|
|
|
|
Structured debt instruments
and non-structured fixed-rate bonds⁴
|
|
|
|
11.0
|
10.1
|
|
|
|
|
|
|
|
|
|
|
|
|
Note
9
Fair value measurement
(continued)
|
Valuation techniques and inputs
used in the fair value measurement of Level 3 assets and liabilities (continued)
|
|
|
Fair value
|
|
|
|
Significant unobservable
input(s)¹
|
Range of inputs
|
|
|
Assets
|
|
Liabilities
|
|
Valuation technique(s)
|
|
30.6.16
|
|
31.12.15
|
|
|
CHF billion
|
30.6.16
|
31.12.15
|
|
30.6.16
|
31.12.15
|
|
|
low
|
high
|
weighted average²
|
|
low
|
high
|
weighted average²
|
unit¹
|
|
Replacement values
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts
|
0.0
|
0.1
|
|
0.6
|
0.3
|
|
Option model
|
|
Volatility of interest rates
|
33
|
124
|
|
|
16
|
130
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Rate-to-rate correlation
|
84
|
94
|
|
|
84
|
94
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Intra-curve correlation
|
36
|
94
|
|
|
36
|
94
|
|
%
|
|
|
|
|
|
|
|
|
Discounted expected cash flows
|
|
Constant prepayment rate⁵
|
|
|
|
|
0
|
3
|
|
%
|
|
Credit derivative contracts
|
0.9
|
1.3
|
|
1.6
|
1.3
|
|
Discounted expected cash flow based on modeled defaults and
recoveries
|
|
Credit spreads
|
2
|
505
|
|
|
1
|
1,163
|
|
basis points
|
|
|
|
|
|
|
|
|
|
|
Upfront price points
|
26
|
26
|
|
|
8
|
25
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Recovery rates
|
0
|
95
|
|
|
0
|
95
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Credit index correlation
|
10
|
85
|
|
|
10
|
85
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Discount margin / spread
|
0
|
167
|
|
|
1
|
72
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Credit pair correlation
|
57
|
87
|
|
|
57
|
94
|
|
%
|
|
|
|
|
|
|
|
|
Discounted cash flow projection on underlying bond
|
|
Constant prepayment rate
|
1
|
15
|
|
|
0
|
15
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Constant default rate
|
1
|
9
|
|
|
0
|
9
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Loss severity
|
28
|
100
|
|
|
0
|
100
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Discount margin / spread
|
1
|
15
|
|
|
1
|
15
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Bond price equivalent
|
2
|
103
|
|
|
0
|
104
|
|
points
|
|
Foreign exchange contracts
|
0.4
|
0.5
|
|
0.2
|
0.2
|
|
Option model
|
|
Rate-to-FX correlation
|
(57)
|
60
|
|
|
(57)
|
60
|
|
%
|
|
|
|
|
|
|
|
|
|
|
FX-to-FX correlation
|
(70)
|
80
|
|
|
(70)
|
80
|
|
%
|
|
Equity / index contracts
|
0.9
|
1.0
|
|
1.6
|
1.4
|
|
Option model
|
|
Equity dividend yields
|
0
|
21
|
|
|
0
|
57
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Volatility of equity stocks, equity and other indices
|
0
|
250
|
|
|
0
|
143
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Equity-to-FX correlation
|
(35)
|
82
|
|
|
(44)
|
82
|
|
%
|
|
|
|
|
|
|
|
|
|
|
Equity-to-equity correlation
|
9
|
98
|
|
|
3
|
99
|
|
%
|
|
Non-financial
assets³˒⁶
|
0.1
|
0.1
|
|
|
|
|
Relative value to market comparable
|
|
Price
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Discounted cash flow projection
|
|
Projection of cost and income related to the particular property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Discount rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assessment of the particular property's condition
|
|
|
|
|
|
|
|
|
|
1 The ranges of significant unobservable inputs are represented
in points, percentages and basis points. Points are a percentage of par. For
example, 100 points would be 100% of par. 2 Weighted averages are provided
for non-derivative financial instruments and were calculated by weighting
inputs based on the fair values of the respective instruments. Weighted
averages are not provided for inputs related to derivative contracts as this
would not be meaningful. 3 The range of inputs is not disclosed due to the
dispersion of possible values given the diverse nature of the investments.
4 Valuation techniques, significant unobservable inputs and the respective
input ranges for structured debt instruments and non-structured fixed-rate
bonds are the same as the equivalent derivative or structured financing
instruments presented elsewhere in this table. 5 The range of inputs is
not disclosed as of 30 June 2016 because this unobservable input parameter
was not significant to the respective valuation technique as of that date.
6 Non-financial assets include other assets which primarily consist of assets
held for sale.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
9
Fair value measurement
(continued)
f) Sensitivity of fair value
measurements to changes in unobservable input assumptions
The table below summarizes those financial
assets and liabilities classified as Level 3 for which a change in one or more
of the unobservable inputs to reflect reasonably possible alternative
assumptions would change fair value significantly, and the estimated effect
thereof.
The table shown presents the favorable and
unfavorable effects for each class of financial assets and liabilities for
which the potential change in fair value is considered significant. The
sensitivity data presented represent an estimation of valuation uncertainty based
on reasonably possible alternative values for Level 3 inputs at the balance
sheet date and does not represent the estimated effect of stress scenarios.
Typically, these financial assets and liabilities are sensitive to a
combination of inputs from Levels 1–3. Although well-defined interdependencies
may exist between Levels 1–2 and Level 3 parameters (e.g., between interest
rates, which are generally Level 1 or Level 2, and prepayments, which are
generally Level 3), these have not been incorporated in the table. Further,
direct inter-relationships between the Level 3 parameters are not a significant
element of the valuation uncertainty.
|
Sensitivity of fair value
measurements to changes in unobservable input assumptions
|
|
|
|
|
|
|
|
|
|
30.6.16
|
|
31.3.16
|
|
31.12.15
|
|
CHF million
|
|
Favorable changes¹
|
Unfavorable changes¹
|
|
Favorable changes¹
|
Unfavorable changes¹
|
|
Favorable changes¹
|
Unfavorable changes¹
|
|
Corporate bonds and municipal bonds, including bonds issued by
financial institutions
|
|
41
|
(36)
|
|
40
|
(40)
|
|
24
|
(25)
|
|
Traded loans, loans designated at fair value, loan commitments
and guarantees
|
|
86
|
(14)
|
|
102
|
(43)
|
|
88
|
(28)
|
|
Equity instruments
|
|
81
|
(58)
|
|
152
|
(59)
|
|
166
|
(74)
|
|
Interest rate derivative contracts, net
|
|
49
|
(36)
|
|
76
|
(44)
|
|
107
|
(67)
|
|
Credit derivative contracts, net
|
|
160
|
(234)
|
|
155
|
(198)
|
|
174
|
(196)
|
|
Foreign exchange derivative contracts, net
|
|
18
|
(8)
|
|
21
|
(11)
|
|
33
|
(28)
|
|
Equity / index derivative contracts, net
|
|
65
|
(65)
|
|
61
|
(60)
|
|
61
|
(57)
|
|
Structured debt instruments issued and non-structured fixed-rate
bonds
|
|
142
|
(145)
|
|
144
|
(155)
|
|
136
|
(146)
|
|
Other
|
|
15
|
(15)
|
|
22
|
(25)
|
|
20
|
(20)
|
|
Total
|
|
658
|
(611)
|
|
774
|
(634)
|
|
809
|
(640)
|
|
1 Of the total favorable changes, CHF 84 million as of 30 June
2016 (31 March 2016: CHF 152 million; 31 December 2015: CHF 164 million)
related to financial assets available for sale. Of the total unfavorable
changes, CHF 62 million as of 30 June 2016 (31 March 2016: CHF 61 million; 31
December 2015: CHF 71 million) related to financial assets available for
sale.
|
Note
9
Fair value measurement
(continued)
g) Financial
instruments not measured at fair value
The table below reflects the
estimated fair values of financial instruments not measured at fair value.
|
Financial instruments not
measured at fair value
|
|
|
|
30.6.16
|
|
31.3.16
|
|
31.12.15
|
|
CHF billion
|
|
Carrying value
|
Fair value
|
|
Carrying value
|
Fair value
|
|
Carrying value
|
Fair value
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
Cash and balances with central banks
|
|
94.2
|
94.2
|
|
105.7
|
105.7
|
|
91.3
|
91.3
|
|
Due from banks
|
|
12.9
|
12.9
|
|
13.5
|
13.5
|
|
11.9
|
11.9
|
|
Loans
|
|
307.9
|
312.8
|
|
306.6
|
309.8
|
|
312.7
|
314.9
|
|
Cash collateral on securities borrowed
|
|
29.4
|
29.4
|
|
32.4
|
32.4
|
|
25.6
|
25.6
|
|
Reverse repurchase agreements
|
|
73.3
|
73.3
|
|
73.6
|
73.6
|
|
67.9
|
67.9
|
|
Cash collateral receivables on derivative instruments
|
|
30.0
|
30.0
|
|
25.5
|
25.5
|
|
23.8
|
23.8
|
|
Financial assets held to maturity
|
|
4.8
|
4.9
|
|
2.9
|
2.9
|
|
|
|
|
Other assets
|
|
21.2
|
21.2
|
|
21.0
|
21.0
|
|
20.1
|
20.1
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
Due to banks
|
|
15.3
|
15.3
|
|
11.3
|
11.3
|
|
11.8
|
11.8
|
|
Due to customers
|
|
429.6
|
430.0
|
|
417.0
|
417.1
|
|
402.5
|
402.8
|
|
Cash collateral on securities lent
|
|
6.3
|
6.3
|
|
6.4
|
6.4
|
|
8.0
|
8.0
|
|
Repurchase agreements
|
|
8.0
|
8.0
|
|
6.5
|
6.5
|
|
9.7
|
9.7
|
|
Cash collateral payables on derivative instruments
|
|
36.4
|
36.4
|
|
36.7
|
36.7
|
|
38.3
|
38.3
|
|
Debt issued
|
|
86.0
|
87.2
|
|
87.9
|
89.4
|
|
82.2
|
84.4
|
|
Other liabilities
|
|
45.8
|
45.8
|
|
50.8
|
50.8
|
|
52.1
|
52.1
|
|
Guarantees / Loan
commitments ((assets) / liabilities)
|
|
|
|
|
|
|
|
|
|
|
Guarantees
|
|
0.0
|
(0.1)
|
|
0.0
|
(0.1)
|
|
0.0
|
(0.1)
|
|
Loan commitments
|
|
0.0
|
(0.3)
|
|
0.0
|
0.1
|
|
0.0
|
0.0
|
|
|
The fair values included in the table
above were calculated for disclosure purposes only. The fair value valuation
techniques and assumptions relate only to the fair value of UBS’s financial
instruments not measured at fair value. Other institutions may use different
methods and assumptions for their fair value estimation, and therefore such
fair value disclosures cannot necessarily be compared from one financial
institution to another.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
10
Derivative
instruments¹
|
As of 30.6.16, CHF billion
|
|
Positive replacement values
|
Notional values related to positive replacement values²
|
Negative replacement values
|
Notional values related to negative replacement values²
|
Other notional values³
|
|
Derivative instruments
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
90
|
1,269
|
82
|
1,148
|
9,965
|
|
Credit derivative contracts
|
|
5
|
148
|
6
|
159
|
|
|
Foreign exchange contracts
|
|
81
|
2,701
|
81
|
2,545
|
5
|
|
Equity / index contracts
|
|
19
|
260
|
23
|
317
|
40
|
|
Commodity contracts
|
|
3
|
43
|
3
|
37
|
9
|
|
Unsettled purchases of non-derivative financial
instruments⁴
|
|
1
|
48
|
0
|
16
|
|
|
Unsettled sales of non-derivative financial instruments⁴
|
|
0
|
20
|
1
|
41
|
|
|
Total derivative
instruments, based on IFRS netting⁵˒⁶
|
|
198
|
4,489
|
196
|
4,262
|
10,019
|
|
|
|
|
|
|
|
|
|
As of 31.3.16, CHF billion
|
|
|
|
|
|
|
|
Derivative instruments
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
84
|
1,388
|
78
|
1,226
|
9,591
|
|
Credit derivative contracts
|
|
6
|
175
|
6
|
186
|
|
|
Foreign exchange contracts
|
|
70
|
2,603
|
72
|
2,489
|
8
|
|
Equity / index contracts
|
|
17
|
234
|
21
|
306
|
41
|
|
Commodity contracts
|
|
3
|
37
|
2
|
32
|
8
|
|
Unsettled purchases of non-derivative financial
instruments⁴
|
|
0
|
30
|
0
|
21
|
|
|
Unsettled sales of non-derivative financial instruments⁴
|
|
0
|
29
|
0
|
24
|
|
|
Total derivative
instruments, based on IFRS netting⁵˒⁶
|
|
181
|
4,496
|
179
|
4,284
|
9,647
|
|
|
|
|
|
|
|
|
|
As of 31.12.15, CHF billion
|
|
|
|
|
|
|
|
Derivative instruments
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
75
|
1,493
|
68
|
1,399
|
8,771
|
|
Credit derivative contracts
|
|
7
|
162
|
7
|
170
|
|
|
Foreign exchange contracts
|
|
66
|
2,658
|
63
|
2,487
|
8
|
|
Equity / index contracts
|
|
17
|
230
|
21
|
306
|
43
|
|
Commodity contracts
|
|
3
|
30
|
3
|
25
|
8
|
|
Unsettled purchases of non-derivative financial
instruments⁴
|
|
0
|
10
|
0
|
17
|
|
|
Unsettled sales of non-derivative financial instruments⁴
|
|
0
|
20
|
0
|
6
|
|
|
Total derivative instruments,
based on IFRS netting⁵˒⁶
|
|
167
|
4,603
|
162
|
4,409
|
8,831
|
|
1 Bifurcated embedded derivatives are presented on the same
balance sheet lines as their host contracts and are excluded from this table.
As of 30 June 2016, these derivatives amounted to a PRV of CHF 0.2 billion
(related notional values of CHF 3.0 billion) and an NRV of CHF 0.1 billion
(related notional values of CHF 5.5 billion). As of 31 March 2016, these
derivatives amounted to a PRV of CHF 0.1 billion (related notional values of
CHF 4.4 billion) and an NRV of CHF 0.0 billion (related notional values of
CHF 3.8 billion). As of 31 December 2015, bifurcated embedded derivatives
amounted to a PRV of CHF 0.1 billion (related notional values of CHF 0.6
billion) and an NRV of CHF 0.2 billion (related notional values of CHF 3.4
billion). 2 In cases where replacement values are presented on a net basis
on the balance sheet, the respective notional values of the netted
replacement values are still presented on a gross basis. 3 Other notional
values relate to derivatives which are cleared through either a central
counterparty or an exchange. The fair value of these derivatives is presented
on the balance sheet net of the corresponding cash margin under Cash
collateral receivables on derivative instruments and Cash collateral payables
on derivative instruments and was not material for all periods presented.
4 Changes in the fair value of purchased and sold non-derivative financial
instruments between trade date and settlement date are recognized as
replacement values. 5 Includes exchange-traded agency transactions and OTC
cleared transactions entered into on behalf of clients with a combined PRV of
CHF 9.5 billion as of 30 June 2016 (31 March 2016: CHF 8.1 billion; 31
December 2015: CHF 6.8 billion) and a combined NRV of CHF 9.2 billion as of
30 June 2016 (31 March 2016: CHF 7.9 billion; 31 December 2015; CHF 6.8
billion), for which notional values were not included in the table above due
to their significantly different risk profile. 6 Refer to Note 11 for more
information on netting arrangements.
|
Note
11
Offsetting financial assets and financial liabilities
UBS AG
enters into netting agreements with counterparties to manage the credit risks
associated primarily with repurchase and reverse repurchase transactions,
securities borrowing and lending and over-the-counter and exchange-traded
derivatives. These netting agreements and similar arrangements generally enable
the counterparties to set-off liabilities against available assets received in
the ordinary course of business and / or in the event that either counterparty
to the transaction is unable to fulfill its contractual obligations. The right
of set-off is a legal right to settle or otherwise eliminate all or a portion
of an amount due by applying an amount receivable from the same counterparty
against it, thus reducing credit exposure.
Financial
assets
The
table below provides a summary of financial assets subject to offsetting,
enforceable master netting arrangements and
similar agreements, as well as financial collateral received to mitigate
credit exposures for these financial assets. The gross financial assets that
are subject to offsetting, enforceable netting arrangements and similar
agreements are reconciled to the net amounts presented within the associated
balance sheet line, after giving effect to financial liabilities with the same
counterparties that have been offset on the balance sheet and other financial
assets not subject to an enforceable netting arrangement or similar agreement.
Further, related amounts for financial liabilities and collateral received that
are not offset on the balance sheet are shown to arrive at financial assets
after consideration of netting potential.
UBS AG engages
in a variety of counterparty credit mitigation strategies in addition to
netting and collateral arrangements. Therefore, the net amounts presented in
the tables on this and on the next page do not purport to represent actual
credit exposure.
|
Financial assets subject to offsetting,
enforceable master netting arrangements and similar agreements
|
|
|
Assets subject to netting arrangements
|
|
|
|
|
|
|
|
Netting recognized on the balance sheet
|
|
Netting potential not recognized on the balance sheet³
|
|
Assets not subject to netting arrangements⁴
|
|
Total assets
|
|
As of 30.6.16, CHF billion
|
Gross assets before netting
|
Netting with gross liabilities²
|
Net assets recognized on the balance sheet
|
|
Financial liabilities
|
Collateral received
|
Assets after consideration of netting potential
|
|
Assets recognized on the balance sheet
|
|
Total assets after consideration of netting potential
|
Total assets recognized on the balance sheet
|
|
Cash collateral on securities borrowed
|
27.3
|
0.0
|
27.3
|
|
(3.3)
|
(24.0)
|
0.0
|
|
2.0
|
|
2.0
|
29.4
|
|
Reverse repurchase agreements
|
111.8
|
(52.5)
|
59.3
|
|
(3.0)
|
(56.3)
|
0.0
|
|
14.0
|
|
14.0
|
73.3
|
|
Positive replacement values
|
190.1
|
(2.7)
|
187.5
|
|
(147.3)
|
(28.6)
|
11.5
|
|
11.0
|
|
22.5
|
198.4
|
|
Cash collateral receivables on derivative instruments¹
|
57.4
|
(30.4)
|
27.0
|
|
(17.3)
|
(1.2)
|
8.5
|
|
3.0
|
|
11.4
|
30.0
|
|
Financial assets designated at fair value
|
3.7
|
0.0
|
3.7
|
|
0.0
|
(1.1)
|
2.6
|
|
60.2
|
|
62.8
|
63.9
|
|
Total assets
|
390.3
|
(85.6)
|
304.7
|
|
(170.9)
|
(111.2)
|
22.6
|
|
90.2
|
|
112.9
|
395.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31.3.16, CHF billion
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities borrowed
|
30.2
|
0.0
|
30.2
|
|
(2.5)
|
(27.7)
|
0.0
|
|
2.2
|
|
2.2
|
32.4
|
|
Reverse repurchase agreements
|
114.9
|
(54.6)
|
60.3
|
|
(1.7)
|
(58.6)
|
0.0
|
|
13.3
|
|
13.3
|
73.6
|
|
Positive replacement values
|
174.0
|
(2.4)
|
171.5
|
|
(135.1)
|
(25.6)
|
10.8
|
|
9.0
|
|
19.8
|
180.5
|
|
Cash collateral receivables on derivative instruments¹
|
126.5
|
(104.7)
|
21.8
|
|
(13.0)
|
(0.9)
|
7.9
|
|
3.7
|
|
11.6
|
25.5
|
|
Financial assets designated at fair value
|
2.5
|
0.0
|
2.5
|
|
0.0
|
(1.6)
|
0.9
|
|
38.1
|
|
39.0
|
40.7
|
|
Total assets
|
448.0
|
(161.7)
|
286.3
|
|
(152.2)
|
(114.5)
|
19.6
|
|
66.3
|
|
85.9
|
352.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31.12.15, CHF billion
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities borrowed
|
23.9
|
0.0
|
23.9
|
|
(3.1)
|
(20.9)
|
0.0
|
|
1.6
|
|
1.6
|
25.6
|
|
Reverse repurchase agreements
|
117.9
|
(62.1)
|
55.8
|
|
(4.4)
|
(51.4)
|
0.0
|
|
12.1
|
|
12.1
|
67.9
|
|
Positive replacement values
|
161.9
|
(2.5)
|
159.3
|
|
(123.0)
|
(25.5)
|
10.8
|
|
8.1
|
|
18.9
|
167.4
|
|
Cash collateral receivables on derivative instruments¹
|
85.9
|
(66.3)
|
19.6
|
|
(10.9)
|
(1.5)
|
7.2
|
|
4.1
|
|
11.3
|
23.8
|
|
Financial assets designated at fair value
|
2.4
|
0.0
|
2.4
|
|
0.0
|
(1.8)
|
0.6
|
|
3.4
|
|
4.0
|
5.8
|
|
Total assets
|
392.1
|
(131.0)
|
261.1
|
|
(141.3)
|
(101.1)
|
18.7
|
|
29.3
|
|
48.0
|
290.5
|
|
1 The net amount of Cash collateral receivables on derivative
instruments recognized on the balance sheet includes certain OTC derivatives
which are in substance net settled on a daily basis under IAS 32, interest
rate swaps (IRS) with the London Clearing House (LCH) which are legally
settled on a daily basis and ETD which are economically settled on a daily
basis. Effective 30 June 2016, UBS elected to convert its IRS transacted with
the LCH from the previous collateral model to a settlement model. As a
result, gross assets and liabilities and corresponding netting decreased by
CHF 93 billion as of 30 June 2016, with no change to net assets and
liabilities recognized on the balance sheet. Refer to Note 1 for more information.
In addition, this balance includes OTC and ETD cash collateral balances which
correspond with the cash portion of collateral pledged, reflected on the
Negative replacement values line in the table presented on the following
page. 2 The logic of the table results in amounts presented in the
“Netting with gross liabilities” column corresponding directly to the amounts
presented in the “Netting with gross assets” column in the liabilities table
presented on the following page. 3 For the purpose of this disclosure, the
amounts of financial instruments and cash collateral presented have been
capped by the relevant netting agreement 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. 4
Includes assets not subject to enforceable netting arrangements and other
out-of-scope items.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
11
Offsetting financial
assets and financial liabilities (continued)
Financial
liabilities
The table below provides a summary of
financial liabilities subject to offsetting, enforceable master netting
arrangements and similar agreements, as well as financial collateral pledged to
mitigate credit exposures for these financial liabilities. The gross financial
liabilities that are subject to offsetting, enforceable netting arrangements and
similar agreements are reconciled to the net amounts presented within the
associated balance sheet line, after giving effect to financial assets with the
same counterparties that have been offset on the balance sheet and other
financial liabilities not subject to an enforceable netting arrangement or
similar agreement. Further, related amounts for financial assets and collateral
pledged that are not offset on the balance sheet are shown to arrive at
financial liabilities after consideration of netting potential.
|
Financial liabilities subject
to offsetting, enforceable master netting arrangements and similar agreements
|
|
|
Liabilities subject to netting arrangements
|
|
|
|
|
|
|
|
Netting recognized on the balance sheet
|
|
Netting potential not recognized on the balance sheet³
|
|
Liabilities not subject to netting arrangements⁴
|
|
Total liabilities
|
|
As of 30.6.16, CHF billion
|
Gross liabilities before netting
|
Netting with gross assets²
|
Net liabilities recognized on the balance sheet
|
|
Financial assets
|
Collateral pledged
|
Liabilities after consid- eration of netting potential
|
|
Liabilities recognized on the balance sheet
|
|
Total liabilities after consid- eration of netting potential
|
Total liabilities recognized on the balance sheet
|
|
Cash collateral on securities lent
|
6.2
|
0.0
|
6.2
|
|
(3.3)
|
(2.8)
|
0.0
|
|
0.1
|
|
0.1
|
6.3
|
|
Repurchase agreements
|
58.8
|
(52.5)
|
6.2
|
|
(3.0)
|
(3.3)
|
0.0
|
|
1.8
|
|
1.8
|
8.0
|
|
Negative replacement values
|
185.5
|
(2.7)
|
182.8
|
|
(147.3)
|
(21.0)
|
14.6
|
|
13.2
|
|
27.7
|
196.0
|
|
Cash collateral payables on derivative instruments¹
|
63.7
|
(30.4)
|
33.3
|
|
(20.9)
|
(0.8)
|
11.6
|
|
3.1
|
|
14.6
|
36.4
|
|
Financial liabilities designated at fair value
|
3.4
|
0.0
|
3.4
|
|
0.0
|
(0.6)
|
2.7
|
|
56.3
|
|
59.0
|
59.7
|
|
Total liabilities
|
317.4
|
(85.6)
|
231.9
|
|
(174.5)
|
(28.5)
|
28.9
|
|
74.5
|
|
103.4
|
306.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31.3.16, CHF billion
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities lent
|
6.3
|
0.0
|
6.3
|
|
(2.5)
|
(3.8)
|
0.0
|
|
0.1
|
|
0.1
|
6.4
|
|
Repurchase agreements
|
59.9
|
(54.6)
|
5.3
|
|
(1.7)
|
(3.7)
|
0.0
|
|
1.2
|
|
1.2
|
6.5
|
|
Negative replacement values
|
169.3
|
(2.4)
|
166.9
|
|
(135.1)
|
(17.3)
|
14.5
|
|
12.1
|
|
26.6
|
179.0
|
|
Cash collateral payables on derivative instruments¹
|
137.1
|
(104.7)
|
32.4
|
|
(19.3)
|
(1.6)
|
11.5
|
|
4.3
|
|
15.8
|
36.7
|
|
Financial liabilities designated at fair value
|
3.0
|
0.0
|
3.0
|
|
0.0
|
(0.8)
|
2.2
|
|
54.7
|
|
56.9
|
57.8
|
|
Total liabilities
|
375.7
|
(161.7)
|
213.9
|
|
(158.5)
|
(27.2)
|
28.2
|
|
72.4
|
|
100.6
|
286.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of 31.12.15, CHF billion
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities lent
|
7.9
|
0.0
|
7.9
|
|
(3.1)
|
(4.8)
|
0.0
|
|
0.1
|
|
0.1
|
8.0
|
|
Repurchase agreements
|
69.0
|
(62.1)
|
6.9
|
|
(4.4)
|
(2.5)
|
0.0
|
|
2.8
|
|
2.8
|
9.7
|
|
Negative replacement values
|
154.2
|
(2.5)
|
151.7
|
|
(123.0)
|
(17.4)
|
11.3
|
|
10.7
|
|
22.1
|
162.4
|
|
Cash collateral payables on derivative instruments¹
|
99.9
|
(66.3)
|
33.6
|
|
(19.0)
|
(2.5)
|
12.1
|
|
4.7
|
|
16.8
|
38.3
|
|
Financial liabilities designated at fair value
|
3.9
|
0.0
|
3.9
|
|
0.0
|
(0.7)
|
3.1
|
|
59.1
|
|
62.3
|
63.0
|
|
Total liabilities
|
334.9
|
(131.0)
|
203.9
|
|
(149.4)
|
(28.0)
|
26.5
|
|
77.4
|
|
104.0
|
281.4
|
|
1 The net amount of Cash collateral payables on derivative
instruments recognized on the balance sheet includes certain OTC derivatives
which are in substance net settled on a daily basis under IAS 32, interest
rate swaps (IRS) with the London Clearing House (LCH) which are legally
settled on a daily basis and ETD which are economically settled on a daily
basis. Effective 30 June 2016, UBS elected to convert its IRS transacted with
the LCH from the previous collateral model to a settlement model. As a
result, gross assets and liabilities and corresponding netting decreased by
CHF 93 billion as of 30 June 2016, with no change to net assets and
liabilities recognized on the balance sheet. Refer to Note 1 for more
information. In addition, this balance includes OTC and ETD cash collateral
balances which correspond with the cash portion of collateral received,
reflected on the Positive replacement values line in the table presented on
the previous page. 2 The logic of the table results in amounts presented
in the “Netting with gross assets” column corresponding directly to the
amounts presented in the “Netting with gross liabilities” column in the
assets table presented on the previous page. 3 For the purpose of this disclosure,
the amounts of financial instruments and cash collateral presented have been
capped by the relevant netting agreement so as not to exceed the net amount
of financial liabilities presented on the balance sheet; i.e.,
over-collateralization, where it exists, is not reflected in the table. 4
Includes liabilities not subject to enforceable netting arrangements and
other out-of-scope items.
|
Note
12
Other
assets and liabilities
|
CHF million
|
30.6.16
|
31.3.16
|
31.12.15
|
|
|
|
|
|
|
Other assets
|
|
|
|
|
Prime brokerage receivables¹
|
11,695
|
11,754
|
11,341
|
|
Recruitment loans to financial advisors
|
3,161
|
3,128
|
3,184
|
|
Other loans to financial advisors
|
490
|
522
|
418
|
|
Bail deposit²
|
1,220
|
1,229
|
1,221
|
|
Accrued interest income
|
473
|
547
|
462
|
|
Accrued income – other
|
1,139
|
926
|
844
|
|
Prepaid expenses
|
1,041
|
1,067
|
1,032
|
|
Net defined benefit pension and post-employment assets
|
99
|
0
|
50
|
|
Settlement and clearing accounts
|
374
|
499
|
402
|
|
VAT and other tax receivables
|
292
|
355
|
397
|
|
Properties and other non-current assets held for sale
|
126
|
135
|
134
|
|
Assets of disposal group held for sale³
|
5,380
|
264
|
279
|
|
Other
|
2,878
|
2,590
|
2,485
|
|
Total other assets
|
28,368
|
23,016
|
22,249
|
|
|
|
|
|
|
Other liabilities
|
|
|
|
|
Prime brokerage payables¹
|
38,888
|
44,011
|
45,306
|
|
Amounts due under unit-linked investment contracts
|
8,973
|
15,100
|
15,718
|
|
Compensation-related liabilities
|
3,964
|
3,231
|
5,122
|
|
of which: accrued expenses
|
1,460
|
959
|
2,827
|
|
of which: other deferred
compensation plans
|
1,468
|
1,414
|
1,559
|
|
of which: net defined
benefit pension and post-employment liabilities
|
1,036
|
859
|
736
|
|
Third-party interest in consolidated investment funds
|
524
|
550
|
594
|
|
Settlement and clearing accounts
|
1,546
|
1,407
|
893
|
|
Current and deferred tax liabilities
|
1,011
|
933
|
810
|
|
VAT and other tax payables
|
441
|
462
|
446
|
|
Deferred income
|
243
|
217
|
210
|
|
Accrued interest expenses
|
1,032
|
1,279
|
1,438
|
|
Other accrued expenses
|
2,675
|
2,744
|
2,492
|
|
Liabilities of disposal group held for sale³
|
5,334
|
217
|
235
|
|
Other
|
1,088
|
838
|
1,343
|
|
Total other liabilities
|
65,719
|
70,988
|
74,606
|
|
1 Prime brokerage services include clearance, settlement,
custody, financing and portfolio reporting services for corporate clients
trading across multiple asset classes. Prime brokerage receivables are mainly
comprised of margin lending receivables. Prime brokerage payables are mainly
comprised of client securities financing and deposits. 2 Refer to item 1
in Note 15b for more information. 3 Refer to Note 17 for more information.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
13
Financial
liabilities designated at fair value
|
CHF million
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Non-structured fixed-rate bonds
|
4,196
|
4,008
|
4,098
|
|
of which: issued by UBS AG
with original maturity greater than one year¹˒²
|
3,622
|
3,433
|
3,542
|
|
Structured debt instruments issued³
|
49,342
|
47,899
|
52,436
|
|
of which: issued by UBS AG
with original maturity greater than one year¹˒⁴
|
35,007
|
33,478
|
36,539
|
|
Structured over-the-counter debt instruments
|
5,254
|
4,728
|
5,493
|
|
of which: issued by UBS AG
with original maturity greater than one year¹˒⁵
|
4,676
|
3,760
|
4,497
|
|
Repurchase agreements
|
799
|
1,036
|
849
|
|
Loan commitments and guarantees⁶
|
73
|
90
|
119
|
|
Total
|
59,664
|
57,761
|
62,995
|
|
of which: life-to-date own
credit (gain) / loss
|
(165)
|
(332)
|
(287)
|
|
1 Issued by UBS AG (standalone). Based on original contractual
maturity without considering any early redemption features. 2 100% of the
balance as of 30 June 2016 was unsecured (31 March 2016: 100% of the balance
was unsecured; 31 December 2015: 100% of the balance was unsecured). 3
Includes non-structured rates-linked debt instruments issued. 4 More than
98% of the balance as of 30 June 2016 was unsecured (31 March 2016: more than
98% of the balance was unsecured; 31 December 2015: more than 98% of the
balance was unsecured). 5 More than 40% of the balance as of 30 June 2016
was unsecured (31 March 2016: more than 45% of the balance was unsecured; 31
December 2015: more than 35% of the balance was unsecured). 6 Loan
commitments recognized as “Financial liabilities designated at fair value”
until drawn and recognized as loans.
|
Note
14
Debt
issued held at amortized cost
|
CHF million
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Certificates of deposit
|
21,731
|
17,689
|
11,967
|
|
Commercial paper
|
2,860
|
5,835
|
3,824
|
|
Other short-term debt
|
5,450
|
6,282
|
5,424
|
|
Short-term debt¹
|
30,040
|
29,806
|
21,215
|
|
Non-structured fixed-rate bonds
|
29,293
|
29,566
|
31,240
|
|
of which: issued by UBS AG
with original maturity greater than one year²
|
29,136
|
29,403
|
31,078
|
|
Covered bonds
|
6,000
|
7,289
|
8,490
|
|
Subordinated debt
|
12,191
|
12,394
|
12,600
|
|
of which: low-trigger
loss-absorbing tier 2 capital
|
10,462
|
10,239
|
10,346
|
|
of which: phase-out tier 2
capital
|
1,729
|
2,156
|
2,254
|
|
Debt issued through the central bond institutions of the Swiss
regional or cantonal banks
|
8,116
|
8,196
|
8,237
|
|
Other long-term debt
|
290
|
545
|
577
|
|
of which: issued by UBS AG
with original maturity greater than one year²
|
259
|
257
|
278
|
|
Long-term debt³
|
55,891
|
57,990
|
61,144
|
|
Total debt issued held at
amortized cost⁴
|
85,931
|
87,796
|
82,359
|
|
1 Debt with an original maturity of less than one year. 2
Issued by UBS AG (standalone). Based on original contractual maturity without
considering any early redemption features. 100% of the balance as of 30 June
2016 was unsecured (31 March 2016: 100% of the balance was unsecured; 31
December 2015:100% of the balance was unsecured). 3 Debt with original
maturity greater than or equal to one year. 4 Net of bifurcated embedded
derivatives with a net positive fair value of CHF 82 million as of 30 June
2016 (31 March 2016: net positive fair value of CHF 55 million; 31 December
2015: net negative fair value of CHF 130 million).
|
Note
15
Provisions and
contingent liabilities
|
CHF million
|
Operational risks¹
|
Litigation, regulatory and similar matters²
|
Restructuring
|
Loan commitments and guarantees
|
Real estate
|
Employee benefits⁵
|
Other
|
Total provisions
|
|
Balance as of 31 December
2015
|
47
|
2,983
|
624
|
35
|
157
|
198
|
120
|
4,163
|
|
Balance as of 31 March 2016
|
41
|
2,876
|
536
|
36
|
148
|
192
|
131
|
3,961
|
|
Increase in provisions recognized in the income statement
|
7
|
135
|
101
|
5
|
0
|
1
|
23
|
273
|
|
Release of provisions recognized in the income statement
|
0
|
(63)
|
(27)
|
0
|
0
|
(10)
|
(1)
|
(101)
|
|
Provisions used in conformity with designated purpose
|
(4)
|
(299)
|
(81)
|
0
|
(9)
|
(83)
|
(26)
|
(501)
|
|
Capitalized reinstatement costs
|
0
|
0
|
0
|
0
|
(7)
|
0
|
0
|
(7)
|
|
Reclassifications
|
0
|
0
|
0
|
1
|
(2)
|
0
|
0
|
(2)
|
|
Foreign currency translation / unwind of discount
|
(1)
|
32
|
2
|
0
|
1
|
(5)
|
1
|
30
|
|
Balance as of 30 June 2016
|
43
|
2,682
|
532³
|
42
|
132⁴
|
95
|
127
|
3,653
|
|
1 Comprises provisions for losses resulting from security risks
and transaction processing risks. 2 Comprises provisions for losses
resulting from legal, liability and compliance risks. 3 Includes personnel
related restructuring provisions of CHF 117 million as of 30 June 2016 (31
March 2016: CHF 92 million; 31 December 2015: CHF 110 million) and provisions
for onerous lease contracts of CHF 415 million as of 30 June 2016 (31 March
2016: CHF 444 million; 31 December 2015: CHF 514 million). 4 Includes
reinstatement costs for leasehold improvements of CHF 84 million as of 30
June 2016 (31 March 2016: CHF 94 million; 31 December 2015: CHF 94 million)
and provisions for onerous lease contracts of CHF 47 million as of 30 June
2016 (31 March 2016: CHF 55 million; 31 December 2015: CHF 62 million). 5
Includes provisions for sabbatical and anniversary awards as well as
provisions for severance which are not part of restructuring provisions.
|
Restructuring provisions primarily
relate to onerous lease contracts and severance payments. The utilization of
onerous lease provisions is driven by the maturities of the underlying lease
contracts. Severance-related provisions are utilized within a short time period,
usually within six months, but potential changes in amount may be triggered
when natural staff attrition reduces the number of people affected by a
restructuring and therefore the estimated costs.
Information on provisions and contingent
liabilities in respect of Litigation, regulatory and similar matters, as a
class, is included in Note 15b. There are no material contingent liabilities
associated with the other classes of provisions.
b) Litigation, regulatory and
similar matters
UBS operates in a legal and
regulatory environment that exposes it to significant litigation and similar
risks arising from disputes and regulatory proceedings. As a result, UBS (which
for purposes of this Note may refer to UBS AG and / or one or more of its
subsidiaries, as applicable) is involved in various disputes and legal
proceedings, including litigation, arbitration, and regulatory and criminal
investigations.
Such matters are subject to many
uncertainties and the outcome and the timing of resolution are often difficult
to predict, particularly in the earlier stages of a case. There are also
situations where UBS may enter into a settlement agreement. This may occur in
order to avoid the expense, management distraction or reputational implications
of continuing to contest liability, even for those matters for which UBS
believes it should be exonerated. The uncertainties inherent in all such
matters affect the amount and timing of any potential outflows for both matters
with respect to which provisions have been established and other contingent
liabilities. UBS makes provisions for such matters brought against it when, in
the opinion of management after seeking legal advice, it is more likely than
not that UBS has a present legal or constructive obligation as a result of past
events, it is probable that an outflow of resources will be required, and the
amount can be reliably estimated. Where these factors are otherwise satisfied,
a provision may be established for claims that have not yet been asserted against
UBS, but are nevertheless expected to be, based on UBS’s experience with
similar asserted claims. If any of those conditions is not met, such matters
result in contingent liabilities. If the amount of an obligation cannot be
reliably estimated, a liability exists that is not recognized even if an
outflow of resources is probable. Accordingly, no provision is established even
if the potential outflow of resources with respect to select matters could be
significant.
Specific litigation, regulatory and other
matters are described below, including all such matters that management
considers to be material and others that management believes to be of
significance due to potential financial, reputational and other effects. The
amount of damages claimed, the size of a transaction or other information is
provided where available and appropriate in order to assist users in
considering the magnitude of potential exposures.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
15
Provisions and
contingent liabilities
(continued)
In the case of certain matters below, we
state that we have established a provision, and for the other matters we make
no such statement. When we make this statement and we expect disclosure of the
amount of a provision to prejudice seriously our position with other parties in
the matter, because it would reveal what UBS believes to be the probable and
reliably estimable outflow, we do not disclose that amount. In some cases we
are subject to confidentiality obligations that preclude such disclosure. With
respect to the matters for which we do not state whether we have established a
provision, either (a) we have not established a provision, in which case the
matter is treated as a contingent liability under the applicable accounting
standard, or (b) we have established a provision but expect disclosure of that
fact to prejudice seriously our position with other parties in the matter
because it would reveal the fact that UBS believes an outflow of resources to
be probable and reliably estimable.
With respect to certain litigation,
regulatory and similar matters for which we have established provisions, we are
able to estimate the expected timing of outflows. However, the aggregate amount
of the expected outflows for those matters for which we are able to estimate
expected timing is immaterial relative to our current and expected levels of
liquidity over the relevant time periods.
The aggregate amount provisioned for
litigation, regulatory and similar matters as a class is disclosed in Note
15
a above. It is not practicable to provide an
aggregate estimate of liability for our litigation, regulatory and similar matters
as a class of contingent liabilities. Doing so would require us to provide
speculative legal assessments as to claims and proceedings that involve unique
fact patterns or novel legal theories, which have not yet been initiated or are
at early stages of adjudication, or as to which alleged damages have not been
quantified by the claimants. Although we therefore cannot provide a numerical
estimate of the future losses that could arise from litigation, regulatory and
similar matters, we believe that the aggregate amount of possible future losses
from this class that are more than remote substantially exceeds the level of
current provisions. Litigation, regulatory and similar matters may also result
in non-monetary penalties and consequences. For example, the Non-Prosecution
Agreement (NPA) described in paragraph 5 of this Note, which we entered into
with the US Department of Justice (DOJ), Criminal Division, Fraud Section in
connection with our submissions of benchmark interest rates, including, among
others, the British Bankers’ Association London Interbank Offered Rate (LIBOR),
was terminated by the DOJ based on its determination that we had committed a US
crime in relation to foreign exchange matters. As a consequence, UBS AG has
pleaded guilty to one count of wire fraud for conduct in the LIBOR matter, and
has agreed to pay a USD 203 million fine and accept a three-year term of
probation. A guilty plea to, or conviction of, a crime (including as a result
of termination of the NPA) could have material consequences for UBS. Resolution
of regulatory proceedings may require us to obtain waivers of regulatory
disqualifications to maintain certain operations, may entitle regulatory
authorities to limit, suspend or terminate licenses and regulatory authorizations
and may permit financial market utilities to limit, suspend or terminate our
participation in such utilities. Failure to obtain such waivers, or any
limitation, suspension or termination of licenses, authorizations or
participations, could have material consequences for UBS.
The risk of loss associated with litigation,
regulatory and similar matters is a component of operational risk for purposes
of determining our capital requirements. Information concerning our capital requirements
and the calculation of operational risk for this purpose is included in the
“Capital management” section of the UBS Group second quarter 2016 report.
|
Provisions for litigation, regulatory
and similar matters by business division and Corporate Center unit¹˒²
|
|
CHF million
|
Wealth Management
|
Wealth Management Americas
|
Personal & Corporate Banking
|
Asset Management
|
Investment Bank
|
CC – Services
|
CC – Group ALM
|
CC – Non-core and Legacy Portfolio
|
UBS
|
|
Balance as of 31 December
2015
|
245
|
459
|
83
|
16
|
585
|
310
|
0
|
1,284
|
2,983
|
|
Balance as of 31 March 2016
|
242
|
427
|
81
|
13
|
557
|
307
|
0
|
1,248
|
2,876
|
|
Increase in provisions recognized in the income statement
|
10
|
23
|
0
|
0
|
27
|
2
|
0
|
23
|
85
|
|
Release of provisions recognized in the income statement
|
(1)
|
(7)
|
0
|
(5)
|
0
|
0
|
0
|
0
|
(13)
|
|
Provisions used in conformity with designated purpose
|
(3)
|
(35)
|
(2)
|
(1)
|
(1)
|
(7)
|
0
|
(249)
|
(299)
|
|
Foreign currency translation / unwind of discount
|
(1)
|
8
|
0
|
0
|
6
|
(1)
|
0
|
20
|
32
|
|
Balance as of 30 June 2016
|
247
|
416
|
79
|
7
|
589
|
301
|
0
|
1,042
|
2,682
|
|
1 Provisions, if any, for the matters described in this Note are
recorded in Wealth Management (item 3), Wealth Management Americas (item 4),
CC – Services (item 7) and CC – Non-core and Legacy Portfolio (item 2). Provisions,
if any, for the matters described in this Note in items 1 and 6 are allocated
between Wealth Management and Personal & Corporate Banking, and
provisions, if any, for the matters described in this Note in item 5 are
allocated between the Investment Bank, CC – Services and CC – Non-core and
Legacy Portfolio. 2 Provision movements are grouped by item for purposes
of this table and may therefore differ from those shown in the table in Note
15a.
|
Note
15
Provisions and
contingent liabilities
(continued)
1. Inquiries
regarding cross-border wealth management businesses
Tax and regulatory authorities in a number
of countries have made inquiries, served requests for information or examined
employees located in their respective jurisdictions relating to the
cross-border wealth management services provided by UBS and other financial
institutions. It is possible that implementation of automatic tax information
exchange and other measures relating to cross-border provision of financial
services could give rise to further inquiries in the future. UBS has received a
disclosure order from the Swiss Federal Tax Administration (FTA) to transfer
information based on a request for international administrative assistance in
tax matters. The request concerns a number of UBS account numbers pertaining to
current and former clients and is based on data from 2006 and 2008. UBS has
taken steps to inform affected clients about the administrative assistance
proceeding and their procedural rights, including the right to appeal. The
request is based on data received from the German authorities, who seized
certain data related to UBS clients booked in Switzerland during their
investigations and have apparently shared this data with other European
countries. UBS expects other countries to file similar requests.
As a result of investigations in France, in
2013, UBS (France) S.A. and UBS AG were put under formal examination (“mise en
examen”) for complicity in having illicitly solicited clients on French
territory, and were declared witness with legal assistance (“témoin assisté”)
regarding the laundering of proceeds of tax fraud and of banking and financial
solicitation by unauthorized persons. In 2014, UBS AG was placed under formal
examination with respect to the potential charges of laundering of proceeds of
tax fraud, and the investigating judges ordered UBS AG to provide bail (“caution”)
of EUR 1.1 billion. UBS AG appealed the determination of the bail amount, but
both the appeal court (“Cour d’Appel”) and the French Supreme Court (“Cour de
Cassation”) upheld the bail amount and rejected the appeal in full in late
2014. UBS AG has filed and has had formally registered an application to the
European Court of Human Rights to challenge various aspects of the French
court’s decision. In September 2015, the former CEO of UBS Wealth Management
was placed under formal examination in connection with these proceedings. In
addition, the investigating judges have sought to issue arrest warrants against
three Swiss-based former employees of UBS AG who did not appear when summoned
by the investigating judge.
In 2015, UBS (France) S.A. was placed under
formal examination for complicity regarding the laundering of proceeds of tax
fraud and of banking and financial solicitation by unauthorized persons for the
years 2004 until 2008 and declared witness with legal assistance for the years
2009 to 2012. A bail of EUR 40 million was imposed, and was subsequently
reduced by the Court of Appeals to EUR 10 million.
In February 2016, the investigating judge
notified UBS AG and UBS (France) S.A. that he has closed his investigation. In
July 2016, UBS AG and UBS (France) S.A. received the National Financial
Prosecutor's recommendation ("réquisitoire"). The parties have 30
days to comment on the recommendation or to file additional submissions. The
judge may then issue his final decree ("ordonnance de renvoi en correctionnelle")
which would set out any charges for which UBS AG and UBS (France) S.A. will be
tried, both legally and factually.
UBS has been notified by the Belgian
investigating judge that it is under formal investigation (“inculpé”) regarding
the laundering of proceeds of tax fraud and of banking, financial solicitation
by unauthorized persons and serious tax fraud.
In 2015, UBS received inquiries from the US
Attorney’s Office for the Eastern District of New York and from the US
Securities and Exchange Commission (SEC), which are investigating potential
sales to US persons of bearer bonds and other unregistered securities in
possible violation of the Tax Equity and Fiscal Responsibility Act of 1982
(TEFRA) and the registration requirements of the US securities laws. UBS is
cooperating with the authorities in these investigations.
UBS has, and reportedly numerous other
financial institutions have, received inquiries from authorities concerning
accounts relating to the Fédération Internationale de Football Association
(FIFA) and other constituent soccer associations and related persons and
entities. UBS is cooperating with authorities in these inquiries.
Our balance sheet at 30 June 2016 reflected
provisions with respect to matters described in this item 1 in an amount that
UBS believes to be appropriate under the applicable accounting standard. As in
the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty
based on currently available information, and accordingly may ultimately prove
to be substantially greater (or may be less) than the provision that we have
recognized.
2. Claims related to sales of
residential mortgage-backed securities and mortgages
From 2002 through 2007, prior to the
crisis in the US residential loan market, UBS was a substantial issuer and
underwriter of US residential mortgage-backed securities (RMBS) and was a
purchaser and seller of US residential mortgages. A subsidiary of UBS, UBS Real
Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans
from originators and (through an affiliate) deposited them into securitization
trusts. In this manner, from 2004 through 2007, UBS RESI sponsored
approximately USD 80 billion in RMBS, based on the original principal balances
of the securities issued.
UBS RESI also sold pools of loans acquired
from originators to third-party purchasers. These whole loan sales during the
period 2004 through 2007 totaled approximately USD 19 billion in original
principal balance.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
15
Provisions and contingent
liabilities
(continued)
We were not a
significant originator of US residential loans. A subsidiary of UBS originated
approximately USD 1.5 billion in US residential mortgage loans during the
period in which it was active from 2006 to 2008, and securitized less than half
of these loans.
RMBS-related lawsuits concerning disclosures:
UBS is named as a defendant relating
to its role as underwriter and issuer of RMBS in lawsuits related to
approximately USD 2.6 billion in original face amount of RMBS underwritten or
issued by UBS. Of the USD 2.6 billion in original face amount of RMBS that
remains at issue in these cases, approximately USD 1.2 billion was issued in
offerings in which a UBS subsidiary transferred underlying loans (the majority
of which were purchased from third-party originators) into a securitization
trust and made representations and warranties about those loans (UBS-sponsored
RMBS). The remaining USD 1.4 billion of RMBS to which these cases relate was
issued by third parties in securitizations in which UBS acted as underwriter
(third-party RMBS).
In connection
with certain of these lawsuits, UBS has indemnification rights against
surviving third-party issuers or originators for losses or liabilities incurred
by UBS, but UBS cannot predict the extent to which it will succeed in enforcing
those rights.
UBS is a
defendant in two lawsuits brought by the National Credit Union Administration
(NCUA), as conservator for certain failed credit unions, asserting
misstatements and omissions in the offering documents for RMBS purchased by the
credit unions. Both lawsuits were filed in US District Courts, one in the
District of Kansas and the other in the Southern District of New York (SDNY).
The original principal balance at issue in the Kansas case is approximately USD
1.15 billion and the original principal balance at issue in the SDNY case is
approximately USD 400 million. In February 2016, UBS made an offer of judgment
to NCUA in the SDNY case, which NCUA accepted, pursuant to which UBS agreed to
pay to NCUA approximately USD 33 million plus approximately USD 36.8 million in
prejudgment interest, for a total of approximately USD 69.8 million, in
addition to reasonable attorneys’ fees incurred by NCUA. Judgment was entered
by the Court on April 25, 2016.
Lawsuits related to contractual representations and warranties
concerning mortgages and RMBS:
When UBS acted as an RMBS sponsor or mortgage seller, we generally
made certain representations relating to the characteristics of the underlying
loans. In the event of a material breach of these representations, we were in
certain circumstances contractually obligated to repurchase the loans to which
the representations related or to indemnify certain parties against losses. UBS
has received demands to repurchase US residential mortgage loans as to which
UBS made certain representations at the time the loans were transferred to the
securitization trust aggregating approximately USD 4.1 billion in original
principal balance. Of this amount, UBS considers claims relating to
approximately USD 2 billion in original principal balance to be resolved,
including claims barred by the statute of limitations. Substantially all of the
remaining claims are in litigation, including the matters described in the next
paragraph. UBS believes that new demands to repurchase US residential mortgage
loans are time-barred under a decision rendered by the New York Court of
Appeals.
In 2012,
certain RMBS trusts filed an action (Trustee Suit) in the SDNY seeking to
enforce UBS RESI’s obligation to repurchase loans in the collateral pools for
three RMBS securitizations (Transactions) with an original principal balance of
approximately USD 2 billion, for which Assured Guaranty Municipal Corp.
(Assured Guaranty), a financial guaranty insurance company, had previously
demanded repurchase. In January 2015, the court rejected plaintiffs’ efforts to
seek damages for all loans purportedly in breach of representations and
warranties in any of the three Transactions and limited plaintiffs to pursuing
claims based solely on alleged breaches for loans identified in the complaint or
other breaches that plaintiffs can establish were independently discovered by
UBS. In February 2015, the court denied plaintiffs’ motion seeking
reconsideration of its ruling. However, in April 2016, the Court ruled that,
based on an intervening decision of an intermediate New York appellate court,
it would allow plaintiffs to proceed with their claims at trial as to all loans
purportedly in breach. With respect to the loans subject to the Trustee Suit
that were originated by institutions still in existence, UBS intends to enforce
its indemnity rights against those institutions. A bench trial in the SDNY
adjourned in May 2016 and post-trial briefs are being submitted.
We also have
tolling agreements with certain institutional purchasers of RMBS concerning their
potential claims related to substantial purchases of UBS-sponsored or
third-party RMBS.
Mortgage-related regulatory matters:
In 2014, UBS received a subpoena from the US
Attorney’s Office for the Eastern District of New York issued pursuant to the
Financial Institutions Reform, Recovery and Enforcement Act of 1989 (FIRREA),
which seeks documents and information related to UBS’s RMBS business from 2005
through 2007. In 2015, the Eastern District of New York identified a number of
transactions that are currently the focus of their inquiry, as to which we are
providing additional information. UBS continues to respond to the FIRREA
subpoena and to subpoenas from the New York State Attorney General (NYAG)
relating to its RMBS business. In addition, UBS has also been responding to
inquiries from both the Special Inspector General for the Troubled Asset Relief
Program (SIGTARP) (who is working in conjunction with the US Attorney’s Office
for Connecticut and the DOJ) and the SEC relating to trading practices in
connection with purchases and sales of mortgage-backed securities in the
secondary market from 2009 through the present. We are cooperating with the
authorities in these matters. Numerous other banks reportedly are responding to
similar inquiries from these authorities.
Note
15
Provisions and contingent
liabilities
(continued)
|
Provision for claims related
to sales of residential mortgage-backed securities and mortgages
|
|
USD million
|
|
|
Balance as of 31 December
2015
|
1,218
|
|
Balance as of 31 March 2016
|
1,242
|
|
Increase in provision recognized in the income statement
|
0
|
|
Release of provision recognized in the income statement
|
0
|
|
Provision used in conformity with designated purpose
|
(255)
|
|
Balance as of 30 June 2016
|
988
|
As reflected in the table “Provision for
claims related to sales of residential mortgage-backed securities and
mortgages,” our balance sheet at 30 June 2016 reflected a provision of USD 988
million with respect to matters described in this item 2. As in the case of
other matters for which we have established provisions, the future outflow of
resources in respect of this matter cannot be determined with certainty based
on currently available information, and accordingly may ultimately prove to be
substantially greater (or may be less) than the provision that we have
recognized.
3. Madoff
In relation to the Bernard L. Madoff
Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) SA
and certain other UBS subsidiaries have been subject to inquiries by a number
of regulators, including the Swiss Financial Market Supervisory Authority
(FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier
(CSSF). Those inquiries concerned two third-party funds established under
Luxembourg law, substantially all assets of which were with BMIS, as well as
certain funds established in offshore jurisdictions with either direct or
indirect exposure to BMIS. These funds now face severe losses, and the
Luxembourg funds are in liquidation. The last reported net asset value of the
two Luxembourg funds before revelation of the Madoff scheme was approximately
USD 1.7 billion in the aggregate, although that figure likely includes fictitious
profit reported by BMIS. The documentation establishing both funds identifies
UBS entities in various roles, including custodian, administrator, manager,
distributor and promoter, and indicates that UBS employees serve as board
members. UBS (Luxembourg) SA and certain other UBS subsidiaries are responding
to inquiries by Luxembourg investigating authorities, without, however, being
named as parties in those investigations. In 2009 and 2010, the liquidators of
the two Luxembourg funds filed claims on behalf of the funds against UBS
entities, non-UBS entities and certain individuals, including current and
former UBS employees. The amounts claimed are approximately EUR 890 million and
EUR 305 million, respectively. The liquidators have filed supplementary claims
for amounts that the funds may possibly be held liable to pay the BMIS Trustee.
These amounts claimed by the liquidator are approximately EUR 564 million and
EUR 370 million, respectively. In addition, a large number of alleged
beneficiaries have filed claims against UBS entities (and non-UBS entities) for
purported losses relating to the Madoff scheme. The majority of these cases are
pending in Luxembourg, where appeals were filed by the claimants against the
2010 decisions of the court in which the claims in a number of test cases were
held to be inadmissible. In 2014, the Luxembourg Court of Appeal dismissed one
test case appeal in its entirety, which decision was appealed by the investor.
In 2015, the Luxembourg Supreme Court found in favor of UBS and dismissed the
investor's appeal. In June 2016, the Luxembourg Court of Appeal dismissed the
remaining test cases in their entirety. In the US, the BMIS Trustee filed
claims in 2010 against UBS entities, among others, in relation to the two Luxembourg
funds and one of the offshore funds. The total amount claimed against all
defendants in these actions was not less than USD 2 billion. Following a motion
by UBS, in 2011, the SDNY dismissed all of the BMIS Trustee’s claims other than
claims for recovery of fraudulent conveyances and preference payments that were
allegedly transferred to UBS on the ground that the BMIS Trustee lacks standing
to bring such claims. In 2013, the Second Circuit affirmed the District Court’s
decision and, in 2014, the US Supreme Court denied the BMIS Trustee’s petition
seeking review of the Second Circuit ruling. In 2014, several claims, including
a purported class action, were filed in the US by BMIS customers against UBS
entities, asserting claims similar to the ones made by the BMIS Trustee,
seeking unspecified damages. One claim was voluntarily withdrawn by the
plaintiff. In 2015, following a motion by UBS, the SDNY dismissed the two
remaining claims on the basis that the New York courts did not have
jurisdiction to hear the claims against the UBS entities. The plaintiff in one
of those claims has appealed the dismissal. In Germany, certain clients of UBS
are exposed to Madoff-managed positions through third-party funds and funds
administered by UBS entities in Germany. A small number of claims have been
filed with respect to such funds. In 2015, a court of appeal ordered UBS to pay
EUR 49 million, plus interest (approximately EUR 15.3 million).
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
15
Provisions and
contingent liabilities
(continued)
4. Puerto Rico
Declines since August 2013 in the
market prices of Puerto Rico municipal bonds and of closed-end funds (the
funds) that are sole-managed and co-managed by UBS Trust Company of Puerto Rico
and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR)
have led to multiple regulatory inquiries, as well as customer complaints and
arbitrations with aggregate claimed damages of approximately USD 1.8 billion,
of which claims with aggregate claimed damages of approximately USD 642 million
have been resolved through settlements, arbitration or withdrawal of the claim.
The claims are filed by clients in Puerto Rico who own the funds or Puerto Rico
municipal bonds and / or who used their UBS account assets as collateral for
UBS non-purpose loans; customer complaint and arbitration allegations include
fraud, misrepresentation and unsuitability of the funds and of the loans. A
shareholder derivative action was filed in 2014 against various UBS entities
and current and certain former directors of the funds, alleging hundreds of
millions of US dollars in losses in the funds. In 2015, defendants’ motion to
dismiss was denied. Defendants' requests for permission to appeal that ruling
were denied by the Puerto Rico Court of Appeals and the Puerto Rico Supreme
Court. In 2014, a federal class action complaint also was filed against various
UBS entities, certain members of UBS PR senior management, and the co-manager
of certain of the funds seeking damages for investor losses in the funds during
the period from May 2008 through May 2014. Defendants have moved to dismiss
that complaint. In 2015, a class action was filed in Puerto Rico state court
against UBS PR seeking equitable relief in the form of a stay of any effort by
UBS PR to collect on non-purpose loans it acquired from UBS Bank USA in
December 2013 based on plaintiffs’ allegation that the loans are not valid. The
trial court denied defendants’ motion to dismiss the action based on a forum
selection clause in the loan agreements; the Puerto Rico Supreme Court has
stayed the action pending its review of defendants’ appeal from that ruling.
In 2014, UBS reached a settlement with the
Office of the Commissioner of Financial Institutions for the Commonwealth of
Puerto Rico (OCFI) in connection with OCFI’s examination of UBS’s operations
from January 2006 through September 2013, pursuant to which UBS is paying up to
an aggregate of USD 7.7 million in investor education contributions and
restitution.
In 2015, the SEC and the Financial Industry
Regulatory Authority (FINRA) announced settlements with UBS PR of their
separate investigations stemming from the 2013 market events. Without admitting
or denying the findings in either matter, UBS PR agreed in the SEC settlement
to pay USD 15 million and USD 18.5 million in the FINRA matter (which includes
up to USD 11 million in restitution to 165 UBS PR customers and a civil penalty
of USD 7.5 million). We also understand that the DOJ is conducting a criminal
inquiry into the impermissible reinvestment of non-purpose loan proceeds. We
are cooperating with the authorities in this inquiry.
In 2011, a purported derivative action was
filed on behalf of the Employee Retirement System of the Commonwealth of Puerto
Rico (System) against over 40 defendants, including UBS PR, which was named in
connection with its underwriting and consulting services. Plaintiffs alleged
that defendants violated their purported fiduciary duties and contractual
obligations in connection with the issuance and underwriting of approximately USD 3 billion
of bonds by the System in 2008 and sought damages of over USD 800 million.
Defendants’ motion to dismiss is pending.
Also, in 2013, an SEC Administrative Law
Judge dismissed a case brought by the SEC against two UBS executives, finding
no violations. The charges had stemmed from the SEC’s investigation of UBS’s
sale of closed-end funds in 2008 and 2009, which UBS settled in 2012. Beginning
in 2012, two federal class action complaints, which were subsequently
consolidated, were filed against various UBS entities, certain of the funds,
and certain members of UBS PR senior management, seeking damages for investor
losses in the funds during the period from January 2008 through May 2012 based
on allegations similar to those in the SEC action. The Magistrate Judge for the
consolidated case has recommended that plaintiffs’ motion to certify the
proposed class be denied.
In 2015, Puerto Rico’s Governor stated that
the Commonwealth was unable to meet its obligations. Certain agencies and
public corporations of the Commonwealth have defaulted on certain interest
payments beginning in August 2015 and additional payment defaults are expected
to occur. In June 2016, federal legislation created an oversight board with
power to oversee Puerto Rico's finances and to restructure its debt. These
events, further defaults, any further legislative action to create a legal
means of restructuring Commonwealth obligations or to impose additional
oversight on the Commonwealth's finances, or any restructuring of the Commonwealth’s
obligations, may increase the number of claims against UBS concerning Puerto
Rico securities, as well as potential damages sought.
Our balance sheet at 30 June 2016 reflected
provisions with respect to matters described in this item 4 in amounts that UBS
believes to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with
certainty based on currently available information, and accordingly may
ultimately prove to be substantially greater (or may be less) than the
provisions that we have recognized.
Note
15
Provisions and
contingent liabilities
(continued)
5. Foreign exchange, LIBOR, and benchmark rates, and other trading
practices
Foreign exchange-related regulatory matters:
Following an initial media report in
2013 of widespread irregularities in the foreign exchange markets, UBS
immediately commenced an internal review of its foreign exchange business,
which includes our precious metals and related structured products businesses.
Since then, various authorities have commenced investigations concerning
possible manipulation of foreign exchange markets, including FINMA, the Swiss
Competition Commission (WEKO), the DOJ, the SEC, the US Commodity Futures Trading
Commission (CFTC), the Board of Governors of the Federal Reserve System
(Federal Reserve Board), the UK Financial Conduct Authority (FCA) (to which
certain responsibilities of the UK Financial Services Authority (FSA) have
passed), the UK Serious Fraud Office (SFO), the Australian Securities and
Investments Commission (ASIC), the Hong Kong Monetary Authority (HKMA), the
Korea Fair Trade Commission (KFTC) and the Brazil Competition Authority (CADE).
In addition, WEKO is, and a number of other authorities reportedly are,
investigating potential manipulation of precious metals prices. UBS has taken
and will continue to take appropriate action with respect to certain personnel
as a result of its ongoing review.
In 2014, UBS
reached settlements with the FCA and the CFTC in connection with their foreign
exchange investigations, and FINMA issued an order concluding its formal
proceedings with respect to UBS relating to its foreign exchange and precious
metals businesses. UBS has paid a total of approximately CHF 774 million to
these authorities, including GBP 234 million in fines to the FCA, USD 290
million in fines to the CFTC, and CHF 134 million to FINMA representing
confiscation of costs avoided and profits. In 2015, the Federal Reserve Board
and the Connecticut Department of Banking issued an Order to Cease and Desist
and Order of Assessment of a Civil Monetary Penalty Issued upon Consent
(Federal Reserve Order) to UBS AG. As part of the Federal Reserve Order, UBS AG
paid a USD 342 million civil monetary penalty.
In 2015, the
DOJ’s Criminal Division (Criminal Division) terminated the December 2012
Non-Prosecution Agreement (NPA) with UBS AG related to UBS’s submissions of
benchmark interest rates. As a result, UBS AG entered into a plea agreement
with the Criminal Division pursuant to which UBS AG agreed to and did plead
guilty to a one-count criminal information filed in the US District Court for
the District of Connecticut charging UBS AG with one count of wire fraud in
violation of 18 USC Sections 1343 and 2. Under the plea agreement, UBS AG
agreed to a sentence that includes a USD 203 million fine and a three-year term
of probation. The criminal information charges that, between approximately 2001
and 2010, UBS AG engaged in a scheme to defraud counterparties to interest rate
derivatives transactions by manipulating benchmark interest rates, including
Yen LIBOR. Sentencing is currently scheduled for 29 November 2016. The Criminal
Division terminated the NPA based on its determination, in its sole discretion,
that certain UBS AG employees committed criminal conduct that violated the NPA,
including fraudulent and deceptive currency trading and sales practices in
conducting certain foreign exchange market transactions with clients and
collusion with other participants in certain foreign exchange markets.
We have ongoing
obligations to cooperate with these authorities and to undertake certain
remediation, including actions to improve UBS’s processes and controls.
UBS has been
granted conditional immunity by the Antitrust Division of the DOJ (Antitrust
Division) from prosecution for EUR / USD collusion and entered into a
non-prosecution agreement covering other currency pairs. As a result, UBS AG
will not be subject to prosecutions, fines or other sanctions for antitrust law
violations by the Antitrust Division, subject to UBS AG’s continuing
cooperation. However, the conditional immunity grant does not bar government
agencies from asserting other claims and imposing sanctions against UBS AG, as
evidenced by the settlements and ongoing investigations referred to above. UBS
has also been granted conditional leniency by authorities in certain
jurisdictions, including WEKO, in connection with potential competition law
violations relating to precious metals, and as a result, will not be subject to
prosecutions, fines or other sanctions for antitrust or competition law
violations in those jurisdictions, subject to UBS AG’s continuing cooperation.
In 2015, UBS AG
settled charges with the SEC relating to structured notes issued by UBS AG that
were linked to the UBS V10 Currency Index with Volatility Cap.
Investigations
relating to foreign exchange and precious metals matters by numerous
authorities, including the CFTC, remain ongoing notwithstanding these
resolutions.
Foreign exchange-related civil litigation:
Putative class actions have been filed
since November 2013 in US federal courts and in other jurisdictions against UBS
and other banks on behalf of putative classes of persons who engaged in foreign
currency transactions with any of the defendant banks. They allege collusion by
the defendants and assert claims under the antitrust laws and for unjust
enrichment. In 2015, additional putative class actions were filed in federal
court in New York against UBS and other banks on behalf of a putative class of
persons who entered into or held any foreign exchange futures contracts and
options on foreign exchange futures contracts since 1 January 2003. The
complaints assert claims under the Commodity Exchange Act (CEA) and the US antitrust
laws. In 2015, a consolidated complaint was filed on behalf of both putative
classes of persons covered by the US federal court class actions described
above. UBS has entered into a settlement agreement that would resolve all of
these US federal court class actions. The agreement, which has been
preliminarily approved by the court and is subject to final court approval,
requires, among other things, that UBS pay an aggregate of USD 141 million and
provide cooperation to the settlement classes.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
15
Provisions and
contingent liabilities
(continued)
A putative
class action has been filed in federal court in New York against UBS and other
banks on behalf of participants, beneficiaries, and named fiduciaries of plans
qualified under the Employee Retirement Income Security Act of 1974 (ERISA) for
whom a defendant bank provided foreign currency exchange transactional
services, exercised discretionary authority or discretionary control over
management of such ERISA plan, or authorized or permitted the execution of any
foreign currency exchange transactional services involving such plan’s assets.
The complaint asserts claims under ERISA.
In 2015, a
putative class action was filed in federal court against UBS and numerous other
banks on behalf of a putative class of persons and businesses in the US who
directly purchased foreign currency from the defendants and their
co-conspirators for their own end use. That action has been transferred to
federal court in New York.
In 2015, UBS
was added to putative class actions pending against other banks in federal
court in New York and other jurisdictions on behalf of putative classes of
persons who bought or sold physical precious metals and various precious metal
products and derivatives. The complaints in these lawsuits assert claims under
the antitrust laws and the CEA, and other claims.
LIBOR and other benchmark-related regulatory matters:
Numerous government agencies,
including the SEC, the CFTC, the DOJ, the FCA, the SFO, the Monetary Authority
of Singapore (MAS), the HKMA, FINMA, the various state attorneys general in the
US, and competition authorities in various jurisdictions have conducted or are
continuing to conduct investigations regarding submissions with respect to
LIBOR and other benchmark rates. These investigations focus on whether there
were improper attempts by UBS, among others, either acting on our own or
together with others, to manipulate LIBOR and other benchmark rates at certain
times.
In 2012, UBS
reached settlements with the FSA, the CFTC and the Criminal Division of the DOJ
in connection with their investigations of benchmark interest rates. At the
same time, FINMA issued an order concluding its formal proceedings with respect
to UBS relating to benchmark interest rates. UBS has paid a total of
approximately CHF 1.4 billion in fines and disgorgement – including GBP 160
million in fines to the FSA, USD 700 million in fines to the CFTC, USD 500
million in fines to the DOJ, and CHF 59 million in disgorgement to FINMA. UBS
Securities Japan Co. Ltd. (UBSSJ) entered into a plea agreement with the DOJ
under which it entered a plea to one count of wire fraud relating to the manipulation
of certain benchmark interest rates, including Yen LIBOR. UBS entered into an
NPA with the DOJ, which (along with the plea agreement) covered conduct beyond
the scope of the conditional leniency / immunity grants described below,
required UBS to pay the USD 500 million fine to the DOJ after the sentencing of
UBSSJ, and provided that any criminal penalties imposed on UBSSJ at sentencing
be deducted from the USD 500 million fine. Under the NPA, we agreed, among
other things, that for two years from 18 December 2012 UBS would not commit any
US crime, and we would advise DOJ of any potentially criminal conduct by UBS or
any of its employees relating to violations of US laws concerning fraud or
securities and commodities markets. The term of the NPA was extended by one
year to 18 December 2015. In 2015, the Criminal Division terminated the NPA
based on its determination, in its sole discretion, that certain UBS AG
employees committed criminal conduct that violated the NPA. As a result, UBS
entered into a plea agreement with the DOJ under which it entered a guilty plea
to one count of wire fraud relating to the manipulation of certain benchmark
interest rates, including Yen LIBOR, and agreed to pay a fine of USD 203
million and accept a three-year term of probation. Sentencing is currently
scheduled for 29 November 2016.
In 2014, UBS
reached a settlement with the European Commission (EC) regarding its
investigation of bid-ask spreads in connection with Swiss franc interest rate
derivatives and paid a EUR 12.7 million fine, which was reduced to this level
based in part on UBS’s cooperation with the EC. The MAS, HKMA and the Japan
Financial Services Agency have also resolved investigations of UBS (and in some
cases, other banks). We have ongoing obligations to cooperate with the
authorities with whom we have reached resolutions and to undertake certain
remediation with respect to benchmark interest rate submissions.
Investigations
by the CFTC, ASIC and other governmental authorities remain ongoing
notwithstanding these resolutions.
UBS has been
granted conditional leniency or conditional immunity from authorities in
certain jurisdictions, including the Antitrust Division of the DOJ, WEKO and
the EC, in connection with potential antitrust or competition law violations
related to submissions for Yen LIBOR and Euroyen TIBOR. WEKO has also granted
UBS conditional immunity in connection with potential competition law
violations related to submissions for CHF LIBOR and certain transactions
related to CHF LIBOR. As a result of these conditional grants, we will not be
subject to prosecutions, fines or other sanctions for antitrust or competition
law violations in the jurisdictions where we have conditional immunity or
leniency in connection with the matters covered by the conditional grants,
subject to our continuing cooperation. However, the conditional leniency and
conditional immunity grants we have received do not bar government agencies
from asserting other claims and imposing sanctions against us, as evidenced by
the settlements and ongoing investigations referred to above. In addition, as a
result of the conditional leniency agreement with the DOJ, we are eligible for
a limit on liability to actual rather than treble damages were damages to be
awarded in any civil antitrust action under US law based on conduct covered by
the agreement and for relief from potential joint and several liability in
connection with such civil antitrust action, subject to our satisfying the DOJ
and the court presiding over the civil litigation of our cooperation. The
conditional leniency and conditional immunity grants do not otherwise affect
the ability of private parties to assert civil claims against us.
Note
15
Provisions and
contingent liabilities
(continued)
LIBOR and other
benchmark-related civil litigation:
A number of
putative class actions and other actions are pending in, or expected to be
transferred to, the federal courts in New York against UBS and numerous other
banks on behalf of parties who transacted in certain interest rate
benchmark-based derivatives. Also pending are actions asserting losses related
to various products whose interest rates were linked to USD LIBOR, including
adjustable rate mortgages, preferred and debt securities, bonds pledged as
collateral, loans, depository accounts, investments and other interest-bearing
instruments. All of the complaints allege manipulation, through various means,
of various benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen
LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR or USD ISDAFIX rates, and seek unspecified
compensatory and other damages under varying legal theories. In 2013, the
district court in the USD action dismissed the federal antitrust and
racketeering claims of certain USD LIBOR plaintiffs and a portion of their
claims brought under the CEA and state common law. Certain plaintiffs appealed
the decision to the Second Circuit, which, in May 2016, vacated the district court's
ruling finding no antitrust injury and remanded the case back to the district
court for a further determination on whether plaintiffs have antitrust
standing. In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed
certain of the plaintiff's claims, including federal antitrust claims. In 2015,
the same court dismissed plaintiff's federal racketeering claims and affirmed
its previous dismissal of plaintiff's antitrust claims. UBS and other
defendants in other lawsuits including those related to EURIBOR, CHF LIBOR and
GBP LIBOR have filed motions to dismiss.
Since September 2014, putative class actions
have been filed in federal court in New York and New Jersey against UBS and
other financial institutions, among others, on behalf of parties who entered
into interest rate derivative transactions linked to ISDAFIX. The complaints,
which have since been consolidated into an amended complaint, allege that the
defendants conspired to manipulate ISDAFIX rates from 1 January 2006 through
January 2014, in violation of US antitrust laws and certain state laws, and
seek unspecified compensatory damages, including treble damages. In March 2016,
the court in the ISDAFIX action denied in substantial part defendants’ motion
to dismiss, holding that plaintiffs have stated Sherman Act,
breach-of-contract, and unjust-enrichment claims against defendants, including
UBS AG.
Government bonds:
Putative class actions have been filed in US federal courts against
UBS and other banks on behalf of persons who participated in markets for US
Treasury securities since 2007. The complaints generally allege that the banks
colluded with respect to, and manipulated prices of, US Treasury securities
sold at auction. They assert claims under the antitrust laws and the CEA and
for unjust enrichment. The cases have been consolidated in the SDNY. Following
filing of these complaints, UBS and reportedly other banks are responding to
investigations and requests for information from various authorities regarding
US Treasury securities and other government bond trading practices. As a result
of its review to date, UBS has taken appropriate action.
With respect to additional matters and
jurisdictions not encompassed by the settlements and order referred to above,
our balance sheet at 30 June 2016 reflected a provision in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with
certainty based on currently available information, and accordingly may
ultimately prove to be substantially greater (or may be less) than the
provision that we have recognized.
6. Swiss
retrocessions
The Federal Supreme Court of
Switzerland ruled in 2012, in a test case against UBS, that distribution fees
paid to a firm for distributing third-party and intra-group investment funds
and structured products must be disclosed and surrendered to clients who have
entered into a discretionary mandate agreement with the firm, absent a valid
waiver.
FINMA has issued a supervisory note to all
Swiss banks in response to the Supreme Court decision. The note sets forth the
measures Swiss banks are to adopt, which include informing all affected clients
about the Supreme Court decision and directing them to an internal bank contact
for further details. UBS has met the FINMA requirements and has notified all
potentially affected clients.
The Supreme Court decision has resulted, and
may continue to result, in a number of client requests for UBS to disclose and
potentially surrender retrocessions. Client requests are assessed on a
case-by-case basis. Considerations taken into account when assessing these
cases include, among others, the existence of a discretionary mandate and
whether or not the client documentation contained a valid waiver with respect
to distribution fees.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
15
Provisions and
contingent liabilities
(continued)
Our balance sheet at 30 June 2016 reflected a
provision with respect to matters described in this item 6 in an amount that
UBS believes to be appropriate under the applicable accounting standard. The
ultimate exposure will depend on client requests and the resolution thereof,
factors that are difficult to predict and assess. Hence, as in the case of
other matters for which we have established provisions, the future outflow of
resources in respect of such matters cannot be determined with certainty based
on currently available information, and accordingly may ultimately prove to be
substantially greater (or may be less) than the provision that we have
recognized.
7. Banco UBS Pactual tax indemnity
Pursuant to the 2009 sale of Banco
UBS Pactual S.A. (Pactual) by UBS to BTG Investments, LP (BTG), BTG has
submitted contractual indemnification claims that UBS estimates amount to
approximately BRL 2.5 billion, including interest and penalties, which is net
of liabilities retained by BTG. The claims pertain principally to several tax
assessments issued by the Brazilian tax authorities against Pactual relating to
the period from December 2006 through March 2009, when UBS owned Pactual. These
assessments are being challenged in administrative and judicial proceedings.
The majority of these assessments relate to the deductibility of goodwill
amortization in connection with UBS’s 2006 acquisition of Pactual and payments
made to Pactual employees through various profit-sharing plans. In 2015, an
intermediate administrative court issued a decision that was largely in favor
of the tax authority with respect to the goodwill amortization assessment. In
May 2016, the highest level of the administrative court agreed to review this
decision on a number of the significant issues.
Note
16
Guarantees, commitments and forward starting
transactions
The table below shows the maximum
irrevocable amount of guarantees, commitments and forward starting
transactions.
|
|
|
30.6.16
|
|
31.3.16
|
|
31.12.15
|
|
CHF million
|
|
Gross
|
Sub -participations
|
Net
|
|
Gross
|
Sub-participations
|
Net
|
|
Gross
|
Sub-participations
|
Net
|
|
Guarantees
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit guarantees and similar instruments
|
|
6,393
|
(448)
|
5,945
|
|
6,525
|
(439)
|
6,086
|
|
6,708
|
(315)
|
6,393
|
|
Performance guarantees and similar instruments
|
|
3,111
|
(763)
|
2,347
|
|
3,029
|
(643)
|
2,386
|
|
3,035
|
(699)
|
2,336
|
|
Documentary credits
|
|
6,376
|
(1,626)
|
4,750
|
|
6,073
|
(1,602)
|
4,471
|
|
6,276
|
(1,707)
|
4,569
|
|
Total guarantees
|
|
15,880
|
(2,837)
|
13,043
|
|
15,627
|
(2,684)
|
12,942
|
|
16,019
|
(2,721)
|
13,298
|
|
Loan commitments
|
|
49,582
|
(1,454)
|
48,128
|
|
51,918
|
(1,480)
|
50,438
|
|
56,072
|
(1,559)
|
54,513
|
|
Forward starting
transactions¹
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreements
|
|
14,373
|
|
|
|
18,695
|
|
|
|
6,577
|
|
|
|
Securities borrowing agreements
|
|
88
|
|
|
|
43
|
|
|
|
6
|
|
|
|
Repurchase agreements
|
|
11,188
|
|
|
|
13,098
|
|
|
|
6,323
|
|
|
|
1 Cash to be paid in the future by either UBS or the
counterparty.
|
Note
17
Changes in organization and disposals
Restructuring
expenses
Restructuring expenses arise from
programs that materially change either the scope of business undertaken by UBS
AG or the manner in which such business is conducted. Restructuring expenses
are temporary costs that are necessary to effect such programs and include
items such as severance and other personnel-related expenses, duplicate
headcount costs, impairment and accelerated depreciation of assets, contract
termination costs, consulting fees, and related infrastructure and system
costs. These costs are presented in the income statement according to the
underlying nature of the expense. As the costs associated with restructuring
programs are temporary in nature, and in order to provide a more thorough
understanding of business performance, such costs are separately presented
below.
|
Net restructuring expenses by
business division and Corporate Center unit
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
Wealth Management
|
|
86
|
79
|
69
|
|
165
|
115
|
|
Wealth Management Americas
|
|
38
|
33
|
24
|
|
71
|
48
|
|
Personal & Corporate Banking
|
|
31
|
23
|
17
|
|
55
|
33
|
|
Asset Management
|
|
34
|
20
|
4
|
|
54
|
22
|
|
Investment Bank
|
|
163
|
117
|
66
|
|
280
|
136
|
|
Corporate Center
|
|
22
|
(8)
|
12
|
|
15
|
143
|
|
of which: Services
|
|
18
|
(9)
|
0
|
|
8
|
118
|
|
of which: Non-core and
Legacy Portfolio
|
|
5
|
2
|
13
|
|
6
|
24
|
|
Total net restructuring
expenses
|
|
373
|
263
|
191
|
|
636
|
496
|
|
of which: personnel expenses
|
|
187
|
126
|
110
|
|
313
|
178
|
|
of which: general and
administrative expenses
|
|
187
|
136
|
80
|
|
323
|
306
|
|
of which: depreciation and
impairment of property, equipment and software
|
|
0
|
1
|
1
|
|
0
|
11
|
|
of which: amortization and
impairment of intangible assets
|
|
0
|
0
|
0
|
|
0
|
0
|
|
Net restructuring expenses by
personnel expense category
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
Salaries and variable compensation
|
|
197
|
114
|
129
|
|
311
|
197
|
|
Contractors
|
|
16
|
11
|
9
|
|
28
|
14
|
|
Social security
|
|
1
|
2
|
1
|
|
3
|
2
|
|
Pension and other post-employment benefit plans
|
|
(30)
|
(4)
|
(33)
|
|
(34)
|
(41)
|
|
Other personnel expenses
|
|
2
|
4
|
4
|
|
6
|
5
|
|
Total net restructuring
expenses: personnel expenses
|
|
187
|
126
|
110
|
|
313
|
178
|
|
Net restructuring expenses by
general and administrative expense category
|
|
|
|
|
|
|
|
|
|
|
For the quarter ended
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
Occupancy
|
|
41
|
29
|
9
|
|
70
|
19
|
|
Rent and maintenance of IT and other equipment
|
|
34
|
10
|
(6)
|
|
44
|
24
|
|
Administration
|
|
6
|
3
|
1
|
|
10
|
4
|
|
Travel and entertainment
|
|
4
|
2
|
4
|
|
6
|
6
|
|
Professional fees
|
|
36
|
34
|
42
|
|
70
|
73
|
|
Outsourcing of IT and other services
|
|
74
|
74
|
47
|
|
148
|
70
|
|
Other¹
|
|
(8)
|
(17)
|
(16)
|
|
(25)
|
110
|
|
Total net restructuring
expenses: general and administrative expenses
|
|
187
|
136
|
80
|
|
323
|
306
|
|
1 Mainly comprised of onerous real estate lease contracts.
|
|
|
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
17
Changes in organization and disposals
(continued)
Disposal group
held for sale
In the second quarter of 2016, UBS AG
agreed to sell a life insurance subsidiary within Wealth Management, which
resulted in the recognition of a loss of CHF 23 million. This sale is expected
to close in the second half of 2016 subject to customary closing conditions. As
of 30 June 2016, the assets and liabilities of this business are presented as a
disposal group held for sale within
Other assets
and
Other liabilities
and amounted to CHF 5,380 million and CHF
5,334 million, respectively.
Note
18
Currency translation rates
The following table shows the rates
of the main currencies used to translate the financial information of UBS AG’s
foreign operations into Swiss francs.
|
|
|
Spot rate
|
|
Average rate¹
|
|
|
|
As of
|
|
For the quarter ended
|
|
Year-to-date
|
|
|
|
30.6.16
|
31.3.16
|
31.12.15
|
30.6.15
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
30.6.16
|
30.6.15
|
|
1 USD
|
|
0.98
|
0.96
|
1.00
|
0.94
|
|
0.98
|
0.99
|
0.94
|
|
0.99
|
0.94
|
|
1 EUR
|
|
1.08
|
1.09
|
1.09
|
1.04
|
|
1.10
|
1.10
|
1.04
|
|
1.10
|
1.04
|
|
1 GBP
|
|
1.30
|
1.38
|
1.48
|
1.47
|
|
1.37
|
1.42
|
1.45
|
|
1.39
|
1.44
|
|
100 JPY
|
|
0.95
|
0.85
|
0.83
|
0.76
|
|
0.92
|
0.86
|
0.77
|
|
0.89
|
0.78
|
|
1 Monthly income statement items of foreign operations with a
functional currency other than Swiss franc are translated with month-end
rates into Swiss francs. Disclosed average rates for a quarter represent an
average of three month-end rates, weighted according to the income and
expense volumes of all foreign operations with the same functional currency
for each month. Weighted average rates for individual business divisions may
deviate from the weighted average rates for UBS AG.
|
Note
19
Supplemental
guarantor information required under SEC regulations
Guarantee of
PaineWebber securities
Prior to its acquisition by UBS in
2000, Paine Webber Group Inc. (PaineWebber) was an SEC registrant. Upon
acquisition, PaineWebber was merged into UBS Americas Inc., a wholly owned
indirect subsidiary of UBS AG. Following the acquisition, UBS AG entered into a
full and unconditional guarantee of the senior notes (Debt Securities) issued
by PaineWebber. Under the guarantee, if UBS Americas Inc. fails to make any
timely payment under the Debt Securities agreements, the holders of the Debt
Securities or the Debt Securities trustee may demand payment from UBS AG
without first proceeding against UBS Americas Inc.
As of 30 June 2016, the amount of outstanding
senior notes of UBS Americas Inc. was approximately CHF 136 million. These
senior notes mature in 2017 and 2018.
Guarantee of other securities
Certain US-domiciled entities that
are 100% legally owned by UBS AG had, through the second quarter of 2016,
outstanding trust preferred securities, which were registered under the US
Securities Act. These entities, UBS Preferred Funding Trust IV and UBS Preferred
Funding Trust V, were not consolidated by UBS AG as UBS AG did not absorb any
variability from the performance of these entities. However, UBS AG had fully
and unconditionally guaranteed these securities. The non-consolidated issuing
US-domiciled entities are presented in a separate column in the supplemental
guarantor information provided in the following tables. Amounts presented in
this column are eliminated in the Elimination entries column, as these entities
are not consolidated.
In the second quarter of 2016, the securities
issued by these entities were called, and as of 30 June 2016 these entities had
no balances outstanding.
Joint liability of UBS Switzerland AG
In June 2015, the Personal &
Corporate and Wealth Management businesses booked in Switzerland were
transferred from UBS AG to UBS Switzerland AG through an asset transfer in
accordance with the Swiss Merger Act. Under the terms of the asset transfer
agreement, UBS Switzerland AG assumed joint liability for contractual
obligations of UBS AG existing on the asset transfer date, including the
existing guarantee of abovementioned PaineWebber and other securities. To
reflect this joint liability, UBS Switzerland AG is presented in a separate
column as a subsidiary co-guarantor since the asset transfer.
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated income statement
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
UBS Preferred Funding Trust IV & V
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2016
|
|
Operating income
|
|
|
|
|
|
|
|
|
Interest income
|
4,175
|
2,069
|
1,102
|
25
|
528
|
(946)
|
6,953
|
|
Interest expense
|
(3,705)
|
(328)
|
(515)
|
|
(453)
|
913
|
(4,088)
|
|
Net interest income
|
471
|
1,741
|
587
|
25
|
75
|
(33)
|
2,866
|
|
Credit loss (expense) / recovery
|
(6)
|
4
|
(4)
|
|
(3)
|
0
|
(9)
|
|
Net interest income after credit loss expense
|
464
|
1,745
|
583
|
25
|
72
|
(33)
|
2,857
|
|
Net fee and commission income
|
768
|
1,659
|
3,758
|
|
2,040
|
(17)
|
8,208
|
|
Net trading income
|
2,533
|
337
|
187
|
|
126
|
(281)
|
2,902
|
|
Other income
|
814
|
471
|
304
|
|
(711)
|
(590)
|
288
|
|
Total operating income
|
4,580
|
4,212
|
4,832
|
25
|
1,527
|
(922)
|
14,254
|
|
Operating expenses
|
|
|
|
|
|
|
|
|
Personnel expenses
|
2,910
|
1,036
|
3,127
|
|
778
|
0
|
7,852
|
|
General and administrative expenses
|
(206)
|
1,681
|
1,333
|
|
631
|
(1)
|
3,438
|
|
Depreciation and impairment of property, equipment and software
|
348
|
6
|
86
|
|
42
|
0
|
481
|
|
Amortization and impairment of intangible assets
|
11
|
0
|
32
|
|
4
|
0
|
47
|
|
Total operating expenses
|
3,063
|
2,723
|
4,578
|
|
1,455
|
(1)
|
11,818
|
|
Operating profit / (loss)
before tax
|
1,517
|
1,489
|
254
|
25
|
72
|
(921)
|
2,436
|
|
Tax expense / (benefit)
|
116
|
315
|
20
|
|
187
|
(4)
|
634
|
|
Net profit / (loss)
|
1,401
|
1,174
|
234
|
25
|
(116)
|
(916)
|
1,802
|
|
Net profit / (loss) attributable to preferred noteholders
|
78
|
0
|
0
|
31
|
0
|
(31)
|
78
|
|
Net profit / (loss) attributable to non-controlling interests
|
0
|
0
|
0
|
|
1
|
0
|
1
|
|
Net profit / (loss)
attributable to shareholders
|
1,323
|
1,174
|
234
|
(6)
|
(117)
|
(886)
|
1,723
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG consolidated financial statements in accordance with IFRS.
|
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated statement of comprehensive income
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
UBS Preferred Funding Trust IV & V
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2016
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income
attributable to shareholders
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
1,323
|
1,174
|
234
|
(6)
|
(117)
|
(886)
|
1,723
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
Other comprehensive income
that may be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Foreign currency translation, net of tax
|
141
|
0
|
(380)
|
|
(597)
|
345
|
(491)
|
|
Financial assets available for sale, net of tax
|
(109)
|
(21)
|
66
|
|
(21)
|
178
|
93
|
|
Cash flow hedges, net of tax
|
342
|
333
|
0
|
|
0
|
18
|
694
|
|
Total other comprehensive
income that may be reclassified to the income statement, net of tax
|
374
|
312
|
(314)
|
0
|
(618)
|
542
|
296
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that will not be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Defined benefit plans, net of tax
|
(227)
|
10
|
(99)
|
|
(55)
|
(10)
|
(381)
|
|
Own credit on financial liabilities designated at fair value,
net of tax
|
(105)
|
|
|
|
|
|
(105)
|
|
Total other comprehensive
income that will not be reclassified to the income statement, net of tax
|
(332)
|
10
|
(99)
|
0
|
(55)
|
(10)
|
(486)
|
|
|
|
|
|
|
|
|
|
|
Total other comprehensive
income
|
42
|
322
|
(413)
|
0
|
(673)
|
531
|
(190)
|
|
|
|
|
|
|
|
|
|
|
Total comprehensive income
attributable to shareholders
|
1,366
|
1,496
|
(179)
|
(6)
|
(790)
|
(355)
|
1,533
|
|
|
|
|
|
|
|
|
|
|
Total comprehensive income attributable to preferred noteholders
|
357
|
0
|
0
|
313
|
0
|
(313)
|
357
|
|
Total comprehensive income attributable to non-controlling
interests
|
0
|
0
|
0
|
|
1
|
0
|
1
|
|
Total comprehensive income
|
1,722
|
1,496
|
(179)
|
307
|
(789)
|
(668)
|
1,890
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG consolidated financial statements in accordance with IFRS.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor consolidated
balance sheet
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
As of 30 June 2016
|
|
Assets
|
|
|
|
|
|
|
|
Cash and balances with central banks
|
34,215
|
46,418
|
4,093
|
9,519
|
0
|
94,246
|
|
Due from banks
|
38,672
|
4,118
|
9,312
|
27,631
|
(66,862)
|
12,870
|
|
Loans
|
92,061
|
185,182
|
47,059
|
33,132
|
(49,574)
|
307,860
|
|
Cash collateral on securities borrowed
|
37,928
|
5,656
|
45,324
|
7,704
|
(67,244)
|
29,367
|
|
Reverse repurchase agreements
|
59,749
|
25,595
|
31,764
|
9,457
|
(53,274)
|
73,289
|
|
Trading portfolio assets
|
75,074
|
1,871
|
7,290
|
23,788
|
(6,660)
|
101,364
|
|
of which: assets pledged as
collateral which may be sold or repledged by counterparties
|
41,298
|
0
|
3,455
|
2,604
|
(16,578)
|
30,778
|
|
Positive replacement values
|
196,228
|
7,858
|
11,649
|
34,792
|
(52,087)
|
198,441
|
|
Cash collateral receivables on derivative instruments
|
26,069
|
1,443
|
3,022
|
12,250
|
(12,829)
|
29,955
|
|
Financial assets designated at fair value
|
41,500
|
13,662
|
5,263
|
6,812
|
(3,315)
|
63,922
|
|
Financial assets available for sale
|
10,372
|
4,484
|
5,821
|
1,870
|
(4,336)
|
18,211
|
|
Financial assets held to maturity
|
0
|
4,798
|
0
|
0
|
0
|
4,798
|
|
Investments in subsidiares and associates
|
48,108
|
14
|
1
|
1
|
(47,174)
|
950
|
|
Property, equipment and software
|
6,720
|
21
|
991
|
209
|
0
|
7,941
|
|
Goodwill and intangible assets
|
311
|
0
|
4,955
|
1,168
|
(32)
|
6,402
|
|
Deferred tax assets
|
2,184
|
642
|
7,535
|
1,826
|
(38)
|
12,150
|
|
Other assets
|
13,279
|
1,855
|
9,446
|
7,630
|
(3,842)
|
28,368
|
|
Total assets
|
682,469
|
303,618
|
193,524
|
177,789
|
(367,266)
|
990,135
|
|
Liabilities
|
|
|
|
|
|
|
|
Due to banks
|
31,279
|
17,418
|
20,947
|
21,818
|
(76,203)
|
15,259
|
|
Due to customers
|
114,700
|
242,362
|
72,679
|
45,256
|
(45,442)
|
429,555
|
|
Cash collateral on securities lent
|
33,811
|
2,900
|
34,061
|
2,772
|
(67,244)
|
6,301
|
|
Repurchase agreements
|
30,430
|
9,216
|
10,404
|
11,268
|
(53,274)
|
8,043
|
|
Trading portfolio liabilities
|
21,276
|
243
|
4,706
|
9,674
|
(6,285)
|
29,614
|
|
Negative replacement values
|
192,223
|
7,506
|
11,397
|
36,967
|
(52,087)
|
196,006
|
|
Cash collateral payables on derivative instruments
|
31,901
|
388
|
3,324
|
13,568
|
(12,829)
|
36,352
|
|
Financial liabilities designated at fair value
|
59,107
|
0
|
13
|
4,072
|
(3,528)
|
59,664
|
|
Debt issued
|
76,242
|
8,144
|
1,605
|
(634)
|
574
|
85,931
|
|
Provisions
|
1,507
|
178
|
1,643
|
303
|
21
|
3,653
|
|
Other liabilities
|
32,990
|
2,770
|
15,973
|
17,865
|
(3,879)
|
65,719
|
|
Total liabilities
|
625,465
|
291,126
|
176,751
|
162,930
|
(320,176)
|
936,096
|
|
Equity attributable to
shareholders
|
56,355
|
12,492
|
16,773
|
14,822
|
(47,090)
|
53,353
|
|
Equity attributable to preferred noteholders
|
649
|
0
|
0
|
0
|
0
|
649
|
|
Equity attributable to non-controlling interests
|
0
|
0
|
0
|
37
|
0
|
37
|
|
Total equity
|
57,005
|
12,492
|
16,773
|
14,859
|
(47,090)
|
54,039
|
|
Total liabilities and equity
|
682,469
|
303,618
|
193,524
|
177,789
|
(367,266)
|
990,135
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG consolidated financial statements in accordance with IFRS.
|
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated statement of cash flows
|
|
CHF million
|
UBS AG¹
|
UBS Switzerland AG¹
|
UBS Americas Inc.¹
|
Other subsidiaries¹
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2016
|
|
Net cash flow from / (used
in) operating activities
|
(38,125)
|
(5,369)
|
2,215
|
1,743
|
(39,536)
|
|
Cash flow from / (used in)
investing activities
|
|
|
|
|
|
|
Purchase of subsidiaries, associates and intangible assets
|
0
|
0
|
0
|
(23)
|
(23)
|
|
Disposal of subsidiaries, associates and intangible assets²
|
71
|
0
|
0
|
0
|
72
|
|
Purchase of property, equipment and software
|
(742)
|
(11)
|
(145)
|
(35)
|
(934)
|
|
Disposal of property, equipment and software
|
173
|
0
|
3
|
17
|
193
|
|
Purchase of financial assets available for sale
|
(4,059)
|
(522)
|
(1,200)
|
(1,582)
|
(7,363)
|
|
Disposal and redemption of financial assets available for sale
|
25,740
|
19,134
|
715
|
5,523
|
51,112
|
|
Net (purchase) / redemption of financial assets held to maturity
|
0
|
(4,878)
|
0
|
0
|
(4,878)
|
|
Net cash flow from / (used
in) investing activities
|
21,183
|
13,722
|
(627)
|
3,899
|
38,177
|
|
Cash flow from / (used in)
financing activities
|
|
|
|
|
|
|
Net short-term debt issued / (repaid)
|
11,124
|
(9)
|
(1,319)
|
0
|
9,797
|
|
Distributions paid on UBS shares
|
(3,434)
|
0
|
0
|
0
|
(3,434)
|
|
Issuance of long-term debt, including financial liabilities
designated at fair value
|
17,906
|
233
|
0
|
718
|
18,857
|
|
Repayment of long-term debt, including financial liabilities
designated at fair value
|
(15,796)
|
(354)
|
(7)
|
(1,208)
|
(17,365)
|
|
Dividends paid and repayments of preferred notes
|
(1,366)
|
0
|
0
|
0
|
(1,366)
|
|
Net changes of non-controlling interests
|
0
|
0
|
0
|
(5)
|
(5)
|
|
Net activity in investments in subsidiaries
|
(1,655)
|
0
|
0
|
1,655
|
0
|
|
Net cash flow from / (used
in) financing activities
|
6,779
|
(129)
|
(1,326)
|
1,160
|
6,484
|
|
Effects of exchange rate differences on cash and cash
equivalents
|
(726)
|
(53)
|
(351)
|
(163)
|
(1,293)
|
|
Net increase / (decrease) in
cash and cash equivalents
|
(10,888)
|
8,170
|
(89)
|
6,640
|
3,832
|
|
Cash and cash equivalents at the beginning of the period
|
47,902
|
40,246
|
7,084
|
7,731
|
102,962
|
|
Cash and cash equivalents at
the end of the period
|
37,014
|
48,416
|
6,995
|
14,370
|
106,795
|
|
Cash and cash equivalents
comprise:
|
|
|
|
|
|
|
Cash and balances with central banks
|
34,150
|
46,418
|
4,093
|
9,519
|
94,181
|
|
Due from banks
|
2,291
|
1,795
|
2,793
|
4,734
|
11,613
|
|
Money market paper³
|
572
|
203
|
108
|
117
|
1,001
|
|
Total
|
37,014
|
48,416
|
6,995
|
14,370
|
106,795⁴
|
|
1 Cash flows generally represent a third-party view from a UBS
AG (consolidated) perspective. As a consequence, the non-consolidated UBS
Preferred Funding Trusts IV and V are not presented in this table. During the
six months ended 30 June 2016, these trusts redeemed all of the preferred
notes issued by them entailing cash outflows of CHF 1,317 million for principal
and dividend amounts paid to preferred note holders and equivalent cash
inflows from onward lending activities to UBS AG. 2 Includes dividends
received from associates. 3 Money market paper is included in the balance
sheet under Trading portfolio assets, Financial assets available for sale and
Financial assets designated at fair value. 4 Comprises balances with an
original maturity of three months or less. CHF 3,631 million of cash and cash
equivalents were restricted.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated income statement
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
UBS Preferred Funding Trust IV & V
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2015
|
|
Operating income
|
|
|
|
|
|
|
|
|
Interest income
|
5,056
|
1,121
|
824
|
31
|
745
|
(1,193)
|
6,583
|
|
Interest expense
|
(3,311)
|
(286)
|
(320)
|
|
(674)
|
1,137
|
(3,454)
|
|
Net interest income
|
1,745
|
835
|
504
|
31
|
71
|
(57)
|
3,129
|
|
Credit loss (expense) / recovery
|
(26)
|
(5)
|
4
|
|
3
|
(6)
|
(29)
|
|
Net interest income after credit loss expense
|
1,719
|
830
|
507
|
31
|
75
|
(62)
|
3,100
|
|
Net fee and commission income
|
2,094
|
873
|
3,721
|
|
2,193
|
(49)
|
8,832
|
|
Net trading income
|
4,064
|
233
|
142
|
|
152
|
(851)
|
3,741
|
|
Other income
|
(624)
|
208
|
378
|
|
(601)
|
1,612
|
972
|
|
Total operating income
|
7,253
|
2,144
|
4,747
|
31
|
1,819
|
650
|
16,644
|
|
Operating expenses
|
|
|
|
|
|
|
|
|
Personnel expenses
|
3,851
|
534
|
3,193
|
|
719
|
0
|
8,297
|
|
General and administrative expenses
|
491
|
769
|
1,435
|
|
774
|
0
|
3,470
|
|
Depreciation and impairment of property, equipment and software
|
313
|
4
|
75
|
|
38
|
0
|
429
|
|
Amortization and impairment of intangible assets
|
11
|
0
|
41
|
|
6
|
0
|
58
|
|
Total operating expenses
|
4,666
|
1,307
|
4,743
|
|
1,537
|
0
|
12,254
|
|
Operating profit / (loss)
before tax
|
2,587
|
837
|
4
|
31
|
282
|
650
|
4,391
|
|
Tax expense / (benefit)
|
690
|
207
|
(1)
|
|
213
|
3
|
1,112
|
|
Net profit / (loss)
|
1,897
|
630
|
5
|
31
|
68
|
647
|
3,278
|
|
Net profit / (loss) attributable to preferred noteholders
|
76
|
0
|
0
|
31
|
0
|
(31)
|
76
|
|
Net profit / (loss) attributable to non-controlling interests
|
0
|
0
|
0
|
|
1
|
0
|
1
|
|
Net profit / (loss)
attributable to shareholders
|
1,821
|
630
|
5
|
0
|
67
|
678
|
3,201
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG (consolidated) financial statements in accordance with IFRS.
|
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated statement of comprehensive income
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
UBS Preferred Funding Trust IV & V
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2015
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income
attributable to shareholders
|
|
|
|
|
|
|
|
|
Net profit / (loss)
|
1,821
|
630
|
5
|
0
|
67
|
678
|
3,201
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
Other comprehensive income
that may be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Foreign currency translation, net of tax
|
(225)
|
0
|
(90)
|
|
(595)
|
(666)
|
(1,577)
|
|
Financial assets available for sale, net of tax
|
(60)
|
3
|
(8)
|
|
(5)
|
2
|
(67)
|
|
Cash flow hedges, net of tax
|
(402)
|
(156)
|
0
|
|
0
|
29
|
(530)
|
|
Total other comprehensive
income that may be reclassified to the income statement, net of tax
|
(687)
|
(153)
|
(98)
|
0
|
(600)
|
(635)
|
(2,173)
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income
that will not be reclassified to the income statement
|
|
|
|
|
|
|
|
|
Defined benefit plans, net of tax
|
476
|
(348)
|
8
|
|
20
|
(18)
|
138
|
|
Total other comprehensive
income that will not be reclassified to the income statement, net of tax
|
476
|
(348)
|
8
|
0
|
20
|
(18)
|
138
|
|
|
|
|
|
|
|
|
|
|
Total other comprehensive
income
|
(211)
|
(501)
|
(89)
|
0
|
(580)
|
(654)
|
(2,035)
|
|
Total comprehensive income
attributable to shareholders
|
1,610
|
129
|
(84)
|
0
|
(513)
|
24
|
1,166
|
|
|
|
|
|
|
|
|
|
|
Total comprehensive income attributable to preferred noteholders
|
(98)
|
0
|
0
|
(47)
|
0
|
47
|
(98)
|
|
Total comprehensive income attributable to non-controlling
interests
|
0
|
0
|
0
|
|
(2)
|
0
|
(2)
|
|
Total comprehensive income
|
1,513
|
129
|
(84)
|
(47)
|
(515)
|
71
|
1,066
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG (consolidated) financial statements in accordance with IFRS.
|
Notes to the UBS AG interim consolidated financial statements (unaudited)
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated balance sheet
|
|
CHF million
|
UBS AG (standalone)¹
|
UBS Switzerland AG (standalone)¹
|
UBS Americas Inc.²
|
UBS Preferred Funding Trust IV & V
|
Other subsidiaries²
|
Elimination entries
|
UBS AG (consolidated)
|
|
As of 31 December 2015
|
|
Assets
|
|
|
|
|
|
|
|
|
Cash and balances with central banks
|
45,125
|
38,701
|
4,971
|
|
2,509
|
0
|
91,306
|
|
Due from banks
|
29,225
|
3,224
|
12,776
|
|
27,510
|
(60,868)
|
11,866
|
|
Loans
|
89,052
|
186,872
|
47,054
|
|
14,554
|
(24,809)
|
312,723
|
|
Cash collateral on securities borrowed
|
27,925
|
7,414
|
38,007
|
|
6,506
|
(54,268)
|
25,584
|
|
Reverse repurchase agreements
|
61,253
|
16,258
|
21,039
|
|
14,586
|
(45,243)
|
67,893
|
|
Trading portfolio assets
|
94,132
|
1,736
|
5,931
|
1,310
|
30,132
|
(9,194)
|
124,047
|
|
of which: assets pledged as
collateral which may be sold or repledged by counterparties
|
53,708
|
0
|
3,038
|
|
2,264
|
(7,066)
|
51,943
|
|
Positive replacement values
|
175,943
|
6,033
|
21,463
|
|
28,921
|
(64,925)
|
167,435
|
|
Cash collateral receivables on derivative instruments
|
19,026
|
1,056
|
5,964
|
|
12,678
|
(14,962)
|
23,763
|
|
Financial assets designated at fair value
|
6,303
|
0
|
199
|
|
2,628
|
(3,322)
|
5,808
|
|
Financial assets available for sale
|
32,044
|
23,184
|
5,360
|
|
5,996
|
(4,042)
|
62,543
|
|
Investments in subsidiaries and associates
|
45,689
|
14
|
1
|
|
1
|
(44,751)
|
954
|
|
Property, equipment and software
|
6,499
|
15
|
972
|
|
197
|
0
|
7,683
|
|
Goodwill and intangible assets
|
347
|
0
|
5,112
|
|
1,139
|
(30)
|
6,568
|
|
Deferred tax assets
|
2,332
|
845
|
7,766
|
|
1,890
|
0
|
12,833
|
|
Other assets
|
12,108
|
1,255
|
10,041
|
|
3,111
|
(4,266)
|
22,249
|
|
Total assets
|
647,006
|
286,608
|
186,654
|
1,310
|
152,359
|
(330,680)
|
943,256
|
|
Liabilities
|
|
|
|
|
|
|
|
|
Due to banks
|
31,725
|
18,948
|
26,320
|
4
|
5,782
|
(70,944)
|
11,836
|
|
Due to customers
|
102,483
|
231,252
|
53,633
|
|
34,002
|
(18,848)
|
402,522
|
|
Cash collateral on securities lent
|
34,094
|
2,493
|
23,437
|
|
2,274
|
(54,268)
|
8,029
|
|
Repurchase agreements
|
20,658
|
6,505
|
11,490
|
|
16,244
|
(45,243)
|
9,653
|
|
Trading portfolio liabilities
|
21,193
|
128
|
3,919
|
|
11,317
|
(7,420)
|
29,137
|
|
Negative replacement values
|
170,718
|
5,655
|
21,109
|
|
29,877
|
(64,928)
|
162,430
|
|
Cash collateral payables on derivative instruments
|
31,399
|
374
|
6,438
|
|
15,033
|
(14,962)
|
38,282
|
|
Financial liabilities designated at fair value
|
61,630
|
0
|
288
|
|
4,675
|
(3,598)
|
62,995
|
|
Debt issued
|
70,792
|
8,274
|
3,126
|
|
321
|
(153)
|
82,359
|
|
Provisions
|
1,680
|
179
|
1,969
|
|
319
|
17
|
4,163
|
|
Other liabilities
|
40,255
|
1,806
|
16,683
|
1
|
20,179
|
(4,318)
|
74,606
|
|
Total liabilities
|
586,628
|
275,611
|
168,411
|
4
|
140,023
|
(284,664)
|
886,013
|
|
Equity attributable to
shareholders
|
58,423
|
10,997
|
18,243
|
4
|
12,296
|
(44,714)
|
55,248
|
|
Equity attributable to preferred noteholders
|
1,954
|
0
|
0
|
1,302
|
0
|
(1,302)
|
1,954
|
|
Equity attributable to non-controlling interests
|
0
|
0
|
0
|
0
|
41
|
0
|
41
|
|
Total equity
|
60,378
|
10,997
|
18,243
|
1,306
|
12,336
|
(46,016)
|
57,243
|
|
Total liabilities and equity
|
647,006
|
286,608
|
186,654
|
1,310
|
152,359
|
(330,680)
|
943,256
|
|
1 Amounts presented for UBS AG (standalone) and UBS Switzerland
AG (standalone) represent IFRS-standalone information. Refer to the "UBS
AG (standalone) financial and regulatory information" section of this
report for UBS AG standalone financial information prepared in accordance
with Swiss GAAP. Refer to the "Legal entity financial and regulatory
information" section of the UBS Group second quarter 2016 report for UBS
Switzerland AG standalone interim financial statements prepared in accordance
with Swiss GAAP. 2 Amounts presented in these columns serve as a basis for
preparing UBS AG consolidated financial statements in accordance with IFRS.
|
Note
19
Supplemental guarantor
information required under SEC regulations
(continued)
|
Supplemental guarantor
consolidated statement of cash flows
|
|
CHF million
|
UBS AG¹
|
UBS Switzerland AG¹
|
UBS Americas Inc.¹
|
Other subsidiaries¹
|
UBS AG (consolidated)
|
|
For the six months ended 30 June 2015
|
|
Net cash flow from / (used
in) operating activities
|
(6,610)
|
(1,556)
|
(4,625)
|
2,383
|
(10,408)
|
|
Cash flow from / (used in)
investing activities
|
|
|
|
|
|
|
Purchase of subsidiaries, associates and intangible assets
|
(37)
|
0
|
1
|
0
|
(38)
|
|
Disposal of subsidiaries, associates and intangible assets²
|
172
|
0
|
12
|
5
|
190
|
|
Purchase of property, equipment and software
|
(606)
|
0
|
(134)
|
(55)
|
(795)
|
|
Disposal of property, equipment and software
|
504
|
0
|
4
|
13
|
520
|
|
Net (investment in) / divestment of financial investments
available-for-sale
|
(17,562)
|
1,794
|
72
|
147
|
(15,549)
|
|
Net cash flow from / (used
in) investing activities
|
(17,529)
|
1,794
|
(48)
|
110
|
(15,673)
|
|
Cash flow from / (used in)
financing activities
|
|
|
|
|
|
|
Net short-term debt issued / (repaid)
|
4,438
|
0
|
881
|
33
|
5,353
|
|
Distributions paid on UBS shares
|
(1,632)
|
0
|
0
|
0
|
(1,632)
|
|
Issuance of long-term debt, including financial liabilities
designated at fair value
|
32,649
|
328
|
0
|
228
|
33,204
|
|
Repayment of long-term debt, including financial liabilities
designated at fair value
|
(23,982)
|
(46)
|
(18)
|
(998)
|
(25,044)
|
|
Dividends paid and repayments of preferred notes
|
(77)
|
0
|
0
|
0
|
(77)
|
|
Net changes of non-controlling interests
|
0
|
0
|
0
|
(5)
|
(5)
|
|
Net activity in investments in subsidiaries³
|
(33,111)
|
33,283
|
0
|
(172)
|
0
|
|
Net cash flow from / (used
in) financing activities
|
(21,715)
|
33,564
|
863
|
(914)
|
11,799
|
|
Effects of exchange rate differences on cash and cash
equivalents
|
(4,320)
|
(4)
|
(583)
|
(689)
|
(5,595)
|
|
Net increase / (decrease) in
cash and cash equivalents
|
(50,173)
|
33,798
|
(4,392)
|
891
|
(19,876)
|
|
Cash and cash equivalents at the beginning of the period
|
100,662
|
0
|
8,960
|
7,093
|
116,715
|
|
Cash and cash equivalents at
the end of the period
|
50,489
|
33,798
|
4,568
|
7,983
|
96,838
|
|
Cash and cash equivalents
comprise:
|
|
|
|
|
|
|
Cash and balances with central banks
|
47,542
|
31,195
|
1,947
|
3,961
|
84,646
|
|
Due from banks
|
2,577
|
2,601
|
2,526
|
4,016
|
11,720
|
|
Money market paper⁴
|
370
|
2
|
95
|
6
|
473
|
|
Total
|
50,489
|
33,798
|
4,568
|
7,983
|
96,838⁵
|
|
1 Cash flows generally represent a third-party view from a UBS
AG (consolidated) perspective. As a consequence, the non-consolidated UBS
Preferred Funding Trusts IV and V are not presented in this table. For the
six months ended 30 June 2015, these trusts had cash inflows of CHF 77
million from operating activities and an equivalent cash outflow for
dividends paid to preferred note holders. 2 Includes dividends received
from associates. 3 Includes transfer of cash and cash equivalents from UBS
AG to UBS Switzerland AG of CHF 33,283 million. Refer to “Changes in legal
structure” in the “Financial information” section of the UBS Group second
quarter 2015 report for more information on the business transfer from UBS AG
to UBS Switzerland AG. 4 Money market paper is included in the balance
sheet under Trading portfolio assets and Financial investments available for
sale. 5 CHF 3,404 million of cash and cash equivalents were restricted.
|
UBS AG (standalone) financial and regulatory information
Unaudited
UBS AG (standalone)
|
Income statement
|
|
|
|
|
|
|
For the quarter ended
|
|
% change from
|
|
Year-to-date
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
30.6.15
|
|
1Q16
|
2Q15
|
|
30.6.16
|
30.6.15¹
|
|
Interest and discount income
|
|
1,377
|
1,405
|
1,493
|
|
(2)
|
(8)
|
|
2,781
|
3,602
|
|
Interest and dividend income from trading portfolio
|
|
637
|
574
|
805
|
|
11
|
(21)
|
|
1,211
|
1,455
|
|
Interest and dividend income from financial investments
|
|
46
|
38
|
46
|
|
21
|
0
|
|
84
|
99
|
|
Interest expense
|
|
(2,085)
|
(1,485)
|
(1,915)
|
|
40
|
9
|
|
(3,570)
|
(3,377)
|
|
Gross interest income
|
|
(26)
|
532
|
430
|
|
|
|
|
506
|
1,778
|
|
Credit loss (expense) / recovery
|
|
8
|
(23)
|
(5)
|
|
|
|
|
(14)
|
(35)
|
|
Net interest income
|
|
(18)
|
509
|
425
|
|
|
|
|
492
|
1,743
|
|
Fee and commission income from securities and investment
business
|
|
486
|
546
|
756
|
|
(11)
|
(36)
|
|
1,032
|
2,376
|
|
Credit-related fees and commissions
|
|
60
|
50
|
87
|
|
20
|
(31)
|
|
110
|
192
|
|
Other fee and commission income
|
|
(6)
|
(5)
|
23
|
|
20
|
|
|
(11)
|
150
|
|
Fee and commission expense
|
|
(212)
|
(198)
|
(307)
|
|
7
|
(31)
|
|
(410)
|
(596)
|
|
Net fee and commission income
|
|
328
|
393
|
560
|
|
(17)
|
(41)
|
|
721
|
2,123
|
|
Net trading income
|
|
1,584
|
999
|
548
|
|
59
|
189
|
|
2,584
|
2,745
|
|
Net income from disposal of financial investments
|
|
44
|
52
|
34
|
|
(15)
|
29
|
|
96
|
128
|
|
Dividend income from investments in subsidiaries and other
participations
|
|
408
|
36
|
134
|
|
|
204
|
|
445
|
412
|
|
Income from real estate holdings
|
|
162
|
119
|
122
|
|
36
|
33
|
|
282
|
294
|
|
Sundry ordinary income
|
|
1,311
|
1,353
|
1,261
|
|
(3)
|
4
|
|
2,665
|
1,985
|
|
Sundry ordinary expenses
|
|
(107)
|
(94)
|
(133)
|
|
14
|
(20)
|
|
(201)
|
(272)
|
|
Other income from ordinary activities
|
|
1,820
|
1,466
|
1,418
|
|
24
|
28
|
|
3,286
|
2,547
|
|
Total operating income
|
|
3,714
|
3,368
|
2,950
|
|
10
|
26
|
|
7,082
|
9,157
|
|
Personnel expenses
|
|
1,629
|
1,553
|
1,367
|
|
5
|
19
|
|
3,182
|
3,716
|
|
General and administrative expenses
|
|
1,342
|
1,294
|
1,249
|
|
4
|
7
|
|
2,636
|
2,618
|
|
Subtotal operating expenses
|
|
2,971
|
2,847
|
2,616
|
|
4
|
14
|
|
5,818
|
6,334
|
|
Impairment of investments in subsidiaries and other
participations
|
|
210
|
373
|
550
|
|
(44)
|
(62)
|
|
583
|
1,536
|
|
Depreciation and impairment of property, equipment and software
|
|
171
|
178
|
149
|
|
(4)
|
15
|
|
349
|
314
|
|
Amortization and impairment of goodwill and other intangible
assets
|
|
6
|
6
|
6
|
|
0
|
0
|
|
11
|
11
|
|
Changes in provisions and other allowances and losses
|
|
26
|
(3)
|
(25)
|
|
|
|
|
23
|
25
|
|
Total operating expenses
|
|
3,383
|
3,401
|
3,295
|
|
(1)
|
3
|
|
6,784
|
8,220
|
|
Operating profit
|
|
331
|
(33)
|
(345)
|
|
|
|
|
298
|
937
|
|
Extraordinary income
|
|
1,197
|
65
|
77
|
|
|
|
|
1,262
|
613
|
|
of which: reversal of
impairments of investments in subsidiaries and other participations
|
|
1,075
|
65
|
32
|
|
|
|
|
1,140
|
49
|
|
Extraordinary expenses
|
|
1
|
0
|
5
|
|
|
(80)
|
|
2
|
6
|
|
Tax expense / (benefit)
|
|
37
|
49
|
89
|
|
(24)
|
(58)
|
|
85
|
211
|
|
Net profit / (loss) for the
period
|
|
1,491
|
(18)
|
(362)
|
|
|
|
|
1,473
|
1,334
|
|
1 Comparative amounts presented for year-to-date 30 June 2015
include the results of the Personal & Corporate Banking and Wealth
Management businesses booked in Switzerland, which were transferred from UBS
AG to UBS Switzerland AG in the second quarter of 2015. Refer to
"Establishment of UBS Switzerland AG" in the "Legal entity financial
and regulatory information" section of our Annual Report 2015 for more
information.
|
UBS AG (standalone) financial and regulatory information
|
Balance sheet
|
|
|
|
|
|
|
|
|
|
|
% change from
|
|
CHF million
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
31.3.16
|
31.12.15
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
Cash and balances with central banks
|
|
34,260
|
48,770
|
45,125
|
|
(30)
|
(24)
|
|
Due from banks
|
|
50,572
|
49,059
|
40,611
|
|
3
|
25
|
|
Receivables from securities financing transactions
|
|
98,755
|
101,796
|
90,479
|
|
(3)
|
9
|
|
of which: cash collateral on
securities borrowed
|
|
37,928
|
33,363
|
27,925
|
|
14
|
36
|
|
of which: reverse repurchase
agreements
|
|
60,827
|
68,433
|
62,553
|
|
(11)
|
(3)
|
|
Due from customers
|
|
104,399
|
93,749
|
97,401
|
|
11
|
7
|
|
Mortgage loans
|
|
4,399
|
4,563
|
4,679
|
|
(4)
|
(6)
|
|
Trading portfolio assets
|
|
75,142
|
76,436
|
94,210
|
|
(2)
|
(20)
|
|
Positive replacement values
|
|
23,975
|
20,136
|
20,987
|
|
19
|
14
|
|
Financial investments
|
|
41,364
|
34,242
|
27,528
|
|
21
|
50
|
|
Accrued income and prepaid expenses
|
|
1,914
|
1,730
|
1,708
|
|
11
|
12
|
|
Investments in subsidiaries and other participations
|
|
46,187
|
43,399
|
43,791
|
|
6
|
5
|
|
Property, equipment and software
|
|
6,721
|
6,579
|
6,503
|
|
2
|
3
|
|
Goodwill and other intangible assets
|
|
24
|
30
|
36
|
|
(20)
|
(33)
|
|
Other assets
|
|
3,559
|
3,808
|
3,986
|
|
(7)
|
(11)
|
|
Total assets
|
|
491,269
|
484,296
|
477,045
|
|
1
|
3
|
|
of which: subordinated
assets
|
|
7,160
|
6,555
|
5,752
|
|
9
|
24
|
|
of which: subject to
mandatory conversion and / or debt waiver
|
|
4,521
|
4,500
|
4,020
|
|
0
|
12
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
Due to banks
|
|
36,164
|
39,092
|
36,669
|
|
(7)
|
(1)
|
|
Payables from securities financing transactions
|
|
64,883
|
59,322
|
55,457
|
|
9
|
17
|
|
of which: cash collateral on
securities lent
|
|
33,811
|
28,961
|
34,094
|
|
17
|
(1)
|
|
of which: repurchase
agreements
|
|
31,072
|
30,361
|
21,363
|
|
2
|
45
|
|
Due to customers
|
|
148,463
|
145,607
|
144,842
|
|
2
|
2
|
|
Trading portfolio liabilities
|
|
21,253
|
23,405
|
21,179
|
|
(9)
|
0
|
|
Negative replacement values
|
|
26,798
|
25,463
|
24,669
|
|
5
|
9
|
|
Financial liabilities designated at fair value
|
|
55,601
|
52,754
|
58,104
|
|
5
|
(4)
|
|
Bonds issued and loans from central mortgage institutions
|
|
76,333
|
75,655
|
72,750
|
|
1
|
5
|
|
Accrued expenses and deferred income
|
|
3,445
|
3,414
|
4,356
|
|
1
|
(21)
|
|
Other liabilities
|
|
7,037
|
6,266
|
5,505
|
|
12
|
28
|
|
Provisions
|
|
1,523
|
1,608
|
1,786
|
|
(5)
|
(15)
|
|
Total liabilities
|
|
441,501
|
432,585
|
425,316
|
|
2
|
4
|
|
|
|
|
|
|
|
|
|
|
Equity
|
|
|
|
|
|
|
|
|
Share capital
|
|
386
|
386
|
386
|
|
0
|
0
|
|
General reserve
|
|
38,149
|
33,669
|
33,669
|
|
13
|
13
|
|
of which: statutory capital
reserve
|
|
38,149
|
38,149
|
38,149
|
|
0
|
0
|
|
of which: capital
contribution reserve
|
|
38,149
|
38,149
|
38,149
|
|
0
|
0
|
|
of which: statutory earnings
reserve¹
|
|
0
|
(4,480)
|
(4,480)
|
|
(100)
|
(100)
|
|
Voluntary earnings reserve¹
|
|
9,760
|
5,689
|
5,689
|
|
72
|
72
|
|
Retained earnings / (loss) carried forward¹
|
|
0
|
11,984
|
0
|
|
(100)
|
|
|
Net profit / (loss) for the period
|
|
1,473
|
(18)
|
11,984
|
|
|
(88)
|
|
Total equity
|
|
49,768
|
51,711
|
51,728
|
|
(4)
|
(4)
|
|
Total liabilities and equity
|
|
491,269
|
484,296
|
477,045
|
|
1
|
3
|
|
of which: subordinated
liabilities
|
|
15,275
|
16,840
|
16,139
|
|
(9)
|
(5)
|
|
of which: subject to
mandatory conversion and / or debt waiver
|
|
12,849
|
12,689
|
11,858
|
|
1
|
8
|
|
1 During the second quarter of 2016, the 2015 net profit of CHF
11,984 million was appropriated to the statutory earnings reserve (CHF 4,480
million) and to the voluntary earnings reserve (CHF 4,070 million) and a
payment of a cash dividend of CHF 3,434 million was made out of retained
earnings to UBS Group AG, as approved at the Annual General Meeting of shareholders
held on 4 May 2016.
|
UBS AG standalone financial statements are prepared in accordance
with Swiss GAAP (FINMA Circular 2015/1 and the Banking Ordinance).
The accounting policies are principally the
same as the IFRS-based accounting policies for the consolidated financial statements
outlined in Note 1 to the consolidated financial statements of UBS AG in the
Annual Report 2015. Major differences between the Swiss GAAP requirements and
IFRS are described in Note 38 to the consolidated financial statements of UBS
AG in the Annual Report 2015. Further information on the accounting policies
applied for the standalone financial statements of UBS AG is provided in Note 2
to the UBS AG standalone financial statements in the Annual Report 2015.
In preparing the interim financial information
for UBS AG, the same accounting policies and methods of computation have been
applied as in the annual financial statements as of 31 December 2015. This
interim financial information is unaudited and should be read in conjunction
with the audited financial statements of UBS AG included in the Annual Report
2015.
In the second quarter of 2016, UBS AG transferred several
subsidiaries into UBS Asset Management AG, a direct subsidiary of UBS AG,
through a contribution in kind. These transfers were made at a value of CHF 1.5
billion and resulted in a gain of CHF 1.1 billion that was recognized in the
income statement of UBS AG, largely as extraordinary income, and which
increased the value of UBS AG's investment in UBS Asset Management AG.
Joint and several liability
In June
2015, the Personal & Corporate Banking and Wealth Management businesses
booked in Switzerland were transferred from UBS AG to UBS Switzerland AG
through an asset transfer in accordance with the Swiss Merger Act. Under the
Swiss Merger Act, UBS AG assumed joint liability for obligations existing on
the asset transfer date, 14 June 2015, that were transferred to UBS Switzerland
AG.
As of the asset transfer date, UBS AG assumed
joint liability for approximately CHF 260 billion of obligations of UBS
Switzerland AG, excluding the collateralized portion of secured contractual
obligations. UBS AG has no liability for new obligations incurred by UBS
Switzerland AG after the asset transfer date.
®
Refer to “Establishment of UBS Switzerland AG” in the “Legal entity
financial and regulatory information” section of our Annual Report 2015 for
more information
The joint liability amount declines as
obligations mature, terminate or are novated following the asset transfer date.
As of 30 June 2016, the joint liability amounted to approximately CHF 1 billion.
UBS AG (standalone) financial and regulatory information
UBS AG (standalone) regulatory information
This section contains
information related to capital adequacy, the leverage ratio and the liquidity
coverage ratio, as required by the revised FINMA Circular 2008 / 22 “Disclosure
– banks.”
Information in this document is supplementary to UBS AG (standalone)
information provided in the “Legal entity financial information” section of the
UBS Group second quarter 2016 report.
Swiss SRB
capital requirements and capital information
UBS AG is
considered a systemically relevant bank (SRB) under Swiss banking law and is
subject to capital regulations on a standalone basis.
Under Swiss SRB regulations, article 125
“Reliefs for financial groups and individual institutions” of the Swiss Capital
Ordinance (CAO) stipulates that the Swiss Financial Market Supervisory
Authority (FINMA) may grant, under certain conditions, capital relief to
individual institutions, to ensure that an individual institution’s compliance
with the capital requirements does not lead to a de facto overcapitalization of
the group of which it is part.
FINMA
granted relief concerning the regulatory capital requirements of UBS AG on a
standalone basis by means of a decree issued on 20 December 2013, which became
effective on 1 January 2014.
The tables in this section provide UBS AG
standalone capital information under Swiss SRB regulations, as per the
abovementioned FINMA decree. In addition to the 14.0% total capital requirement
set by the decree, UBS AG is required to comply with countercyclical buffer requirements
on a standalone basis. The effect of the countercyclical buffer capital
requirement was immaterial as of 30 June 2016, 31 March 2016 and 31 December
2015.
|
Swiss SRB capital ratio requirements and information (phase-in)
|
|
|
|
Capital ratio (%)
|
|
Capital
|
|
|
|
Requirement
|
|
Actual
|
|
Requirement
|
|
Eligible
|
|
CHF million, except where
indicated
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Common equity tier 1 capital
|
|
10.0
|
|
14.2
|
14.3
|
14.4
|
|
24,076
|
|
34,128
|
33,678
|
32,656
|
|
Common equity tier 1 capital and high-trigger loss-absorbing
capital
|
|
11.6
|
|
14.2
|
14.3
|
14.4
|
|
27,913
|
|
34,128
|
33,678
|
32,656
|
|
Total capital
|
|
14.0
|
|
14.2
|
14.3
|
14.4
|
|
33,707
|
|
34,128
|
33,678
|
32,656
|
|
|
|
Swiss SRB capital information
(phase-in)
|
|
CHF million, except where
indicated
|
|
|
|
|
|
|
|
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Common equity tier 1 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total common equity tier 1 capital
|
|
|
|
|
|
|
|
|
|
34,128
|
33,678
|
32,656
|
|
Additional tier 1 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High-trigger loss-absorbing capital
|
|
|
|
|
|
|
|
|
|
2,688
|
2,643
|
1,252
|
|
Net deductions
|
|
|
|
|
|
|
|
|
|
(2,688)
|
(2,643)
|
(1,252)
|
|
Total additional tier 1 capital
|
|
|
|
|
|
|
|
|
|
0
|
0
|
0
|
|
Total tier 1 capital
|
|
|
|
|
|
|
|
|
|
34,128
|
33,678
|
32,656
|
|
Tier 2 capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low-trigger loss-absorbing capital
|
|
|
|
|
|
|
|
|
|
10,441
|
10,217
|
10,325
|
|
Net deductions
|
|
|
|
|
|
|
|
|
|
(10,441)
|
(10,217)
|
(10,325)
|
|
Total tier 2 capital
|
|
|
|
|
|
|
|
|
|
0
|
0
|
0
|
|
Total capital
|
|
|
|
|
|
|
|
|
|
34,128
|
33,678
|
32,656
|
|
Risk-weighted assets
|
|
|
|
|
|
|
|
|
|
240,762
|
235,271
|
227,170
|
|
Common equity tier 1 capital ratio (%)
|
|
|
|
|
|
|
|
|
|
14.2
|
14.3
|
14.4
|
|
Tier 1 capital ratio (%)
|
|
|
|
|
|
|
|
|
|
14.2
|
14.3
|
14.4
|
|
Total capital ratio (%)
|
|
|
|
|
|
|
|
|
|
14.2
|
14.3
|
14.4
|
Leverage ratio information
Swiss SRB leverage
ratio
The Swiss
SRB leverage ratio requirement is equal to 24% of the capital ratio
requirements (excluding the countercyclical buffer requirement).
As of 30
June 2016, the effective total leverage ratio requirement for UBS AG
(standalone) was 3.4%, resulting from multiplying the total capital ratio
requirement (excluding the countercyclical buffer requirement) of 14.0% by 24%.
|
Swiss SRB leverage ratio
requirements and information (phase-in)
|
|
|
|
Swiss SRB leverage ratio (%)
|
|
Swiss SRB leverage ratio capital
|
|
|
|
Requirement¹
|
|
Actual
|
|
Requirement
|
|
Eligible
|
|
CHF million, except where
indicated
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
30.6.16
|
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Common equity tier 1 capital
|
|
2.4
|
|
5.5
|
5.3
|
5.2
|
|
15,019
|
|
34,128
|
33,678
|
32,656
|
|
Common equity tier 1 capital and high-trigger loss-absorbing
capital
|
|
2.8
|
|
5.5
|
5.3
|
5.2
|
|
17,412
|
|
34,128
|
33,678
|
32,656
|
|
Total capital
|
|
3.4
|
|
5.5
|
5.3
|
5.2
|
|
21,027
|
|
34,128
|
33,678
|
32,656
|
|
1 Requirements for common equity tier 1 capital (24% of 10%),
common equity tier 1 capital and high-trigger loss-absorbing capital (24% of
11.6%) and total capital (24% of 14%).
|
|
Swiss SRB leverage ratio
(phase-in)
|
|
|
|
|
CHF million, except where
indicated
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Swiss GAAP total assets
|
491,269
|
484,296
|
477,045
|
|
Difference between Swiss GAAP and IFRS total assets
|
191,200
|
192,903
|
169,961
|
|
Less derivative exposures and securities financing transactions¹
|
(332,732)
|
(330,549)
|
(295,490)
|
|
On-balance sheet exposures
(excluding derivative exposures and securities financing transactions)
|
349,737
|
346,651
|
351,516
|
|
Derivative exposures
|
114,567
|
117,869
|
124,079
|
|
Securities financing transactions
|
136,874
|
140,943
|
130,766
|
|
Off-balance sheet items
|
39,473
|
44,073
|
42,573
|
|
Items deducted from Swiss SRB tier 1 capital
|
(14,862)
|
(13,021)
|
(14,948)
|
|
Total exposures (leverage
ratio denominator)
|
625,789
|
636,514
|
633,985
|
|
|
|
|
|
|
Common equity tier 1 capital
|
34,128
|
33,678
|
32,656
|
|
Additional tier 1 capital
|
0
|
0
|
0
|
|
Tier 2 capital
|
0
|
0
|
0
|
|
Total capital
|
34,128
|
33,678
|
32,656
|
|
Swiss SRB leverage ratio
(%)
|
5.5
|
5.3
|
5.2
|
|
1 Consists of positive replacement values, cash collateral
receivables on derivative instruments, cash collateral on securities borrowed,
reverse repurchase agreements, margin loans and prime brokerage receivables
related to securities financing transactions, which are presented separately
under derivative exposures and securities financing transactions in this
table.
|
UBS AG (standalone) financial and regulatory information
BIS Basel III leverage ratio
On 1
January 2015, disclosure requirements for the leverage ratio in accordance with
BIS Basel III regulations came into effect in Switzerland, and UBS AG
(standalone) is required to disclose BIS Basel III leverage ratio information
on a quarterly basis.
The table
below provides BIS Basel III leverage ratio information according to the
current disclosure requirements.
|
BIS Basel III leverage ratio
(phase-in)
|
|
|
|
|
CHF million, except where
indicated
|
30.6.16
|
31.3.16
|
31.12.15
|
|
Total tier 1 capital
|
34,128
|
33,678
|
32,656
|
|
Total exposures (leverage ratio denominator)
|
625,789
|
636,514
|
633,985
|
|
BIS Basel III leverage ratio (%)
|
5.5
|
5.3
|
5.2
|
Liquidity coverage ratio
BIS Basel
III rules require disclosure of the liquidity coverage ratio (LCR). As a Swiss
SRB, UBS AG (standalone) must maintain an LCR of at least 100% since 1 January
2015 and disclose LCR information on a quarterly basis. As of 30 June 2016, UBS
AG (standalone) was above the 105% standalone LCR minimum communicated by
FINMA.
|
Liquidity coverage ratio
|
|
|
|
|
|
|
|
Weighted value¹
|
|
CHF billion, except where
indicated
|
|
Average 2Q16
|
Average 1Q16
|
Average 4Q15
|
|
High-quality liquid assets
|
|
103
|
116
|
108
|
|
Total net cash outflows
|
|
79
|
88
|
93
|
|
of which: cash outflows
|
|
177
|
189
|
219
|
|
of which: cash inflows
|
|
98
|
101
|
125
|
|
Liquidity coverage ratio (%)
|
|
131
|
132
|
116
|
|
1 Calculated after the application of haircuts and inflow and
outflow rates.
|
Cautionary
Statement Regarding Forward-Looking Statements
|
This report contains statements that constitute “forward-looking
statements,” including but not limited to management’s outlook for the
financial performance of UBS AG (which, for the purpose of this cautionary
statement, refers to UBS AG and its subsidiaries) and statements relating to
the anticipated effect of transactions and strategic initiatives on UBS AG’s
business and future development. While these forward-looking statements
represent UBS AG’s judgments and expectations concerning the matters described,
a number of risks, uncertainties and other important factors could cause actual
developments and results to differ materially from UBS AG’s expectations. These
factors include, but are not limited to: (i) the degree to which UBS AG and the
UBS Group are successful in executing the announced strategic plans, including
cost reduction and efficiency initiatives and the targets for risk-weighted
assets (RWA) and leverage ratio denominator (LRD), and the degree to which UBS
AG and the UBS Group are successful in implementing changes to the wealth
management businesses to meet changing market, regulatory and other conditions;
(ii) the continuing low or negative interest rate environment, developments in
the macroeconomic climate and in the markets in which UBS AG operates or to
which it is exposed, including movements in securities prices or liquidity,
credit spreads, and currency exchange rates, and the effects of economic
conditions, market developments, and geopolitical tensions on the financial
position or creditworthiness of UBS AG’s clients and counterparties as well as
on client sentiment and levels of activity; (iii) changes in the availability
of capital and funding, including any changes in UBS AG’s credit spreads and
ratings, as well as availability and cost of funding to meet requirements for
debt eligible for total loss-absorbing capacity (TLAC) requirements, or
loss-absorbing capital; (iv) changes in or the implementation of financial
legislation and regulation in Switzerland, the US, the UK and other financial
centers that may impose, or result in, more stringent capital, TLAC, leverage
ratio, liquidity and funding requirements, incremental tax requirements,
additional levies, limitations on permitted activities, constraints on
remuneration or other measures, and the effect this would have on UBS AG’s
business activities; (v) uncertainty as to when and to what degree the Swiss
Financial Market Supervisory Authority (FINMA) will approve a limited reduction
of gone concern requirements due to measures to reduce resolvability risk; (vi)
the degree to which UBS AG and the UBS Group are successful in implementing
further changes to the Group's legal structure to improve its resolvability and
meet related regulatory requirements, including changes in legal structure and
reporting required to implement US enhanced prudential standards, implementing
a service company model, completing the transfer of the Asset Management
business to a holding company, and the potential need to make further changes
to the legal structure or booking model of UBS Group in response to legal and
regulatory requirements relating to capital requirements, resolvability
requirements and proposals in Switzerland and other countries for mandatory
structural reform of banks and the extent to which such changes have the
intended effects; (vii) the uncertainty arising from the UK referendum vote to
withdraw from the EU and the potential need to make changes in UBS's legal
structure and operations as a result of a UK exit from the EU; (viii) changes
in UBS AG’s competitive position, including whether differences in regulatory
capital and other requirements among the major financial centers will adversely
affect UBS AG’s ability to compete in certain lines of business; (ix) changes
in the standards of conduct applicable to our businesses that may result from
new regulation or new enforcement of existing standards, including proposed
measures to impose new and enhanced duties when interacting with customers and
in the execution and handling of customer transactions; (x) the liability to
which UBS AG may be exposed, or possible constraints or sanctions that
regulatory authorities might impose on UBS, due to litigation, contractual
claims and regulatory investigations, including the potential for disqualification
from certain businesses or loss of licenses or privileges as a result of
regulatory or other governmental sanctions, as well as the effect that
litigation, regulatory and similar matters have on the operational component of
our RWA; (xi) the effects on UBS AG’s cross-border banking business of tax or
regulatory developments and of possible changes in UBS AG’s policies and
practices relating to this business; (xii) UBS AG’s ability to retain and
attract the employees necessary to generate revenues and to manage, support and
control its businesses, which may be affected by competitive factors including
differences in compensation practices; (xiii) changes in accounting or tax
standards or policies, and determinations or interpretations affecting the
recognition of gain or loss, the valuation of goodwill, the recognition of
deferred tax assets and other matters; (xiv) limitations on the effectiveness
of UBS AG’s internal processes for risk management, risk control, measurement
and modeling, and of financial models generally; (xv) whether UBS AG will be
successful in keeping pace with competitors in updating its technology,
particularly in trading businesses; (xvi) the occurrence of operational
failures, such as fraud, misconduct, unauthorized trading, financial crime,
cyber-attacks, and systems failures; (xvii) restrictions on the ability of UBS
AG to make payments or distributions, including due to restrictions on the
ability of subsidiaries to make loans or distributions, directly or indirectly,
or, in the case of financial difficulties, due to the exercise by FINMA of its
broad statutory powers in relation to protective measures, restructuring and
liquidation proceedings; (xviii) the degree to which changes in regulation,
capital or legal structure, financial results or other factors, including
methodology, assumptions and stress scenarios, may affect UBS Group’s ability
to maintain its stated capital return objective; and (xix) the effect that
these or other factors or unanticipated events may have on our reputation and
the additional consequences that this may have on our business and performance.
The sequence in which the factors above are presented is not indicative of
their likelihood of occurrence or the potential magnitude of their consequences.
Our business and financial performance could be affected by other factors
identified in our past and future filings and reports, including those filed
with the SEC. More detailed information about those factors is set forth in
documents furnished by UBS Group AG and UBS AG and filings made by UBS Group AG
and UBS AG with the SEC, including UBS Group AG's and UBS AG’s Annual Report on
Form 20-F for the year ended 31 December 2015. UBS AG is not under any
obligation to (and expressly disclaims any obligation to) update or alter its
forward-looking statements, whether as a result of new information, future
events, or otherwise.
Rounding |
Numbers
presented throughout this report may not add up precisely to the totals
provided in the tables and text. Percentages, percent changes and absolute
variances are calculated on the basis of rounded figures displayed in the
tables and text and may not precisely reflect the percentages, percent changes
and absolute variances that would be calculated on the basis of figures that
are not rounded.
Tables |
Within tables, blank fields
generally indicate that the field is not applicable or not meaningful, or that
information is not available as of the relevant date or for the relevant
period. Zero values generally indicate that the respective figure is zero on an
actual or rounded basis. Percentage changes are presented as a mathematical
calculation of the change between periods.
UBS
AG
P.O.
Box, CH-8098
Zurich
P.O. Box, CH-4002 Basel
ubs.com
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 registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
authorized.
UBS AG
By:
_/s/ Sergio Ermotti________________
Name: Sergio Ermotti
Title: Group Chief
Executive Officer
By:
_/s/ Kirt Gardner__________________
Name: Kirt Gardner
Title: Group Chief
Financial Officer
By:
_/s/ Todd Tuckner
_________
__
_
Name: Todd Tuckner
Title: Group Controller and
Chief Accounting Officer
Date: August 4, 2016
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