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: October 26, 2021

 

 

UBS Group AG

Commission File Number: 1-36764

 

UBS AG

Commission File Number: 1-15060

 

 

(Registrants' Name)

 

Bahnhofstrasse 45, Zurich, Switzerland and
Aeschenvorstadt 1, Basel, Switzerland

(Address of principal executive offices)

 

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

 

Form 20-F                         Form 40-F  

 


 

This Form 6-K consists of the 30 September 2021 Pillar 3 Report for UBS Group AG and significant regulated subsidiaries and sub-groups, which appears immediately following this page.

 

 


 

30 September 2021 Pillar 3 report

 

UBS Group and significant regulated subsidiaries and sub-groups

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Terms used in this report, unless the context requires otherwise

“UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us” and “our”

UBS Group AG and its consolidated subsidiaries

“UBS AG consolidated”

UBS AG and its consolidated subsidiaries

“UBS Group AG” and “UBS Group AG standalone”

UBS Group AG on a standalone basis

“UBS AG” and “UBS AG standalone”

UBS AG on a standalone basis

“UBS Switzerland AG” and “UBS Switzerland AG standalone”

UBS Switzerland AG on a standalone basis

“UBS Europe SE consolidated”

UBS Europe SE and its consolidated subsidiaries

“UBS Americas Holding LLC” and

“UBS Americas Holding LLC consolidated”

UBS Americas Holding LLC and its consolidated subsidiaries

 


 

Table of contents

Introduction and basis for preparation

 

UBS Group

6

Section 1

Key metrics

9

Section 2

Risk-weighted assets

13

Section 3

Going and gone concern requirements
and eligible capital

14

Section 4

Leverage ratio

17

Section 5

Liquidity coverage ratio

 

 

 

Significant regulated subsidiaries and sub-groups

20

Section 1

Introduction

20

Section 2

UBS AG standalone

25

Section 3

UBS Switzerland AG standalone

32

Section 4

UBS Europe SE consolidated

33

Section 5

UBS Americas Holding LLC consolidated

 

 

 

Appendix

34

Abbreviations frequently used in our financial reports

36

Cautionary statement

       

Contacts

 


Switchboards

For all general inquiries.
ubs.com/contact

Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong +852-2971 8888
Singapore +65-6495 8000

Investor Relations

UBS’s Investor Relations team manages relationships with institutional investors, research analysts and credit rating agencies.

ubs.com/investors

Zurich +41-44-234 4100
New York +1-212-882 5734

Media Relations

UBS’s Media Relations team manages relationships with global media and journalists.

ubs.com/media

Zurich +41-44-234 8500
mediarelations@ubs.com

London +44-20-7567 4714
ubs-media-relations@ubs.com

New York +1-212-882 5858
mediarelations@ubs.com

Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com


Office of the Group Company Secretary

The Group Company Secretary handles inquiries directed to the Chairman or to other members
of the Board of Directors.

UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich, Switzerland

sh-company-secretary@ubs.com

Zurich +41-44-235 6652

Shareholder Services

UBS’s Shareholder Services team, a unit of the Group Company Secretary’s office, manages relationships with shareholders and the registration of UBS Group AG registered shares.

UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich, Switzerland

sh-shareholder-services@ubs.com

Zurich +41-44-235 6652

US Transfer Agent

For global registered share-related
inquiries in the US.

Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA

Shareholder online inquiries:
www-us.computershare.com/
investor/contact

Shareholder website:
computershare.com/investor

Calls from the US

+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610

 


Imprint

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

© UBS 2021. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.

  

 


 

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring the minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.

This report provides Pillar 3 disclosures for the UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”

As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 30 September 2021 for UBS Group AG consolidated is provided in the “Capital management” section of our third quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors, and for UBS AG consolidated in the “Capital management” section of the UBS AG third quarter 2021 report, which will be available as of 29 October 2021 under “Quarterly reporting” at ubs.com/investors

Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors

Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements

This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”), as revised on 6 May 2021, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.


Significant regulatory developments, and disclosure requirements and changes effective in this quarter

Swiss Federal Council report on systemically important banks and revision of the Swiss Liquidity Ordinance

In June 2021, the Swiss Federal Council issued the results of its bi-annual review of the Swiss too-big-to-fail regulatory framework. The report concludes that no fundamental changes to the framework are needed. Potential areas for adjustment identified include the further tightening of the liquidity requirements for systemically important banks and the alignment of incentive systems to support a bank’s resolvability.

Subsequently, the Swiss Federal Department of Finance launched a consultation on proposed revisions to the Swiss Liquidity Ordinance in September 2021, with the aim of strengthening the resilience of systemically important banks in Switzerland. As proposed, the revisions would increase the regulatory minimum liquidity requirements for systemically important banks, including UBS. The consultation period is scheduled to end on 13 January 2022. UBS is assessing the implications of the proposed revisions.

NSFR implementation

On 1 July 2021, the net stable funding ratio (the NSFR) regulation, which was adopted by the Swiss Federal Council in 2020, came into effect. It applies to UBS Group AG at the consolidated level and to UBS AG, UBS Switzerland AG and UBS Swiss Financial Advisers AG at the standalone level.

Based on the regulation, and as agreed with FINMA, UBS AG standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into account such excess funding.

    Refer to the “Key metrics,” “UBS AG standalone” and “UBS Switzerland AG standalone” sections of this report

Registration under the US security-based swaps regulations

Under US Securities and Exchange Commission (SEC) regulations, UBS AG is required to register as a security-based swap dealer by 1 November 2021. On 8 October 2021, FINMA and the SEC finalized a memorandum of understanding relating to cooperation in oversight of Swiss entities registered under the SEC’s security-based swaps regulations. The SEC also published a substituted compliance order modifying the application of certain of its regulations for Swiss security-based swap dealers.

Stress capital buffer in the US

Following the completion of the annual Dodd–Frank Act Stress Testing (DFAST) and the Comprehensive Capital Analysis and Review (CCAR), UBS Americas Holding LLC was assigned a stress capital buffer (SCB) of 7.1% (previously 6.7%) under the SCB rule as of 1 October 2021, resulting in a total common equity tier 1 (CET1) capital requirement of 11.6%. As of 30 September 2021, the CET1 ratio of UBS Americas Holding LLC was 20.7%.

2 


 

Removal of ECB restrictions on dividend payments by banks

In July 2021, the European Central Bank (the ECB) announced its decision to remove the COVID-19-related restrictions on capital distributions and share buybacks by banks with effect from 1 October 2021.

FINMA’s assessment of the recovery and resolution planning

In March 2021, FINMA published its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. The report noted that FINMA had approved UBS’s group recovery plan and assessed its Swiss Emergency Plan as effective. It also highlighted that UBS has made further progress in improving its global resolvability by building up the necessary capabilities and removing obstacles to the implementation of the resolution strategy, while pointing out areas for further improvement.

Based on the actions we completed by December 2020 to improve resolvability, FINMA granted an increase of the maximum rebate, from 47.5% to 55.0%, on the Swiss SRB gone concern capital requirements for UBS Group AG consolidated and UBS AG consolidated, effective from 1 July 2021.

    Refer to the “Going and gone concern requirements and eligible capital” section of this report

COVID-19 temporary regulatory measures

The temporary exemption from FINMA for banks to exclude central bank sight deposits from the leverage ratio denominator (LRD) for the purpose of calculating going concern ratios applied from 25 March 2020 until 1 January 2021 and was not extended thereafter.

Strategic partnership with Sumitomo Mitsui Trust Holdings

In 2019, UBS entered into a strategic wealth management partnership in Japan with Sumitomo Mitsui Trust Holdings, Inc. (SuMi Trust Holdings). In January 2020, the first phase was launched, with operations commencing in the joint venture that was established to promote our respective services. At the time, UBS and SuMi Trust Holdings also started offering each other’s products and services to their respective clients.

In the third quarter of 2021, the second phase of the partnership was completed, with the launch of a new operational partnership entity, UBS SuMi TRUST Wealth Management Co., Ltd., which is 51% owned and controlled by UBS, requiring us to consolidate this entity. The new entity offers global securities and wealth management capabilities, together with the custody, real estate, inheritance and wealth transfer expertise of a Japanese trust banking group.

Upon completion of this transaction in the third quarter of 2021, UBS’s CET1 capital increased by USD 189 million, with no effect on profit or loss.

Material model updates

Effective from the third quarter of 2020, we began to phase in risk-weighted asset (RWA) increases resulting from new probability of default (PD) and loss given default (LGD) models for the mortgage portfolio in the US. As agreed with FINMA, the effect on RWA is being phased in over six quarters, through the end of 2021, resulting in an increase of USD 0.5 billion in the third quarter of 2021.

At the beginning of the second quarter of 2021, we also began to phase in an RWA increase related to a new model for structured margin loans and similar products in Global Wealth Management. This RWA increase is being phased in over five quarters and the model will be fully implemented by the second quarter of 2022. RWA increased by USD 0.7 billion in the third quarter of 2021 due to the aforementioned model introduction.

The third  quarter of 2021 also included an RWA reduction of USD 0.3 billion related to the introduction of new models for the leasing of aircraft and industrial goods

Material regulatory add-ons

The third quarter included a market risk RWA increase due to the introduction of a regulatory add-on of USD 5.5 billion, which considers profit or loss resulting from time decay in addition to the regulatory value-at-risk (VaR) and stressed VaR. The add-on reflects the outcome of discussions with FINMA regarding our regulatory VaR model, which started in late 2019. The integration of time decay into the regulatory VaR model, which would replace the add-on, is subject to further discussions between FINMA and UBS.

The third quarter of 2021 also included RWA increases related to regulatory add-ons in credit and counterparty credit risk of USD 1.2 billion for prime brokerage clients, as well as USD 0.4 billion for clients leasing aircraft and industrial goods. We expect further increases of around USD 2 billion related to prime brokerage clients in the fourth quarter of 2021.

Changes to capital add-on requirements

The applicable market share add-on requirements set by FINMA for UBS Group AG consolidated, UBS AG standalone and UBS Switzerland AG standalone as of 30 September 2021 were 0.72% for risk-weighted asset (RWA) and 0.25% for leverage ratio denominator (LRD) purposes. These add-ons were increased by 0.36% for RWA and 0.125% for LRD in the third quarter of 2021, reflecting an increase in UBS’s market share in the Swiss credit business to more than 17%.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7–9 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 30 June 2021 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

    Refer to our 30 June 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors for more information about previously published quarterly movement commentary

  

3 


 

 


 

UBS Group

 


UBS Group AG consolidated 

 

Section 1  Key metrics

Key metrics of the third quarter of 2021

The KM1 and KM2 tables on the following pages are based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet

Our common equity tier 1 (CET1) and leverage ratios increased in the third quarter of 2021, primarily reflecting increases in capital. Our CET1 capital increased by USD 2.4 billion to USD 45.0 billion, mainly reflecting operating profit before tax of USD 2.9 billion, an increase of USD 0.2 billion related to the launch of our new operational partnership entity with Sumitomo Mitsui Trust Holdings, Inc. and USD 0.2 billion higher eligible deferred tax assets on temporary differences. These effects were partly offset by current tax expenses of USD 0.4 billion, accruals for capital returns to shareholders of USD 0.3 billion and negative foreign currency translation effects of USD 0.2 billion.

Our tier 1 capital increased by USD 1.2 billion to USD 60.4 billion, primarily reflecting the aforementioned increase in our CET1 capital, partly offset by the call of an additional tier 1 (AT1) capital instrument with a nominal amount of USD 1.1 billion.

The TLAC available as of 30 September 2021 included CET1 capital, AT1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 30 September 2021, but is included as available TLAC in the KM2 table in this section.


Our available TLAC decreased by USD 1.5 billion to USD 102.8 billion in the third quarter of 2021, reflecting the aforementioned USD 1.2 billion increase in our tier 1 capital and a USD 2.7 billion decrease in non-regulatory capital instruments, which mainly resulted from a USD 2 billion low-trigger loss-absorbing tier 2 capital instrument that ceased to be eligible as it had less than one year to maturity, the call of a EUR 1.75 billion TLAC-eligible senior unsecured debt, and effects from interest rate risk hedges and foreign currency translation, partly offset by a USD 2 billion issuance of TLAC-eligible senior unsecured debt.

Risk-weighted assets (RWA) increased by USD 9.1 billion to USD 302.4 billion, mainly due to increases in market risk RWA of USD 6.2 billion, counterparty credit risk RWA of USD 1.2 billion, and credit risk RWA of USD 1.0 billion. The increase in RWA more than offset the increases in tier 1 and total capital, resulting in decreases in the tier 1 and total capital ratios of 0.2 and 0.4 percentage points, respectively, during the third quarter of 2021.

The leverage ratio exposure increased by USD 5 billion to USD 1,045 billion, driven by on-balance sheet exposures (other than securities financing transactions (SFTs) and derivatives) and derivative exposures, partly offset by a decrease in SFTs.

Average high-quality liquid assets (HQLA) decreased by USD 1.1 billion to USD 230.9 billion, driven by an increase in assets subject to local transfer restrictions. Average total net cash outflows decreased by USD 2.4 billion to USD 146.8 billion, mainly due to decreases in outflows from secured financing transactions.

 

 

6 


 

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

 

30.9.21

 

30.6.21

 

31.3.21

 

31.12.20

30.9.20

Available capital (amounts)

 

 

 

 

 

 

 

 

 

1

Common Equity Tier 1 (CET1)

 

45,022

 

42,583

 

40,426

 

39,890

38,197

1a

Fully loaded ECL accounting model CET11

 

45,008

 

42,561

 

40,403

 

39,856

38,162

2

Tier 1

 

60,369

 

59,188

 

56,288

 

56,178

54,396

2a

Fully loaded ECL accounting model Tier 11

 

60,355

 

59,166

 

56,264

 

56,144

54,360

3

Total capital

 

61,855

 

61,184

 

58,822

 

61,226

59,382

3a

Fully loaded ECL accounting model total capital1

 

61,841

 

61,162

 

58,799

 

61,193

59,347

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

302,426

 

293,277

 

287,828

 

289,101

283,133

4a

Minimum capital requirement2

 

24,194

 

23,462

 

23,026

 

23,128

22,651

4b

Total risk-weighted assets (pre-floor)

 

302,426

 

293,277

 

287,828

 

289,101

283,133

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

5

CET1 ratio (%)

 

14.89

 

14.52

 

14.05

 

13.80

13.49

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

14.88

 

14.51

 

14.04

 

13.79

13.48

6

Tier 1 ratio (%)

 

19.96

 

20.18

 

19.56

 

19.43

19.21

6a

Fully loaded ECL accounting model Tier 1 ratio (%)1

 

19.96

 

20.17

 

19.55

 

19.42

19.20

7

Total capital ratio (%)

 

20.45

 

20.86

 

20.44

 

21.18

20.97

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

20.45

 

20.85

 

20.43

 

21.17

20.96

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

2.50

9

Countercyclical buffer requirement (%)

 

0.02

 

0.02

 

0.02

 

0.02

0.02

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 

 

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)

 

1.00

 

1.00

 

1.00

 

1.00

1.00

11

Total of bank CET1 specific buffer requirements (%)

 

3.52

 

3.52

 

3.52

 

3.52

3.52

12

CET1 available after meeting the bank’s minimum capital requirements (%)

 

10.39

 

10.02

 

9.55

 

9.30

8.99

Basel III leverage ratio3

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

1,044,916

 

1,039,939

 

1,038,225

 

1,037,150

994,366

14

Basel III leverage ratio (%)

 

5.78

 

5.69

 

5.42

 

5.42

5.47

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

5.78

 

5.69

 

5.42

 

5.41

5.47

Liquidity coverage ratio (LCR)4

 

 

 

 

 

 

 

 

 

15

Total high-quality liquid assets (HQLA)

 

230,885

 

232,026

 

221,371

 

214,276

211,185

16

Total net cash outflow

 

146,831

 

149,183

 

146,314

 

140,891

137,345

17

LCR (%)

 

157

 

156

 

151

 

152

154

Net stable funding ratio (NSFR)5

 

 

 

 

 

 

 

 

 

18

Total available stable funding

 

558,936

 

 

 

 

 

 

 

19

Total required stable funding

 

473,140

 

 

 

 

 

 

 

20

NSFR (%)

 

118

 

 

 

 

 

 

 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    4 Calculated based on quarterly average. Refer to the “Liquidity coverage ratio” section of this report for more information.    5 Refer to the “Introduction and basis for preparation” section of this report and to the “Liquidity and funding management” section of the UBS Group third quarter 2021 report for more information.

 

 

7 


UBS Group AG consolidated 

KM2: Key metrics – TLAC requirements (at resolution group level)1

USD million, except where indicated

 

 

 

 

 

 

 

 

 

 

 

 

30.9.21

 

30.6.21

 

31.3.21

 

31.12.20

 

30.9.20

1

Total loss-absorbing capacity (TLAC) available

 

 102,840 

 

 104,348 

 

 100,720 

 

 101,814 

 

 97,753 

1a

Fully loaded ECL accounting model TLAC available2

 

 102,827 

 

 104,325 

 

 100,697 

 

 101,780 

 

 97,717 

2

Total RWA at the level of the resolution group

 

 302,426 

 

 293,277 

 

 287,828 

 

 289,101 

 

 283,133 

3

TLAC as a percentage of RWA (%)

 

 34.01 

 

 35.58 

 

 34.99 

 

 35.22 

 

 34.53 

3a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)2

 

 34.00 

 

 35.57 

 

 34.98 

 

 35.21 

 

 34.51 

4

Leverage ratio exposure measure at the level of the resolution group3

 

 1,044,916 

 

 1,039,939 

 

 1,038,225 

 

 1,037,150 

 

 994,366 

5

TLAC as a percentage of leverage ratio exposure measure (%)

 

 9.84 

 

 10.03 

 

 9.70 

 

 9.82 

 

 9.83 

5a

Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)2,3

 

 9.84 

 

 10.03 

 

 9.70 

 

 9.81 

 

 9.83 

6a

Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6b

Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?

 

No

6c

If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognized as external TLAC if no cap was applied (%)

 

N/A – Refer to our response to 6b.

1 Resolution group level is defined as the UBS Group AG consolidated level.    2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    3 Leverage ratio exposures and leverage ratios for the respective periods in 2020 do not reflect the effects of the temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital” section of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.

 

  

8 


 

 

Section 2  Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Exposures are measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (the BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).

For information about the measurement of risk exposures and RWA, refer to pages 13–15 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

Overview of RWA and capital requirements

The OV1 table on the following page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.

During the third quarter of 2021, RWA increased by USD 9.1 billion to USD 302.4 billion, mainly due to increases in market risk RWA of USD 6.2 billion, counterparty credit risk RWA of USD 1.2 billion, and credit risk RWA of USD 1.0 billion. The increase of USD 9.1 billion included a decrease of USD 1.6 billion related to currency effects.

Market risk RWA increased by USD 6.2 billion to USD 14.0 billion in the third quarter of 2021, primarily due to the introduction of a regulatory add-on of USD 5.5 billion, which considers profit or loss resulting from time decay in addition to the regulatory value-at-risk (VaR) and stressed VaR. The add-on reflects the outcome of discussions with FINMA regarding our regulatory VaR model, which started in late 2019. The integration of time decay into the regulatory VaR model, which would replace the add-on, is subject to further discussions between FINMA and UBS. The market risk RWA increase was also driven by a USD 1.0 billion increase from portfolio and market movements, primarily in the Investment Bank’s Global Markets business.

Credit Risk RWA increased by USD 1.0 billion, primarily driven by model updates of USD 1.0 billion, mainly due to the quarterly phase-in impacts for structured margin loans and similar products in Global Wealth Management, as well as new probability of default (PD) and loss given default (LGD) models for the mortgage portfolio in the US, partly offset by a reduction related to the introduction of new models for the leasing of aircraft and industrial goods. Asset size and other movements increased by USD 0.7 billion, reflecting increases in Lombard and other loans in Global Wealth Management. Credit risk RWA in the third quarter of 2021 also included a regulatory add-on of USD 0.4 billion related to the aforementioned models for the leasing of aircraft and industrial goods. These increases were partly offset by a decrease related to currency effects of USD 1.0 billion.

Counterparty credit risk RWA increased by USD 1.2 billion, primarily due to a regulatory add-on of USD 1.2 billion related to prime brokerage clients. Asset size and other movements increased by USD 0.7 billion, mainly driven by increased RWA for derivatives in the Investment Bank. These increases were partly offset by decreases related to currency effects of USD 0.4 billion, model updates of USD 0.1 billion, and methodology and policy changes of USD 0.1 billion.

The flow tables for credit risk, counterparty credit risk and market risk RWA in this section provide further details regarding the movements in RWA in the third quarter of 2021.

More information about capital management and RWA, including details regarding movements in RWA during the third quarter of 2021, is provided on pages 42–43 in the “Capital management” section of our third quarter 2021 report, available under ”Quarterly reporting” at ubs.com/investors

 

 

9 


UBS Group AG consolidated 

OV1: Overview of RWA

 

 

RWA

 

Minimum capital requirements1

USD million

 

30.9.21

30.6.21

 

30.9.21

1

Credit risk (excluding counterparty credit risk)

 

 147,143 

 146,162 

 

 11,771 

2

of which: standardized approach (SA)

 

 34,959 

 34,895 

 

 2,797 

2a

of which: non-counterparty-related risk

 

 12,842 

 12,921 

 

 1,027 

3

of which: foundation internal ratings-based (F-IRB) approach

 

 

 

 

 

4

of which: supervisory slotting approach

 

 

 

 

 

5

of which: advanced internal ratings-based (A-IRB) approach

 

 112,184 

 111,267 

 

 8,975 

6

Counterparty credit risk2

 

 40,270 

 39,058 

 

 3,222 

7

of which: SA for counterparty credit risk (SA-CCR)

 

 7,437 

 7,406 

 

 595 

8

of which: internal model method (IMM)

 

 18,555 

 17,232 

 

 1,484 

8a

of which: value-at-risk (VaR)

 

 8,921 

 7,909 

 

 714 

9

of which: other CCR

 

 5,356 

 6,510 

 

 429 

10

Credit valuation adjustment (CVA)

 

 4,054 

 3,938 

 

 324 

11

Equity positions under the simple risk-weight approach

 

 3,308 

 3,197 

 

 265 

12

Equity investments in funds – look-through approach

 

 1,100 

 1,070 

 

 88 

13

Equity investments in funds – mandate-based approach

 

 1,331 

 1,486 

 

 106 

14

Equity investments in funds – fallback approach

 

 393 

 378 

 

 31 

15

Settlement risk

 

 549 

 341 

 

 44 

16

Securitization exposures in banking book

 

 405 

 379 

 

 32 

17

of which: securitization internal ratings-based approach (SEC-IRBA)

 

 

 

 

 

18

of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)

 

 260 

 305 

 

 21 

19

of which: securitization standardized approach (SEC-SA)

 

 145 

 74 

 

 12 

20

Market Risk

 

 14,044 

 7,818 

 

 1,123 

21

of which: standardized approach (SA)

 

 684 

 726 

 

 55 

22

of which: internal models approach (IMA)

 

 13,359 

 7,093 

 

 1,069 

23

Capital charge for switch between trading book and banking book3

 

 

 

 

 

24

Operational risk

 

 75,775 

 75,775 

 

 6,062 

25

Amounts below thresholds for deduction (250% risk weight)4

 

 14,055 

 13,676 

 

 1,124 

25a

of which: deferred tax assets

 

 10,803 

 10,392 

 

 864 

26

Floor adjustment5

 

 

 

 

 

27

Total

 

 302,426 

 293,277 

 

 24,194 

1 Calculated based on 8% of RWA.    2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure.    3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book).    4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences.    5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions.

 

 

10 


 

RWA flow statements of credit risk exposures under IRB

The CR8 table below provides a breakdown of the credit risk RWA movements in the third quarter of 2021 across movement categories defined by the BCBS. These categories are described on page 48 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

Credit risk RWA under the A-IRB approach increased by USD 0.9 billion to USD 112.2 billion during the third quarter of 2021.

The RWA increase from asset size movements of USD 2.0 billion was predominantly driven by increases in Lombard and other loans in Global Wealth Management and increases in loans and loan commitments to corporate clients in Personal & Corporate Banking. The RWA related to asset quality decreased by USD 1.1 billion, mainly due to improvements in average risk profiles in Global Wealth Management and Personal & Corporate Banking. Model updates of USD 1.0 billion were mainly due to the quarterly phase-in impacts for structured margin loans and similar products in Global Wealth Management, as well as new probability of default (PD) and loss given default (LGD) models for the mortgage portfolio in the US, partly offset by a reduction related to the introduction of new models for the leasing of aircraft and industrial goods. Regulatory add-ons of USD 0.4 billion were primarily related to the aforementioned models for the leasing of aircraft and industrial goods. Foreign exchange movements led to an RWA decrease of USD 0.7 billion.

 

CR8: RWA flow statements of credit risk exposures under IRB

USD million

For the quarter ended 30.9.21

1

RWA as of the beginning of the quarter

 111,267 

2

Asset size

 1,985 

3

Asset quality

 (1,141) 

4

Model updates

 986 

5

Methodology and policy

 375 

5a

of which: regulatory add-ons

 375 

6

Acquisitions and disposals

 (15) 

7

Foreign exchange movements

 (723) 

8

Other

 (550) 

9

RWA as of the end of the quarter

 112,184 

 

 

RWA flow statements of counterparty credit risk exposures under the IMM and VaR

The CCR7 table below presents a flow statement explaining changes in counterparty credit risk (CCR) RWA determined under the internal model method (IMM) for derivatives and the VaR approach for securities financing transactions (SFTs).

CCR RWA on derivatives under the IMM increased by USD 1.3 billion to USD 18.6 billion during the third quarter of 2021, primarily due to asset size movements in the Investment Bank, mainly as a result of higher client activity levels. The increase was partly offset by a decrease related to currency effects of USD 0.2 billion, model updates of USD 0.1 billion, and methodology and policy changes of USD 0.1 billion.

CCR RWA on SFTs under the VaR approach increased by USD 1.0 billion to USD 8.9 billion during the third quarter of 2021, primarily driven by a regulatory add-on of USD 1.2 billion related to prime brokerage clients.

For definitions of CCR RWA movement table components, refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” on page 48 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors

  

CCR7: RWA flow statements of CCR exposures under Internal Model Method (IMM) and value-at-risk (VaR)

  

 

For the quarter ended 30.9.21

USD million

 

Derivatives

SFTs

Total

 

 

 

Subject to IMM

Subject to VaR

 

1

RWA as of the beginning of the quarter

 

 17,232 

 7,909 

 25,141 

2

Asset size

 

 1,721 

 (45) 

 1,676 

3

Credit quality of counterparties

 

 61 

 (35) 

 26 

4

Model updates

 

 (135) 

 

 (135) 

5

Methodology and policy

 

 (90) 

 1,152 

 1,062 

5a

of which: regulatory add-ons

 

 

 1,152 

 1,152 

6

Acquisitions and disposals

 

 

 

 

7

Foreign exchange movements

 

 (233) 

 (61) 

 (294) 

8

Other

 

 

 

 

9

RWA as of the end of the quarter

 

 18,555 

 8,921 

 27,477 

 

 

11 


UBS Group AG consolidated 

RWA flow statements of market risk exposures under an internal models approach

The three main components that contribute to market risk RWA are VaR, stressed value-at-risk (SVaR) and the incremental risk charge (IRC). The VaR and SVaR components include the RWA charge for risks not in VaR (RniV).

The MR2 table below provides a breakdown of the movement in market risk RWA in the third quarter of 2021 under an internal models approach (IMA) across those components, pursuant to the movement categories defined by the BCBS. These categories are described on page 78 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors.  

Market risk RWA under an IMA increased by USD 6.3 billion to USD 13.4 billion in the third quarter of 2021, primarily due to the introduction of a regulatory add-on of USD 5.5 billion. For further information, refer to the “Introduction and basis for preparation” section of this report.

The VaR multiplier was unchanged compared with the prior quarter, at 3.0.

  

MR2: RWA flow statements of market risk exposures under an IMA1

USD million

VaR

Stressed VaR

IRC

CRM

Other

Total RWA

1

RWA as of 30.6.21

 1,036 

 3,846 

 2,211 

 

 

 7,093 

1a

Regulatory adjustment

 (727) 

 (2,288) 

 

 

 

 (3,015) 

1b

RWA at previous quarter-end (end of day)

 309 

 1,558 

 2,211 

 

 

 4,078 

2

Movement in risk levels

 475 

 22 

 (470) 

 

 

 27 

3

Model updates/changes

 (49) 

 (135) 

 

 

 

 (184) 

4

Methodology and policy

 2,428 

 2,428 

 

 

 

 4,856 

5

Acquisitions and disposals

 

 

 

 

 

 

6

Foreign exchange movements

 

 

 

 

 

 

7

Other

 17 

 61 

 

 

 

 78 

8a

RWA at the end of the reporting period (end of day)

 3,180 

 3,933 

 1,741 

 

 

 8,854 

8b

Regulatory adjustment

 846 

 3,659 

 

 

 

 4,505 

8c

RWA as of 30.9.21

 4,026 

 7,593 

 1,741 

 

 

 13,359 

1 Components that describe movements in RWA are presented in italics.

12 


 

 

Section 3  Going and gone concern requirements and eligible capital

The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided on pages 35–45 in the “Capital management” section of our third quarter 2021 report, available under ”Quarterly reporting” at ubs.com/investors.

  

Swiss SRB going and gone concern requirements and information

As of 30.9.21

 

RWA

 

LRD

USD million, except where indicated

 

in %

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

Total going concern capital

 

 14.321

 43,309 

 

 5.001

 52,246 

Common equity tier 1 capital

 

 10.02 

 30,305 

 

 3.502

 36,572 

of which: minimum capital

 

 4.50 

 13,609 

 

 1.50 

 15,674 

of which: buffer capital

 

 5.50 

 16,633 

 

 2.00 

 20,898 

of which: countercyclical buffer

 

 0.02 

 62 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 13,004 

 

 1.50 

 15,674 

of which: additional tier 1 capital

 

 3.50 

 10,585 

 

 1.50 

 15,674 

of which: additional tier 1 buffer capital

 

 0.80 

 2,419 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

Total going concern capital

 

 19.96 

 60,369 

 

 5.78 

 60,369 

Common equity tier 1 capital

 

 14.89 

 45,022 

 

 4.31 

 45,022 

Total loss-absorbing additional tier 1 capital3

 

 5.07 

 15,347 

 

 1.47 

 15,347 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 4.26 

 12,874 

 

 1.23 

 12,874 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 0.82 

 2,473 

 

 0.24 

 2,473 

 

 

 

 

 

 

 

Required gone concern capital

 

 

 

 

 

 

Total gone concern loss-absorbing capacity4

 

 10.73 

 32,447 

 

 3.77 

 39,433 

of which: base requirement5

 

 12.86 

 38,892 

 

 4.50 

 47,021 

of which: additional requirement for market share and LRD6

 

 1.44 

 4,355 

 

 0.50 

 5,225 

of which: applicable reduction on requirements

 

 (3.57) 

 (10,800) 

 

 (1.23) 

 (12,813) 

of which: rebate granted (equivalent to 55% of maximum rebate)

 

 (3.14) 

 (9,481) 

 

 (1.10) 

 (11,494) 

of which: reduction for usage of low-trigger tier 2 capital instruments

 

 (0.44) 

 (1,319) 

 

 (0.13) 

 (1,319) 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 14.03 

 42,428 

 

 4.06 

 42,428 

Total tier 2 capital

 

 1.05 

 3,185 

 

 0.30 

 3,185 

of which: low-trigger loss-absorbing tier 2 capital

 

 0.87 

 2,638 

 

 0.25 

 2,638 

of which: non-Basel III-compliant tier 2 capital

 

 0.18 

 548 

 

 0.05 

 548 

TLAC-eligible senior unsecured debt

 

 12.98 

 39,242 

 

 3.76 

 39,242 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 25.05 

 75,756 

 

 8.77 

 91,679 

Eligible total loss-absorbing capacity

 

 33.99 

 102,796 

 

 9.84 

 102,796 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

 

 

 

Risk-weighted assets

 

 

 302,426 

 

 

 

Leverage ratio denominator

 

 

 

 

 

 1,044,916 

1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD.    2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business.    3 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the Swiss SRB framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements.    4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.    5 The gone concern requirement after the application of the rebate for resolvability measures and the reduction for the use of higher quality capital instruments is floored at 8.6% and 3% for the RWA- and LRD-based requirements, respectively. This means that the combined reduction may not exceed 5.7 percentage points for the RWA-based requirement of 14.3% and 2.0 percentage points for the LRD-based requirement of 5.0%.    6 A higher add-on requirement for market share was applied in the third quarter of 2021, of which 0.72% was applied for RWA and 0.25% for LRD.

  

13 


UBS Group AG consolidated 

Section 4  Leverage ratio

Basel III leverage ratio

The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table in section 1 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (the LRD).

The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement values and eligible cash variation margin netting, the current exposure method add-on and net notional amounts for written credit derivatives. The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).

The table below shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table in this section. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.

Difference between the Swiss SRB and BCBS leverage ratio

The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.

  

Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions

USD million

30.9.21

30.6.21

On-balance sheet exposures

 

 

IFRS total assets

 1,088,773 

 1,086,519 

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation

 (21,307) 

 (22,344) 

Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting purposes but consolidated for regulatory purposes

 

 

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 

 

Less carrying amount of derivative financial instruments in IFRS total assets1

 (152,856) 

 (151,418) 

Less carrying amount of securities financing transactions in IFRS total assets2

 (100,171) 

 (111,216) 

Adjustments to accounting values

 

 

On-balance sheet items excluding derivatives and securities financing transactions, but including collateral

 814,440 

 801,541 

Asset amounts deducted in determining BCBS Basel III tier 1 capital

 (11,565) 

 (11,963) 

Total on-balance sheet exposures (excluding derivatives and securities financing transactions)

 802,875 

 789,578 

1 The exposures consist of derivative financial instruments and cash collateral receivables on derivative instruments, all of which are in accordance with the regulatory scope of consolidation.    2 The exposures consist of receivables from SFTs, margin loans, prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs, all of which are in accordance with the regulatory scope of consolidation.

 

 

14 


 

During the third quarter of 2021, the LRD increased by USD 5 billion to USD 1,045 billion. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 13 billion, mainly driven by higher central bank balances and trading assets, partly offset by a reduction in high-quality liquid asset (HQLA) securities. Derivative exposures increased by USD 3 billion, mainly reflecting higher client volumes and market-driven movements in the Investment Bank. SFTs decreased by
USD 11 billion, mainly due to excess cash reinvestment trade roll-offs and a reduction in collateral sourcing requirements, as well as lower brokerage receivables and a decrease in borrowing activities.

    Refer to “Leverage ratio denominator” in the “Capital management” section of our third quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors, for more information

 

  

LR2: BCBS Basel III leverage ratio common disclosure

USD million, except where indicated

30.9.21

30.6.21

 

 

 

 

 

On-balance sheet exposures

 

 

1

On-balance sheet items excluding derivatives and SFTs, but including collateral

 814,440 

 801,541 

2

(Asset amounts deducted in determining Basel III Tier 1 capital)

 (11,565) 

 (11,963) 

3

Total on-balance sheet exposures (excluding derivatives and SFTs)

 802,875 

 789,578 

 

 

 

 

 

Derivative exposures

 

 

4

Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)

 50,712 

 49,315 

5

Add-on amounts for PFE associated with all derivatives transactions

 85,073 

 84,187 

6

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework

 0 

 0 

7

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

 (20,096) 

 (19,910) 

8

(Exempted CCP leg of client-cleared trade exposures)

 (15,947) 

 (16,753) 

9

Adjusted effective notional amount of all written credit derivatives1

 50,580 

 72,949 

10

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)2

 (49,892) 

 (72,063) 

11

Total derivative exposures

 100,430 

 97,726 

 

 

 

 

 

Securities financing transaction exposures

 

 

12

Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions

 189,625 

 191,453 

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

 (89,454) 

 (80,150) 

14

CCR exposure for SFT assets

 10,104 

 10,204 

15

Agent transaction exposures

 

 

16

Total securities financing transaction exposures

 110,275 

 121,507 

 

 

 

 

 

Other off-balance sheet exposures

 

 

17

Off-balance sheet exposure at gross notional amount

 101,347 

 98,778 

18

(Adjustments for conversion to credit equivalent amounts)

 (70,011) 

 (67,649) 

19

Total off-balance sheet items

 31,336 

 31,129 

 

Total exposures (leverage ratio denominator)

 1,044,916 

 1,039,939 

 

 

 

 

 

Capital and total exposures (leverage ratio denominator)

 

 

20

Tier 1 capital

 60,369 

 59,188 

21

Total exposures (leverage ratio denominator)

 1,044,916 

 1,039,939 

 

 

 

 

 

Leverage ratio

 

 

22

Basel III leverage ratio (%)

 5.8 

 5.7 

1 Includes protection sold, including agency transactions.    2 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met.

 

 

15 


UBS Group AG consolidated 

LR1: BCBS Basel III leverage ratio summary comparison

USD million

30.9.21

30.6.21

1

Total consolidated assets as per published financial statements

 1,088,773 

 1,086,519 

2

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation1

 (32,872) 

 (34,307) 

3

Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure

 

 

4

Adjustments for derivative financial instruments

 (52,426) 

 (53,692) 

5

Adjustment for securities financing transactions (i.e., repos and similar secured lending)

 10,104 

 10,291 

6

Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)

 31,336 

 31,129 

7

Other adjustments

 

 

8

Leverage ratio exposure (leverage ratio denominator)

 1,044,916 

 1,039,939 

1 Includes assets that are deducted from tier 1 capital.

 

  

16 


 

 

 

Section 5  Liquidity coverage ratio

Liquidity coverage ratio

We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.

 

Pillar 3 disclosure requirement

Third quarter 2021 report section

Disclosure

Third quarter 2021 report page number

Concentration of funding sources

Balance sheet and off-balance sheet

Liabilities by product and currency

50

 

High-quality liquid assets

HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of an active and sizable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.

 

High-quality liquid assets

 

 

Average 3Q211

 

Average 2Q211

USD billion

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

Cash balances3

 

 154 

 

 154 

 

 154 

 

 154 

Securities (on- and off-balance sheet)

 

 59 

 17 

 76 

 

 61 

 17 

 78 

Total high-quality liquid assets4

 

 213 

 17 

 231 

 

 215 

 17 

 232 

1 Calculated based on an average of 65 data points in the third quarter of 2021 and 64 data points in the second quarter of 2021.    2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets.    3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.    4 Calculated in accordance with FINMA requirements.

 

 

17 


UBS Group AG consolidated 

LCR development during the third quarter of 2021

In the third quarter of 2021, the UBS Group quarterly average LCR increased 1 percentage point to 157%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).


The increase in average LCR was driven by a decrease in average total net cash outflows of USD 2 billion to USD 147 billion, mainly due to decreases in outflows from secured financing transactions. Average HQLA decreased by USD 1 billion to USD 231 billion, driven by an increase in assets subject to local transfer restrictions.

 

LIQ1: Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

Average 3Q211

 

Average 2Q211

USD billion, except where indicated

 

Unweighted value

Weighted value2

 

Unweighted value

Weighted value2

 

High-quality liquid assets

1

High-quality liquid assets

 

 234 

 231 

 

 235 

 232 

 

Cash outflows

2

Retail deposits and deposits from small business customers

 

 290 

 33 

 

 296 

 33 

3

of which: stable deposits

 

 41 

 1 

 

 42 

 1 

4

of which: less stable deposits

 

 249 

 31 

 

 254 

 32 

5

Unsecured wholesale funding

 

 243 

 127 

 

 241 

 129 

6

of which: operational deposits (all counterparties)

 

 54 

 13 

 

 53 

 13 

7

of which: non-operational deposits (all counterparties)

 

 176 

 101 

 

 173 

 101 

8

of which: unsecured debt

 

 13 

 13 

 

 15 

 15 

9

Secured wholesale funding

 

 

 75 

 

 

 79 

10

Additional requirements

 

 93 

 27 

 

 96 

 27 

11

of which: outflows related to derivatives and other transactions

 

 52 

 18 

 

 54 

 18 

12

of which: outflows related to loss of funding on debt products3

 

 0 

 0 

 

 0 

 0 

13

of which: committed credit and liquidity facilities

 

 41 

 9 

 

 42 

 9 

14

Other contractual funding obligations

 

 11 

 10 

 

 11 

 9 

15

Other contingent funding obligations

 

 224 

 4 

 

 264 

 6 

16

Total cash outflows

 

 

 275 

 

 

 284 

 

Cash inflows

17

Secured lending

 

 247 

 83 

 

 269 

 84 

18

Inflows from fully performing exposures

 

 72 

 32 

 

 77 

 35 

19

Other cash inflows

 

 13 

 13 

 

 16 

 16 

20

Total cash inflows

 

 332 

 128 

 

 361 

 135 

 

 

 

 

Average 3Q211

 

Average 2Q211

USD billion, except where indicated

 

 

Total adjusted value4

 

 

Total adjusted value4

 

 

 

 

 

 

 

 

Liquidity coverage ratio

21

High-quality liquid assets

 

 

 231 

 

 

 232 

22

Net cash outflows

 

 

 147 

 

 

 149 

23

Liquidity coverage ratio (%)

 

 

 157 

 

 

 156 

1 Calculated based on an average of 65 data points in the third quarter of 2021 and 64 data points in the second quarter of 2021.    2 Calculated after the application of haircuts and inflow and outflow rates.    3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities.    4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.

18 


 

Significant regulated subsidiaries and sub-groups

 


Significant regulated subsidiaries and sub-groups  

 

Section 1  Introduction

The sections on the following pages include capital and other regulatory information as of 30 September 2021 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated. Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and are agreed with regulators based on the risk profile of the respective entity.

Section 2  UBS AG standalone

Key metrics of the third quarter of 2021

The table on the next page is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the third quarter of 2021, common equity tier 1 (CET1) capital was largely unchanged at USD 51.2 billion, as the additional accruals for capital returns to UBS Group AG were almost entirely offset by operating profit before tax. Tier 1 capital decreased by USD 1.3 billion to USD 65.2 billion, primarily driven by the call of an additional tier 1 capital instrument with a nominal amount of USD 1.1 billion. Total capital decreased by USD 1.8 billion to USD 66.6 billion, reflecting the aforementioned decrease in tier 1 capital and a decrease in the remaining eligibility of a EUR 1.75 billion tier 2 capital instrument.

Risk-weighted assets (RWA) decreased by USD 0.4 billion to USD 318.8 billion during the third quarter of 2021, primarily driven by a decrease in credit and counterparty credit risk RWA and partly offset by an increase in market risk RWA. Leverage ratio exposure decreased by USD 9 billion to USD 598 billion, mainly driven by lower securities financing transactions and lending balances, partly offset by increases in cash and balances at central banks and derivative exposures.

Correspondingly, our CET1 capital ratio was stable at 16.1% whereas our tier 1 and total capital ratio decreased during the quarter, due to the aforementioned decreases in tier 1 and total capital. Our Basel III leverage ratio was largely unchanged at 10.9%, as the decrease in tier 1 capital was almost offset by the decrease in leverage ratio exposure.

Average high-quality liquid assets (HQLA) increased by USD 3.4 billion to USD 92.3 billion, driven by greater average cash balances due to a reduction of funding consumption in the business divisions. Average total net cash outflows increased by USD 0.2 billion to USD 50.7 billion.

 

 

20 


 

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

30.9.21

30.6.21

 

31.3.21

 

31.12.20

 

30.9.20

Available capital (amounts)

 

 

 

 

 

 

 

 

 

1

Common Equity Tier 1 (CET1)

 

 51,233 

 51,279 

 

 50,223 

 

 50,269 

 

 51,793 

1a

Fully loaded ECL accounting model CET11

 

 51,217 

 51,255 

 

 50,189 

 

 50,266 

 

 51,791 

2

Tier 1

 

 65,211 

 66,487 

 

 64,652 

 

 64,699 

 

 66,145 

2a

Fully loaded ECL accounting model Tier 11

 

 65,195 

 66,463 

 

 64,618 

 

 64,696 

 

 66,143 

3

Total capital

 

 66,639 

 68,421 

 

 67,126 

 

 69,639 

 

 71,020 

3a

Fully loaded ECL accounting model total capital1

 

 66,624 

 68,398 

 

 67,091 

 

 69,636 

 

 71,018 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 318,755 

 319,195 

 

 317,824 

 

 305,575 

 

 309,019 

4a

Minimum capital requirement2

 

 25,500 

 25,536 

 

 25,426 

 

 24,446 

 

 24,722 

4b

Total risk-weighted assets (pre-floor)

 

 318,755 

 319,195 

 

 317,824 

 

 305,575 

 

 309,019 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

5

CET1 ratio (%)

 

 16.07 

 16.06 

 

 15.80 

 

 16.45 

 

 16.76 

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

 16.07 

 16.06 

 

 15.79 

 

 16.45 

 

 16.76 

6

Tier 1 ratio (%)

 

 20.46 

 20.83 

 

 20.34 

 

 21.17 

 

 21.40 

6a

Fully loaded ECL accounting model Tier 1 ratio (%)1

 

 20.45 

 20.82 

 

 20.33 

 

 21.17 

 

 21.40 

7

Total capital ratio (%)

 

 20.91 

 21.44 

 

 21.12 

 

 22.79 

 

 22.98 

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

 20.90 

 21.43 

 

 21.11 

 

 22.79 

 

 22.98 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (%)

 

 2.50 

 2.50 

 

 2.50 

 

 2.50 

 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.02 

 0.02 

 

 0.02 

 

 0.01 

 

 0.02 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 

 

 

 

 

 

 

 

10

Bank G-SIB and / or D-SIB additional requirements (%)3

 

 

 

 

 

 

 

 

 

11

Total of bank CET1 specific buffer requirements (%)

 

 2.52 

 2.52 

 

 2.52 

 

 2.51 

 

 2.52 

12

CET1 available after meeting the bank’s minimum capital requirements (%)

 

 11.57 

 11.56 

 

 11.30 

 

 11.95 

 

 12.26 

Basel III leverage ratio4

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 597,542 

 606,536 

 

 611,022 

 

 595,017 

 

 588,204 

14

Basel III leverage ratio (%)

 

 10.91 

 10.96 

 

 10.58 

 

 10.87 

 

 11.25 

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)1

 

 10.91 

 10.96 

 

 10.58 

 

 10.87 

 

 11.24 

Liquidity coverage ratio (LCR)5

 

 

 

 

 

 

 

 

 

15

Total high-quality liquid assets (HQLA)

 

 92,333 

 88,964 

 

 82,041 

 

 83,905 

 

 88,424 

16

Total net cash outflow

 

 50,733 

 50,537 

 

 47,927 

 

 52,851 

 

 52,463 

17

LCR (%)

 

 183 

 176 

 

 172 

 

 159 

 

 169 

Net stable funding ratio (NSFR)6

 

 

 

 

 

 

 

 

 

18

Total available stable funding

 

251,277

 

 

 

 

 

 

 

19

Total required stable funding

 

283,682

 

 

 

 

 

 

 

20

NSFR (%)

 

89

 

 

 

 

 

 

 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided on the following pages in this section.    4 The temporary exemption that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in connection with COVID-19 had no net effect on UBS AG standalone in 2020. Refer to the “Introduction and basis for preparation” and “UBS AG standalone” sections of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.    5 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information.    6 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, UBS AG standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into account such excess funding. Refer to the “Introduction and basis for preparation” section of this report for more information.

 

21 


Significant regulated subsidiaries and sub-groups  

Swiss SRB going and gone concern requirements and information

The tables below and on the next page provide details of the Swiss systemically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by the Swiss Financial Market Supervisory Authority (FINMA); details regarding eligible gone concern instruments are provided on the next page.

More information about the going and gone concern requirements and information is provided on page 112 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors


The applicable market share add-on requirements as of 30 September 2021 were 0.72% for RWA and 0.25% for LRD purposes. These add-ons were increased by 0.36% for RWA and 0.125% for LRD in the third quarter of 2021, reflecting an increase in UBS’s market share in the Swiss credit business to more than 17%. The applicable LRD add-on requirements remained unchanged at 0.72% for RWA and 0.25% for LRD purposes, as our Group LRD remained within the same add-on bucket.

 

  

Swiss SRB going and gone concern requirements and information

As of 30.9.21

 

RWA, phase-in

 

RWA, fully applied as of 1.1.28

 

LRD

USD million, except where indicated

 

in %

 

 

in%

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 14.321

 45,633 

 

 14.321

 54,913 

 

 5.001

 29,877 

Common equity tier 1 capital

 

 10.02 

 31,926 

 

 10.02 

 38,419 

 

 3.50 

 20,914 

of which: minimum capital

 

 4.50 

 14,344 

 

 4.50 

 17,261 

 

 1.50 

 8,963 

of which: buffer capital

 

 5.50 

 17,532 

 

 5.50 

 21,097 

 

 2.00 

 11,951 

of which: countercyclical buffer

 

 0.02 

 51 

 

 0.02 

 61 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 13,706 

 

 4.30 

 16,494 

 

 1.50 

 8,963 

of which: additional tier 1 capital

 

 3.50 

 11,156 

 

 3.50 

 13,425 

 

 1.50 

 8,963 

of which: additional tier 1 buffer capital

 

 0.80 

 2,550 

 

 0.80 

 3,069 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 20.46 

 65,211 

 

 17.00 

 65,211 

 

 10.91 

 65,211 

Common equity tier 1 capital

 

 16.07 

 51,233 

 

 13.36 

 51,233 

 

 8.57 

 51,233 

Total loss-absorbing additional tier 1 capital

 

 4.39 

 13,978 

 

 3.64 

 13,978 

 

 2.34 

 13,978 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 3.61 

 11,509 

 

 3.00 

 11,509 

 

 1.93 

 11,509 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 0.77 

 2,469 

 

 0.64 

 2,469 

 

 0.41 

 2,469 

 

 

 

 

 

 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

 

 

 

 

 

 

Risk-weighted assets

 

 

 318,755 

 

 

 383,582 

 

 

 

Leverage ratio denominator

 

 

 

 

 

 

 

 

 597,542 

 

 

 

 

 

 

 

 

 

 

Required gone concern capital2

 

Higher of RWA- or LRD-based

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 

 38,482 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 

 42,412 

 

 

 

 

 

Gone concern capital coverage ratio

 

 110.21 

 

 

 

 

 

 

 

1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD.    2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

 

22 


 

Swiss SRB going and gone concern information

USD million, except where indicated

 

30.9.21

 

30.6.21

 

 

 

 

 

Eligible going concern capital

 

 

 

 

Total going concern capital

 

 65,211 

 

 66,487 

Total tier 1 capital

 

 65,211 

 

 66,487 

Common equity tier 1 capital

 

 51,233 

 

 51,279 

Total loss-absorbing additional tier 1 capital

 

 13,978 

 

 15,208 

of which: high-trigger loss-absorbing additional tier 1 capital

 

 11,509 

 

 12,702 

of which: low-trigger loss-absorbing additional tier 1 capital

 

 2,469 

 

 2,506 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

Total gone concern loss-absorbing capacity

 

 42,412 

 

 45,091 

Total tier 2 capital

 

 3,170 

 

 5,214 

of which: low-trigger loss-absorbing tier 2 capital

 

 2,635 

 

 4,678 

of which: non-Basel III-compliant tier 2 capital

 

 534 

 

 536 

TLAC-eligible senior unsecured debt

 

 39,242 

 

 39,878 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

Total loss-absorbing capacity

 

 107,623 

 

 111,578 

 

 

 

 

 

Denominators for going and gone concern ratios

 

 

 

 

Risk-weighted assets phase-in

 

 318,755 

 

 319,195 

of which: investments in Swiss-domiciled subsidiaries1

 

 38,227 

 

 38,456 

of which: investments in foreign-domiciled subsidiaries1

 

 108,837 

 

 108,593 

Risk-weighted assets fully applied as of 1.1.28

 

 383,582 

 

 383,929 

of which: investments in Swiss-domiciled subsidiaries1

 

 44,450 

 

 44,717 

of which: investments in foreign-domiciled subsidiaries1

 

 167,442 

 

 167,066 

Leverage ratio denominator

 

 597,542 

 

 606,536 

 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

 

Going concern capital ratio, phase-in

 

 20.5 

 

 20.8 

of which: common equity tier 1 capital ratio, phase-in

 

 16.1 

 

 16.1 

Going concern capital ratio, fully applied as of 1.1.28

 

 17.0 

 

 17.3 

of which: common equity tier 1 capital ratio, fully applied as of 1.1.28

 

 13.4 

 

 13.4 

 

 

 

 

 

Leverage ratios (%)

 

 

 

 

Going concern leverage ratio

 

 10.9 

 

 11.0 

of which: common equity tier 1 leverage ratio

 

 8.6 

 

 8.5 

 

 

 

 

 

Capital coverage ratio (%)

 

 

 

 

Gone concern capital coverage ratio

 

 110.2 

 

 120.6 

1 Net exposure for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries (30 September 2021: USD 17,780 million; 30 June 2021: USD 17,887 million) and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (30 September 2021: USD 41,860 million; 30 June 2021: USD 41,767 million) are risk-weighted at 215% and 260%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Swiss-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.   

 

23 


Significant regulated subsidiaries and sub-groups  

Leverage ratio information

Swiss SRB leverage ratio denominator

 

 

 

USD billion

 

30.9.21

30.6.21

 

 

 

 

Leverage ratio denominator

 

 

 

Swiss GAAP total assets

 

 508.8 

 512.0 

Difference between Swiss GAAP and IFRS total assets

 

 121.5 

 120.8 

Less: derivative exposures and SFTs1

 

 (225.2) 

 (232.5) 

Less: funding provided to significant regulated subsidiaries eligible as gone concern capital

 

 (20.8) 

 (20.8) 

On-balance sheet exposures (excluding derivative exposures and SFTs)

 

 384.2 

 379.5 

Derivative exposures

 

 103.6 

 100.1 

Securities financing transactions

 

 88.6 

 105.7 

Off-balance sheet items

 

 22.5 

 22.7 

Items deducted from Swiss SRB tier 1 capital

 

 (1.4) 

 (1.4) 

Total exposures (leverage ratio denominator)

 

 597.5 

 606.5 

1 The exposures consist of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from SFTs, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs. These exposures are presented separately under Derivative exposures and Securities financing transactions in this table.

 

 

Liquidity coverage ratio

In the third quarter of 2021, the UBS AG liquidity coverage ratio (LCR) was 183%, remaining above the prudential requirements communicated by FINMA.

 

Liquidity coverage ratio

 

 

Weighted value1

USD billion, except where indicated

 

Average 3Q212

Average 2Q212

High-quality liquid assets

 

 92 

 89 

Total net cash outflows

 

 51 

 51 

of which: cash outflows

 

 167 

 171 

of which: cash inflows

 

 117 

 120 

Liquidity coverage ratio (%)

 

 183 

 176 

1 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.    2 Calculated based on an average of 65 data points in the third quarter of 2021 and 64 data points in the second quarter of 2021.

  

24 


 

Section 3  UBS Switzerland AG standalone

Key metrics of the third quarter of 2021

The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the third quarter of 2021, common equity tier 1 (CET1) capital decreased slightly by CHF 0.1 billion to CHF 12.2 billion, mainly as additional accruals for dividends were almost entirely offset by operating profit. Risk-weighted assets (RWA) were largely stable at CHF 110.0 billion. Leverage ratio exposure decreased by CHF 3 billion to CHF 339 billion, mainly driven by lower securities financing transactions and high-quality liquid asset (HQLA) securities, partly offset by an increase in lending balances.

Average HQLA decreased by CHF 5.4 billion to CHF 92.3 billion, driven by lower average cash balances mainly due to a net deposit decrease and higher lending activities. Average total net cash outflows decreased by CHF 0.7 billion to CHF 64.5 billion

 

KM1: Key metrics

 

 

 

 

 

 

 

 

 

 

CHF million, except where indicated

 

 

 

30.9.21

 

30.6.21

 

31.3.21

 

31.12.20

 

30.9.20

Available capital (amounts)

 

 

 

 

 

 

 

 

 

 

1

Common Equity Tier 1 (CET1)

 

 12,199 

 

 12,312 

 

 12,417 

 

 12,234 

 

 11,992 

1a

Fully loaded ECL accounting model CET11

 

 12,198 

 

 12,311 

 

 12,416 

 

 12,233 

 

 11,989 

2

Tier 1

 

 17,596 

 

 17,705 

 

 17,819 

 

 17,410 

 

 16,683 

2a

Fully loaded ECL accounting model Tier 11

 

 17,595 

 

 17,704 

 

 17,818 

 

 17,409 

 

 16,680 

3

Total capital

 

 17,596 

 

 17,705 

 

 17,819 

 

 17,410 

 

 16,683 

3a

Fully loaded ECL accounting model total capital1

 

 17,595 

 

 17,704 

 

 17,818 

 

 17,409 

 

 16,680 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 109,941 

 

 109,602 

 

 110,194 

 

 107,253 

 

 107,066 

4a

Minimum capital requirement2

 

 8,795 

 

 8,768 

 

 8,816 

 

 8,580 

 

 8,565 

4b

Total risk-weighted assets (pre-floor)

 

 93,839 

 

 93,853 

 

 93,149 

 

 92,164 

 

 92,755 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

 

5

CET1 ratio (%)

 

 11.10 

 

 11.23 

 

 11.27 

 

 11.41 

 

 11.20 

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

 11.10 

 

 11.23 

 

 11.27 

 

 11.41 

 

 11.20 

6

Tier 1 ratio (%)

 

 16.00 

 

 16.15 

 

 16.17 

 

 16.23 

 

 15.58 

6a

Fully loaded ECL accounting model Tier 1 ratio (%)1

 

 16.00 

 

 16.15 

 

 16.17 

 

 16.23 

 

 15.58 

7

Total capital ratio (%)

 

 16.00 

 

 16.15 

 

 16.17 

 

 16.23 

 

 15.58 

7a

Fully loaded ECL accounting model total capital ratio (%)1

 

 16.00 

 

 16.15 

 

 16.17 

 

 16.23 

 

 15.58 

Additional CET1 buffer requirements as a percentage of RWA