UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
Date: August 21, 2015
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File
Number: 1-15060
(Registrants Names)
Bahnhofstrasse 45, Zurich, Switzerland, and
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive office)
Indicate by check mark whether
the registrant files or will file annual reports under cover of Form 20-F or Form 40-F.
Form
20-F x Form 40-F ¨
This Form 6-K consists of the Basel III Pillar 3 disclosure for first half 2015 of UBS Group AG and UBS AG, which
appears immediately following this page.
Basel III Pillar 3
First Half 2015 Report
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Table of contents |
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4 |
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Introduction |
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4 |
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Location of Pillar 3 disclosures |
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7 |
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Our approach to measuring risk exposure and risk-weighted assets |
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8 |
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Scope of regulatory consolidation |
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8 |
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Table 1: Main legal entities consolidated under IFRS but not included in the regulatory scope of
consolidation |
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9 |
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Overview of Basel III exposures and risk-weighted assets |
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10 |
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Table 2: Detailed segmentation of Basel III exposures and risk-weighted
assets |
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12 |
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Credit risk |
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12 |
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Table 3: Regulatory gross credit risk by exposure segment and RWA |
13 |
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Table 4: Regulatory gross credit exposure by geographical region |
13 |
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Table 5: Regulatory gross credit exposure by counterparty type |
14 |
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Table 6: Regulatory gross credit exposure by residual contractual maturity |
14 |
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Table 7: Derivation of regulatory net credit exposure |
15 |
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Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives |
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16 |
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Advanced internal ratings-based approach |
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16 |
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Table 9a: Sovereigns
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
17 |
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Table 9b: Banks A-IRB approach: Regulatory net
credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
18 |
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Table 9c: Corporates
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
19 |
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Table 9d: Residential mortgages
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
20 |
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Table 9e: Lombard lending
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
21 |
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Table 9f: Qualifying revolving retail exposures
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
22 |
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Table 9g: Other retail
A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Corporate calendar UBS Group AG |
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Publication of the third quarter 2015 report: |
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Tuesday, 3 November 2015 |
Publication of the fourth quarter 2015 report: |
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Tuesday, 9 February 2016 |
Publication of the Annual Report 2015: |
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Friday, 18 March 2016 |
Publication of the first quarter 2016 report: |
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Tuesday, 3 May 2016 |
Contacts
Switchboards
For all general inquiries.
Zurich +41-44-234 1111
London +44-20-7568 0000
New York +1-212-821 3000
Hong Kong +852-2971 8888
www.ubs.com/contact
Investor Relations
UBSs Investor
Relations team supports institutional, professional and retail investors from our offices in Zurich, London, New York and Singapore.
UBS Group AG,
Investor Relations
P.O. Box, CH-8098 Zurich,
Switzerland
investorrelations@ubs.com
www.ubs.com/investors
Hotline Zurich +41-44-234 4100
Hotline New York +1-212-882 5734
Fax (Zurich)
+41-44-234 3415
Media Relations
UBSs
Media Relations team supports global media and journalists from offices in Zurich, London, New York and Hong Kong.
www.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 5857
mediarelations-ny@ubs.com
Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Company Secretary
The Company Secretary receives inquiries on compensation and related issues addressed to members of the Board of Directors.
UBS Group AG, Office of the
Company Secretary
P.O. Box, CH-8098 Zurich,
Switzerland
sh-company-secretary@ubs.com
Hotline +41-44-235 6652
Fax +41-44-235 8220
Shareholder Services
UBSs Shareholder Services team, a unit of the Company Secretary office, is responsible for the registration of the global registered shares.
UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich,
Switzerland
sh-shareholder-services@ubs.com
Hotline +41-44-235 6652
Fax +41-44-235 8220
US Transfer Agent
For global registered share-related inquiries in the US.
Computershare
P.O. Box 30170
College Station
TX 77842, USA
Shareholder online inquiries:
https://www-us.computershare.com/
investor/Contact
Shareholder website:
www.computershare.com/investor
Calls from the US +1 866-541
9689
Calls from outside the US
+1-201-680 6578
Fax +1-201-680 4675
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com
Language: English
© UBS 2015. The key symbol and
UBS are among the registered and unregistered trademarks of UBS. All rights reserved.
3
Introduction
This report provides an update to our Bank for International Settlements (BIS) Basel III Pillar 3
disclosures as presented in our Annual Report 2014 to the extent that this information was not already provided in our first and second quarter 2015 reports. This report relates to UBS Group AG on a consolidated basis as Pillar 3 disclosure
requirements are applicable at this level. An exception is the requirement to disclose total and tier 1 capital ratios related to the significant bank subsidiaries UBS AG, UBS Switzerland AG and UBS Limited, which are presented in the
Financial information section of our second quarter 2015 report. Furthermore, selected regulatory information for UBS AG (consolidated) is presented in the Capital management section of our second quarter 2015 report.
The capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital
requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3
aims to encourage market discipline by requiring banks to publish a range of disclosures, mainly on risk and capital.
This report is based on phase-in rules under the BIS Basel III framework, as implemented by the revised Swiss Capital Adequacy
Ordinance issued by the Swiss Federal Council, and required by Swiss Financial Market Supervisory Authority (FINMA) regulation. Further, as UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group and UBS AG are
required to comply with regulations based on the Basel III framework as applicable for Swiss SRB on a consolidated basis.
FINMA requires us to publish comprehensive quantitative and qualitative Pillar 3
disclosures annually, as well as an update of quantitative disclosures and any significant changes to qualitative information semi-annually. In the first half of 2015, we did not have any significant changes to qualitative information.
Capital information as of 30 June 2015 for UBS Group AG (consolidated) and UBS AG (consolidated) is provided in the
Capital management section of our second quarter 2015 report.
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Refer to the Capital management section of our second quarter 2015 report for more information on regulatory requirements and differences between
the Swiss SRB and BIS Basel III capital regulations |
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Refer to the Pillar 3, SEC filings & other disclosures section at
www.ubs.com/investors for more information on G-SIBs indicators and previous Pillar 3 reports |
Revised Pillar 3 disclosure requirements
In January 2015, the Basel Committee on
Banking Supervision (BCBS) issued revised Pillar 3 disclosure requirements that aim to improve comparability and consistency of disclosures, through the introduction of harmonized templates. The revised requirements will take effect at the end of
2016.
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Refer to the Regulatory and legal developments section of our Annual Report 2014 for more information on the revised Pillar 3 disclosure
requirements |
Location of Pillar 3
disclosures
The following table provides
an overview of Pillar 3 disclosures in our UBS Group AG Annual Report 2014 and our second quarter 2015 report, where relevant.
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Pillar 3 disclosures |
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Location in our UBS Group
AG Annual Report 2014 |
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Location in our second quarter
2015 report |
Scope of consolidation |
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Financial information Note 1 Summary of
significant accounting policies (on pages 405425) UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations
as of 31 December 2014 Scope of regulatory consolidation (on page 605)
Table 1c: Main legal entities consolidated under IFRS but not included in the regulatory scope of
consolidation |
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Capital structure |
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Capital management (on pages 251260) |
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Capital management (on pages 91 and 97)
Financial information (on pages 184, 188 and 191) |
Capital adequacy |
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Capital management (on pages 245275) |
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Capital management (on pages 88113)
Financial information (on pages 184, 188 and 191) |
Capital instruments |
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Capital management (on pages 255256) Bondholder information at
www.ubs.com/investors |
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Capital management (on page 95) Bondholder information at www.ubs.com/investors |
Risk management objectives, policies and methodologies qualitative
disclosures |
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Risk management and control (on pages 170231) |
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4
Location of Pillar 3 disclosures (continued)
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Pillar 3 disclosures |
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Location in our UBS Group
AG Annual Report 2014 |
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Location in our second quarter
2015
report1 |
Risk-weighted assets |
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Capital management (on pages 261267) |
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Capital management (on pages 100104) |
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UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 |
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Segmentation of Basel III exposures and risk-weighted assets (on pages 606608) |
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Table 2: Detailed segmentation of Basel III exposures and
risk-weighted assets |
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Credit risk |
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Risk management and control (on page 181 and pages 198203) |
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Information on |
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Impaired assets by region, |
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Impaired assets by exposure segment, |
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Changes in allowances and provisions, and
on |
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Total expected loss and actual credit losses (on pages
185190 and page 203) |
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UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3 regulations as of 31 December 2014 |
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Credit risk (on pages 609626) |
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Table 3: Regulatory gross credit risk by exposure segment and RWA |
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Table 4: Regulatory gross credit exposure by geographical region |
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Table 5: Regulatory gross credit exposure by counterparty type |
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Table 6: Regulatory gross credit exposure by residual contractual maturity |
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Table 7: Derivation of regulatory net credit exposure |
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Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives |
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Table 9a: Sovereigns Advanced IRB approach: Regulatory net credit exposure, weighted average PD,
LGD and RWA by internal UBS ratings |
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Table 9b: Banks Advanced IRB approach: Regulatory net credit exposure, weighted average PD, LGD
and RWA by internal UBS ratings |
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Table 9c: Corporates Advanced IRB approach: Regulatory net credit exposure, weighted average PD,
LGD and RWA by internal UBS ratings |
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Table 9d: Residential mortgages Advanced IRB approach: Regulatory net credit exposure, weighted
average PD, LGD and RWA by internal UBS ratings |
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Table 9e: Lombard lending Advanced IRB approach: Regulatory net credit exposure, weighted
average PD, LGD and RWA by internal UBS ratings |
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Table 9f: Qualifying revolving retail exposures Advanced IRB approach: Regulatory net credit
exposure, weighted average PD, LGD and RWA by internal UBS ratings |
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Table 9g: Other retail Advanced IRB approach: Regulatory net credit exposure, weighted average
PD, LGD and RWA by internal UBS ratings |
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Table 10a: Regulatory gross and net credit exposure by risk weight under the standardized
approach |
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Table 10b: Regulatory net credit exposure under the standardized approach risk-weighted using external
ratings |
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Table 11: Eligible financial collateral recognized under the standardized approach |
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Table 12: Credit exposure of derivative instruments |
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Table 13: Credit derivatives |
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Table 14: Equity instruments in the banking book |
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Market risk |
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Risk management and control (on pages 206207)
Information on Group regulatory value-at-risk (on page 209 and pages 211218)
Note 24 Fair value measurement (on pages 469472) |
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Risk management and control (on pages 7377 in our second quarter 2015 report and 7074 in our first quarter 2015 report) |
1 Or, where indicated, in our first quarter 2015 report.
5
Location of Pillar 3 disclosures (continued)
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Pillar 3 disclosures |
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Location in our UBS Group
AG Annual Report 2014 |
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Location in our second quarter
2015 report |
Operational risk |
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Risk management and control (on pages 229231) |
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Interest rate risk in the banking book |
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Risk management and control (on pages 219221) |
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Risk management and control (on pages 73 and 77) |
Securitization |
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UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3
regulations as of 31 December 2014 Securitization (on pages 628642) |
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Table 15: Securitization/re-securitization |
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Table 16: Securitization activity for the year in the banking book |
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Table 17: Securitization activity for the year in the trading book |
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Table 18: Outstanding securitized exposures |
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Table 19: Impaired or past due securitized exposures and losses related to securitized exposures in the
banking book |
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Table 20: Exposures intended to be securitized in the banking and trading book |
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Table 21: Securitization positions retained or purchased in the banking book |
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Table 22: Securitization positions retained or purchased in the trading book |
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Table 23a: Capital requirement for securitization/re-securitization positions retained or purchased in
the banking book |
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Table 23b: Securitization/re-securitization exposures treated under the ratings-based approach by
rating clusters banking book |
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Table 23c: Securitization/re-securitization exposures treated under the supervisory formula approach by
rating clusters banking book |
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Securitization exposures to be deducted from Basel III tier 1 capital |
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Securitization exposures subject to early amortization in the banking and trading book |
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Table 24: Re-securitization positions retained or purchased in the banking book |
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Table 25: Re-securitization positions retained or purchased in the trading book |
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Table 26: Outstanding notes issued by securitization vehicles related to UBSs retained exposures
subject to the market risk approach |
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Table 27: Correlation products subject to the comprehensive risk measure or the securitization
framework for specific risk |
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Table 28a: Securitization positions and capital requirement for trading book positions subject to the
securitization framework |
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Table 28b: Securitization/re-securitization exposures treated under the ratings-based approach by
rating clusters trading book |
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Table 28c: Securitization/re-securitization exposures treated under the supervisory formula approach by
rating clusters banking book |
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Table 29: Capital requirement for securitization positions related to
correlation products |
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Composition of capital |
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UBS Group AG consolidated supplemental disclosures required under Basel III Pillar 3
regulations as of 31 December 2014 Composition of capital (on pages 643647) |
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Table 30:Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of
consolidation |
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Table 31:Composition of capital |
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G-SIBs indicator (annual disclosure requirement only) |
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Refer to Pillar 3, SEC filings & other disclosures at
www.ubs.com/investors |
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Remuneration (annual disclosure requirement only) |
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Compensation (on pages 300, 338339, 342343, 345348, 350351, 355,
359360, 363373) |
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6
Our approach to measuring risk exposure and risk-weighted assets
Measures of risk exposure may differ depending on whether the exposures are calculated for financial accounting purposes under
International Financial Reporting Standards (IFRS), for determining our regulatory capital or for risk management purposes. Our Basel III Pillar 3 disclosures are generally based on measures of risk exposure used to determine the regulatory capital
required to underpin those risks.
The table below provides a summary of the approaches we use for the main risk
categories to determine regulatory capital.
The naming conventions for the exposure segments used in the following tables are
based on BIS rules and may differ from those under Swiss and European Union (EU) regulations. For example, sovereigns under the BIS naming convention are termed central governments and central banks under the Swiss and EU
regulations. Similarly, banks are institutions and residential mortgages are claims secured by residential real estate.
Our risk-weighted assets (RWA) are published according to the BIS Basel III framework, as implemented by the revised Swiss Capital
Adequacy Ordinance issued by the Swiss Federal Council and required by FINMA regulation.
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Refer to the Capital management section of our second quarter 2015 report for more
information on differences between Swiss SRB and BIS Basel III capital regulations |
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Category |
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UBS approach |
Credit risk |
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Counterparty credit risk by exposure
segment |
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Under the advanced internal ratings-based (A-IRB) approach applied for the majority of our businesses, counterparty risk weights
are determined by reference to internal counterparty ratings and loss given default estimates. We use internal models to measure the credit risk exposures to third parties on derivatives and securities financing transactions. All internal
credit risk models are approved by FINMA. For a subset of our credit portfolio, we apply the standardized approach, based on external ratings. |
Securitization/re-securitization in the banking
book |
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Securitization/re-securitization exposures in the banking book are generally assessed using the ratings-based approach, applying
risk weights based on external ratings. For certain exposures, the supervisory formula-based approach is applied, considering the A-IRB risk weights. |
Equity instruments in the banking book |
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Simple risk weight method under the IRB approach. |
Credit valuation adjustment (CVA) |
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The credit valuation adjustment (CVA) is an additional capital charge to the existing counterparty credit risk default charge.
Banks are required to hold capital for the risk of mark-to-market losses (i.e., CVA) associated with the deterioration of counterparty credit quality. The model that we use is approved by FINMA. For a subset of our credit portfolio, we apply the
standardized approach. |
Settlement risk |
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Capital requirements for failed transactions are determined according to the rules for failed trades and
non-delivery-versus-payment transactions under the Basel III framework. |
Non-counterparty-related
risk |
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The required capital for non-counterparty-related assets such as our premises, other property, equipment and software, deferred
tax assets on temporary differences and defined benefit plans is calculated according to prescribed regulatory risk weights. |
Market
risk |
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The regulatory capital requirement is calculated using a variety of methods approved by FINMA. The components are value-at-risk
(VaR), stressed VaR (SVaR), an add-on for risks which are potentially not fully modeled in VaR (RniV), the incremental risk charge (IRC), the comprehensive risk measure (CRM) for the correlation portfolio and the securitization framework
for securitization positions in the trading book, which is described below. Details on the derivation of RWA for each of these components are provided in the Risk management and control section of our Annual Report
2014. |
Securitization/re-securitization in the trading
book |
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Securitization/re-securitization in the trading book are assessed for their general market risk as well as for their specific
risk. The capital charged for general market risk is determined by the VaR and SVaR methods, whereas the capital charge for specific risk is determined using the CRM method or the ratings-based approach, applying risk weights based on external
ratings. |
Operational
risk |
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Our model to quantify operational risk meets the regulatory capital standard under the advanced measurement approach and is
approved by FINMA. Operational risk RWA also include the incremental operational risk RWA based on the supplemental operational risk capital analysis mutually agreed to by UBS and FINMA. |
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Refer to the Risk management and control section of our Annual Report 2014 for more
information |
7
Scope of regulatory consolidation
The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS, and
includes subsidiaries directly or indirectly controlled by UBS Group AG that are active in the banking and finance sector. However, subsidiaries consolidated under IFRS that are active in sectors other than banking and finance are excluded from the
regulatory scope of consolidation. More information on the IFRS scope of consolidation, as well as the list of significant subsidiaries included in this scope as of 31 December 2014, are available in the Financial information section of
our Annual Report 2014.
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Refer to Note 1 Summary of significant accounting policies and Note 30 Interests in
subsidiaries and other entities in the Financial information section of our Annual Report 2014 for more information |
The main differences in the basis of consolidation between IFRS and regulatory capital purposes relate to the following entities as of 30 June 2015:
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Investments in insurance, real estate and commercial companies as well as investment vehicles which were consolidated under IFRS, but not for regulatory
capital purposes, and were subject to risk weighting; |
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Joint ventures which were fully consolidated for regulatory capital purposes, but which were accounted for under the equity method under IFRS;
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Entities which have issued preferred securities which were consolidated for regulatory capital purposes but not consolidated under IFRS. These entities hold
bonds issued by UBS AG, which are eliminated in the consolidated regulatory capital accounts. These entities do not have material third-party asset balances, and their equity is attributable to non-controlling interests.
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The table below provides a list of the most significant entities that were included
in the IFRS scope of consolidation, but not in the regulatory capital scope of consolidation. As of 30 June 2015, entities consolidated under IFRS, but not included in the regulatory scope of consolidation, did not report any significant
capital deficiencies.
In the banking book, certain equity investments were not required to be consolidated, neither
under IFRS nor in the regulatory scope. These investments mainly consisted of infrastructure holdings and joint operations (for example, settlement and clearing institutions, stock and financial futures exchanges) and included our participation in
the SIX Group. These investments were risk weighted based on applicable threshold rules.
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Refer to Table 18: Equity instruments in the banking book of this report for more
information on the measurement of these instruments |
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Refer to Table 33: Reconciliation of accounting balance sheet to balance sheet under the
regulatory scope of consolidation of this report for more information |
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Refer to Note 25 Restricted and transferred financial assets in the Financial
information section of our Annual Report 2014 for more information on transferability restrictions under IFRS 12
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Table 1: Main legal
entities according to the IFRS scope of consolidation not subject to the regulatory scope of consolidation
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30.6.15 |
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CHF million |
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Total assets1 |
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Total equity1 |
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Purpose |
UBS Global Asset Management Life Ltd Long Term Fund |
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10,893 |
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15 |
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Life insurance |
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UBS International Life Limited |
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5,098 |
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69 |
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Life insurance |
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UBS A&Q Alternative Solution Master Limited |
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953 |
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688 |
2 |
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Investment vehicle for feeder funds |
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UBS A&Q Alternative Solution Limited |
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689 |
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679 |
2 |
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Investment vehicle for multiple investors |
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UBS Global Life AG |
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670 |
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11 |
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Life insurance |
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A&Q Alpha Select Hedge Fund XL |
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347 |
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174 |
2 |
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Investment vehicle for multiple investors |
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UBS Life AG |
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320 |
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57 |
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Life insurance |
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UBS Alpha Select Hedge Fund |
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277 |
|
|
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270 |
2 |
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Fund |
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OConnor Global Multi-Strategy Alpha (Levered) Limited |
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196 |
|
|
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190 |
2 |
|
Investment vehicle for multiple investors |
|
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UBS Life Insurance Company USA |
|
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187 |
|
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40 |
|
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Life insurance |
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UBS Real Estate Investments Inc. |
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149 |
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|
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116 |
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Real estate |
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Master Triple Net Holdings LLC |
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126 |
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12 |
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Real estate |
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UBS Multi-Manager Alternative Commodities Fund Ltd. |
|
|
121 |
|
|
|
114 |
2 |
|
Fund |
|
|
|
|
|
|
|
|
|
|
|
1 Total assets and total equity on a standalone
basis. 2 Represents
the net asset value (NAV) of issued fund units. These fund units are subject to liability treatment in the Group Financial Statements under IFRS.
8
Overview of Basel III exposures and risk-weighted assets
Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets and
subsequent tables provide a breakdown according to BIS-defined exposure segments as follows:
|
|
Sovereigns, consisting of exposures relating to sovereign states and their central banks, the BIS, the
International Monetary Fund, the EU (including the European Central Bank) and eligible multilateral development banks. |
|
|
Banks, consisting of exposures to legal entities holding a banking license. This segment also includes
securities firms subject to supervisory and regulatory arrangements, including risk-based capital requirements, which are comparable to those applied to banks according to the framework. This segment also includes exposures to public sector entities
with tax-raising power or entities whose liabilities are fully guaranteed by a public entity. |
|
|
Corporates, consisting of all exposures that do not fit into any of the other exposure segments. This
segment includes private commercial entities such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds). |
|
|
Central counterparties (CCP) are clearing houses that interpose themselves between counterparties to
contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer and thereby ensuring the future performance of open contracts. A CCP becomes counterparty to trades with market participants through
novation, an open offer system, or another legally binding arrangement. |
|
|
Retail, Residential mortgages, consisting of residential mortgages, regardless of exposure size, if the
debtor occupies or rents out the mortgaged property. |
|
|
Retail, Lombard lending, consisting of loans made against the pledge of eligible marketable securities
or cash. |
|
|
Retail, Qualifying revolving retail exposures, consisting of unsecured revolving credits that exhibit
appropriate loss characteristics
|
|
|
relating to credit card relationships treated under the advanced internal ratings-based (A-IRB) approach. |
|
|
Retail, Other retail, consisting of exposures to small businesses, private clients and other retail
customers without mortgage financing. |
Table 2 also shows the gross and net exposure at default
(EAD) per risk type and exposure segment, which forms the basis for the calculation of the RWA as well as the capital requirement per exposure category. The Basel III credit risk-related component Stressed expected positive exposure
(sEPE) is newly included in Counterparty credit risk by exposure segment while Credit valuation adjustment (CVA) is still disclosed separately in this table. Comparative figures for December 2014 have been restated
accordingly.
Gross EAD decreased by CHF 19 billion to CHF 725 billion in the first half of 2015, primarily
as a result of lower exposures to sovereigns and non-counterparty-related risk. The reduction in non-counterparty-related risk was mainly due to decreases related to defined benefit pension plans and deferred tax assets recognized for tax loss
carry-forwards.
Capital requirements presented in the following tables are calculated based on our Swiss SRB
Basel III total capital requirement of 12.6% of RWA as of 30 June 2015 and 11.1% of RWA as of 31 December 2014, respectively.
|
è
|
|
Refer to the table Basel III risk-weighted assets by risk type, exposure and business divisions
and Corporate Center units in the Capital management section of our second quarter 2015 report for more information on RWA by business divisions and Corporate Center units |
|
è
|
|
Refer to the table Basel III RWA movement by key driver, risk type and reporting segment in
the Capital management section of our Annual Report 2014 for more information on RWA movements
|
9
Table 2: Detailed segmentation of Basel III exposures and
risk-weighted assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
|
Basel III (phase-in) |
|
|
|
Gross EAD |
|
|
Net EAD |
|
|
RWA1 |
|
|
Capital requirement |
|
CHF million |
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total2 |
|
Credit risk |
|
|
706,589 |
|
|
|
520,337 |
|
|
|
166,412 |
|
|
|
686,749 |
|
|
|
84,069 |
|
|
|
23,285 |
|
|
|
107,354 |
|
|
|
10,616 |
|
|
|
2,940 |
|
|
|
13,556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty credit risk by exposure segment3 |
|
|
699,814 |
|
|
|
513,786 |
|
|
|
166,219 |
|
|
|
680,005 |
|
|
|
74,051 |
|
|
|
20,547 |
|
|
|
94,598 |
|
|
|
9,351 |
|
|
|
2,595 |
|
|
|
11,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
152,467 |
|
|
|
87,334 |
|
|
|
65,132 |
|
|
|
152,467 |
|
|
|
992 |
|
|
|
176 |
|
|
|
1,168 |
|
|
|
125 |
|
|
|
22 |
|
|
|
147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
55,313 |
|
|
|
44,393 |
|
|
|
8,699 |
|
|
|
53,091 |
|
|
|
7,017 |
|
|
|
1,939 |
|
|
|
8,956 |
|
|
|
886 |
|
|
|
245 |
|
|
|
1,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
165,775 |
|
|
|
136,743 |
|
|
|
15,648 |
|
|
|
152,391 |
|
|
|
42,538 |
|
|
|
11,179 |
|
|
|
53,716 |
|
|
|
5,372 |
|
|
|
1,412 |
|
|
|
6,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
72,768 |
|
|
|
|
|
|
|
68,567 |
|
|
|
68,567 |
|
|
|
|
|
|
|
3,349 |
|
|
|
3,349 |
|
|
|
|
|
|
|
423 |
|
|
|
423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
253,492 |
|
|
|
245,317 |
|
|
|
8,174 |
|
|
|
253,490 |
|
|
|
23,504 |
|
|
|
3,906 |
|
|
|
27,409 |
|
|
|
2,968 |
|
|
|
493 |
|
|
|
3,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
136,860 |
|
|
|
130,928 |
|
|
|
5,931 |
|
|
|
136,859 |
|
|
|
17,596 |
|
|
|
2,223 |
|
|
|
19,819 |
|
|
|
2,222 |
|
|
|
281 |
|
|
|
2,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
112,238 |
|
|
|
112,238 |
|
|
|
|
|
|
|
112,238 |
|
|
|
5,097 |
|
|
|
|
|
|
|
5,097 |
|
|
|
644 |
|
|
|
|
|
|
|
644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retail exposures |
|
|
1,512 |
|
|
|
1,512 |
|
|
|
|
|
|
|
1,512 |
|
|
|
527 |
|
|
|
|
|
|
|
527 |
|
|
|
67 |
|
|
|
|
|
|
|
67 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
2,882 |
|
|
|
638 |
|
|
|
2,243 |
|
|
|
2,881 |
|
|
|
283 |
|
|
|
1,683 |
|
|
|
1,966 |
|
|
|
36 |
|
|
|
212 |
|
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization/re-securitization in the banking book |
|
|
5,125 |
|
|
|
5,125 |
|
|
|
|
|
|
|
5,125 |
|
|
|
1,273 |
|
|
|
|
|
|
|
1,273 |
|
|
|
161 |
|
|
|
|
|
|
|
161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity instruments in the banking book4 |
|
|
1,331 |
|
|
|
1,331 |
|
|
|
|
|
|
|
1,331 |
|
|
|
4,326 |
|
|
|
|
|
|
|
4,326 |
|
|
|
546 |
|
|
|
|
|
|
|
546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit valuation adjustment (CVA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,166 |
|
|
|
2,481 |
|
|
|
6,647 |
|
|
|
526 |
|
|
|
313 |
|
|
|
839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Settlement risk |
|
|
318 |
|
|
|
95 |
|
|
|
193 |
|
|
|
287 |
|
|
|
253 |
|
|
|
256 |
|
|
|
509 |
|
|
|
32 |
|
|
|
32 |
|
|
|
64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-counterparty-related risk |
|
|
16,926 |
|
|
|
|
|
|
|
16,926 |
|
|
|
16,926 |
|
|
|
|
|
|
|
17,304 |
|
|
|
17,304 |
|
|
|
|
|
|
|
2,185 |
|
|
|
2,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deferred tax assets |
|
|
7,840 |
|
|
|
|
|
|
|
7,840 |
|
|
|
7,840 |
|
|
|
|
|
|
|
10,137 |
|
|
|
10,137 |
|
|
|
|
|
|
|
1,280 |
|
|
|
1,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Property, equipment and software |
|
|
6,973 |
|
|
|
|
|
|
|
6,973 |
|
|
|
6,973 |
|
|
|
|
|
|
|
6,973 |
|
|
|
6,973 |
|
|
|
|
|
|
|
881 |
|
|
|
881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
2,112 |
|
|
|
|
|
|
|
2,112 |
|
|
|
2,112 |
|
|
|
|
|
|
|
193 |
|
|
|
193 |
|
|
|
|
|
|
|
24 |
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market risk |
|
|
1,668 |
|
|
|
1,668 |
|
|
|
|
|
|
|
1,668 |
|
|
|
12,708 |
|
|
|
|
|
|
|
12,708 |
|
|
|
1,605 |
|
|
|
|
|
|
|
1,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value-at-risk (VaR) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,451 |
|
|
|
|
|
|
|
1,451 |
|
|
|
183 |
|
|
|
|
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stressed value-at-risk (SVaR) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,192 |
|
|
|
|
|
|
|
3,192 |
|
|
|
403 |
|
|
|
|
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Add-on for risks-not-in-VaR (RNiV) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,460 |
|
|
|
|
|
|
|
4,460 |
|
|
|
563 |
|
|
|
|
|
|
|
563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Incremental risk charge (IRC) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,543 |
|
|
|
|
|
|
|
2,543 |
|
|
|
321 |
|
|
|
|
|
|
|
321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Comprehensive risk measure (CRM) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103 |
|
|
|
|
|
|
|
103 |
|
|
|
13 |
|
|
|
|
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization/re-securitization in the trading book5 |
|
|
1,668 |
|
|
|
1,668 |
|
|
|
|
|
|
|
1,668 |
|
|
|
959 |
|
|
|
|
|
|
|
959 |
|
|
|
121 |
|
|
|
|
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operational risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,723 |
|
|
|
|
|
|
|
74,723 |
|
|
|
9,436 |
|
|
|
|
|
|
|
9,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: incremental RWA6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,327 |
|
|
|
|
|
|
|
13,327 |
|
|
|
1,683 |
|
|
|
|
|
|
|
1,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swiss SRB |
|
|
725,183 |
|
|
|
522,006 |
|
|
|
183,337 |
|
|
|
705,343 |
|
|
|
171,500 |
|
|
|
40,589 |
|
|
|
212,088 |
1 |
|
|
21,656 |
|
|
|
5,125 |
|
|
|
26,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Refer to the Capital management section of our second quarter 2015 report for more information on the
differences between phase-in and fully applied RWA. 2 Calculated based on our Swiss SRB Basel III total capital requirement of 12.6% of RWA. 3 Includes sEPE, most of which relates to exposures to Banks and Corporates. 4 Simple risk weight
method. 5 The EAD of
securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. 6 Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS
and FINMA.
10
Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
|
|
Basel III (phase-in) |
|
|
|
Gross EAD |
|
|
Net EAD |
|
|
RWA1 |
|
|
Capital requirement |
|
CHF million |
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total |
|
|
A-IRB/ model- based approach |
|
|
Standardized approach |
|
|
Total2 |
|
Credit risk |
|
|
720,039 |
|
|
|
553,788 |
|
|
|
144,021 |
|
|
|
697,810 |
|
|
|
86,282 |
|
|
|
22,318 |
|
|
|
108,601 |
|
|
|
9,594 |
|
|
|
2,482 |
|
|
|
12,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty credit risk by exposure segment3 |
|
|
709,293 |
|
|
|
543,230 |
|
|
|
143,841 |
|
|
|
687,072 |
|
|
|
72,406 |
|
|
|
18,694 |
|
|
|
91,099 |
|
|
|
8,051 |
|
|
|
2,079 |
|
|
|
10,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
166,261 |
|
|
|
108,939 |
|
|
|
57,321 |
|
|
|
166,261 |
|
|
|
1,319 |
|
|
|
189 |
|
|
|
1,508 |
|
|
|
147 |
|
|
|
21 |
|
|
|
168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
59,302 |
|
|
|
48,628 |
|
|
|
7,916 |
|
|
|
56,544 |
|
|
|
8,070 |
|
|
|
2,360 |
|
|
|
10,430 |
|
|
|
897 |
|
|
|
262 |
|
|
|
1,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
172,605 |
|
|
|
145,399 |
|
|
|
15,899 |
|
|
|
161,298 |
|
|
|
41,126 |
|
|
|
10,650 |
|
|
|
51,775 |
|
|
|
4,573 |
|
|
|
1,184 |
|
|
|
5,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
54,291 |
|
|
|
|
|
|
|
54,291 |
|
|
|
54,291 |
|
|
|
|
|
|
|
1,478 |
|
|
|
1,478 |
|
|
|
|
|
|
|
164 |
|
|
|
164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
256,834 |
|
|
|
240,263 |
|
|
|
8,414 |
|
|
|
248,678 |
|
|
|
21,892 |
|
|
|
4,017 |
|
|
|
25,909 |
|
|
|
2,434 |
|
|
|
447 |
|
|
|
2,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
137,159 |
|
|
|
131,121 |
|
|
|
6,038 |
|
|
|
137,159 |
|
|
|
15,767 |
|
|
|
2,234 |
|
|
|
18,002 |
|
|
|
1,753 |
|
|
|
248 |
|
|
|
2,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
115,192 |
|
|
|
107,036 |
|
|
|
|
|
|
|
107,036 |
|
|
|
5,359 |
|
|
|
|
|
|
|
5,359 |
|
|
|
596 |
|
|
|
|
|
|
|
596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retail exposures |
|
|
1,524 |
|
|
|
1,524 |
|
|
|
|
|
|
|
1,524 |
|
|
|
532 |
|
|
|
|
|
|
|
532 |
|
|
|
59 |
|
|
|
|
|
|
|
59 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
2,959 |
|
|
|
582 |
|
|
|
2,376 |
|
|
|
2,959 |
|
|
|
233 |
|
|
|
1,783 |
|
|
|
2,016 |
|
|
|
26 |
|
|
|
198 |
|
|
|
224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization/re-securitization in the banking book |
|
|
9,048 |
|
|
|
9,048 |
|
|
|
|
|
|
|
9,048 |
|
|
|
2,650 |
|
|
|
|
|
|
|
2,650 |
|
|
|
295 |
|
|
|
|
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity instruments in the banking book4 |
|
|
1,448 |
|
|
|
1,448 |
|
|
|
|
|
|
|
1,448 |
|
|
|
4,735 |
|
|
|
|
|
|
|
4,735 |
|
|
|
526 |
|
|
|
|
|
|
|
526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit valuation adjustment (CVA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,395 |
|
|
|
3,381 |
|
|
|
9,775 |
|
|
|
711 |
|
|
|
376 |
|
|
|
1,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Settlement risk |
|
|
250 |
|
|
|
62 |
|
|
|
180 |
|
|
|
242 |
|
|
|
96 |
|
|
|
244 |
|
|
|
340 |
|
|
|
11 |
|
|
|
27 |
|
|
|
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-counterparty-related risk |
|
|
22,126 |
|
|
|
|
|
|
|
22,126 |
|
|
|
22,126 |
|
|
|
|
|
|
|
19,060 |
|
|
|
19,060 |
|
|
|
|
|
|
|
2,119 |
|
|
|
2,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deferred tax assets |
|
|
10,010 |
|
|
|
|
|
|
|
10,010 |
|
|
|
10,010 |
|
|
|
|
|
|
|
8,897 |
|
|
|
8,897 |
|
|
|
|
|
|
|
989 |
|
|
|
989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Property, equipment and software |
|
|
6,760 |
|
|
|
|
|
|
|
6,760 |
|
|
|
6,760 |
|
|
|
|
|
|
|
6,760 |
|
|
|
6,760 |
|
|
|
|
|
|
|
752 |
|
|
|
752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
5,356 |
|
|
|
|
|
|
|
5,356 |
|
|
|
5,356 |
|
|
|
|
|
|
|
3,404 |
|
|
|
3,404 |
|
|
|
|
|
|
|
378 |
|
|
|
378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market risk |
|
|
1,610 |
|
|
|
1,610 |
|
|
|
|
|
|
|
1,610 |
|
|
|
16,483 |
|
|
|
|
|
|
|
16,483 |
|
|
|
1,833 |
|
|
|
|
|
|
|
1,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value-at-risk (VaR) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,024 |
|
|
|
|
|
|
|
2,024 |
|
|
|
225 |
|
|
|
|
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stressed value-at-risk (SVaR) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,115 |
|
|
|
|
|
|
|
4,115 |
|
|
|
458 |
|
|
|
|
|
|
|
458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Add-on for risks-not-in-VaR (RNiV) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,911 |
|
|
|
|
|
|
|
5,911 |
|
|
|
657 |
|
|
|
|
|
|
|
657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Incremental risk charge (IRC) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,039 |
|
|
|
|
|
|
|
3,039 |
|
|
|
338 |
|
|
|
|
|
|
|
338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Comprehensive risk measure (CRM) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131 |
|
|
|
|
|
|
|
131 |
|
|
|
15 |
|
|
|
|
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization/re-securitization in the trading book5 |
|
|
1,610 |
|
|
|
1,610 |
|
|
|
|
|
|
|
1,610 |
|
|
|
1,262 |
|
|
|
|
|
|
|
1,262 |
|
|
|
140 |
|
|
|
|
|
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operational risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,734 |
|
|
|
|
|
|
|
76,734 |
|
|
|
8,532 |
|
|
|
|
|
|
|
8,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: incremental RWA6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,451 |
|
|
|
|
|
|
|
17,451 |
|
|
|
1,940 |
|
|
|
|
|
|
|
1,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swiss SRB |
|
|
743,774 |
|
|
|
555,398 |
|
|
|
166,147 |
|
|
|
721,545 |
|
|
|
179,498 |
|
|
|
41,379 |
|
|
|
220,877 |
1 |
|
|
19,958 |
|
|
|
4,601 |
|
|
|
24,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Refer to the Capital management section of our Annual Report 2014 for more information on the
differences between phase-in and fully applied RWA. 2 Calculated based on our Swiss SRB Basel III total capital requirement of 11.1% of RWA. 3 Includes sEPE, most of which relates to exposures to Banks and Corporates. 4 Simple risk weight
method. 5 The EAD of
securitization positions equals the fair value of the net long and net short securitization positions retained or purchased in the trading book. 6 Incremental RWA reflect the effect of the supplemental operational risk capital analysis mutually agreed by UBS
and FINMA.
11
Credit risk
The tables in this section provide details on the exposures used to determine the firms credit
risk-related regulatory capital requirement. The parameters applied under the A-IRB approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are
specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in
this section therefore differs from our internal management view disclosed in the Risk management and control sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also
differs from that required under IFRS. The following credit risk-related tables are based on Basel III phase-in requirements and correspond to the counterparty credit risk by exposure segment. Stressed expected positive exposure (sEPE) is newly
included in counterparty credit risk and comparative figures for December 2014 have been restated accordingly in the following tables.
|
è
|
|
Refer to the Risk management and control section of our Annual Report 2014 for more
information |
The regulatory gross credit exposure for banking products is equal to the drawn
loan amounts represented on the balance
sheet, with the exception of off-balance sheet commitments where the regulatory gross credit exposure is calculated by applying a credit conversion factor to the undrawn amount or contingent
claim.
Within traded products, we determine the regulatory credit exposure on the majority of our derivatives
portfolio by applying the effective EPE and sEPE as defined in the Basel III framework. However, for a small portion of the portfolio we apply the current exposure method (CEM) based on the replacement value of derivatives in combination with a
regulatory prescribed add-on. For the majority of securities financing transactions (securities borrowing/lending and repurchase agreements/reverse repurchase agreements), we determine the regulatory gross credit exposure using the close-out period
(COP) approach. The regulatory gross credit exposure for traded products is equal to regulatory net credit exposure in the credit risk tables on the following pages.
The regulatory net credit exposure detailed in the tables on the following pages is shown as the regulatory exposure at default
after applying collateral, netting and other eligible risk mitigants permitted by the relevant regulations. The information on impaired and defaulted assets, consistent with the regulatory capital treatment, is presented in the Impairment,
default and credit loss section of this report.
Table 3: Regulatory
gross credit risk by exposure segment and RWA
This table shows the derivation of RWA from the regulatory gross credit exposure including sEPE broken down by major types of credit exposure according to classes of financial instruments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exposure |
|
|
|
|
Average regulatory risk weighting |
|
|
|
|
RWA1 |
|
CHF million |
|
|
|
Average regulatory gross credit
exposure2 |
|
|
Regulatory gross credit exposure |
|
|
Less: regulatory credit risk offsets and adjustments |
|
|
Regulatory net credit exposure |
|
|
|
|
|
|
|
|
|
|
|
Cash and balances with central banks |
|
|
|
|
75,543 |
|
|
|
83,412 |
|
|
|
|
|
|
|
83,412 |
|
|
|
|
|
0 |
% |
|
|
|
|
143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from banks3 |
|
|
|
|
11,946 |
|
|
|
12,535 |
|
|
|
(1,225 |
) |
|
|
11,309 |
|
|
|
|
|
24 |
% |
|
|
|
|
2,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans |
|
|
|
|
311,945 |
|
|
|
311,828 |
|
|
|
(12,751 |
) |
|
|
299,077 |
|
|
|
|
|
16 |
% |
|
|
|
|
47,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value |
|
|
|
|
3,063 |
|
|
|
2,918 |
|
|
|
(363 |
) |
|
|
2,555 |
|
|
|
|
|
31 |
% |
|
|
|
|
794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guarantees, commitments and forward starting transactions |
|
|
|
|
31,870 |
|
|
|
33,929 |
|
|
|
(4,295 |
) |
|
|
29,634 |
|
|
|
|
|
33 |
% |
|
|
|
|
9,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking products |
|
|
|
|
434,368 |
|
|
|
444,622 |
|
|
|
(18,634 |
) |
|
|
425,988 |
|
|
|
|
|
14 |
% |
|
|
|
|
60,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
|
|
|
|
81,490 |
|
|
|
76,187 |
|
|
|
|
|
|
|
76,187 |
|
|
|
|
|
23 |
% |
|
|
|
|
17,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on derivative instruments |
|
|
|
|
45,010 |
|
|
|
42,890 |
|
|
|
|
|
|
|
42,890 |
|
|
|
|
|
4 |
% |
|
|
|
|
1,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities financing |
|
|
|
|
56,772 |
|
|
|
58,430 |
|
|
|
|
|
|
|
58,430 |
|
|
|
|
|
8 |
% |
|
|
|
|
4,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Traded products |
|
|
|
|
183,273 |
|
|
|
177,506 |
|
|
|
|
|
|
|
177,506 |
|
|
|
|
|
13 |
% |
|
|
|
|
23,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio assets |
|
|
|
|
1,427 |
|
|
|
1,178 |
|
|
|
|
|
|
|
1,178 |
|
|
|
|
|
101 |
% |
|
|
|
|
1,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
|
|
67,374 |
|
|
|
65,206 |
|
|
|
|
|
|
|
65,206 |
|
|
|
|
|
2 |
% |
|
|
|
|
1,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets |
|
|
|
|
11,632 |
|
|
|
11,303 |
|
|
|
(1,175 |
) |
|
|
10,128 |
|
|
|
|
|
74 |
% |
|
|
|
|
7,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other products |
|
|
|
|
80,433 |
|
|
|
77,686 |
|
|
|
(1,175 |
) |
|
|
76,511 |
|
|
|
|
|
13 |
% |
|
|
|
|
10,139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
698,073 |
|
|
|
699,814 |
|
|
|
(19,809 |
) |
|
|
680,005 |
|
|
|
|
|
14 |
% |
|
|
|
|
94,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
671,762 |
|
|
|
709,293 |
|
|
|
(22,221 |
) |
|
|
687,072 |
|
|
|
|
|
13 |
% |
|
|
|
|
91,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 The derivation of RWA is based on the various credit risk parameters of the A-IRB approach and the standardized
approach,
respectively. 2 The
average regulatory gross credit exposure represents the average of the applicable quarter-end exposures for the relevant reporting periods. 3 Includes non-bank financial institutions.
12
Table 4: Regulatory gross credit exposure by geographical region
This table provides a breakdown of our
portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by geographical regions. The geographical distribution is based on the legal domicile of the counterparty or issuer.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Asia Pacific |
|
|
Latin America |
|
|
Middle East and Africa |
|
|
North America |
|
|
Switzerland |
|
|
Rest of Europe |
|
|
Total regulatory gross credit exposure |
|
|
Total regulatory net credit exposure |
|
Cash and balances with central banks |
|
|
2,834 |
|
|
|
1 |
|
|
|
|
|
|
|
40,310 |
|
|
|
32,488 |
|
|
|
7,779 |
|
|
|
83,412 |
|
|
|
83,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from banks1 |
|
|
3,666 |
|
|
|
101 |
|
|
|
219 |
|
|
|
3,686 |
|
|
|
918 |
|
|
|
3,945 |
|
|
|
12,535 |
|
|
|
11,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans |
|
|
24,287 |
|
|
|
6,086 |
|
|
|
4,570 |
|
|
|
77,373 |
|
|
|
164,792 |
|
|
|
34,720 |
|
|
|
311,828 |
|
|
|
299,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value |
|
|
583 |
|
|
|
4 |
|
|
|
|
|
|
|
1,727 |
|
|
|
0 |
|
|
|
604 |
|
|
|
2,918 |
|
|
|
2,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guarantees, commitments and forward starting transactions |
|
|
838 |
|
|
|
362 |
|
|
|
410 |
|
|
|
16,272 |
|
|
|
7,216 |
|
|
|
8,830 |
|
|
|
33,929 |
|
|
|
29,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking products |
|
|
32,208 |
|
|
|
6,554 |
|
|
|
5,200 |
|
|
|
139,369 |
|
|
|
205,414 |
|
|
|
55,878 |
|
|
|
444,622 |
|
|
|
425,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
|
|
8,209 |
|
|
|
843 |
|
|
|
428 |
|
|
|
26,038 |
|
|
|
6,297 |
|
|
|
34,373 |
|
|
|
76,187 |
|
|
|
76,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on derivative instruments |
|
|
4,916 |
|
|
|
473 |
|
|
|
82 |
|
|
|
17,776 |
|
|
|
211 |
|
|
|
19,431 |
|
|
|
42,890 |
|
|
|
42,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities financing |
|
|
4,901 |
|
|
|
349 |
|
|
|
1,084 |
|
|
|
25,450 |
|
|
|
2,091 |
|
|
|
24,555 |
|
|
|
58,430 |
|
|
|
58,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Traded products |
|
|
18,026 |
|
|
|
1,665 |
|
|
|
1,594 |
|
|
|
69,264 |
|
|
|
8,598 |
|
|
|
78,359 |
|
|
|
177,506 |
|
|
|
177,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio assets |
|
|
87 |
|
|
|
23 |
|
|
|
19 |
|
|
|
729 |
|
|
|
9 |
|
|
|
310 |
|
|
|
1,178 |
|
|
|
1,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
2,013 |
|
|
|
93 |
|
|
|
|
|
|
|
28,721 |
|
|
|
1,374 |
|
|
|
33,004 |
|
|
|
65,206 |
|
|
|
65,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets |
|
|
581 |
|
|
|
74 |
|
|
|
37 |
|
|
|
5,422 |
|
|
|
1,203 |
|
|
|
3,986 |
|
|
|
11,303 |
|
|
|
10,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other products |
|
|
2,682 |
|
|
|
190 |
|
|
|
56 |
|
|
|
34,871 |
|
|
|
2,587 |
|
|
|
37,300 |
|
|
|
77,686 |
|
|
|
76,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
52,915 |
|
|
|
8,409 |
|
|
|
6,850 |
|
|
|
243,504 |
|
|
|
216,599 |
|
|
|
171,537 |
|
|
|
699,814 |
|
|
|
680,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
55,198 |
|
|
|
8,658 |
|
|
|
7,632 |
|
|
|
261,607 |
|
|
|
211,551 |
|
|
|
164,646 |
|
|
|
709,293 |
|
|
|
687,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Includes non-bank financial institutions.
Table 5: Regulatory gross credit exposure by counterparty type
This table provides a breakdown of our portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by
counterparty type. The counterparty type is different from the BIS-defined exposure segments used in certain other tables in this section.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Private individuals |
|
|
Corporates1
|
|
|
Public entities (including sovereigns and central banks) |
|
|
Banks and multilateral institutions |
|
|
Total regulatory gross credit exposure |
|
|
Total regulatory net credit exposure |
|
Cash and balances with central banks |
|
|
|
|
|
|
|
|
|
|
83,099 |
|
|
|
313 |
|
|
|
83,412 |
|
|
|
83,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from banks1 |
|
|
|
|
|
|
|
|
|
|
580 |
|
|
|
11,955 |
|
|
|
12,535 |
|
|
|
11,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans |
|
|
195,798 |
|
|
|
113,028 |
|
|
|
3,002 |
|
|
|
|
|
|
|
311,828 |
|
|
|
299,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value |
|
|
|
|
|
|
2,531 |
|
|
|
|
|
|
|
387 |
|
|
|
2,918 |
|
|
|
2,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guarantees, commitments and forward starting transactions |
|
|
2,217 |
|
|
|
29,786 |
|
|
|
97 |
|
|
|
1,828 |
|
|
|
33,929 |
|
|
|
29,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking products |
|
|
198,016 |
|
|
|
145,345 |
|
|
|
86,779 |
|
|
|
14,483 |
|
|
|
444,622 |
|
|
|
425,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
|
|
2,330 |
|
|
|
45,133 |
|
|
|
5,555 |
|
|
|
23,168 |
|
|
|
76,187 |
|
|
|
76,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on derivative financial instruments |
|
|
48 |
|
|
|
41,783 |
|
|
|
232 |
|
|
|
828 |
|
|
|
42,890 |
|
|
|
42,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities financing |
|
|
76 |
|
|
|
41,267 |
|
|
|
3,915 |
|
|
|
13,173 |
|
|
|
58,430 |
|
|
|
58,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Traded products |
|
|
2,453 |
|
|
|
128,183 |
|
|
|
9,702 |
|
|
|
37,169 |
|
|
|
177,506 |
|
|
|
177,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio assets |
|
|
|
|
|
|
1,006 |
|
|
|
134 |
|
|
|
37 |
|
|
|
1,178 |
|
|
|
1,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
|
|
|
|
9,738 |
|
|
|
39,629 |
|
|
|
15,839 |
|
|
|
65,206 |
|
|
|
65,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets |
|
|
4,361 |
|
|
|
4,140 |
|
|
|
1,559 |
|
|
|
1,242 |
|
|
|
11,303 |
|
|
|
10,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other products |
|
|
4,361 |
|
|
|
14,884 |
|
|
|
41,322 |
|
|
|
17,119 |
|
|
|
77,686 |
|
|
|
76,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
204,830 |
|
|
|
288,411 |
|
|
|
137,802 |
|
|
|
68,770 |
|
|
|
699,814 |
|
|
|
680,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
205,470 |
|
|
|
283,300 |
|
|
|
153,477 |
|
|
|
67,046 |
|
|
|
709,293 |
|
|
|
687,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Includes non-bank financial institutions.
13
Table 6: Regulatory gross credit exposure by residual contractual maturity
This table provides a breakdown of our
portfolio by major types of credit exposure including sEPE, presenting classes of financial instruments by residual contractual maturity, not taking into account any early redemption features.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
On demand1 |
|
|
Due in
1 year or less |
|
|
Due between
1 year and 5 years |
|
|
Due over 5 years |
|
|
Total regulatory gross credit exposure |
|
|
Total regulatory net credit exposure |
|
Cash and balances with central banks |
|
|
83,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
83,412 |
|
|
|
83,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from banks2 |
|
|
10,525 |
|
|
|
1,887 |
|
|
|
98 |
|
|
|
25 |
|
|
|
12,535 |
|
|
|
11,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans |
|
|
40,163 |
|
|
|
153,674 |
|
|
|
70,015 |
|
|
|
47,977 |
|
|
|
311,828 |
|
|
|
299,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value |
|
|
|
|
|
|
589 |
|
|
|
1,978 |
|
|
|
352 |
|
|
|
2,918 |
|
|
|
2,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guarantees, commitments and forward starting transactions |
|
|
87 |
|
|
|
11,203 |
|
|
|
19,427 |
|
|
|
3,212 |
|
|
|
33,929 |
|
|
|
29,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking products |
|
|
134,187 |
|
|
|
167,353 |
|
|
|
91,517 |
|
|
|
51,565 |
|
|
|
444,622 |
|
|
|
425,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives |
|
|
990 |
|
|
|
45,052 |
|
|
|
16,220 |
|
|
|
13,924 |
|
|
|
76,187 |
|
|
|
76,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on derivative instruments |
|
|
9,119 |
|
|
|
7,251 |
|
|
|
9,156 |
|
|
|
17,363 |
|
|
|
42,890 |
|
|
|
42,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities financing |
|
|
44,415 |
|
|
|
13,445 |
|
|
|
571 |
|
|
|
|
|
|
|
58,430 |
|
|
|
58,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Traded products |
|
|
54,524 |
|
|
|
65,748 |
|
|
|
25,947 |
|
|
|
31,288 |
|
|
|
177,506 |
|
|
|
177,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio assets |
|
|
|
|
|
|
225 |
|
|
|
424 |
|
|
|
528 |
|
|
|
1,178 |
|
|
|
1,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
29 |
|
|
|
25,243 |
|
|
|
35,937 |
|
|
|
3,997 |
|
|
|
65,206 |
|
|
|
65,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets |
|
|
7,057 |
|
|
|
1,202 |
|
|
|
1,604 |
|
|
|
1,440 |
|
|
|
11,303 |
|
|
|
10,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other products |
|
|
7,085 |
|
|
|
26,670 |
|
|
|
37,965 |
|
|
|
5,965 |
|
|
|
77,686 |
|
|
|
76,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
195,796 |
|
|
|
259,771 |
|
|
|
155,429 |
|
|
|
88,817 |
|
|
|
699,814 |
|
|
|
680,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
239,564 |
|
|
|
250,598 |
|
|
|
141,195 |
|
|
|
77,935 |
|
|
|
709,293 |
|
|
|
687,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Includes loans without a fixed term, collateral swaps and cash collateral on derivative instruments and securities
financing transactions, on which notice of termination has not been
given. 2 Includes
non-bank financial institutions.
Table 7: Derivation of regulatory net credit exposure
This table provides a derivation of the
regulatory net credit exposure from the regulatory gross credit exposure including sEPE according to the A-IRB approach and the standardized approach.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Advanced IRB approach |
|
|
Standardized approach |
|
|
Total 30.6.15 |
|
|
Total 31.12.14 |
|
Total regulatory gross credit exposure |
|
|
522,967 |
|
|
|
176,847 |
|
|
|
699,814 |
|
|
|
709,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less: regulatory credit risk offsets and adjustments |
|
|
(9,181 |
) |
|
|
(10,628 |
) |
|
|
(19,809 |
) |
|
|
(22,221 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total regulatory net credit exposure |
|
|
513,786 |
|
|
|
166,219 |
|
|
|
680,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
543,230 |
|
|
|
143,841 |
|
|
|
|
|
|
|
687,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
è
|
|
Refer to the Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets section of this report for more information on the
regulatory net credit exposure by exposure segment |
14
Table 8: Regulatory gross credit exposure covered by guarantees and credit derivatives
This table provides a
breakdown of regulatory gross credit exposures including sEPE covered by guarantees and credit derivatives, according to BIS-defined exposure segments. The amounts in the table reflect the values used for determining regulatory capital to the extent
collateral is eligible under the BIS framework.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Regulatory gross credit exposure |
|
|
of which: covered
by guarantees1 |
|
|
of which: covered by credit derivatives |
|
Exposure segment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
152,467 |
|
|
|
117 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
55,313 |
|
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
165,775 |
|
|
|
3,455 |
|
|
|
6,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
72,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
136,860 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
112,238 |
|
|
|
570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retail exposures |
|
|
1,512 |
|
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
2,882 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
699,814 |
|
|
|
4,448 |
|
|
|
6,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
709,293 |
|
|
|
4,507 |
|
|
|
9,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Includes guarantees and standby letters of credit provided by third parties, mainly banks.
15
Advanced internal ratings-based approach
UBS uses the advanced internal ratings-based (A-IRB) approach for calculating certain credit risk exposures. Under the A-IRB approach, the required
capital for credit risk is quantified through empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval.
|
è
|
|
Refer to the Risk management and control section of our Annual Report 2014 for more information
|
Tables 9a to 9g provide a breakdown of the regulatory net credit exposure, weighted
average PD, LGD, RWA and the average risk weight under the A-IRB approach by internal UBS ratings across BIS-defined exposure segments.
In line with the numbers presented in table 2, impaired and defaulted assets and sEPE are now included in tables 9a through 9g. Comparative figures for December 2014 have been restated accordingly.
Table 9a: Sovereigns A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal
UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
78,093 |
|
|
|
3 |
|
|
|
0.0 |
|
|
|
29.2 |
|
|
|
0 |
|
|
|
0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
3,989 |
|
|
|
96 |
|
|
|
0.0 |
|
|
|
30.5 |
|
|
|
137 |
|
|
|
3.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
1,966 |
|
|
|
|
|
|
|
0.0 |
|
|
|
40.6 |
|
|
|
198 |
|
|
|
10.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
2,683 |
|
|
|
|
|
|
|
0.1 |
|
|
|
50.0 |
|
|
|
360 |
|
|
|
13.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
124 |
|
|
|
|
|
|
|
0.2 |
|
|
|
67.8 |
|
|
|
53 |
|
|
|
43.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
429 |
|
|
|
9 |
|
|
|
0.4 |
|
|
|
41.6 |
|
|
|
200 |
|
|
|
46.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
9 |
|
|
|
|
|
|
|
0.6 |
|
|
|
18.5 |
|
|
|
3 |
|
|
|
31.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
3 |
|
|
|
0 |
|
|
|
1.0 |
|
|
|
13.0 |
|
|
|
1 |
|
|
|
27.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
2 |
|
|
|
0 |
|
|
|
1.7 |
|
|
|
59.9 |
|
|
|
3 |
|
|
|
130.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
6 |
|
|
|
0 |
|
|
|
2.7 |
|
|
|
13.3 |
|
|
|
3 |
|
|
|
44.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
6 |
|
|
|
|
|
|
|
4.6 |
|
|
|
40.9 |
|
|
|
9 |
|
|
|
137.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
3 |
|
|
|
0 |
|
|
|
7.8 |
|
|
|
13.0 |
|
|
|
1 |
|
|
|
52.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
6 |
|
|
|
|
|
|
|
13.0 |
|
|
|
27.3 |
|
|
|
8 |
|
|
|
130.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
0 |
|
|
|
|
|
|
|
22.0 |
|
|
|
10.0 |
|
|
|
0 |
|
|
|
60.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
16 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
16 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
87,334 |
|
|
|
109 |
|
|
|
0.0 |
2 |
|
|
30.3 |
2 |
|
|
992 |
|
|
|
1.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
95,107 |
|
|
|
1 |
|
|
|
0.0 |
|
|
|
33.1 |
|
|
|
29 |
|
|
|
0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
6,888 |
|
|
|
79 |
|
|
|
0.0 |
|
|
|
32.9 |
|
|
|
243 |
|
|
|
3.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
2,277 |
|
|
|
4 |
|
|
|
0.0 |
|
|
|
44.2 |
|
|
|
223 |
|
|
|
9.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
4,142 |
|
|
|
|
|
|
|
0.1 |
|
|
|
51.6 |
|
|
|
584 |
|
|
|
14.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
185 |
|
|
|
|
|
|
|
0.2 |
|
|
|
58.9 |
|
|
|
67 |
|
|
|
36.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
286 |
|
|
|
|
|
|
|
0.4 |
|
|
|
42.4 |
|
|
|
126 |
|
|
|
44.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
8 |
|
|
|
|
|
|
|
0.6 |
|
|
|
10.2 |
|
|
|
2 |
|
|
|
21.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
9 |
|
|
|
0 |
|
|
|
1.0 |
|
|
|
42.6 |
|
|
|
6 |
|
|
|
63.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
1 |
|
|
|
|
|
|
|
1.7 |
|
|
|
85.8 |
|
|
|
1 |
|
|
|
175.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
7 |
|
|
|
0 |
|
|
|
2.7 |
|
|
|
12.6 |
|
|
|
3 |
|
|
|
42.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
3 |
|
|
|
|
|
|
|
4.6 |
|
|
|
39.8 |
|
|
|
4 |
|
|
|
121.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
1 |
|
|
|
0 |
|
|
|
7.8 |
|
|
|
16.1 |
|
|
|
0 |
|
|
|
66.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
9 |
|
|
|
|
|
|
|
13.0 |
|
|
|
30.7 |
|
|
|
13 |
|
|
|
154.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
0 |
|
|
|
|
|
|
|
22.0 |
|
|
|
10.0 |
|
|
|
0 |
|
|
|
54.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
17 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
108,939 |
|
|
|
84 |
|
|
|
0.0 |
2 |
|
|
34.1 |
2 |
|
|
1,319 |
|
|
|
1.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
16
Table 9b: Banks A-IRB approach: Regulatory net credit exposure,
weighted average PD, LGD and RWA by internal UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
23,957 |
|
|
|
1,965 |
|
|
|
0.0 |
|
|
|
37.5 |
|
|
|
2,358 |
|
|
|
9.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
12,441 |
|
|
|
3,125 |
|
|
|
0.1 |
|
|
|
39.5 |
|
|
|
1,418 |
|
|
|
11.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
3,983 |
|
|
|
692 |
|
|
|
0.2 |
|
|
|
39.1 |
|
|
|
1,047 |
|
|
|
26.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
1,900 |
|
|
|
12 |
|
|
|
0.4 |
|
|
|
41.8 |
|
|
|
865 |
|
|
|
45.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
1,075 |
|
|
|
118 |
|
|
|
0.6 |
|
|
|
44.3 |
|
|
|
618 |
|
|
|
57.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
579 |
|
|
|
185 |
|
|
|
1.0 |
|
|
|
36.8 |
|
|
|
335 |
|
|
|
57.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
133 |
|
|
|
52 |
|
|
|
1.7 |
|
|
|
33.8 |
|
|
|
66 |
|
|
|
49.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
174 |
|
|
|
19 |
|
|
|
2.7 |
|
|
|
38.8 |
|
|
|
185 |
|
|
|
106.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
113 |
|
|
|
81 |
|
|
|
4.6 |
|
|
|
36.4 |
|
|
|
51 |
|
|
|
45.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
24 |
|
|
|
|
|
|
|
7.8 |
|
|
|
44.8 |
|
|
|
44 |
|
|
|
185.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
13 |
|
|
|
0 |
|
|
|
13.0 |
|
|
|
43.4 |
|
|
|
27 |
|
|
|
218.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
1 |
|
|
|
|
|
|
|
22.0 |
|
|
|
34.8 |
|
|
|
3 |
|
|
|
207.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
44,393 |
|
|
|
6,248 |
|
|
|
0.12 |
|
|
|
38.52 |
|
|
|
7,017 |
|
|
|
15.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
29,231 |
|
|
|
5,550 |
|
|
|
0.0 |
|
|
|
35.9 |
|
|
|
2,859 |
|
|
|
9.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
12,022 |
|
|
|
1,567 |
|
|
|
0.1 |
|
|
|
35.6 |
|
|
|
2,028 |
|
|
|
16.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
3,644 |
|
|
|
106 |
|
|
|
0.2 |
|
|
|
39.3 |
|
|
|
1,135 |
|
|
|
31.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
2,197 |
|
|
|
6 |
|
|
|
0.4 |
|
|
|
44.9 |
|
|
|
940 |
|
|
|
42.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
779 |
|
|
|
7 |
|
|
|
0.6 |
|
|
|
43.0 |
|
|
|
484 |
|
|
|
62.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
425 |
|
|
|
|
|
|
|
1.0 |
|
|
|
43.9 |
|
|
|
253 |
|
|
|
59.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
80 |
|
|
|
|
|
|
|
1.7 |
|
|
|
30.6 |
|
|
|
58 |
|
|
|
72.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
141 |
|
|
|
|
|
|
|
2.7 |
|
|
|
36.2 |
|
|
|
149 |
|
|
|
105.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
45 |
|
|
|
|
|
|
|
4.6 |
|
|
|
35.5 |
|
|
|
53 |
|
|
|
116.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
31 |
|
|
|
|
|
|
|
7.8 |
|
|
|
43.0 |
|
|
|
56 |
|
|
|
179.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
11 |
|
|
|
1 |
|
|
|
13.0 |
|
|
|
43.3 |
|
|
|
25 |
|
|
|
225.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
5 |
|
|
|
|
|
|
|
22.0 |
|
|
|
43.6 |
|
|
|
12 |
|
|
|
259.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
48,628 |
|
|
|
7,236 |
|
|
|
0.1 |
2 |
|
|
36.7 |
2 |
|
|
8,070 |
|
|
|
16.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
17
Table 9c: Corporates A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
44,950 |
|
|
|
2,345 |
|
|
|
0.0 |
|
|
|
18.4 |
|
|
|
4,755 |
|
|
|
10.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
17,410 |
|
|
|
4,745 |
|
|
|
0.1 |
|
|
|
33.3 |
|
|
|
3,806 |
|
|
|
21.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
14,468 |
|
|
|
1,521 |
|
|
|
0.2 |
|
|
|
34.3 |
|
|
|
4,179 |
|
|
|
28.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
10,983 |
|
|
|
948 |
|
|
|
0.4 |
|
|
|
36.4 |
|
|
|
5,031 |
|
|
|
45.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
12,779 |
|
|
|
407 |
|
|
|
0.6 |
|
|
|
28.0 |
|
|
|
6,030 |
|
|
|
47.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
12,907 |
|
|
|
867 |
|
|
|
1.0 |
|
|
|
24.3 |
|
|
|
6,147 |
|
|
|
47.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
10,027 |
|
|
|
1,019 |
|
|
|
1.7 |
|
|
|
17.5 |
|
|
|
4,091 |
|
|
|
40.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
6,174 |
|
|
|
435 |
|
|
|
2.7 |
|
|
|
21.0 |
|
|
|
3,430 |
|
|
|
55.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
3,710 |
|
|
|
1,033 |
|
|
|
4.6 |
|
|
|
18.5 |
|
|
|
2,241 |
|
|
|
60.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
1,253 |
|
|
|
390 |
|
|
|
7.8 |
|
|
|
17.4 |
|
|
|
836 |
|
|
|
66.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
418 |
|
|
|
97 |
|
|
|
13.0 |
|
|
|
15.6 |
|
|
|
287 |
|
|
|
68.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
191 |
|
|
|
6 |
|
|
|
22.0 |
|
|
|
14.2 |
|
|
|
143 |
|
|
|
75.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
1,473 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
1,561 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
136,743 |
3 |
|
|
13,822 |
|
|
|
0.7 |
2 |
|
|
25.1 |
2 |
|
|
42,538 |
4 |
|
|
31.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted
assets. 3 Includes
exposures to managed funds with a regulatory net credit exposure of approximately CHF 38,963 million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. 4 Includes high volatility commercial real estate (HVCRE)
exposures related to specialized lending secured by properties sharing higher volatilities in portfolio default rates (RWA: CHF 120 million as of 30 June 2015).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
53,700 |
|
|
|
2,568 |
|
|
|
0.0 |
|
|
|
19.2 |
|
|
|
3,744 |
|
|
|
7.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
20,974 |
|
|
|
5,431 |
|
|
|
0.1 |
|
|
|
36.8 |
|
|
|
4,108 |
|
|
|
19.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
11,427 |
|
|
|
1,354 |
|
|
|
0.2 |
|
|
|
37.9 |
|
|
|
3,728 |
|
|
|
32.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
12,071 |
|
|
|
992 |
|
|
|
0.4 |
|
|
|
36.4 |
|
|
|
5,417 |
|
|
|
44.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
13,741 |
|
|
|
708 |
|
|
|
0.6 |
|
|
|
26.9 |
|
|
|
6,114 |
|
|
|
44.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
12,287 |
|
|
|
500 |
|
|
|
1.0 |
|
|
|
22.8 |
|
|
|
5,424 |
|
|
|
44.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
8,250 |
|
|
|
611 |
|
|
|
1.7 |
|
|
|
18.5 |
|
|
|
3,492 |
|
|
|
42.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
5,579 |
|
|
|
586 |
|
|
|
2.7 |
|
|
|
20.8 |
|
|
|
3,038 |
|
|
|
54.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
3,994 |
|
|
|
1,575 |
|
|
|
4.6 |
|
|
|
21.1 |
|
|
|
3,028 |
|
|
|
75.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
1,416 |
|
|
|
452 |
|
|
|
7.8 |
|
|
|
17.5 |
|
|
|
1,068 |
|
|
|
75.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
300 |
|
|
|
82 |
|
|
|
13.0 |
|
|
|
14.6 |
|
|
|
186 |
|
|
|
62.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
108 |
|
|
|
21 |
|
|
|
22.0 |
|
|
|
23.1 |
|
|
|
135 |
|
|
|
124.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
1,552 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
1,645 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
145,399 |
3 |
|
|
14,884 |
|
|
|
0.7 |
2 |
|
|
25.8 |
2 |
|
|
41,126 |
4 |
|
|
28.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures. 3 Includes exposures to managed funds with a regulatory net credit exposure of approximately CHF 45,653
million. Typically these funds have virtually no debt, are very low risk, and thus have very low A-IRB risk weights. 4 Includes high volatility commercial real estate (HVCRE) exposures related to specialized lending secured by
properties sharing higher volatilities in portfolio default rates (RWA: CHF 159 million as of 31 December 2014).
18
Table 9d: Residential mortgages A-IRB approach: Regulatory net credit exposure,
weighted average PD, LGD and RWA by internal UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
37,982 |
|
|
|
167 |
|
|
|
0.0 |
|
|
|
10.6 |
|
|
|
687 |
|
|
|
1.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
16,615 |
|
|
|
47 |
|
|
|
0.1 |
|
|
|
11.0 |
|
|
|
621 |
|
|
|
3.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
17,340 |
|
|
|
50 |
|
|
|
0.2 |
|
|
|
11.2 |
|
|
|
1,160 |
|
|
|
6.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
15,133 |
|
|
|
49 |
|
|
|
0.4 |
|
|
|
11.4 |
|
|
|
1,622 |
|
|
|
10.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
11,583 |
|
|
|
49 |
|
|
|
0.6 |
|
|
|
12.4 |
|
|
|
1,796 |
|
|
|
15.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
11,611 |
|
|
|
199 |
|
|
|
1.0 |
|
|
|
12.1 |
|
|
|
2,518 |
|
|
|
21.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
9,010 |
|
|
|
65 |
|
|
|
1.7 |
|
|
|
12.1 |
|
|
|
2,733 |
|
|
|
30.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
5,736 |
|
|
|
22 |
|
|
|
2.7 |
|
|
|
11.3 |
|
|
|
2,379 |
|
|
|
41.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
3,145 |
|
|
|
13 |
|
|
|
4.6 |
|
|
|
10.9 |
|
|
|
1,741 |
|
|
|
55.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
1,454 |
|
|
|
6 |
|
|
|
7.8 |
|
|
|
10.8 |
|
|
|
1,051 |
|
|
|
72.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
587 |
|
|
|
4 |
|
|
|
13.0 |
|
|
|
10.8 |
|
|
|
516 |
|
|
|
87.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
223 |
|
|
|
3 |
|
|
|
22.0 |
|
|
|
11.1 |
|
|
|
230 |
|
|
|
103.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
509 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
540 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
130,928 |
|
|
|
674 |
|
|
|
0.8 |
2 |
|
|
11.3 |
2 |
|
|
17,596 |
|
|
|
13.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
37,281 |
|
|
|
156 |
|
|
|
0.0 |
|
|
|
10.6 |
|
|
|
579 |
|
|
|
1.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
16,673 |
|
|
|
45 |
|
|
|
0.1 |
|
|
|
11.0 |
|
|
|
540 |
|
|
|
3.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
17,109 |
|
|
|
48 |
|
|
|
0.2 |
|
|
|
11.2 |
|
|
|
995 |
|
|
|
5.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
15,197 |
|
|
|
47 |
|
|
|
0.4 |
|
|
|
11.4 |
|
|
|
1,433 |
|
|
|
9.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
11,824 |
|
|
|
60 |
|
|
|
0.6 |
|
|
|
12.4 |
|
|
|
1,658 |
|
|
|
14.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
12,011 |
|
|
|
236 |
|
|
|
1.0 |
|
|
|
12.0 |
|
|
|
2,331 |
|
|
|
19.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
9,318 |
|
|
|
57 |
|
|
|
1.7 |
|
|
|
12.1 |
|
|
|
2,517 |
|
|
|
27.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
5,829 |
|
|
|
34 |
|
|
|
2.7 |
|
|
|
11.3 |
|
|
|
2,132 |
|
|
|
36.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
3,144 |
|
|
|
9 |
|
|
|
4.6 |
|
|
|
11.0 |
|
|
|
1,525 |
|
|
|
48.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
1,452 |
|
|
|
13 |
|
|
|
7.8 |
|
|
|
10.8 |
|
|
|
909 |
|
|
|
62.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
581 |
|
|
|
4 |
|
|
|
13.0 |
|
|
|
10.8 |
|
|
|
443 |
|
|
|
76.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
224 |
|
|
|
5 |
|
|
|
22.0 |
|
|
|
11.0 |
|
|
|
199 |
|
|
|
89.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
506 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
131,121 |
|
|
|
714 |
|
|
|
0.8 |
2 |
|
|
11.3 |
2 |
|
|
15,767 |
|
|
|
12.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
19
Table 9e: Lombard lending A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
59,044 |
|
|
|
205 |
|
|
|
0.0 |
|
|
|
20.0 |
|
|
|
1,467 |
|
|
|
2.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
38,317 |
|
|
|
65 |
|
|
|
0.1 |
|
|
|
20.0 |
|
|
|
1,568 |
|
|
|
4.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
2,999 |
|
|
|
3 |
|
|
|
0.2 |
|
|
|
20.0 |
|
|
|
179 |
|
|
|
6.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
6,819 |
|
|
|
7 |
|
|
|
0.4 |
|
|
|
20.0 |
|
|
|
832 |
|
|
|
12.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
2,374 |
|
|
|
10 |
|
|
|
0.6 |
|
|
|
20.0 |
|
|
|
383 |
|
|
|
16.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
1,345 |
|
|
|
1 |
|
|
|
1.0 |
|
|
|
20.0 |
|
|
|
259 |
|
|
|
19.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
389 |
|
|
|
15 |
|
|
|
1.7 |
|
|
|
20.0 |
|
|
|
101 |
|
|
|
25.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
104 |
|
|
|
|
|
|
|
2.7 |
|
|
|
20.0 |
|
|
|
30 |
|
|
|
29.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
488 |
|
|
|
26 |
|
|
|
4.6 |
|
|
|
20.0 |
|
|
|
151 |
|
|
|
31.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
348 |
|
|
|
11 |
|
|
|
7.8 |
|
|
|
20.0 |
|
|
|
116 |
|
|
|
33.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
112,238 |
|
|
|
343 |
|
|
|
0.2 |
2 |
|
|
20.0 |
2 |
|
|
5,097 |
|
|
|
4.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
56,020 |
|
|
|
199 |
|
|
|
0.0 |
|
|
|
20.0 |
|
|
|
1,473 |
|
|
|
2.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
35,336 |
|
|
|
102 |
|
|
|
0.1 |
|
|
|
20.0 |
|
|
|
1,577 |
|
|
|
4.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
3,257 |
|
|
|
6 |
|
|
|
0.2 |
|
|
|
20.0 |
|
|
|
250 |
|
|
|
7.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
6,651 |
|
|
|
32 |
|
|
|
0.4 |
|
|
|
19.6 |
|
|
|
807 |
|
|
|
12.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
3,007 |
|
|
|
2 |
|
|
|
0.6 |
|
|
|
20.0 |
|
|
|
520 |
|
|
|
17.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
1,463 |
|
|
|
1 |
|
|
|
1.0 |
|
|
|
20.0 |
|
|
|
315 |
|
|
|
21.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
358 |
|
|
|
11 |
|
|
|
1.7 |
|
|
|
20.2 |
|
|
|
111 |
|
|
|
31.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
38 |
|
|
|
|
|
|
|
2.7 |
|
|
|
20.0 |
|
|
|
11 |
|
|
|
29.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
503 |
|
|
|
28 |
|
|
|
4.6 |
|
|
|
20.0 |
|
|
|
156 |
|
|
|
31.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
398 |
|
|
|
11 |
|
|
|
7.8 |
|
|
|
20.0 |
|
|
|
132 |
|
|
|
33.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
107,036 |
|
|
|
393 |
|
|
|
0.2 |
2 |
|
|
20.0 |
2 |
|
|
5,359 |
|
|
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
20
Table 9f: Qualifying revolving retail exposures A-IRB approach: Regulatory net
credit exposure, weighted average PD, LGD and RWA by internal UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
132 |
|
|
|
|
|
1.7 |
|
|
|
47.0 |
|
|
|
37 |
|
|
|
28.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
1,373 |
|
|
|
|
|
2.7 |
|
|
|
42.0 |
|
|
|
483 |
|
|
|
35.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
1,512 |
|
|
|
|
|
2.6 |
2 |
|
|
42.4 |
2 |
|
|
527 |
|
|
|
34.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
124 |
|
|
|
|
|
1.7 |
|
|
|
47.0 |
|
|
|
35 |
|
|
|
28.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
1,394 |
|
|
|
|
|
2.7 |
|
|
|
42.0 |
|
|
|
490 |
|
|
|
35.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
7 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
1,524 |
|
|
|
|
|
2.6 |
2 |
|
|
42.4 |
2 |
|
|
532 |
|
|
|
34.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
21
Table 9g: Other Retail A-IRB approach: Regulatory net credit exposure, weighted average PD, LGD and RWA by internal
UBS ratings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
152 |
|
|
|
|
|
|
|
0.0 |
|
|
|
17.8 |
|
|
|
6 |
|
|
|
3.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
25 |
|
|
|
|
|
|
|
0.1 |
|
|
|
17.0 |
|
|
|
1 |
|
|
|
4.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
5 |
|
|
|
|
|
|
|
0.2 |
|
|
|
7.8 |
|
|
|
0 |
|
|
|
3.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
8 |
|
|
|
|
|
|
|
0.4 |
|
|
|
12.1 |
|
|
|
1 |
|
|
|
8.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
5 |
|
|
|
|
|
|
|
0.6 |
|
|
|
15.5 |
|
|
|
1 |
|
|
|
14.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
206 |
|
|
|
|
|
|
|
1.0 |
|
|
|
40.0 |
|
|
|
90 |
|
|
|
43.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
5 |
|
|
|
|
|
|
|
1.7 |
|
|
|
40.0 |
|
|
|
2 |
|
|
|
48.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
204 |
|
|
|
2 |
|
|
|
2.7 |
|
|
|
55.5 |
|
|
|
164 |
|
|
|
80.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
12 |
|
|
|
|
|
|
|
4.6 |
|
|
|
33.3 |
|
|
|
6 |
|
|
|
52.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
6 |
|
|
|
|
|
|
|
7.8 |
|
|
|
33.0 |
|
|
|
3 |
|
|
|
55.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
1 |
|
|
|
|
|
|
|
13.0 |
|
|
|
28.3 |
|
|
|
0 |
|
|
|
51.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
638 |
|
|
|
2 |
|
|
|
1.4 |
2 |
|
|
37.7 |
2 |
|
|
283 |
|
|
|
44.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
CHF million, except where indicated |
|
|
|
Regulatory net credit exposure |
|
|
of which: loan commitments |
|
|
Average PD in
%1 |
|
|
Average LGD in % |
|
|
RWA |
|
|
Average risk weight in % |
|
Investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 2 |
|
|
|
|
146 |
|
|
|
|
|
|
|
0.0 |
|
|
|
18.0 |
|
|
|
7 |
|
|
|
4.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 3 |
|
|
|
|
63 |
|
|
|
|
|
|
|
0.1 |
|
|
|
18.4 |
|
|
|
3 |
|
|
|
4.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 4 |
|
|
|
|
7 |
|
|
|
|
|
|
|
0.2 |
|
|
|
12.4 |
|
|
|
0 |
|
|
|
5.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 5 |
|
|
|
|
10 |
|
|
|
|
|
|
|
0.4 |
|
|
|
11.3 |
|
|
|
1 |
|
|
|
7.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sub-investment grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 6 |
|
|
|
|
2 |
|
|
|
|
|
|
|
0.6 |
|
|
|
14.1 |
|
|
|
0 |
|
|
|
12.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 7 |
|
|
|
|
107 |
|
|
|
|
|
|
|
1.0 |
|
|
|
32.8 |
|
|
|
38 |
|
|
|
35.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 8 |
|
|
|
|
3 |
|
|
|
|
|
|
|
1.7 |
|
|
|
22.7 |
|
|
|
1 |
|
|
|
28.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 9 |
|
|
|
|
217 |
|
|
|
1 |
|
|
|
2.7 |
|
|
|
51.8 |
|
|
|
163 |
|
|
|
75.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 10 |
|
|
|
|
8 |
|
|
|
|
|
|
|
4.6 |
|
|
|
26.4 |
|
|
|
3 |
|
|
|
42.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 11 |
|
|
|
|
10 |
|
|
|
|
|
|
|
7.8 |
|
|
|
49.7 |
|
|
|
8 |
|
|
|
81.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 12 |
|
|
|
|
0 |
|
|
|
|
|
|
|
13.0 |
|
|
|
16.5 |
|
|
|
0 |
|
|
|
30.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating 13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired and defaulted2 |
|
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
|
|
|
106.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
582 |
|
|
|
1 |
|
|
|
1.5 |
2 |
|
|
34.1 |
2 |
|
|
233 |
|
|
|
40.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Average PD for the internal rating categories are based on midpoint values. 2 Weighted average PD and LGD exclude impaired and
defaulted assets. Refer to the Risk management and control section of our Annual Report 2014 for impaired and defaulted figures.
22
Standardized approach
The standardized approach is generally applied where it is not possible to use the A-IRB approach. The standardized approach requires banks to use
risk assessments prepared by external credit assessment institutions (ECAI) or export credit agencies to determine the risk weightings applied to rated counterparties. We use FINMA-recognized ECAI risk assessments to determine
the risk weight for certain counterparties according to the BIS-defined exposure segments.
We use three FINMA-recognized ECAI for this purpose: Standard & Poors Ratings Group, Moodys Investors Service and Fitch Ratings. The mapping of external ratings to the standardized approach
risk weights is determined by FINMA and published on its website.
Table 10a:
Regulatory gross and net credit exposure by risk weight under the standardized approach
This table provides a breakdown of the regulatory gross and net credit exposure by risk weight according to BIS-defined exposure segments for those
credit exposures for which we apply the standardized approach.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Total exposure |
|
|
Total exposure |
|
Risk weight |
|
0% |
|
|
>020% |
|
|
2150% |
|
|
51100% |
|
|
over 100% |
|
|
30.6.15 |
|
|
31.12.14 |
|
|
|
|
|
|
|
|
|
Regulatory gross credit exposure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
64,774 |
|
|
|
103 |
|
|
|
205 |
|
|
|
45 |
|
|
|
5 |
|
|
|
65,132 |
|
|
|
57,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
|
|
|
|
8,129 |
|
|
|
513 |
|
|
|
118 |
|
|
|
|
|
|
|
8,760 |
|
|
|
8,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
2 |
|
|
|
4,996 |
|
|
|
966 |
|
|
|
16,027 |
|
|
|
21 |
|
|
|
22,012 |
|
|
|
21,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
31,822 |
1 |
|
|
39,947 |
|
|
|
364 |
|
|
|
92 |
|
|
|
543 |
|
|
|
72,768 |
|
|
|
54,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
5,662 |
|
|
|
269 |
|
|
|
|
|
|
|
5,932 |
|
|
|
6,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,244 |
|
|
|
|
|
|
|
2,244 |
|
|
|
2,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
96,598 |
|
|
|
53,175 |
|
|
|
7,710 |
|
|
|
18,795 |
|
|
|
570 |
|
|
|
176,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
86,387 |
|
|
|
35,861 |
|
|
|
9,823 |
|
|
|
16,823 |
|
|
|
243 |
|
|
|
|
|
|
|
149,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory net credit exposure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
64,774 |
|
|
|
103 |
|
|
|
205 |
|
|
|
45 |
|
|
|
5 |
|
|
|
65,132 |
|
|
|
57,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
|
|
|
|
8,129 |
|
|
|
513 |
|
|
|
57 |
|
|
|
|
|
|
|
8,699 |
|
|
|
7,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
2 |
|
|
|
4,996 |
|
|
|
958 |
|
|
|
9,671 |
|
|
|
21 |
|
|
|
15,648 |
|
|
|
15,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
31,822 |
1 |
|
|
35,746 |
|
|
|
364 |
|
|
|
92 |
|
|
|
543 |
|
|
|
68,567 |
|
|
|
54,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
5,662 |
|
|
|
268 |
|
|
|
|
|
|
|
5,931 |
|
|
|
6,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,243 |
|
|
|
|
|
|
|
2,243 |
|
|
|
2,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
96,598 |
|
|
|
48,974 |
|
|
|
7,702 |
|
|
|
12,376 |
|
|
|
570 |
|
|
|
166,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
86,387 |
|
|
|
35,859 |
|
|
|
9,705 |
|
|
|
11,662 |
|
|
|
228 |
|
|
|
|
|
|
|
143,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 A risk weight of 0% is applied for trades UBS has entered into with central counterparties on behalf of its client
and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client.
23
Table 10b: Regulatory net credit exposure under the standardized approach risk weighted using external ratings
This table provides a
breakdown of the rated and unrated regulatory net credit exposure by ECAI and by risk weight according to BIS-defined exposure segments for those credit exposures for which we apply the standardized approach.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Total exposure |
|
|
Total exposure |
|
Risk weight |
|
|
|
0% |
|
|
>020% |
|
|
2150% |
|
|
51100% |
|
|
over 100% |
|
|
30.6.15 |
|
|
31.12.14 |
|
|
|
|
|
|
|
|
|
|
Regulatory net credit exposure1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
Rated2 |
|
|
64,736 |
|
|
|
103 |
|
|
|
205 |
|
|
|
0 |
|
|
|
5 |
|
|
|
65,049 |
|
|
|
57,249 |
|
|
|
Unrated |
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
45 |
|
|
|
|
|
|
|
83 |
|
|
|
72 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
Rated2 |
|
|
|
|
|
|
4,389 |
|
|
|
21 |
|
|
|
14 |
|
|
|
|
|
|
|
4,424 |
|
|
|
3,720 |
|
|
|
Unrated |
|
|
|
|
|
|
3,740 |
|
|
|
492 |
|
|
|
43 |
|
|
|
|
|
|
|
4,275 |
|
|
|
4,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
Rated2 |
|
|
|
|
|
|
4,996 |
|
|
|
958 |
|
|
|
54 |
|
|
|
4 |
|
|
|
6,012 |
|
|
|
7,038 |
|
|
|
Unrated |
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
9,618 |
|
|
|
17 |
|
|
|
9,637 |
|
|
|
8,861 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
Rated2 |
|
|
4,282 |
3 |
|
|
1,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,056 |
|
|
|
196 |
|
|
|
Unrated4 |
|
|
27,540 |
3 |
|
|
33,972 |
|
|
|
364 |
|
|
|
92 |
|
|
|
543 |
|
|
|
62,511 |
|
|
|
54,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
Rated2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrated |
|
|
|
|
|
|
|
|
|
|
5,662 |
|
|
|
2,511 |
|
|
|
|
|
|
|
8,174 |
|
|
|
8,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
|
|
96,598 |
|
|
|
48,974 |
|
|
|
7,702 |
|
|
|
12,376 |
|
|
|
570 |
|
|
|
166,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
|
|
86,387 |
|
|
|
35,859 |
|
|
|
9,705 |
|
|
|
11,662 |
|
|
|
228 |
|
|
|
|
|
|
|
143,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 For a breakdown of securitization exposures by risk weight bands and rating clusters refer to tables 27a to 27c
(banking book) and 31a to 31c (trading book) of this report. 2 We use three FINMA recognized ECAI for this purpose: Standard & Poors Ratings Group, Moodys Investors Service and Fitch Ratings. 3 A risk weight of 0% is applied for trades UBS has
entered into with central counterparties on behalf of its client and where the client has signed a legally enforceable agreement reflecting that the default risk of that central counterparty is carried by the client. 4 In accordance with the regulations based on the Basel
III framework, external ratings are not used for the risk weighting of trades with qualifing central counterparties.
Table
11: Eligible financial collateral recognized under standardized approach
This table provides a breakdown of the financial collateral eligible for recognition in the regulatory capital calculation under the standardized
approach, according to BIS-defined exposure segments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Regulatory net credit exposure under standardized approach |
|
|
Eligible financial collateral recognized in capital calculation1 |
|
|
|
30.6.15 |
|
|
31.12.14 |
|
|
30.6.15 |
|
|
31.12.14 |
|
Exposure segment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereigns |
|
|
65,132 |
|
|
|
57,321 |
|
|
|
3 |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
8,699 |
|
|
|
7,916 |
|
|
|
1,058 |
|
|
|
1,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
15,648 |
|
|
|
15,899 |
|
|
|
8,408 |
|
|
|
6,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
68,567 |
|
|
|
54,291 |
|
|
|
29,824 |
|
|
|
9,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
5,931 |
|
|
|
6,038 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving retaill exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
2,243 |
|
|
|
2,376 |
|
|
|
36 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
166,219 |
|
|
|
143,841 |
|
|
|
39,331 |
|
|
|
17,752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Reflects the impact of the application of regulatory haircuts for exposures not covered under an internal exposure
model. The eligible financial collateral recognized in the capital calculation is based on the difference between the regulatory gross credit exposure and the regulatory net credit exposure.
24
Impairment, default and credit loss
The Risk management and control section and Note 12 Allowances and provisions for credit losses in the Financial
information section of our Annual Report 2014 provide additional information on the impaired, default and credit loss-related disclosures.
Table 12: Impaired assets by geographical region
This table shows a breakdown by region of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses. Impaired asset exposures include loans, guarantees, loan
commitments and securities financing transactions.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Impaired assets |
|
|
Specific allowances
and provisions |
|
|
Impaired assets net
of specific allowances
and provisions |
|
|
Collective allowances and provisions |
|
|
Total allowances
and provisions 30.6.15 |
|
|
Total allowances
and provisions 31.12.14 |
|
Asia Pacific |
|
|
51 |
|
|
|
(38 |
) |
|
|
13 |
|
|
|
0 |
|
|
|
(38 |
) |
|
|
(38 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Latin America |
|
|
20 |
|
|
|
(17 |
) |
|
|
2 |
|
|
|
0 |
|
|
|
(17 |
) |
|
|
(19 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Middle East and Africa |
|
|
11 |
|
|
|
(6 |
) |
|
|
6 |
|
|
|
0 |
|
|
|
(6 |
) |
|
|
(22 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
North America |
|
|
67 |
|
|
|
(46 |
) |
|
|
21 |
|
|
|
(1 |
) |
|
|
(47 |
) |
|
|
(50 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland |
|
|
924 |
|
|
|
(378 |
) |
|
|
546 |
|
|
|
(4 |
) |
|
|
(382 |
) |
|
|
(411 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rest of Europe |
|
|
230 |
|
|
|
(156 |
) |
|
|
74 |
|
|
|
0 |
|
|
|
(156 |
) |
|
|
(194 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
1,303 |
|
|
|
(640 |
) |
|
|
663 |
|
|
|
(6 |
) |
|
|
(646 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
1,396 |
|
|
|
(727 |
) |
|
|
668 |
|
|
|
(8 |
) |
|
|
|
|
|
|
(735 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 13: Impaired assets by exposure segment
This table provides a breakdown by exposure
segment of credit exposures arising from impaired assets as well as corresponding allowances and provisions for credit losses.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Impaired assets |
|
|
Specific allowances and provisions |
|
|
Collective allowances and provisions |
|
|
Total allowances
and provisions 30.6.15 |
|
|
Write-offs for
the six-month period ended 30.6.15 |
|
|
Total allowances
and provisions 31.12.14 |
|
Sovereigns |
|
|
13 |
|
|
|
(10 |
) |
|
|
0 |
|
|
|
(10 |
) |
|
|
0 |
|
|
|
(11 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
7 |
|
|
|
(6 |
) |
|
|
0 |
|
|
|
(6 |
) |
|
|
0 |
|
|
|
(15 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
1,024 |
|
|
|
(505 |
) |
|
|
0 |
|
|
|
(505 |
) |
|
|
(97 |
) |
|
|
(560 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
130 |
|
|
|
(38 |
) |
|
|
0 |
|
|
|
(38 |
) |
|
|
0 |
|
|
|
(38 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
54 |
|
|
|
(49 |
) |
|
|
0 |
|
|
|
(49 |
) |
|
|
(1 |
) |
|
|
(54 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving other retail exposures |
|
|
23 |
|
|
|
(16 |
) |
|
|
0 |
|
|
|
(16 |
) |
|
|
(12 |
) |
|
|
(16 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
52 |
|
|
|
(16 |
) |
|
|
(1 |
) |
|
|
(17 |
) |
|
|
(1 |
) |
|
|
(36 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Not allocated segment1 |
|
|
0 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
(4 |
) |
|
|
0 |
|
|
|
(5 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
1,303 |
|
|
|
(640 |
) |
|
|
(6 |
) |
|
|
(646 |
) |
|
|
(112 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
1,396 |
|
|
|
(727 |
) |
|
|
(8 |
) |
|
|
|
|
|
|
(154 |
) |
|
|
(735 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 With the exception of Wealth Management Americas lombard lending, collective loan loss allowances are not allocated to individual counterparties.
25
Table 14: Changes in allowances and provisions
This table provides a breakdown of movements
in the specific and collective allowances and provisions for credit losses for impaired assets.
|
è
|
|
Refer to Note 12 Allowances and provisions for credit losses in the Financial
information section of our Annual Report 2014 for more information |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Specific allowances and provisions for banking products and securities financing |
|
|
Collective allowances |
|
|
For
the six-month period ended 30.6.15 |
|
|
For the year ended 31.12.14 |
|
Balance at the beginning of the period |
|
|
727 |
|
|
|
8 |
|
|
|
735 |
|
|
|
750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Write-offs/usage of provisions |
|
|
(111 |
) |
|
|
(1 |
) |
|
|
(112 |
) |
|
|
(154 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recoveries |
|
|
27 |
|
|
|
0 |
|
|
|
28 |
|
|
|
29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) |
|
|
30 |
|
|
|
(1 |
) |
|
|
29 |
|
|
|
78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency translations |
|
|
(31 |
) |
|
|
0 |
|
|
|
(31 |
) |
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
(3 |
) |
|
|
|
|
|
|
(3 |
) |
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at the end of the period |
|
|
640 |
|
|
|
6 |
|
|
|
646 |
|
|
|
735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 15: Total actual and expected credit losses
This table provides a breakdown by exposure
segment of the actual credit (loss)/recovery amount (including credit valuation adjustments on derivatives) recognized in our income statement, as well as the corresponding expected loss. A comparison of our expected loss versus actual loss for 2015
will be provided in our full-year Basel III Pillar 3 disclosure to be included in our Annual Report 2015.
|
è
|
|
Refer to Comparison of actual versus expected loss in the Risk management and
control section of our Annual Report 2014 for more information |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Actual loss1 |
|
|
|
|
Expected loss |
|
|
Actual loss1 |
|
CHF million |
|
|
|
For
the six-month period ended 30.6.15 |
|
|
|
|
As of 31.12.13 for the year ended 31.12.14 |
|
|
For the year ended 31.12.14 |
|
Sovereigns |
|
|
|
|
|
|
|
|
|
|
(2 |
) |
|
|
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks |
|
|
|
|
21 |
|
|
|
|
|
(39 |
) |
|
|
(18 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporates |
|
|
|
|
(29 |
) |
|
|
|
|
(189 |
) |
|
|
(135 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Central counterparties |
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
(4 |
) |
|
|
|
|
(111 |
) |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lombard lending |
|
|
|
|
1 |
|
|
|
|
|
(30 |
) |
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qualifying revolving other retail exposures |
|
|
|
|
(1 |
) |
|
|
|
|
(16 |
) |
|
|
(5 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other retail |
|
|
|
|
6 |
|
|
|
|
|
(5 |
) |
|
|
(2 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Not allocated segment2 |
|
|
|
|
5 |
|
|
|
|
|
|
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total gain (loss) |
|
|
|
|
(1 |
) |
|
|
|
|
(392 |
) |
|
|
(133 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Reflects credit losses recognized in our IFRS income statement, including recoveries. Comparative
figures for 31 December 2014 have been restated accordingly.
2 Includes changes in collective loan loss
allowances.
26
Derivatives credit risk
Table 16: Credit exposure of derivative instruments
This table provides an overview of our credit exposures arising from derivatives. Exposures are
provided based on the balance sheet carrying values of derivatives as well as regulatory net credit exposures. The net balance sheet credit exposure differs from the regulatory net credit exposures because of differences in valuation methods,
netting and collateral deductions used for accounting and regulatory capital purposes. Net current credit exposure is derived from gross positive replacement values
which reflect the balance sheet carrying values of derivatives after netting and eligible financial collateral, where an enforceable master netting agreement is in place. Regulatory net credit
exposure is calculated using our internal models or the supervisory approach.
|
è
|
|
Refer to Note 14 Derivative instruments and hedge accounting in the Financial
information section of our Annual Report 2014 for more information on derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
30.6.15 |
|
|
31.12.14 |
|
Gross positive replacement values |
|
|
173,681 |
|
|
|
256,978 |
|
|
|
|
|
|
|
|
|
|
Netting benefits recognized1 |
|
|
(127,026 |
) |
|
|
(198,744 |
) |
|
|
|
|
|
|
|
|
|
Collateral held1 |
|
|
(25,159 |
) |
|
|
(30,794 |
) |
|
|
|
|
|
|
|
|
|
of which: cash collateral |
|
|
(21,416 |
) |
|
|
(25,128 |
) |
|
|
|
|
|
|
|
|
|
of which: non-cash collateral |
|
|
(3,743 |
) |
|
|
(5,666 |
) |
|
|
|
|
|
|
|
|
|
Net current credit exposure |
|
|
21,496 |
|
|
|
27,439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory net credit exposure (total counterparty credit risk) |
|
|
76,187 |
|
|
|
82,961 |
|
|
|
|
|
|
|
|
|
|
of which: based on internal models (effective EPE) |
|
|
59,125 |
|
|
|
68,917 |
|
|
|
|
|
|
|
|
|
|
of which: based on supervisory approaches (current exposure method) |
|
|
17,062 |
|
|
|
14,044 |
|
|
|
|
|
|
|
|
|
|
1 For the purpose of this disclosure, the amounts of financial instruments and cash collateral not set off in the balance sheet have been capped by relevant
netting agreements so as not to exceed the net amount of financial assets presented on the balance sheet; i.e., over-collateralization, where it exists, is not reflected in the table.
27
Other credit risk information
Our credit derivatives trading is predominantly conducted on a collateralized basis. This means that our mark-to-market exposures arising from
derivatives activities with collateralized counterparties are typically closed out in full or reduced to nominal levels on a regular basis by the use of collateral.
Derivatives trading with counterparties with high credit ratings is typically conducted under an International Swaps and
Derivatives Association (ISDA) master netting agreement. Credit exposures to those counterparties from credit default swaps (CDS), together with exposures from other over-the-counter
(OTC) derivatives, are netted and included in the calculation of the collateral that is required to be posted. Trading with lower-rated counterparties, such as hedge funds, would generally
require an initial margin to be posted by the counterparty.
We receive collateral from or post collateral to our
counterparties based on our open net receivable or net payable from OTC derivative activities. Under the terms of the ISDA master netting agreement and similar agreements, this collateral, which generally takes the form of cash or highly liquid debt
securities, is available to cover any amounts due under those derivative transactions.
Table 17: Credit
derivatives
This table provides an overview of the notional amount of credit derivatives, including those used to
manage risks within our banking and trading books. Notional amounts of credit derivatives do not include any netting benefits. For capital underpinning
of the counterparty credit risk of derivative positions, the effective EPE or exposure according to current exposure method is applied. Notional amounts are reported based on the regulatory scope
of consolidation.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory banking book |
|
|
Regulatory trading book |
|
|
Total |
|
Notional amounts, CHF million |
|
Protection bought |
|
|
Protection sold |
|
|
Total |
|
|
Protection bought |
|
|
Protection sold |
|
|
Total |
|
|
30.6.15 |
|
|
31.12.14 |
|
Credit default swaps |
|
|
11,784 |
|
|
|
786 |
|
|
|
12,570 |
|
|
|
159,388 |
|
|
|
155,386 |
|
|
|
314,775 |
|
|
|
327,345 |
|
|
|
483,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total rate of return swaps |
|
|
232 |
|
|
|
|
|
|
|
232 |
|
|
|
4,370 |
|
|
|
4,724 |
|
|
|
9,094 |
|
|
|
9,326 |
|
|
|
8,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options and warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,277 |
|
|
|
52 |
|
|
|
4,330 |
|
|
|
4,330 |
|
|
|
8,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
12,017 |
|
|
|
786 |
|
|
|
12,803 |
|
|
|
168,036 |
|
|
|
160,162 |
|
|
|
328,198 |
|
|
|
341,001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
13,970 |
|
|
|
751 |
|
|
|
14,722 |
|
|
|
248,849 |
|
|
|
237,231 |
|
|
|
486,080 |
|
|
|
|
|
|
|
500,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Measured on a notional basis, our counterparties for buying and selling protection are mainly banks
and, to a lesser extent, broker-dealers and central counterparties. In the first half of 2015, we saw a material reduction in notional exposures of CDS in the regulatory trading book, primarily with banks.
|
è
|
|
Refer to Note 14 Derivative instruments and hedge accounting in the Financial information section of our Annual Report 2014 for more
information on credit derivatives by instrument and counterparty |
28
Equity instruments in the banking book
The regulatory capital view for equity instruments in the banking book differs from the IFRS view,
primarily due to the following:
|
Differences in the basis of valuation, for example financial investments available-for-sale are subject to fair value accounting under IFRS but for regulatory
capital purposes have the lower of cost or market or cost less impairment concept applied. |
|
Certain instruments which are held as debt investments on the IFRS balance sheet, mainly investment fund units, are treated as equity instruments for
regulatory capital purposes. |
|
Certain instruments which are held as trading portfolio assets on the IFRS balance sheet, but which are not part of the regulatory VaR framework, are included
as equity instruments in the banking book for regulatory capital purposes. |
|
Differences in the scope of consolidation. |
|
è
|
|
Refer to the Scope of regulatory consolidation section of this report for more information
|
Table 18: Equity
instruments in the banking book
The table below shows the different equity instruments categories held in the banking book with their
amounts as recognized under IFRS, followed by the regulatory capital adjustment amount. This adjustment considers the abovementioned differences to IFRS resulting in the total regulatory equity instruments
exposure under the BIS framework, the corresponding RWA and the capital charge.
The table also shows net realized gains and losses and unrealized revaluation gains relating to equity instruments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of |
|
CHF million |
|
|
30.6.15 |
|
|
|
31.12.14 |
|
Equity instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
564 |
|
|
|
664 |
|
|
|
|
|
|
|
|
|
|
Investments in associates |
|
|
908 |
|
|
|
927 |
|
|
|
|
|
|
|
|
|
|
Total equity instruments under IFRS |
|
|
1,472 |
|
|
|
1,591 |
|
|
|
|
|
|
|
|
|
|
Regulatory capital adjustment1 |
|
|
620 |
|
|
|
780 |
|
|
|
|
|
|
|
|
|
|
Total equity instruments under regulatory capital2 |
|
|
2,092 |
|
|
|
2,371 |
|
|
|
|
|
|
|
|
|
|
of which: to be risk weighted |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
publicly traded (risk weighted at 300%) |
|
|
141 |
|
|
|
219 |
|
|
|
|
|
|
|
|
|
|
privately held (risk weighted at 400%)3 |
|
|
863 |
|
|
|
1,039 |
|
|
|
|
|
|
|
|
|
|
not deducted in application of threshold, but risk weighted at 250% |
|
|
736 |
|
|
|
738 |
|
|
|
|
|
|
|
|
|
|
of which: deduction from common equity tier 1 capital4 |
|
|
352 |
|
|
|
375 |
|
|
|
|
|
|
|
|
|
|
RWA according to simple risk weight method5 |
|
|
4,326 |
|
|
|
4,735 |
|
|
|
|
|
|
|
|
|
|
Capital requirement according to simple risk weight method5 |
|
|
546 |
|
|
|
526 |
|
|
|
|
|
|
|
|
|
|
Total capital charge |
|
|
898 |
|
|
|
901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains/(losses) and unrealized gains from equity instruments |
|
|
For the six months ended 30.6.15 |
|
|
|
For the year ended 31.12.14 |
|
|
|
|
|
|
|
|
|
|
Net realized gains/(losses) from disposals |
|
|
75 |
|
|
|
80 |
|
|
|
|
|
|
|
|
|
|
Unrealized revaluation gains |
|
|
220 |
|
|
|
285 |
|
|
|
|
|
|
|
|
|
|
of which: included in tier 2 capital |
|
|
99 |
|
|
|
128 |
|
|
|
|
|
|
|
|
|
|
1 Includes CHF 474 million of investment fund units treated as debt investments under IFRS as of 30 June
2015. 2 Total equity instruments under regulatory capital of CHF 2,092 million, as of 30 June 2015, excluding CHF
408 million booked in trust entities (compensation and benefit vehicles) and CHF 352 million goodwill of investments in associates, i.e., CHF 1,331 million net EAD is also disclosed in the Equity instruments in the banking
book line of Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets. 3 Includes CHF 408 million exposure booked in trust entites (compensation and benefit vehicles) that did not generate risk-weighted
assets. 4 Under the
Basel III framework, goodwill of investments in associates is deducted from common equity tier 1 capital. 5 The risk-weighted assets of CHF 4,326 million and the capital requirement of CHF 546 million, as of 30 June 2015, are also disclosed in the
Equity instruments in the banking book line of Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets.
29
Market risk
The Risk management and control section of our quarterly and annual reports provides
comprehensive information on market risk-related Pillar 3 disclosures.
|
è
|
|
Refer to Market risk in the Risk management and control section of our Annual
Report 2014, as well as our first and second quarter 2015 reports for more information |
Backtesting of VaR
For backtesting purposes, we compute backtesting VaR using a 99% confidence level and one-day holding period for the population included within regulatory VaR. The backtesting process compares backtesting VaR
calculated on positions at the close of each business day with the revenues generated by those positions on the following business day. Backtesting revenues exclude non-trading revenues, such as fees and commissions and revenues from intraday
trading, to ensure a like-for-like comparison. A backtesting exception occurs when backtesting revenues are negative and the absolute value of those revenues is greater than the previous days backtesting VaR.
We did not have any Group downside backtesting exceptions in the first six months of 2015. There were two downside
backtesting exceptions in the 12 months preceding the end of June 2015. The chart Group:
development of backtesting revenues against backtesting VaR shows the development of backtest VaR against backtesting revenues of the Group for the first six months of 2015. The chart shows both the negative and positive tails of the backtest
VaR distribution at 99% confidence intervals representing, respectively, the losses and gains that could potentially be realized over a one-day period at that level of confidence. The positive backtesting revenue in the chart in January 2015
resulted from the significant market volatility following the Swiss National Banks decision to discontinue the minimum targeted exchange rate for the Swiss franc versus the euro. Extreme market moves, particularly in foreign exchange markets,
were observed far outside of the 99th percentile of the historical VaR time series.
The histogram Investment
Bank and Corporate Center Non-core and Legacy Portfolio daily revenue distribution shows the daily revenue distribution for the Investment Bank and Corporate Center Non-core and Legacy Portfolio for the first six months of 2015.
This includes, in addition to backtesting revenues, revenues such as commissions and fees, revenues from intraday trading and own credit.
Table 19: Group: backtesting regulatory value-at-risk (1-day, 99% confidence, 5 years of historical data)
This table shows the Groups minimum,
maximum, average and period-end regulatory backtesting VaR.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended 30.6.15 |
|
For the year ended 31.12.14 |
CHF million |
|
Min. |
|
Max. |
|
Average |
|
30.6.15 |
|
Min. |
|
Max. |
|
Average |
|
31.12.14 |
Group |
|
14 |
|
35 |
|
20 |
|
20 |
|
15 |
|
38 |
|
22 |
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chart 1: Group: development of backtesting revenues1 against backtesting
Var2 (1-day, 99% confidence) |
|
Chart 2: Investment Bank and Corporate Center Non-core and
Legacy Portfolio daily revenue distribution1 |
|
|
|
|
|
1 In addition to backtesting revenues, includes revenues such as commissions and fees, revenues from
intraday trading, and own credit. |
1 Excludes non-trading revenues, such as commissions and fees, and revenues from intraday
trading. |
|
2 Based on
Basel III regulatory VaR, excludes CVA positions and their eligible hedges which are subject to the new standalone CVA charge. |
|
|
30
Securitization
This section provides details of traditional and synthetic securitization exposures in the banking
and trading book based on the Basel III framework. Securitized exposures are risk weighted, generally, based on their external ratings. This section also provides details of the regulatory capital requirement associated with these exposures.
In a traditional securitization, a pool of loans (or other debt obligations) is typically transferred to structured
entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of loans. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained,
but associated credit risk is transferred to structured entities typically through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.
We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which
are then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party
investors. As sponsor, we manage, provide financing or advise securitization programs. In line with the Basel III framework, sponsoring includes underwriting, that is, placing securities in the
market. In all other cases, we act in the role of investor by taking securitization positions.
RWA attributable to
securitization positions decreased to CHF 2.2 billion as of 30 June 2015 from CHF 3.9 billion as of 31 December 2014, mainly due to a decline of CHF 1.5 billion in Corporate Center Non-core and Legacy Portfolio, predominantly from
the sale of bond positions held as hedges against derivative exposures, as well as the sale of collateralized loan obligation bond positions.
|
è
|
|
Refer to Note 30 Interests in subsidiaries and other entities in the Financial
information section of our Annual Report 2014 for more information on structured entities |
|
è
|
|
Refer to Corporate Center Non-core and Legacy Portfolio in the Risk
management and control section of our Annual Report 2014 for more information on RWA by portfolio composition and exposure category
|
Table 20:
Securitization/re-securitization
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
CHF million |
|
Gross EAD |
|
|
Net EAD |
|
|
RWA |
|
|
Capital
requirement |
|
|
Gross EAD |
|
|
Net EAD |
|
|
RWA |
|
|
Capital requirement |
|
Securitization/re-securitization in the banking book |
|
|
5,125 |
|
|
|
5,125 |
|
|
|
1,273 |
|
|
|
161 |
|
|
|
9,048 |
|
|
|
9,048 |
|
|
|
2,650 |
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CC Non-core and Legacy Portfolio |
|
|
1,418 |
|
|
|
1,418 |
|
|
|
757 |
|
|
|
96 |
|
|
|
4,735 |
|
|
|
4,735 |
|
|
|
2,028 |
|
|
|
226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other business divisions1 |
|
|
3,708 |
|
|
|
3,708 |
|
|
|
516 |
|
|
|
65 |
|
|
|
4,313 |
|
|
|
4,313 |
|
|
|
622 |
|
|
|
69 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization/re-securitization in the trading book |
|
|
1,668 |
|
|
|
1,668 |
|
|
|
959 |
|
|
|
121 |
|
|
|
1,610 |
|
|
|
1,610 |
|
|
|
1,262 |
|
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CC Non-core and Legacy Portfolio |
|
|
1,195 |
|
|
|
1,195 |
|
|
|
730 |
|
|
|
92 |
|
|
|
1,205 |
|
|
|
1,205 |
|
|
|
993 |
|
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other business divisions1 |
|
|
474 |
|
|
|
474 |
|
|
|
229 |
|
|
|
29 |
|
|
|
405 |
|
|
|
405 |
|
|
|
268 |
|
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Mainly reflecting exposures in the Investment Bank.
31
Objectives, roles and involvement
Securitization in the banking book
Securitization positions held in the banking book include tranches of synthetic securitization of loan exposures and over-the-counter derivatives.
These were primarily hedging transactions executed in 2014, 2013 and 2012 by synthetically transferring counterparty credit risk. In addition, securitization in the banking book includes legacy risk positions in Corporate Center Non Core and
Legacy portfolio. As of 30 June 2015, this portfolio consisted primarily of CDS positions referencing asset-backed securities (ABS) assets with related cash and synthetic hedges to mitigate the impact of directional movements.
In the first half of 2015, we acted in the roles of both originator and sponsor. As originator, we sold originated commercial
mortgage loans into securitization programs. As sponsor, we managed or advised securitization programs and helped to place the securities in the market. Refer to Table 21: Securitization activity for the period in the banking book for an
overview of our originating and sponsoring activities in the first half of 2015 and in full year 2014, respectively.
Securitization and re-securitization positions in the banking book are measured either at fair value or at amortized cost less
impairment. The impairment assessment for a securitized position is generally based on the net present value of future cash flows expected from the underlying pool of assets.
Securitization in the trading book
Securitizations (including correlation products)
held in the trading book are part of the trading activities, which typically include market-making and client facilitation. Included in the trading book are positions in our correlation book and legacy positions in leveraged super senior tranches.
In the trading book, securitization and re-securitization positions are measured at fair value reflecting market prices where available or are based on our internal pricing models.
Type of structured entities and affiliated entities involved in the securitization transactions
For the securitization of third-party exposures, the type of structured entities employed is selected as appropriate based on the type of transaction undertaken. Examples include limited liability corporations,
common law trusts and depositor entities.
We manage or advise significant groups of affiliated entities that invest in
exposures we have securitized or in structured entities that we sponsor. Significant groups of affiliated entities include North Street, Brooklands/ELM, and East Street, which
are involved in the US, European and Asia Pacific reference-linked note programs, respectively.
|
è
|
|
Refer to Note 30 Interests in subsidiaries and other entities in the Financial
information section of our Annual Report 2014 for more information on structured entities |
|
è
|
|
Refer to the Corporate Center section of our second quarter 2015 report for more
information on RWA by portfolio composition and exposure category |
Managing and monitoring of the credit and
market risk of securitization positions
The banking book securitization and re-securitization portfolio is subject to specific risk
monitoring, which may include interest rate and credit spread sensitivity analysis, as well as inclusion in firm-wide earnings-at-risk, capital-at-risk and combined stress test metrics.
The trading book securitization and re-securitization positions are also subject to multiple risk limits in our Investment Bank,
such as management VaR and stress limits as well as market value limits. As part of managing risks within pre-defined risk limits, traders may utilize hedging and risk mitigation strategies. Hedging may, however, expose the firm to basis risks as
the hedging instrument and the position being hedged may not always move in parallel. Such basis risks are managed within the overall limits. Any retained securitization from origination activities and any purchased securitization positions are
governed by risk limits together with any other trading positions. Legacy trading book securitization exposure is subject to the same management VaR limit framework. Additionally, risk limits are used to control the unwind, novation and asset sales
process on an ongoing basis.
Regulatory capital treatment of securitization structures
Generally, in both the banking and trading book we apply the ratings-based approach to securitization positions using ratings, if available, from
Standard & Poors Ratings Group, Moodys Investors Service and Fitch Ratings for all securitization and re-securitization exposures. The selection of the External Credit Assessment Institutions (ECAI) is based on the primary
rating agency concept. This concept is applied, in principle, to avoid that the credit assessment by one ECAI is applied for one or more tranches and another ECAI for the other tranches unless this is the result of the application of the specific
rules for multiple assessments. If any two of the abovementioned rating agencies have issued a rating for a particular position, we would apply the lower credit rating of the two. If all three rating agencies have issued a rating for a particular
position, we would
32
apply the middle credit rating of the three. Under the ratings-based approach, the amount of capital
required for securitization and re-securitization exposures in the banking book is capped at the level of the capital requirement that would have been assessed against the underlying assets had they not been securitized. This treatment has been
applied in particular to the US and European reference-linked note programs. For the purposes of determining regulatory capital and the Pillar 3 disclosure for these positions, the underlying exposures are reported under the standardized approach,
the advanced internal ratings-based approach or the securitization approach, depending on the category of the underlying security. If the underlying security is reported under the standardized approach or the advanced internal ratings-based
approach, the related positions are excluded from the tables on the following pages.
The supervisory formula approach
is applied to synthetic securitizations of portfolios of counterparty credit risk inherent in derivatives and loan exposures for which an external rating was not sought. The supervisory formula approach is also applied to leveraged super senior
tranches.
In the trading book, the comprehensive risk measure is used for the correlation portfolio as defined by
Basel III requirements. This measure broadly covers securitizations of liquid corporate underlying assets as well as associated hedges that are not necessarily securitizations, for example, single-name credit default swaps and credit default swaps
on indices.
We do not apply the concentration ratio approach or the internal assessment approach to securitization
positions.
The counterparty risk of interest rate or foreign currency derivatives with securitization vehicles is
treated under the advanced internal ratings-based approach and is therefore not part of this disclosure.
Accounting policies
Refer to Note 1 Summary of significant accounting policies in the Financial information section of our Annual
Report 2014 for information on accounting policies that relate to securitization activities, primarily Note 1a item 3 Subsidiaries and structured entities and Note 1a item 12 Securitization structures set up by UBS.
We disclose our intention to securitize exposures as an originator, if assets are designated for securitization and a
tentative pricing date for a transaction is known as of the balance sheet date or if a pricing of a transaction has been fixed. Exposures intended to be securitized continue to be valued in the same way until such time as the securitization
transaction takes place.
Presentation principles
It is our policy to present Pillar 3 disclosures for securitization transactions and balances in line with the capital adequacy treatments which were applied under Pillar 1 in the respective period presented.
We do not amend comparative prior period numbers for presentational changes triggered by new and revised information
from third-party data providers, as long as the updated information does not impact the Pillar 1 treatments of prior periods.
Good
practice guidelines
On 18 December 2008, the European Banking Federation, the Association for Financial Markets in Europe, the
European Savings Banks Group and the European Association of Public Banks and Funding Agencies published the Industry good practice guidelines on Pillar 3 disclosure requirement for securitization. These guidelines were slightly revised
in 2009 and 2010, and were incorporated in this report.
Securitization exposures in the banking and trading
book
Table 21 outlines the exposures measured as the transaction size we securitized at inception in the banking book in the first
half of 2015 and in full year 2014. The activity is further broken down by our role (originator/sponsor) and by type (traditional/synthetic).
Amounts disclosed under the Traditional column of this table reflect the total outstanding notes at par value issued by the securitization vehicle at issuance. For synthetic securitization transactions, the amounts
disclosed generally reflect the balance sheet carrying values of the securitized exposures at issuance.
For
securitization transactions where we acted as originator, exposures are split into two parts: those in which we have retained securitization positions and/or continue to be involved on an ongoing basis (for example credit enhancement or implicit
support), and those in which we do not have retained securitization positions and/or have no further involvement.
Where we acted as both originator and sponsor to a securitization, originated assets are reported under Originator and the total
amount of the underlying assets securitized is reported under Sponsor. As a result, as of 30 June 2015 and 31 December 2014, amounts of CHF 0.6 billion and CHF 2.9 billion, respectively, were included in Table 21: Securitization activity
for the period in the banking book and Table 22: Outstanding securitized exposures under both Originator and Sponsor.
33
Table 21: Securitization activity for the period in the
banking book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Originator |
|
|
Sponsor |
|
|
|
Traditional |
|
|
Synthetic |
|
|
Realized gains/(losses) on traditional securitizations |
|
|
Traditional |
|
|
Synthetic |
|
CHF million |
|
Securitization positions retained |
|
|
No securitization positions retained |
|
|
Securitization positions retained |
|
|
No securitization positions retained |
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
222 |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
16 |
|
|
|
2,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
222 |
|
|
|
367 |
|
|
|
0 |
|
|
|
0 |
|
|
|
16 |
|
|
|
2,616 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
1,680 |
|
|
|
1,262 |
|
|
|
|
|
|
|
|
|
|
|
68 |
|
|
|
9,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
1,680 |
|
|
|
1,262 |
|
|
|
351 |
|
|
|
0 |
|
|
|
68 |
|
|
|
9,258 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitization activity for the period in the trading book
In the first half of 2015 and in full year 2014, we had no
securitization activity in the trading book.
34
Table 22: Outstanding securitized exposures
This table outlines the outstanding transaction size of securitization exposures which we have
originated/sponsored and retained securitization positions at the balance sheet date in the banking or trading book and/or are otherwise involved on an ongoing basis, for example through the provision of credit enhancement or implicit support.
Amounts disclosed under the Traditional column in this table reflect the total outstanding notes at par value issued
by the securitization vehicle. For synthetic securitization transactions, we generally disclose the balance sheet carrying values
of the exposures securitized or, for hybrid structures, the outstanding notes at par value issued by the securitization vehicle.
The table also includes securitization activities conducted in the first half of 2015 and in full year 2014 in which we
retained/purchased positions. These can also be found in Table 21: Securitization activity for the period in the banking book. Where no positions were retained, the outstanding transaction size is only disclosed in the year of inception
for originator transactions.
All values in this table are as of the balance sheet date.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking book |
|
|
Trading book1 |
|
|
|
Originator |
|
|
Sponsor |
|
|
Originator |
|
|
Sponsor |
|
CHF million |
|
Traditional |
|
|
Synthetic |
|
|
Traditional |
|
|
Synthetic |
|
|
Traditional |
|
|
Synthetic |
|
|
Traditional2 |
|
|
Synthetic |
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
1,273 |
|
|
|
|
|
|
|
1,053 |
|
|
|
|
|
|
|
4,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
589 |
|
|
|
|
|
|
|
19,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
993 |
|
|
|
1,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
4,683 |
|
|
|
406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
589 |
|
|
|
4,728 |
|
|
|
21,568 |
|
|
|
0 |
|
|
|
1,053 |
|
|
|
993 |
|
|
|
11,956 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,008 |
|
|
|
|
|
|
|
7,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
2,942 |
|
|
|
|
|
|
|
17,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
243 |
|
|
|
1,106 |
|
|
|
|
|
|
|
199 |
|
|
|
1,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
7,306 |
|
|
|
463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
2,942 |
|
|
|
7,549 |
|
|
|
19,489 |
|
|
|
0 |
|
|
|
1,207 |
|
|
|
1,057 |
|
|
|
10,487 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 In line with our disclosure principles, we disclose the UBS originated and sponsored deals only where the
positions result in an RWA or capital deduction under Pillar
1. 2 This disclosure excludes sponsor-only activity where we do not
retain a position. In such cases, we advised the originator or placed securities in the market for a fee, and this activity did not otherwise impact our capital.
35
Table 23: Impaired or past due securitized exposures and losses related to securitized exposures in the banking book
This table provides a breakdown of the outstanding impaired or past due exposures at the balance
sheet date as well as losses recognized in our income statement for transactions in which we acted as originator or sponsor in the banking book. Losses are reported after taking into account the offsetting effects of any credit protection from
eligible risk mitigation instruments under the Basel III framework for the retained or purchased positions.
Where we did not retain positions, impaired or past due information is only
reported in the year of inception of a transaction. Where available, past due information is derived from investor reports. Past due is generally defined as delinquency above 60 days. Where investor reports do not provide this information,
alternative methods have been applied, which may include an assessment of the fair value of the retained position or reference assets, or identification of any credit events.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
|
|
Originator |
|
|
Sponsor |
|
|
Originator |
|
|
Sponsor |
|
CHF million |
|
Impaired or past due in securitized exposures |
|
|
Recognized losses in income statement |
|
|
Impaired or past due in securitized exposures |
|
|
Recognized losses in income statement |
|
|
Impaired or past due in securitized exposures |
|
|
Recognized losses in income statement |
|
|
Impaired or past due in securitized exposures |
|
|
Recognized losses in income statement |
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
|
|
|
|
|
|
|
|
42 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
0 |
|
|
|
0 |
|
|
|
60 |
|
|
|
1 |
|
|
|
0 |
|
|
|
6 |
|
|
|
38 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36
Table 24: Exposures intended to be securitized in the banking and trading book
This table provides the
amount of exposures by exposure type we intend to securitize in the banking and trading book. We disclose our intention to securitize exposures as an originator if assets are designated for securitization and a tentative pricing date for a
transaction is known at the balance sheet date or if a pricing of a transaction has been fixed.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
|
|
31.12.14 |
|
CHF million |
|
|
|
|
Banking book |
|
|
|
Trading book |
|
|
|
|
|
Banking book |
|
|
|
Trading book |
|
Residential mortgages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
|
|
307 |
|
|
|
|
|
|
|
|
|
144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
307 |
|
|
|
0 |
|
|
|
|
|
144 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 25: Securitization positions retained or purchased in the banking book
This table provides a breakdown of
securitization positions we retained or purchased in the banking book, irrespective of our role in the securitization transaction. The value disclosed is the net exposure amount at default subject to risk-weighting at the balance sheet date.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
CHF million |
|
On balance sheet |
|
|
Off balance sheet1 |
|
|
Total |
|
|
On balance sheet |
|
|
Off balance sheet1 |
|
|
Total |
|
Residential mortgages |
|
|
383 |
|
|
|
|
|
|
|
383 |
|
|
|
499 |
|
|
|
|
|
|
|
499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
15 |
|
|
|
|
|
|
|
15 |
|
|
|
31 |
|
|
|
|
|
|
|
31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
173 |
|
|
|
|
|
|
|
173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
167 |
|
|
|
|
|
|
|
167 |
|
|
|
402 |
|
|
|
|
|
|
|
402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
12 |
|
|
|
0 |
|
|
|
12 |
|
|
|
452 |
|
|
|
39 |
|
|
|
492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other2 |
|
|
4,546 |
|
|
|
|
|
|
|
4,546 |
|
|
|
7,449 |
|
|
|
|
|
|
|
7,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total3 |
|
|
5,125 |
|
|
|
0 |
|
|
|
5,125 |
|
|
|
9,009 |
|
|
|
39 |
|
|
|
9,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Synthetic long exposures through sold CDS positions are classified as off balance sheet exposures. 2 Other primarily includes securitization of portfolios of counterparty credit risk in
over-the-counter (OTC) derivatives and loan exposures. 3 The total
exposure of CHF 5,125 million as of 30 June 2015 is also disclosed in Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets in line Securitization/re-securitization in the banking book.
37
Table 26: Securitization positions retained or purchased in
the trading book
This table provides a breakdown of securitization positions we purchased or retained in the trading
book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction. Gross long and gross short amounts reflect the positions prior to the eligible offsetting of cash and derivative
positions. Net long and net short amounts
are the result of offsetting cash and derivative positions to the extent eligible under the Basel III framework. The amounts disclosed are either the fair value or, in the case of derivative
positions, the aggregate of the notional amount and the associated replacement value at the balance sheet date.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash positions |
|
|
Derivative positions |
|
|
Total |
|
CHF million |
|
Gross long |
|
|
Gross short |
|
|
Gross long |
|
|
Gross short |
|
|
Net long |
|
|
Net short |
|
|
Net Total1,2 |
|
Residential mortgages |
|
|
9 |
|
|
|
2 |
|
|
|
376 |
|
|
|
486 |
|
|
|
6 |
|
|
|
23 |
|
|
|
28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
259 |
|
|
|
0 |
|
|
|
1,276 |
|
|
|
1,298 |
|
|
|
435 |
|
|
|
30 |
|
|
|
465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
23 |
|
|
|
1 |
|
|
|
78 |
|
|
|
23 |
|
|
|
14 |
|
|
|
1 |
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
3 |
|
|
|
0 |
|
|
|
201 |
|
|
|
192 |
|
|
|
12 |
|
|
|
|
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 30.6.15 |
|
|
294 |
|
|
|
4 |
|
|
|
1,931 |
|
|
|
1,998 |
|
|
|
467 |
|
|
|
54 |
|
|
|
521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages |
|
|
14 |
|
|
|
3 |
|
|
|
481 |
|
|
|
633 |
|
|
|
16 |
|
|
|
45 |
|
|
|
61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgages |
|
|
238 |
|
|
|
|
|
|
|
1,299 |
|
|
|
1,332 |
|
|
|
427 |
|
|
|
6 |
|
|
|
433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit card receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leasing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans to corporates or small and medium-sized enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Student loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade receivables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Re-securitizations |
|
|
28 |
|
|
|
1 |
|
|
|
106 |
|
|
|
39 |
|
|
|
15 |
|
|
|
4 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other |
|
|
3 |
|
|
|
0 |
|
|
|
203 |
|
|
|
203 |
|
|
|
3 |
|
|
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
283 |
|
|
|
4 |
|
|
|
2,090 |
|
|
|
2,208 |
|
|
|
461 |
|
|
|
55 |
|
|
|
515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Since 1 January 2014, both net long and net short positions are underpinned in the trading book and EAD capped at maximum possible
loss. 2 30 June 2015 does not include CHF 1,147 million
related to leveraged super senior tranches treated under the supervisory formula approach which are reported in Table 31c: Securitization/re-securitization exposures treated under the supervisory formula approach by rating
clusters-trading book. Including these exposures, net total exposures were CHF 1,668 million, which equals the gross and net exposure of securitization/re-securitization in the trading book disclosed in Table 2: Detailed
segmentation of Basel III exposures and risk-weighted assets.
38
Table 27a: Capital requirement for securitization/re-securitization
positions retained or purchased in the banking book
Tables 27a to 27c provide the capital requirements for securitization and re-securitization positions
we purchased or retained in the banking book, irrespective of our role in the securitization transaction, split by risk weight bands and regulatory capital approach.
We use three FINMA-recognized ECAI for this purpose: Standard & Poors Ratings Group, Moodys Investors Service and Fitch Ratings.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
|
|
Ratings-based approach |
|
|
Supervisory formula approach |
|
|
|
|
|
Ratings-based approach |
|
|
Supervisory formula approach |
|
|
|
|
CHF million |
|
Securitiza-
tion |
|
|
Re- securitiza- tion |
|
|
Securitiza-
tion |
|
|
Re- securitiza- tion |
|
|
Total |
|
|
Securitiza-
tion |
|
|
Re-
securitiza- tion |
|
|
Securitiza-
tion |
|
|
Re-
securitiza- tion |
|
|
Total |
|
over 020% |
|
|
12 |
|
|
|
|
|
|
|
37 |
|
|
|
|
|
|
|
49 |
|
|
|
20 |
|
|
|
16 |
|
|
|
45 |
|
|
|
|
|
|
|
81 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 2035% |
|
|
2 |
|
|
|
0 |
|
|
|
3 |
|
|
|
|
|
|
|
5 |
|
|
|
5 |
|
|
|
2 |
|
|
|
53 |
|
|
|
|
|
|
|
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 3550% |
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
6 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 5075% |
|
|
7 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
7 |
|
|
|
11 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 75100% |
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 |
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 100250% |
|
|
1 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
1 |
|
|
|
6 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 2501,249% |
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
0 |
|
|
|
5 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250% rated |
|
|
31 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
48 |
|
|
|
34 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250% unrated |
|
|
0 |
|
|
|
|
|
|
|
34 |
|
|
|
|
|
|
|
34 |
|
|
|
16 |
|
|
|
2 |
|
|
|
37 |
|
|
|
|
|
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total1 |
|
|
69 |
|
|
|
18 |
|
|
|
74 |
|
|
|
0 |
|
|
|
161 |
|
|
|
110 |
|
|
|
49 |
|
|
|
135 |
|
|
|
0 |
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Refer to Table 2: Detailed segmentation of Basel III exposures and risk-weighted assets. On
30 June 2015, CHF 5,125 million banking book securitization RWA translated to an overall capital requirement of CHF 161 million.
Table 27b: Securitization/re-securitization exposures treated under the ratings-based approach by rating clusters banking book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
|
|
31.12.14 |
|
CHF million |
|
|
|
Exposure amount |
|
|
Capital requirement |
|
|
|
|
Exposure amount |
|
|
Capital requirement |
|
AAA |
|
|
|
|
203 |
|
|
|
3 |
|
|
|
|
|
223 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AA |
|
|
|
|
290 |
|
|
|
6 |
|
|
|
|
|
917 |
|
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A+ |
|
|
|
|
32 |
|
|
|
1 |
|
|
|
|
|
54 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A |
|
|
|
|
107 |
|
|
|
3 |
|
|
|
|
|
335 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A |
|
|
|
|
46 |
|
|
|
2 |
|
|
|
|
|
119 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB+ |
|
|
|
|
3 |
|
|
|
0 |
|
|
|
|
|
121 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB |
|
|
|
|
86 |
|
|
|
7 |
|
|
|
|
|
126 |
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB |
|
|
|
|
111 |
|
|
|
15 |
|
|
|
|
|
69 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB+ |
|
|
|
|
3 |
|
|
|
1 |
|
|
|
|
|
26 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB |
|
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
9 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB |
|
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
6 |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Below BB/unrated |
|
|
|
|
31 |
|
|
|
49 |
|
|
|
|
|
44 |
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
913 |
|
|
|
87 |
|
|
|
|
|
2,050 |
|
|
|
159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 27c: Securitization/re-securitization exposures treated under the supervisory
formula approach by risk-weight clusters banking book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
CHF million |
|
Exposure amount |
|
|
Capital requirement |
|
|
Exposure amount |
|
|
Capital requirement |
|
over 020% |
|
|
4,058 |
|
|
|
37 |
|
|
|
5,190 |
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 2035% |
|
|
132 |
|
|
|
3 |
|
|
|
1,782 |
|
|
|
53 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250% |
|
|
22 |
|
|
|
34 |
|
|
|
27 |
|
|
|
37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
4,212 |
|
|
|
74 |
|
|
|
6,998 |
|
|
|
135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39
Gains on sale securitization exposures to be
deducted from Basel III tier 1 capital
In the first half of 2015 and in full year 2014, we have not retained any significant exposures relating to securitization for which we have recorded gains on sale requiring deduction from Basel III tier 1 capital.
Securitization exposures subject to early amortization in the banking and trading book
In the first half of 2015 and in full year
2014, we had no securitization structures in the banking and trading book that are subject to early amortization treatment.
Table 28: Re-securitization positions retained or purchased in the banking book
The table below shows the total of re-securitization positions (cash as well as synthetic) held in
the banking book, broken down into positions for which credit risk mitigation has been recognized and those for which no credit risk mitigation has been recognized. Credit risk mitigation includes protection bought by entering into credit
derivatives with third-party protection sellers, as well as financial collateral received. Both
bought credit protection and financial collateral must be eligible under the Basel III framework. In the first half of 2015 and in full year 2014, no credit risk mitigation has been recognized
for re-securitization positions (cash as well as synthetic) held in the banking book. As of 30 June 2015, none of the retained or purchased banking book re-securitization positions had an integrated insurance wrapper.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
With credit risk mitigation |
|
|
Without credit risk mitigation |
|
|
Total |
|
Total 30.6.15 |
|
|
0 |
|
|
|
12 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
0 |
|
|
|
492 |
|
|
|
492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 29: Re-securitization positions retained or purchased in the trading book
The table below outlines re-securitization positions retained or purchased subject to the
securitization framework for specific market risk held in the trading book on a gross long and gross short basis, including synthetic long and short positions resulting from derivative transactions. It also includes positions on a
net long and net short basis, that is, gross long and short positions after offsetting to the extent it is eligible under the Basel III framework. As of 30 June 2015, none of the
retained or purchased trading book re-securitization positions had an integrated insurance wrapper.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHF million |
|
Gross long |
|
|
Gross short |
|
|
Net long |
|
|
Net short |
|
Total 30.6.15 |
|
|
102 |
|
|
|
24 |
|
|
|
14 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 31.12.14 |
|
|
134 |
|
|
|
41 |
|
|
|
15 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding notes issued by securitization vehicles related to UBSs retained
exposures subject to the market risk approach
The information presented in table 26 in our Annual Report 2014 is now located within the
Trading Book information in Table 22: Outstanding securitized exposures in this report.
In the first half of 2015 and in full year 2014, there was no origination activity for securitization
vehicles in the trading book.
40
Table 30: Correlation products subject to the comprehensive risk measure
or the securitization framework for specific risk
This table outlines products in the correlation portfolio that we retained or purchased in the
trading book, irrespective of our role in the securitization transaction. They are subject to either the comprehensive risk measure or the securitization framework for specific risk. Correlation products subject to the securitization framework are
leveraged super senior positions. The values
disclosed are market values for cash positions, replacement values and notional values for derivative positions. Derivatives are split by positive replacement value and negative replacement
value. The decrease in notional values related to positive and negative replacement values resulted mainly from trades maturing during the year, as well as from trade terminations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash positions |
|
|
Derivative positions |
|
|
|
|
|
|
30.6.15 |
|
Assets |
|
|
Liabilities |
|
|
Assets |
|
|
Liabilities |
|
CHF million |
|
Market value |
|
|
Market value |
|
|
Positive replacement value |
|
|
Positive replacement value notionals |
|
|
Negative replacement value |
|
|
Negative replacement value notionals |
|
Positions subject to comprehensive risk measure |
|
|
112 |
|
|
|
531 |
|
|
|
34 |
|
|
|
2,083 |
|
|
|
340 |
|
|
|
3,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positions subject to securitization framework1 |
|
|
|
|
|
|
|
|
|
|
3 |
|
|
|
2,658 |
|
|
|
3 |
|
|
|
2,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positions subject to comprehensive risk measure |
|
|
137 |
|
|
|
609 |
|
|
|
254 |
|
|
|
4,019 |
|
|
|
627 |
|
|
|
5,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positions subject to securitization framework1 |
|
|
|
|
|
|
|
|
|
|
1 |
|
|
|
3,095 |
|
|
|
1 |
|
|
|
3,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
Includes leveraged super senior tranches.
Table 31a: Securitization positions and capital requirement for trading book
positions subject to the securitization framework
Tables 31a to 31c outline securitization positions we purchased or retained and the capital
requirement in the trading book subject to the securitization framework for specific market risk, irrespective of our role in the securitization transaction, broken
down by risk weight bands and regulatory capital approach. The amounts disclosed for securitization positions are market values at the balance sheet date after eligible netting under the Basel
III framework.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
|
|
Ratings-based approach |
|
|
Ratings-based approach |
|
CHF million |
|
Net long |
|
|
Net short |
|
|
Net Total |
|
|
Capital requirement |
|
|
Net long |
|
|
Net short |
|
|
Net Total |
|
|
Capital requirement |
|
over 020% |
|
|
360 |
|
|
|
25 |
|
|
|
385 |
|
|
|
6 |
|
|
|
346 |
|
|
|
0 |
|
|
|
347 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 2035% |
|
|
57 |
|
|
|
0 |
|
|
|
57 |
|
|
|
2 |
|
|
|
51 |
|
|
|
|
|
|
|
51 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 3550% |
|
|
2 |
|
|
|
0 |
|
|
|
2 |
|
|
|
0 |
|
|
|
17 |
|
|
|
0 |
|
|
|
18 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 5075% |
|
|
5 |
|
|
|
0 |
|
|
|
5 |
|
|
|
0 |
|
|
|
8 |
|
|
|
3 |
|
|
|
11 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 75100% |
|
|
6 |
|
|
|
5 |
|
|
|
10 |
|
|
|
2 |
|
|
|
0 |
|
|
|
6 |
|
|
|
6 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 100250% |
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
0 |
|
|
|
8 |
|
|
|
|
|
|
|
8 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
over 2501,249% |
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
1 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250% rated |
|
|
6 |
|
|
|
29 |
|
|
|
35 |
|
|
|
55 |
|
|
|
13 |
|
|
|
42 |
|
|
|
55 |
|
|
|
76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250% unrated |
|
|
21 |
|
|
|
4 |
|
|
|
25 |
|
|
|
26 |
|
|
|
18 |
|
|
|
2 |
|
|
|
20 |
|
|
|
28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total1 |
|
|
458 |
|
|
|
63 |
|
|
|
521 |
|
|
|
92 |
2 |
|
|
461 |
|
|
|
55 |
|
|
|
516 |
|
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Leveraged super senior tranches (subject to the securitization framework) are not included in this table, but disclosed in Table 30: Correlation
products subject to the comprehensive risk measure or the securitization framework for specific risk. 2 The capital requirement of CHF 121 million as of 30 June 2015 disclosed in Table 2: Detailed segmentation of Basel III exposures and
risk-weighted assets in line Securitization/re-securitization in the trading book is comprised of the total ratings-based approach charge of CHF 92 million and CHF 29 million capital requirement for leveraged super senior
tranches as disclosed in Table 32: Capital requirement for securitization positions related to correlation products.
41
Table 31b: Securitization/re-securitization
exposures treated under the ratings-based approach by rating clusters trading book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
CHF million |
|
Exposure amount |
|
|
Capital requirement |
|
|
Exposure amount |
|
|
Capital requirement |
|
AAA |
|
|
385 |
|
|
|
6 |
|
|
|
301 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AA |
|
|
19 |
|
|
|
1 |
|
|
|
60 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A+ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A |
|
|
6 |
|
|
|
0 |
|
|
|
12 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A |
|
|
38 |
|
|
|
2 |
|
|
|
35 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB+ |
|
|
2 |
|
|
|
0 |
|
|
|
14 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB |
|
|
|
|
|
|
|
|
|
|
4 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBB |
|
|
10 |
|
|
|
1 |
|
|
|
6 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB+ |
|
|
0 |
|
|
|
0 |
|
|
|
8 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB |
|
|
1 |
|
|
|
1 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BB |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Below BB/unrated |
|
|
60 |
|
|
|
81 |
|
|
|
75 |
|
|
|
104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
521 |
|
|
|
92 |
|
|
|
515 |
|
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 31c: Securitization/re-securitization exposures treated under the supervisory
formula approach by risk weight clusters trading book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.6.15 |
|
|
31.12.14 |
|
CHF million |
|
Exposure amount |
|
|
Capital requirement |
|
|
Exposure amount |
|
|
Capital requirement |
|
over 020% |
|
|
1,147 |
|
|
|
29 |
|
|
|
1,095 |
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
1,147 |
|
|
|
29 |
|
|
|
1,095 |
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 32: Capital requirement for securitization positions related to correlation products
This table outlines the capital requirement for securitization positions in the trading book for
correlation products, including positions subject to comprehensive risk measure and positions related to leveraged super senior positions and certain re-securitized corporate credit exposures positions subject to the securitization framework. Our
model does not distinguish between
default risk, migration risk and correlation risk. The capital requirement for positions subject to the comprehensive risk measure declined due to the
execution of a series of risk transfers to exit the majority of the correlation trading portfolio market risk.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital requirement |
|
CHF million |
|
30.6.15 |
|
|
31.12.14 |
|
Positions subject to comprehensive risk measure |
|
|
13 |
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
Positions subject to securitization framework1 |
|
|
29 |
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
Total |
|
|
42 |
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
1 Leveraged super senior tranches.
42
Balance sheet reconciliation
Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
The table below provides a reconciliation of the IFRS balance sheet to the balance sheet according to
the regulatory scope of consolidation as defined by BIS and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded
and referenced where relevant to display all components that are used in Table 34: Composition of capital.
|
è
|
|
Refer to the Introduction section of this report for more information
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance sheet in accordance
with IFRS scope of consolidation |
|
|
Effect of
deconsolidated entities for regulatory consolidation |
|
|
Effect of additional consolidated entities for regulatory
consolidation |
|
|
Balance sheet in
accordance with regulatory scope of consolidation |
|
|
References1 |
|
CHF million |
|
30.6.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and balances with central banks |
|
|
84,646 |
|
|
|
|
|
|
|
|
|
|
|
84,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from banks |
|
|
13,343 |
|
|
|
(288 |
) |
|
|
|
|
|
|
13,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities borrowed |
|
|
27,689 |
|
|
|
|
|
|
|
|
|
|
|
27,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreements |
|
|
60,848 |
|
|
|
|
|
|
|
|
|
|
|
60,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio assets |
|
|
128,476 |
|
|
|
(17,286 |
) |
|
|
|
|
|
|
111,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positive replacement values |
|
|
173,681 |
|
|
|
25 |
|
|
|
|
|
|
|
173,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral receivables on derivative instruments |
|
|
24,842 |
|
|
|
|
|
|
|
|
|
|
|
24,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial assets designated at fair value |
|
|
5,425 |
|
|
|
|
|
|
|
|
|
|
|
5,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans |
|
|
313,852 |
|
|
|
106 |
|
|
|
|
|
|
|
313,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial investments available-for-sale |
|
|
66,771 |
|
|
|
(80 |
) |
|
|
|
|
|
|
66,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated participations |
|
|
0 |
|
|
|
202 |
|
|
|
|
|
|
|
202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in associates |
|
|
908 |
|
|
|
|
|
|
|
|
|
|
|
908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: goodwill |
|
|
352 |
|
|
|
|
|
|
|
|
|
|
|
352 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Property, equipment and software |
|
|
7,050 |
|
|
|
(86 |
) |
|
|
|
|
|
|
6,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goodwill and intangible assets |
|
|
6,242 |
|
|
|
|
|
|
|
|
|
|
|
6,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: goodwill |
|
|
5,885 |
|
|
|
|
|
|
|
|
|
|
|
5,885 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: intangible assets |
|
|
357 |
|
|
|
|
|
|
|
|
|
|
|
357 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deferred tax assets |
|
|
10,000 |
|
|
|
(1 |
) |
|
|
|
|
|
|
9,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: deferred tax assets recognized for tax loss carry-forwards |
|
|
5,907 |
|
|
|
(1 |
) |
|
|
|
|
|
|
5,906 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: deferred tax assets on temporary differences |
|
|
4,093 |
|
|
|
|
|
|
|
|
|
|
|
4,093 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets |
|
|
26,394 |
|
|
|
(90 |
) |
|
|
1 |
|
|
|
26,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: goodwill related to assets of disposal group held for sale |
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
27 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
|
|
950,168 |
|
|
|
(17,537 |
) |
|
|
2 |
|
|
|
932,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 34:
Composition of capital.
43
Table 33: Reconciliation of accounting balance sheet to balance
sheet under the regulatory scope of consolidation (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance sheet in accordance
with IFRS scope of consolidation |
|
|
Effect of
deconsolidated entities for regulatory consolidation |
|
|
Effect of additional consolidated entities for regulatory
consolidation |
|
|
Balance sheet in accordance with regulatory scope of consolidation |
|
|
References1 |
|
CHF million |
|
30.6.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due to banks |
|
|
13,270 |
|
|
|
(51 |
) |
|
|
|
|
|
|
13,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral on securities lent |
|
|
10,652 |
|
|
|
|
|
|
|
|
|
|
|
10,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements |
|
|
13,032 |
|
|
|
|
|
|
|
|
|
|
|
13,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading portfolio liabilities |
|
|
32,181 |
|
|
|
(10 |
) |
|
|
|
|
|
|
32,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Negative replacement values |
|
|
171,202 |
|
|
|
103 |
|
|
|
|
|
|
|
171,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash collateral payables on derivative instruments |
|
|
38,603 |
|
|
|
|
|
|
|
|
|
|
|
38,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial liabilities designated at fair value |
|
|
66,366 |
|
|
|
14 |
|
|
|
|
|
|
|
66,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due to customers |
|
|
377,054 |
|
|
|
139 |
|
|
|
|
|
|
|
377,192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt issued |
|
|
100,558 |
|
|
|
(22 |
) |
|
|
|
|
|
|
100,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: amount eligible for high-trigger loss-absorbing additional tier 1
capital2 |
|
|
1,158 |
|
|
|
|
|
|
|
|
|
|
|
1,158 |
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: amount eligible for low-trigger loss-absorbing additional tier 1
capital2 |
|
|
2,145 |
|
|
|
|
|
|
|
|
|
|
|
2,145 |
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: amount eligible for low-trigger loss-absorbing tier 2
capital3 |
|
|
9,613 |
|
|
|
|
|
|
|
|
|
|
|
9,613 |
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: amount eligible for capital instruments subject to phase-out from tier 2 capital4 |
|
|
1,798 |
|
|
|
|
|
|
|
|
|
|
|
1,798 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Provisions |
|
|
3,594 |
|
|
|
(1 |
) |
|
|
|
|
|
|
3,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other liabilities |
|
|
70,402 |
|
|
|
(17,632 |
) |
|
|
1 |
|
|
|
52,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))5 |
|
|
855 |
|
|
|
|
|
|
|
|
|
|
|
855 |
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities |
|
|
896,915 |
|
|
|
(17,460 |
) |
|
|
1 |
|
|
|
879,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share capital |
|
|
375 |
|
|
|
(1 |
) |
|
|
1 |
|
|
|
375 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share premium |
|
|
31,005 |
|
|
|
|
|
|
|
|
|
|
|
31,005 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury shares |
|
|
(1,624 |
) |
|
|
|
|
|
|
|
|
|
|
(1,624 |
) |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retained earnings |
|
|
25,704 |
|
|
|
(205 |
) |
|
|
|
|
|
|
25,499 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income recognized directly in equity, net of tax |
|
|
(5,249 |
) |
|
|
128 |
|
|
|
(1 |
) |
|
|
(5,121 |
) |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: unrealized gains/(losses) from cash flow hedges according to regulatory scope of consolidation6 |
|
|
1,626 |
|
|
|
|
|
|
|
|
|
|
|
1,626 |
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity attributable to UBS Group AG shareholders |
|
|
50,211 |
|
|
|
(78 |
) |
|
|
0 |
|
|
|
50,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity attributable to non-controlling interests |
|
|
3,042 |
|
|
|
1 |
|
|
|
|
|
|
|
3,043 |
|
|
|
3, 6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total equity |
|
|
53,253 |
|
|
|
(77 |
) |
|
|
0 |
|
|
|
53,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity |
|
|
950,168 |
|
|
|
(17,537 |
) |
|
|
2 |
|
|
|
932,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 References link respective lines of this table to the respective reference numbers provided in the column
References in Table 34: Composition of capital. 2 Represents IFRS book
value. 3 IFRS book
value is CHF 9,625
million. 4 IFRS book
value is CHF 3,754
million. 5 IFRS book
value is CHF 977 million. Refer to the Compensation section of our Annual Report 2014 for more information on DCCP. 6 IFRS value is CHF 1,589 million, excluding non-controlling interests in UBS AG.
44
Composition of capital
Table 34: Composition of capital
The table below provides the Composition of capital as defined by BIS and FINMA. The
naming convention does not always reflect UBSs naming convention used in our external reports. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in Table 33:
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. Where relevant, the effect of phase-in arrangements is disclosed as well.
|
è
|
|
Refer to the Capital management section of our second quarter 2015 report for more information on phase-in arrangements
|
An overview of the main features of our regulatory capital instruments, as well as
the full terms and conditions, are published in the Bondholder information section of our Investor Relations website.
|
è
|
|
Refer to Bondholder information at www.ubs.com/investors for more information
on the capital instruments of UBS Group AG and UBS AG on a consolidated and on a standalone basis |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phase-in amounts |
|
|
Effect of the transition phase |
|
|
References1 |
|
CHF million, except where indicated |
|
30.6.15 |
|
|
30.6.15 |
|
|
|
|
1 |
|
Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus |
|
|
31,381 |
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
|
Retained earnings |
|
|
25,499 |
|
|
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
|
Accumulated other comprehensive income (and other reserves) |
|
|
(6,746 |
) |
|
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
|
Directly issued capital subject to phase-out from common equity tier 1 capital (only applicable to non-joint stock companies) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
|
Common share capital issued by subsidiaries and held by third parties (amount allowed in Group common equity tier 1 capital) |
|
|
1,164 |
|
|
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
|
Common equity tier 1 capital before regulatory adjustments |
|
|
51,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 |
|
Prudential valuation adjustments |
|
|
(84 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 |
|
Goodwill, net of tax, less hybrid capital and additional tier 1 capital2 |
|
|
(2,486 |
) |
|
|
(3,729 |
) |
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
|
Intangible assets, net of tax2 |
|
|
(351 |
) |
|
|
|
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 |
|
Deferred tax assets recognized for tax loss carry-forwards3 |
|
|
(2,525 |
) |
|
|
(3,787 |
) |
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 |
|
Unrealized (gains)/losses from cash flow hedges, net of tax |
|
|
(1,626 |
) |
|
|
|
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 |
|
Expected losses on advanced internal ratings-based portfolio less general provisions |
|
|
(314 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 |
|
Securitization gain on sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 |
|
Own credit related to financial liabilities designated at fair value and replacement values, net of tax |
|
|
(412 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 |
|
Defined benefit plans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16 |
|
Compensation and own shares-related capital components (not recognized in net profit) |
|
|
(1,523 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17 |
|
Reciprocal crossholdings in common equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17a |
|
Qualifying interest where a controlling influence is exercised together with other owners (CET instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17b |
|
Consolidated investments (CET1 instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18 |
|
Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own
more than 10% of the issued share capital (amount above 10% threshold) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19 |
|
Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above
10% threshold) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20 |
|
Mortgage servicing rights (amount above 10% threshold) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21 |
|
Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) |
|
|
(115 |
) |
|
|
(924 |
) |
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22 |
|
Amount exceeding the 15% threshold |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23 |
|
of which: significant investments in the common stock of financials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24 |
|
of which: mortgage servicing rights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25 |
|
of which: deferred tax assets arising from temporary differences |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26 |
|
Expected losses on equity investments treated according to the PD/LGD approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26a |
|
Other adjustments relating to the application of an internationally accepted accounting standard |
|
|
(312 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26b |
|
Other deductions |
|
|
(2,844 |
) |
|
|
|
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27 |
|
Regulatory adjustments applied to common equity tier 1 due to insufficient additional tier 1 and tier 2 to cover deductions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28 |
|
Total regulatory adjustments to common equity tier 1 |
|
|
(12,592 |
) |
|
|
(8,441 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29 |
|
Common equity tier 1 capital (CET1) |
|
|
38,706 |
|
|
|
(8,441 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 References link respective lines of this table to the
respective reference numbers provided in the column References in Table 33: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 The CHF 6,215 million (CHF 2,486 million and CHF 3,729 million) reported in line 8
includes goodwill on investments in associates of CHF 352 million, DTL on goodwill of CHF 50 million and goodwill related to assets of disposal group held for sale of CHF 27 million reported in Other assets in table 33.
The CHF 351 million reported in line 9 includes DTL on intangibles of CHF 5 million. 3 The CHF 6,312 million (CHF 2,525 million and CHF 3,787 million) deferred tax assets recognized for
tax loss carry-forwards reported in line 10 differ from the CHF 5,907 million deferred tax assets shown in the line Deferred tax assets in table 33 because the latter figure is shown after the offset of deferred tax liabilities for
cash flow hedge gains (CHF 423 million) and other temporary differences, which are adjusted out in line 11 and other lines of this table, respectively.
45
Table 34: Composition of capital (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phase-in amounts |
|
|
Effect of the transition phase |
|
|
References1 |
|
CHF million, except where indicated |
|
30.6.15 |
|
|
30.6.15 |
|
|
|
|
30 |
|
Directly issued qualifying additional tier 1 instruments plus related stock surplus |
|
|
3,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31 |
|
of which: classified as equity under applicable accounting standards |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32 |
|
of which: classified as liabilities under applicable accounting
standards2 |
|
|
3,777 |
|
|
|
|
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33 |
|
Directly issued capital instruments subject to phase-out from additional tier 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34 |
|
Additional tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in Group additional tier 1) |
|
|
1,840 |
|
|
|
(1,840 |
) |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35 |
|
of which: instruments issued by subsidiaries subject to phase-out |
|
|
1,840 |
|
|
|
(1,840 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36 |
|
Additional tier 1 capital before regulatory adjustments |
|
|
5,616 |
|
|
|
(1,840 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37 |
|
Investments in own additional tier 1 instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38 |
|
Reciprocal crossholdings in additional tier 1 instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38a |
|
Qualifying interest where a controlling influence is exercised together with other owners (AT1 instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38b |
|
Holdings in companies which are to be consolidated (additional tier1 instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39 |
|
Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own
more than 10% of the issued common share capital of the entity (amount above 10% threshold) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40 |
|
Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41 |
|
National specific regulatory adjustments |
|
|
(3,729 |
) |
|
|
3,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42 |
|
Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tier 1 adjustments on impact of transitional arrangements |
|
|
(3,729 |
) |
|
|
3,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: prudential valuation adjustment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: own CET1 instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: goodwill net of tax, offset against hybrid capital and loss-absorbing capital |
|
|
(3,729 |
) |
|
|
3,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: intangible assets (net of related tax liabilities) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: gains from the calculation of cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: IRB shortfall of provisions to expected losses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: gains on sales related to securitization transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: gains/losses in connection with own credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: expected loss amount for equity exposures under the PD/LGD approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: mortgage servicing rights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42a |
|
Excess of the adjustments which are allocated to the common equity tier 1 capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43 |
|
Total regulatory adjustments to additional tier 1 capital |
|
|
(3,729 |
) |
|
|
3,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44 |
|
Additional tier 1 capital (AT1) |
|
|
1,887 |
|
|
|
1,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45 |
|
Tier 1 capital (T1 = CET1 + AT1) |
|
|
40,593 |
|
|
|
(6,552 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46 |
|
Directly issued qualifying tier 2 instruments plus related stock surplus3 |
|
|
10,537 |
|
|
|
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47 |
|
Directly issued capital instruments subject to phase-out from tier 2 |
|
|
1,831 |
|
|
|
(1,831 |
) |
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48 |
|
Tier 2 instruments (and CET1 and additional tier 1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Group tier 2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49 |
|
of which: instruments issued by subsidiaries subject to phase-out |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50 |
|
Provisions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51 |
|
Tier 2 capital before regulatory adjustments |
|
|
12,368 |
|
|
|
(1,831 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52 |
|
Investments in own tier 2 instruments |
|
|
(38 |
) |
|
|
33 |
|
|
|
7, 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53 |
|
Reciprocal cross holdings in tier 2 instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53a |
|
Qualifying interest where a controlling influence is exercised together with other owners (tier 2 instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53b |
|
Investments to be consolidated (tier 2 instruments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54 |
|
Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own
more than 10% of the issued common share capital of the entity (amount above the 10% threshold) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55 |
|
Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 33:
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF
1,158 million and CHF 2,145 million recognized in the line Debit issued in table 33, CHF 855 million DCCP recognized in the line Other liabilities in table 33 and CHF 536 million recognized in DCCP-related
charges for regulatory capital purposes in the line 26b Other deductions of this table. 3 The CHF 10,537 million in the line 46 includes CHF 9,613 million low-trigger loss-absorbing tier 2
capital recognized in line Debt issue in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in line 52 and high-trigger loss-absorbing capital of CHF 918 million reported in line 58 of
this table.
46
Table 34: Composition of capital (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phase-in amounts |
|
|
Effect of the transition phase |
|
|
References1 |
|
CHF million, except where indicated |
|
30.6.15 |
|
|
30.6.15 |
|
|
|
|
56 |
|
National specific regulatory adjustments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56a |
|
Excess of the adjustments which are allocated to the additional tier 1 capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57 |
|
Total regulatory adjustments to tier 2 capital |
|
|
(38 |
) |
|
|
33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58 |
|
Tier 2 capital (T2) |
|
|
12,329 |
|
|
|
(1,798 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: high-trigger loss-absorbing capital2, 3 |
|
|
918 |
|
|
|
|
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: low-trigger loss-absorbing capital3 |
|
|
9,613 |
|
|
|
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59 |
|
Total capital (TC = T1 + T2) |
|
|
52,923 |
|
|
|
(8,350 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount with risk weight pursuant the transitional arrangement (phase-in) |
|
|
|
|
|
|
(2,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
of which: DTA on temporary differences, excess over threshold |
|
|
|
|
|
|
(2,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60 |
|
Total risk-weighted assets |
|
|
212,088 |
|
|
|
(2,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital ratios and buffers |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61 |
|
Common equity tier 1 (as a percentage of risk-weighted assets) |
|
|
18.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62 |
|
Tier 1 (Pos 45 as a percentage of risk-weighted assets) |
|
|
19.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63 |
|
Total capital (pos 59 as a percentage of risk-weighted assets) |
|
|
25.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64 |
|
CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of
risk-weighted assets |
|
|
7.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65 |
|
of which: capital buffer requirement |
|
|
2.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
66 |
|
of which: bank-specific countercyclical buffer requirement |
|
|
0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67 |
|
of which: G-SIB buffer requirement |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68 |
|
Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets) |
|
|
17.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68af |
|
Not applicable for systemically relevant banks according to FINMA RS 11/2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72 |
|
Non significant investments in the capital of other financials |
|
|
1,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73 |
|
Significant investments in the common stock of financials |
|
|
738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74 |
|
Mortgage servicing rights (net of related tax liability) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75 |
|
Deferred tax assets arising from temporary differences (net of related tax liability) |
|
|
4,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Applicable caps on the inclusion of provisions in tier 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76 |
|
Provisions eligible for inclusion in tier 2 in respect of exposures subject to standardized approach (prior to application of cap) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77 |
|
Cap on inclusion of provisions in tier 2 under standardized approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78 |
|
Provisions eligible for inclusion in tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79 |
|
Cap for inclusion of provisions in tier 2 under internal ratings-based approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 References link respective lines of this table to the respective reference numbers provided in the column References in Table 33:
Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation. 2 CHF 3,777 million and CHF 918 million reported in lines 32 and 58 of this table, respectively, includes the following positions: CHF
1,158 million and CHF 2,145 million recognized in the line Debit issued in table 33, CHF 855 million DCCP recognized in the line Other liabilities in table 33 and CHF 536 million recognized in DCCP-related
charge for regulatory capital purpose in the line 26b Other deductions of this
table. 3 The CHF 10,537 million in the line 46 includes CHF
9,613 million low-trigger loss-absorbing tier 2 capital recognized in line Debt issue in table 33, which is shown net of CHF 5 million investments in own tier 2 instruments reported in the line 52 and high-trigger
loss-absorbing capital of CHF 918 million reported in line 58 of this table.
47
Notice to investors | This report
and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other
jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBSs second quarter 2015 report and its Annual Report 2014 for
additional information. These reports are available at www.ubs.com/investors.
Rounding | Numbers presented throughout
this report may not add up precisely to the totals provided in the tables and text. Percentages, percent changes and absolute variances are calculated based on rounded figures displayed in the tables and text and may not precisely reflect the
percentages, percent changes and absolute variances that would be derived based on figures that are not rounded.
Tables | Within
tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on
an actual or rounded basis.
This Form 6-K is hereby incorporated by reference into (1) each of the registration
statements of UBS AG on Form F-3 (Registration Number 333-204908) and of UBS Group AG on Form S-8 (Registration Numbers 333-200634; 333-200635; 333-200641; and 333-200665) and Form F-4 (Registration number 333-199011), and into each
prospectus outstanding under any of the foregoing registration statements, (2) any outstanding offering circular or similar document issued or authorized by UBS AG that incorporates by reference any Form 6-Ks of UBS AG that
are incorporated into its registration statements filed with the SEC, and (3) the base prospectus of Corporate Asset Backed Corporation (CABCO) dated June 23, 2004 (Registration Number 333-111572), the Form 8-K of
CABCO filed and dated June 23, 2004 (SEC File Number 001-13444), and the Prospectus Supplements relating to the CABCO Series 2004-101 Trust dated May 10, 2004 and May 17, 2004 (Registration Number 033-91744 and
033-91744-05).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereunto duly authorized.
|
|
|
UBS Group AG |
|
|
By: |
|
/s/ David Kelly |
Name: |
|
David Kelly |
Title: |
|
Managing Director |
|
|
By: |
|
/s/ Sarah M. Starkweather |
Name: |
|
Sarah M. Starkweather |
Title: |
|
Executive Director |
|
UBS AG |
|
|
By: |
|
/s/ David Kelly |
Name: |
|
David Kelly |
Title: |
|
Managing Director |
|
|
By: |
|
/s/ Sarah M. Starkweather |
Name: |
|
Sarah M. Starkweather |
Title: |
|
Executive Director |
Date: August 21, 2015
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