UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: July 29, 2022
Commission File Number: 1-15060
(Registrant’s Name)
Bahnhofstrasse 45, Zurich, Switzerland
Aeschenvorstadt 1, Basel, Switzerland
(Address of principal executive offices)
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
☒
☐
This Form 6-K consists of the Second Quarter 2022 Report of UBS AG, which appears immediately following this
page.
Corporate calendar UBS AG
Publication of the
third
quarter 202
2
report:
Friday, 2
8
October
202
2
Publication dates of future quarterly and annual reports and results are made
available as part of the corporate calendar of UBS AG at ubs.com/investors
Contacts
Switchboards
For all general inquiries
ubs.com/contact
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
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UBS’s Media Relations team manages
relationships with global media and
journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5858
mediarelations@ubs.com
Hong Kong +852-2971 8200
sh-mediarelations-ap@ubs.com
Imprint
Publisher: UBS AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2022. The key symbol and UBS are among the registered and unregistered
trademarks of UBS. All rights reserved.
3
1.
Risk and capital
management
6
7
2.
Consolidated
financial statements
12
3.
UBS AG standalone
financial information
54
Appendix
57
60
62
63
UBS AG Second quarter 2022 report
2
UBS AG consolidated key figures
UBS AG consolidated key figures
As of or for the quarter ended
As of or year-to-date
USD m, except where indicated
30.6.22
31.3.22
31.12.21
30.6.21
30.6.22
30.6.21
Results
Total revenues
Credit loss expense / (release)
Operating expenses
Operating profit / (loss) before tax
Net profit / (loss) attributable to shareholders
Profitability and growth
Return on equity (%)
Return on tangible equity (%)
Return on common equity tier 1 capital (%)
Return on leverage ratio denominator, gross (%)
Cost / income ratio (%)
Net profit growth (%)
Resources
Total assets
Equity attributable to shareholders
Common equity tier 1 capital
1
Risk -weighted assets
1
Common equity tier 1 capital ratio (%)
1
Going concern capital ratio (%)
1
Total loss-absorbing capacity ratio (%)
1
Leverage ratio denominator
1
Common equity tier 1 leverage ratio (%)
1
Other
Invested assets (USD bn)
2
Personnel (full-time equivalents)
1 Based on the Swiss systemically relevant bank framework as of 1 January 2020. Refer to the “Capital management” section of this report for more information. 2 Consists of invested assets for Global Wealth
Management, Asset Management and Personal & Corporate Banking. Refer to “Note 32 Invested assets and net new money” in the “Consolidated financial statements” section of our Annual Report 2021 for more
information.
Alternative performance measures
An alternative performance measure (an APM) is a financial measure of historical or future financial performance,
financial position or cash flows other than a financial measure defined or specified in the applicable recognized
accounting standards or in other applicable regulations. We report a number of APMs in our external reports
(annual, quarterly and other reports). We use APMs to provide a more complete picture of our operating
performance and to reflect management’s view of the fundamental drivers of our business results. A definition of
each APM, the method used to calculate it and the information content are presented under “Alternative
performance measures” in the appendix to this report. Our APMs may qualify as non-GAAP measures as defined
by US Securities and Exchange Commission (SEC) regulations.
Terms used in this report, unless the context requires otherwise
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
UBS AG Second quarter 2022 report
3
Introduction
Overview
UBS Group AG is the holding company for the UBS Group and the parent company of UBS AG. UBS Group AG
holds 100% of the issued shares in UBS AG. Financial information for UBS AG consolidated does not differ
materially from that for UBS Group AG consolidated.
This report includes risk and capital management information for UBS AG consolidated and the interim consolidated
financial statements for the quarter ended 30 June 2022. Regulatory information for UBS AG standalone is provided
in the 30 June 2022 Pillar 3 report, which will be available as of 19 August 2022 under “Pillar 3 disclosures” at
ubs.com/investors.
›
Refer to the UBS Group second quarter 2022 report, available under “Quarterly reporting” at
ubs.com/investors,
more information
Comparison between UBS Group AG consolidated and UBS AG consolidated
The table on the following page contains a comparison of selected financial and capital information between
UBS Group AG consolidated and UBS AG consolidated.
The accounting policies applied under International Financial Reporting Standards (IFRS) to both the UBS Group AG
and the UBS AG consolidated financial statements are identical. However, there are certain scope and presentation
differences as noted below.
Assets, liabilities, revenues, operating expenses and tax expenses / (benefits) relating to UBS Group AG and its
directly held subsidiaries, including UBS Business Solutions AG, are reflected in the consolidated financial statements
of UBS Group AG but not of UBS AG. UBS AG’s assets, liabilities, revenues and operating expenses related to
transactions with UBS Group AG and its directly held subsidiaries, including UBS Business Solutions AG and other
shared services subsidiaries, are not subject to elimination in the UBS AG consolidated financial statements, but are
eliminated in the UBS Group AG consolidated financial statements.
Differences in net profit between UBS Group AG consolidated and UBS AG consolidated mainly arise as UBS
Business Solutions AG and other shared services subsidiaries of UBS Group AG charge other legal entities within
the UBS AG consolidation scope for services provided, including a markup on costs incurred. In addition, and to a
lesser extent, differences arise as a result of certain compensation-related matters, including pensions.
The equity of UBS Group AG consolidated was USD 2.1bn higher than the equity of UBS AG consolidated as of
30 June 2022. This difference was mainly driven by higher dividends paid by UBS AG to UBS Group AG compared
with the dividend distributions of UBS Group AG, as well as higher retained earnings in the UBS Group AG
consolidated financial statements, largely related to the aforementioned markup charged by shared services
subsidiaries of UBS Group AG to other legal entities in the UBS AG scope of consolidation. In addition, UBS Group
AG is the grantor of the majority of the compensation plans of the Group and recognizes share premium for equity-
settled awards granted. These effects were partly offset by treasury shares acquired as part of our share repurchase
programs and those held to hedge share delivery obligations associated with Group compensation plans, as well as
additional share premium recognized at the UBS AG consolidated level related to the establishment of UBS Group
AG and UBS Business Solutions AG, a wholly owned subsidiary of UBS Group AG.
The going concern capital of UBS Group AG consolidated was USD 3.5bn higher than the going concern capital of
UBS AG consolidated as of 30 June 2022, reflecting higher common equity tier 1 (CET1) capital of USD 2.5bn and
going concern loss-absorbing additional tier 1 (AT1) capital of USD 1.1bn.
The CET1 capital of UBS Group AG consolidated was USD 2.5bn higher than that of UBS AG consolidated as of
30 June 2022. The higher CET1 capital of UBS Group AG consolidated was primarily due to lower UBS Group AG
accruals for dividends to shareholders and higher UBS Group AG consolidated IFRS equity of USD 2.1bn. The
aforementioned factors were partly offset by compensation-related regulatory capital accruals at the UBS Group
AG level.
UBS AG Second quarter 2022 report
4
The going concern loss-absorbing AT1 capital of UBS Group AG consolidated was USD 1.1bn higher than that of
UBS AG consolidated as of 30 June 2022, mainly reflecting deferred contingent capital plan awards granted at the
Group level to eligible employees for the performance years 2017 to 2021, partly offset by four loss-absorbing AT1
capital instruments on-lent by UBS Group AG to UBS AG.
›
Refer to “Holding company and significant regulated subsidiaries and sub-groups” under “Complementary financial
information” at
ubs.com/investors
UBS Group AG
›
Refer to the “Capital management” section of this report for more information about differences in the loss-
absorbing capacity between UBS Group AG consolidated and UBS AG consolidated
Comparison between UBS Group AG consolidated and UBS AG consolidated
As of or for the quarter ended 30.6.22
USD m, except where indicated
UBS Group AG
consolidated
UBS AG
consolidated
Difference
(absolute)
Income statement
Total revenues
Credit loss expense / (release)
Operating expenses
Operating profit / (loss) before tax
of which: Global Wealth Management
of which: Personal & Corporate Banking
of which: Asset Management
of which: Investment Bank
of which: Group Functions
Net profit / (loss)
of which: net profit / (loss) attributable to shareholders
of which: net profit / (loss) attributable to non-controlling interests
Statement of comprehensive income
Other comprehensive income
(1,039)
(1,009)
(30)
of which: attributable to shareholders
(1,011)
(981)
(30)
of which: attributable to non-controlling interests
(28)
(28)
0
Total comprehensive income
1,079
965
114
of which: attributable to shareholders
1,097
982
114
of which: attributable to non-controlling interests
(17)
(17)
0
Balance sheet
Total assets
1,113,193
1,112,474
719
Total liabilities
1,056,010
1,057,390
(1,380)
Total equity
57,184
55,085
2,099
of which: equity attributable to shareholders
56,845
54,746
2,099
of which: equity attributable to non-controlling interests
339
339
0
Capital information
Common equity tier 1 capital
Going concern capital
Risk -weighted assets
Common equity tier 1 capital ratio (%)
Going concern capital ratio (%)
Total loss-absorbing capacity ratio (%)
Leverage ratio denominator
Common equity tier 1 leverage ratio (%)
UBS AG Second quarter 2022 report
5
As of or for the quarter ended 31.3.22
As of or for the quarter ended 31.12.21
UBS Group AG
consolidated
UBS AG
consolidated
Difference
(absolute)
UBS Group AG
consolidated
UBS AG
consolidated
Difference
(absolute)
(2,216)
(2,134)
(82)
16
(2,234)
(2,152)
18
18
0
0
(72)
(121)
109
(98)
(148)
50
109
26
26
0
0
1,139,922
1,139,876
46
1,080,711
1,081,558
(847)
59,212
58,319
893
58,855
57,962
893
356
356
0
UBS AG Second quarter 2022 report |
Risk
and
capital
management
|
Risk
management
and
control
6
Risk and capital management
Management report
Risk management and control
UBS AG consolidated risk profile
The risk profile of UBS AG consolidated does not differ materially from that of UBS Group AG consolidated and the
risk information provided in the UBS Group second quarter 2022 report is equally applicable to UBS AG
consolidated.
The credit risk profile of UBS AG consolidated differs from that of UBS Group AG consolidated primarily in relation
to receivables of UBS AG and UBS Switzerland AG from UBS Group AG. The total banking products exposure of
UBS AG consolidated as of 30 June 2022 was USD 0.8bn, or 0.1%, higher than the exposure of UBS Group AG
consolidated, compared with USD 1.7bn, or 0.2%, as of 31 March 2022.
›
Refer to the “Risk management and control” section of the UBS Group second quarter 2022 report for more
information
›
Refer to the “Recent developments” section of the UBS Group second quarter 2022 report for more information
about our exposure and response to Russia’s invasion of Ukraine
UBS AG Second quarter 2022 report |
Risk
and
capital
management
|
Capital
management
7
Capital management
Going and gone concern requirements and information
UBS is considered a systemically relevant bank (an SRB) under Swiss banking law and, on a consolidated basis, both
UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable
for Swiss SRBs. The Swiss SRB framework and requirements applicable to UBS AG consolidated are consistent with
those applicable to UBS Group AG consolidated.
The applicable gone concern requirement floor as of 30 June 2022 was 10% for risk-weighted assets (RWA) and
3.75% for leverage ratio denominator (LRD) purposes. This floor was increased by 1.4% for RWA and 0.75% for
LRD in the first quarter of 2022. UBS AG is subject to going and gone concern requirements on a standalone basis.
›
Refer to “Capital management” in the “Capital, liquidity and funding, and balance sheet” section of our Annual
Report 2021 for more information about the Swiss SRB framework and requirements
›
Refer to “Holding company and significant regulated subsidiaries and sub-groups” at
ubs.com/investors
30 June 2022 Pillar 3 Report, which will be available as of 19 August 2022 under “Pillar 3 disclosures,” for more
information relating to capital and other regulatory information for UBS AG standalone
Swiss SRB going and gone concern requirements and information
As of 30.6.22
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
3
Required gone concern capital
Total gone concern loss-absorbing capacity
4
of which: base requirement
5
of which: additional requirement for market share and LRD
of which: applicable reduction on requirements
of which: rebate granted
6
of which: reduction for usage of low-trigger tier 2 capital instruments
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: low-trigger loss-absorbing tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk -weighted assets / leverage ratio denominator
Risk -weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement,
a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business. 3 Existing outstanding low-trigger AT1 capital instruments qualify as going concern capital at
the UBS AG consolidated level, as agreed with FINMA, until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone
concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that
have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 5 The gone concern
requirement after the application of the rebate for resolvability measures and the reduction for the use of higher-quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements,
respectively. This means that the combined reduction may not exceed 4.3 percentage points for the RWA-based requirement of 14.3% and 1.25 percentage points for the LRD-based requirement of 5.0%. 6 Based
on the actions we completed up to December 2021 to improve resolvability, FINMA granted an increase in the rebate on the gone concern requirement from 55.0% to 65.0% of the maximum rebate, effective from
1 July 2022.
UBS AG Second quarter 2022 report |
Risk
and
capital
management
|
Capital
management
8
The table below provides the RWA- and LRD-based requirements and information as of 30 June 2022 for UBS AG
consolidated.
Swiss SRB going and gone concern information
USD m, except where indicated
30.6.22
31.3.22
31.12.21
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: low-trigger loss-absorbing tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk -weighted assets / leverage ratio denominator
Risk -weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
UBS AG Second quarter 2022 report |
Risk
and
capital
management
|
Capital
management
9
UBS Group AG vs UBS AG consolidated loss-absorbing capacity and leverage ratio information
Swiss SRB going and gone concern information (UBS Group AG vs UBS AG consolidated)
As of 30.6.22
USD m, except where indicated
UBS Group AG
(consolidated)
UBS AG
(consolidated)
Difference
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: low-trigger loss-absorbing tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk -weighted assets / leverage ratio denominator
Risk -weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
Reconciliation of IFRS equity to Swiss SRB common equity tier 1 capital (UBS Group AG vs UBS AG consolidated)
As of 30.6.22
USD m
UBS Group AG
(consolidated)
UBS AG
(consolidated)
Difference
Total IFRS equity
Equity attributable to non-controlling interests
Defined benefit plans, net of tax
Deferred tax assets recognized for tax loss carry-forwards
Deferred tax assets on temporary differences, excess over threshold
Goodwill, net of tax
Intangible assets, net of tax
Compensation-related components (not recognized in net profit)
Expected losses on advanced internal ratings-based portfolio less provisions
Unrealized (gains) / losses from cash flow hedges, net of tax
Own credit related to gains / losses on financial liabilities measured at fair value that existed at the balance sheet date, net of tax
Own credit related to gains / losses on derivative financial instruments that existed at the balance sheet date
Prudential valuation adjustments
Other
1
Total common equity tier 1 capital
1 Includes dividend accruals for the current year and other items.
UBS AG Second quarter 2022 report |
Risk
and
capital
management
|
Capital
management
10
The going concern capital of UBS AG consolidated was USD 3.5bn lower than the going concern capital of
UBS Group AG consolidated as of 30 June 2022, reflecting lower common equity tier 1 (CET1) capital of USD 2.5bn
and lower going concern loss-absorbing additional tier 1 (AT1) capital of USD 1.1bn.
The aforementioned difference in CET1 capital was primarily due to higher UBS Group AG consolidated IFRS equity
of USD 2.1bn and lower UBS Group AG dividend accruals, partly offset by compensation-related regulatory capital
accruals at the UBS Group AG level.
The going concern loss-absorbing AT1 capital of UBS AG consolidated was USD 1.1bn lower than that of
UBS Group AG consolidated as of 30 June 2022, mainly reflecting deferred contingent capital plan awards granted
at the Group level to eligible employees for the performance years 2017 to 2021, partly offset by four loss-absorbing
AT1 capital instruments on-lent by UBS Group AG to UBS AG.
Differences in capital between UBS Group AG consolidated and UBS AG consolidated related to employee
compensation plans will reverse to the extent underlying services are performed by employees of, and are
consequently charged to, UBS AG and its subsidiaries. Such reversal generally occurs over the service period of the
employee compensation plans.
The leverage ratio framework for UBS AG consolidated is consistent with that of UBS Group AG consolidated. As
of 30 June 2022, the going concern leverage ratio of UBS AG consolidated was 0.3 percentage points lower than
that of UBS Group AG consolidated, mainly because the going concern capital of UBS AG consolidated was
USD 3.5bn lower.
›
Refer to the “Introduction” section of this report for more information about the differences in equity between
UBS AG consolidated and UBS Group AG consolidated
›
Refer to the “Capital management” section of the UBS Group second quarter 2022 report, available under
“Quarterly reporting” at
ubs.com/investors,
for information about the developments of loss-absorbing capacity,
RWA and LRD for UBS Group AG consolidated
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
11
Consolidated financial
statements
Unaudited
Table of contents
UBS AG interim consolidated financial
statements (unaudited)
12
13
14
15
16
17
1
18
2
19
3
19
4
19
5
20
6
20
7
20
8
21
9
28
10
34
11
35
12
36
13
36
14
37
15
37
16
45
17
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
12
UBS AG interim consolidated
financial statements (unaudited)
Income statement
For the quarter ended
Year-to-date
USD m
Note
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Interest income from financial instruments measured at amortized cost and fair value through
other comprehensive income
3
Interest expense from financial instruments measured at amortized cost
3
(1,103 )
(809 )
(860 )
(1,912 )
(1,719 )
Net interest income from financial instruments measured at fair value through profit or loss
3
Net interest income
3
Other net income from financial instruments measured at fair value through profit or loss
Fee and commission income
4
Fee and commission expense
4
(450 )
(485 )
(484 )
(934 )
(962 )
Net fee and commission income
4
Other income
5
Total revenues
Credit loss expense / (release)
9
(80 )
(108 )
Personnel expenses
6
General and administrative expenses
7
Depreciation, amortization and impairment of non-financial assets
Operating expenses
Operating profit / (loss) before tax
Tax expense / (benefit)
8
Net profit / (loss)
Net profit / (loss) attributable to non-controlling interests
Net profit / (loss) attributable to shareholders
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
13
Statement of comprehensive income
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Comprehensive income attributable to shareholders
Net profit / (loss)
Other comprehensive income that may be reclassified to the income statement
Foreign currency translation
Foreign currency translation movements related to net assets of foreign operations, before tax
(994 )
(465 )
(1,459 )
(960 )
Effective portion of changes in fair value of hedging instruments designated as net investment hedges, before tax
(203 )
Foreign currency translation differences on foreign operations reclassified to the income statement
(9 )
(8 )
Effective portion of changes in fair value of hedging instruments designated as net investment hedges reclassified to
the income statement
(4 )
(4 )
Income tax relating to foreign currency translations, including the impact of net investment hedges
(4 )
Subtotal foreign currency translation, net of tax
(551 )
(251 )
(801 )
(452 )
Financial assets measured at fair value through other comprehensive income
Net unrealized gains / (losses), before tax
(3 )
(439 )
(442 )
(110 )
Net realized gains / (losses) reclassified to the income statement from equity
(3 )
(9 )
Reclassification of financial assets to Other financial assets measured at amortized cost
1
Income tax relating to net unrealized gains / (losses)
(116 )
(4 )
(3 )
Subtotal financial assets measured at fair value through other comprehensive income, net of tax
(327 )
(88 )
Cash flow hedges of interest rate risk
Effective portion of changes in fair value of derivative instruments designated as cash flow hedges, before tax
(1,298 )
(2,465 )
(3,763 )
2
(630 )
Net (gains) / losses reclassified to the income statement from equity
(149 )
(237 )
(268 )
(386 )
(522 )
Income tax relating to cash flow hedges
(51 )
Subtotal cash flow hedges, net of tax
(1,171 )
(2,184 )
(3,355 )
(937 )
Cost of hedging
Cost of hedging, before tax
(16 )
(23 )
Income tax relating to cost of hedging
Subtotal cost of hedging, net of tax
(16 )
(23 )
Total other comprehensive income that may be reclassified to the income statement, net of tax
(1,370 )
(2,685 )
(4,055 )
(1,500 )
Other comprehensive income that will not be reclassified to the income statement
Defined benefit plans
Gains / (losses) on defined benefit plans, before tax
(35 )
Income tax relating to defined benefit plans
(8 )
(17 )
(26 )
Subtotal defined benefit plans, net of tax
(31 )
Own credit on financial liabilities designated at fair value
Gains / (losses) from own credit on financial liabilities designated at fair value, before tax
Income tax relating to own credit on financial liabilities designated at fair value
(26 )
(26 )
Subtotal own credit on financial liabilities designated at fair value, net of tax
Total other comprehensive income that will not be reclassified to the income statement, net of tax
Total other comprehensive income
(981 )
(2,152 )
(3,133 )
(1,442 )
Total comprehensive income attributable to shareholders
(148 )
Comprehensive income attributable to non-controlling interests
Net profit / (loss)
Total other comprehensive income that will not be reclassified to the income statement, net of tax
(28
(10
Total comprehensive income attributable to non-controlling interests
(17 )
Total comprehensive income
Net profit / (loss)
Other comprehensive income
(1,009 )
(2,134 )
(3,142 )
(1,440 )
of which: other comprehensive income that may be reclassified to the income statement
(1,370 )
(2,685 )
(4,055 )
(1,500 )
of which: other comprehensive income that will not be reclassified to the income statement
Total comprehensive income
(121 )
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost.
Refer to Note 1 for more information. 2 Mainly reflects net unrealized losses on US dollar hedging derivatives resulting from significant increases in the relevant US dollar long-term interest rates.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
14
Balance sheet
USD m
Note
30.6.22
31.3.22
31.12.21
Assets
Cash and balances at central banks
Loans and advances to banks
Receivables from securities financing transactions
Cash collateral receivables on derivative instruments
Loans and advances to customers
Other financial assets measured at amortized cost
Total financial assets measured at amortized cost
Financial assets at fair value held for trading
of which: assets pledged as collateral that may be sold or repledged by counterparties
Derivative financial instruments
10,11
Brokerage receivables
Financial assets at fair value not held for trading
Total financial assets measured at fair value through profit or loss
Financial assets measured at fair value through other comprehensive income
Investments in associates
Property, equipment and software
Goodwill and intangible assets
Deferred tax assets
Other non-financial assets
Total assets
Liabilities
Amounts due to banks
Payables from securities financing transactions
Cash collateral payables on derivative instruments
Customer deposits
Funding from UBS Group AG
Debt issued measured at amortized cost
Other financial liabilities measured at amortized cost
Total financial liabilities measured at amortized cost
Financial liabilities at fair value held for trading
Derivative financial instruments
10,11
Brokerage payables designated at fair value
Debt issued designated at fair value
10,13
Other financial liabilities designated at fair value
10,12
Total financial liabilities measured at fair value through profit or loss
Provisions
Other non-financial liabilities
Total liabilities
Equity
Share capital
Share premium
Retained earnings
Other comprehensive income recognized directly in equity, net of tax
Equity attributable to shareholders
Equity attributable to non-controlling interests
Total equity
Total liabilities and equity
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
15
Statement of changes in equity
USD m
Share
capital and
share
premium
Retained
earnings
OCI
recognized
directly in
equity,
net of tax
1
of which:
foreign
currency
translation
of which:
financial
assets
measured
at fair value
through OCI
of which:
cash flow
hedges
Total equity
attributable
to
shareholders
Balance as of 1 January 2022
2
(7 )
Tax (expense) / benefit
Dividends
(4,200 )
(4,200 )
Translation effects recognized directly in retained earnings
(13 )
Share of changes in retained earnings of associates and joint ventures
New consolidations / (deconsolidations) and other increases / (decreases)
(3 )
(3 )
Total comprehensive income for the period
(4,055 )
(801 )
(3,355 )
of which: net profit / (loss)
of which: OCI, net of tax
(4,055 )
(801 )
(3,355 )
(3,133 )
Balance as of 30 June 2022
2
(7 )
(2,713 )
Non-controlling interests as of 30 June 2022
Total equity as of 30 June 2022
Balance as of 1 January 2021
2
Tax (expense) / benefit
Dividends
(4,539 )
(4,539 )
Translation effects recognized directly in retained earnings
(19 )
(19 )
Share of changes in retained earnings of associates and joint ventures
New consolidations / (deconsolidations) and other increases / (decreases)
(39 )
(39 )
Total comprehensive income for the period
(1,500 )
(452 )
(88 )
(937 )
of which: net profit / (loss)
of which: OCI, net of tax
(1,500 )
(452 )
(88 )
(937 )
(1,442 )
Balance as of 30 June 2021
2
Non-controlling interests as of 30 June 2021
Total equity as of 30 June 2021
1 Excludes other comprehensive income related to defined benefit plans and own credit that is recorded directly in Retained earnings. 2 Excludes non-controlling interests.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
UBS
AG
interim
consolidated
financial
statements
(unaudited)
16
Statement of cash flows
Year-to-date
USD m
30.6.22
30.6.21
Cash flow from / (used in) operating activities
Net profit / (loss)
Non-cash items included in net profit and other adjustments:
Depreciation, amortization and impairment of non-financial assets
Credit loss expense / (release)
(108 )
Share of net (profit) / loss of associates and joint ventures and impairment related to associates
(12 )
(74 )
Deferred tax expense / (benefit)
Net loss / (gain) from investing activities
(778 )
(239 )
Net loss / (gain) from financing activities
(14,371 )
Other net adjustments
Net change in operating assets and liabilities:
Loans and advances to banks and amounts due to banks
Securities financing transactions
(10,249 )
Cash collateral on derivative instruments
(4,704 )
(2,183 )
Loans and advances to customers and customer deposits
(13,959 )
(19,141 )
Financial assets and liabilities at fair value held for trading and derivative financial instruments
(1,278 )
Brokerage receivables and payables
Financial assets at fair value not held for trading and other financial assets and liabilities
Provisions and other non-financial assets and liabilities
Income taxes paid, net of refunds
(847 )
(363 )
Net cash flow from / (used in) operating activities
(1,413 )
Cash flow from / (used in) investing activities
Purchase of subsidiaries, associates and intangible assets
(1 )
Disposal of subsidiaries, associates and intangible assets
1
Purchase of property, equipment and software
(695 )
(757 )
Disposal of property, equipment and software
Purchase of financial assets measured at fair value through other comprehensive income
(2,821 )
(1,950 )
Disposal and redemption of financial assets measured at fair value through other comprehensive income
Net (purchase) / redemption of debt securities measured at amortized cost
(4,254 )
Net cash flow from / (used in) investing activities
(4,565 )
Cash flow from / (used in) financing activities
Net short-term debt issued / (repaid)
(10,440 )
(3,877 )
Distributions paid on UBS AG shares
(4,200 )
(4,539 )
Issuance of debt designated at fair value and long-term debt measured at amortized cost
2
Repayment of debt designated at fair value and long-term debt measured at amortized cost
2
(36,309 )
(45,244 )
Net cash flows from other financing activities
(341 )
(278 )
Net cash flow from / (used in) financing activities
(2,433 )
Total cash flow
Cash and cash equivalents at the beginning of the period
Net cash flow from / (used in) operating, investing and financing activities
Effects of exchange rate differences on cash and cash equivalents
(9,648 )
(5,389 )
Cash and cash equivalents at the end of the period
3
Additional information
Net cash flow from / (used in) operating activities includes:
Interest received in cash
Interest paid in cash
Dividends on equity investments, investment funds and associates received in cash
1 Includes cash proceeds from the sale of UBS’s shareholding in its Japanese real estate joint venture, Mitsubishi Corp.-UBS Realty Inc. 2 Includes funding from UBS Group AG measured at amortized cost (recognized
in Funding from UBS Group AG in the balance sheet) and measured at fair value (recognized in Other financial liabilities designated at fair value in the balance sheet). 3 Consists of balances with an original maturity
of three months or less. USD
m and USD
m (mainly reflected in Loans and advances to banks) were restricted as of 30 June 2022 and 30 June 2021, respectively. Refer to “Note 23 Restricted and
transferred financial assets” in the “Consolidated financial statements” section of the Annual Report 2021 for more information.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
17
Notes to the UBS AG interim consolidated financial
statements (unaudited)
Note 1 Basis of accounting
Basis of preparation
The consolidated financial statements (the financial statements) of UBS AG and its subsidiaries (together, UBS AG)
are prepared in accordance with International Financial Reporting Standards (IFRS), as issued by the International
Accounting Standards Board (the IASB) and are presented in US dollars (USD). These interim financial statements
are prepared in accordance with IAS 34,
Interim Financial Reporting
.
In preparing these interim financial statements, the same accounting policies and methods of computation have
been applied as in the UBS AG consolidated annual financial statements for the period ended 31 December 2021,
except for the changes described in this Note. These interim financial statements are unaudited and should be read
in conjunction with UBS AG’s audited consolidated financial statements in the Annual Report 2021. In the opinion
of management, all necessary adjustments have been made for a fair presentation of UBS AG’s financial position,
results of operations and cash flows.
Preparation of these interim financial statements requires management to make estimates and assumptions that
affect the reported amounts of assets, liabilities, income, expenses and disclosures of contingent assets and
liabilities. These estimates and assumptions are based on the best available information. Actual results in the future
could differ from such estimates and differences may be material to the financial statements. Revisions to estimates,
based on regular reviews, are recognized in the period in which they occur. For more information about areas of
estimation uncertainty that are considered to require critical judgment, refer to “Note 1a Material accounting
policies” in the “Consolidated financial statements” section of the Annual Report 2021.
Changes to the presentation of the financial statements
Effective from the second quarter of 2022, UBS AG has made several changes to simplify the presentation of the
income statement alongside other primary financial statements and disclosure notes and to align them with
management information. In particular,
Total operating income
Total revenues
Credit loss expense / (release)
, which is now separately presented below
Total revenues
.
Reclassification of a portfolio from
Financial assets measured at fair value through other
comprehensive
Other financial assets measured at amortized cost
Effective from 1 April 2022, UBS AG has reclassified a portfolio of financial assets from
Financial assets measured
at fair value through other comprehensive income
bn (the Portfolio) to
Other
financial assets measured at amortized cost
Financial Instruments
,
which require
a reclassification when an entity changes its business model for managing financial assets.
The Portfolio’s cumulative fair value losses of USD
m pre-tax and USD
m post-tax, previously recognized in
Other comprehensive income
, have been removed from equity and adjusted against the value of the assets at the
reclassification date, so that the Portfolio is measured as if the assets had always been classified at amortized cost,
with a value as of 1 April 2022 of USD
bn.
The reclassification had no effect on the income statement.
The reclassified Portfolio is made up of high-quality liquid assets, primarily US government treasuries and US
government agency mortgage-backed securities, held and separately managed by UBS Bank USA (BUSA).
The accounting reclassification has arisen as a direct result of the transformation of UBS AG’s Global Wealth
Management Americas business that has significantly impacted BUSA. This includes initiatives approved by the
Group Executive Board to significantly grow and extend the business, as disclosed on 1 February 2022 during UBS’s
fourth quarter 2021 earnings presentation, along with UBS’s decision to acquire Wealthfront, an industry-leading
digital wealth management provider. BUSA’s deposit base has grown by more than 100% in the last two years,
generating substantial cash balances, with a number of new products being launched, including new deposit types
that are longer in duration, additional lending and a broader range of customer segments targeted.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
18
Note 1 Basis of accounting (continued)
Following the commencement of these activities and the announcement made in the first quarter of 2022, the
Portfolio is no longer held in a business model to collect the contractual cash flows and sell the assets, but is instead
solely held to collect the contractual cash flows until the assets mature, requiring a reclassification of the Portfolio
in line with IFRS 9
with effect
from 1 April 2022.
The fair value of the Portfolio as of 30 June 2022 was USD
bn. A pre-tax fair value loss of USD
m would
have been recognized in
Other comprehensive income
been reclassified.
Currency translation rates
The following table shows the rates of the main currencies used to translate the financial information of UBS AG’s
operations with a functional currency other than the US dollar into US dollars.
Closing exchange rate
Average rate
1
As of
For the quarter ended
Year-to-date
30.6.22
31.3.22
31.12.21
30.6.21
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
1 CHF
1 EUR
1 GBP
100 JPY
1 Monthly income statement items of operations with a functional currency other than the US dollar are translated into US dollars using month-end rates. Disclosed average rates for a quarter represent an average
of three month-end rates, weighted according to the income and expense volumes of all operations of UBS AG with the same functional currency for each month. Weighted average rates for individual business
divisions may deviate from the weighted average rates for UBS AG.
Note 2 Segment reporting
USD m
Global Wealth
Management
Personal &
Corporate
Banking
Asset
Management
Investment
Bank
Group
Functions
UBS AG
For the six months ended 30 June 2022
1
Net interest income
(7 )
(182 )
Non-interest income
Total revenues
(144 )
Credit loss expense / (release)
(10 )
(24 )
Operating expenses
Operating profit / (loss) before tax
(660 )
Tax expense / (benefit)
Net profit / (loss)
As of 30 June 2022
1
Total assets
2
For the six months ended 30 June 2021
1
Net interest income
(7 )
(103 )
Non-interest income
Total revenues
Credit loss expense / (release)
(16 )
(69 )
(23 )
(108 )
Operating expenses
Operating profit / (loss) before tax
(448 )
Tax expense / (benefit)
Net profit / (loss)
As of 31 December 2021
1
Total assets
1 Refer to “Note 2 Segment reporting” in the “Consolidated financial statements” section of the Annual Report 2021 for more information about UBS AG's reporting segments. 2 In the first quarter of 2022,
UBS AG refined the methodology applied to allocate balance sheet resources from Group Functions to the business divisions, with prospective effect. If the new methodology had been applied as of 31 December
2021, balance sheet assets allocated to business divisions would have been USD
bn higher, of which USD
bn would have related to the Investment Bank.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
19
Note 3 Net interest income
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Interest income from loans and deposits
1
Interest income from securities financing transactions
2
Interest income from other financial instruments measured at amortized cost
Interest income from debt instruments measured at fair value through other comprehensive income
Interest income from derivative instruments designated as cash flow hedges
Total interest income from financial instruments measured at amortized cost and fair value through other comprehensive income
Interest expense on loans and deposits
3
Interest expense on securities financing transactions
4
Interest expense on debt issued
Interest expense on lease liabilities
Total interest expense from financial instruments measured at amortized cost
Total net interest income from financial instruments measured at amortized cost and fair value through other comprehensive
income
Net interest income from financial instruments measured at fair value through profit or loss
Total net interest income
1 Consists of interest income from cash and balances at central banks, loans and advances to banks and customers, and cash collateral receivables on derivative instruments, as well as negative interest on amounts
due to banks, customer deposits, and cash collateral payables on derivative instruments. 2 Includes interest income on receivables from securities financing transactions and negative interest, including fees, on
payables from securities financing transactions. 3 Consists of interest expense on amounts due to banks, cash collateral payables on derivative instruments, customer deposits, and funding from UBS Group AG, as
well as negative interest on cash and balances at central banks, loans and advances to banks, and cash collateral receivables on derivative instruments. 4 Includes interest expense on payables from securities financing
transactions and negative interest, including fees, on receivables from securities financing transactions.
Note 4 Net fee and commission income
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Underwriting fees
M&A and corporate finance fees
Brokerage fees
Investment fund fees
Portfolio management and related services
Other
Total fee and commission income
1
of which: recurring
of which: transaction-based
of which: performance-based
Fee and commission expense
Net fee and commission income
1 Reflects third-party fee and commission income for the second quarter of 2022 of USD
m for Global Wealth Management (first quarter of 2022: USD
m; second quarter of 2021: USD
m), USD
m
for Personal & Corporate Banking (first quarter of 2022: USD
m; second quarter of 2021: USD
m), USD
m for Asset Management (first quarter of 2022: USD
m; second quarter of 2021: USD
m),
USD
m for the Investment Bank (first quarter of 2022: USD
m; second quarter of 2021: USD
m) and USD
m for Group Functions (first quarter of 2022: USD
m; second quarter of 2021: USD
m).
Note 5 Other income
UBS AG recognized other income of USD
m, compared with USD
m in the second quarter of 2021. This
included an USD
m gain in Asset Management on the sale of UBS AG’s minority shareholding in its Japanese
real estate joint venture, Mitsubishi Corp.-UBS Realty Inc. In the second quarter of 2021, UBS AG recognized
USD
m of gains from properties held for sale, income of USD
m related to a legacy bankruptcy claim and a
gain of USD
m on the sale of UBS AG’s minority shareholding in Clearstream Fund Centre.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
20
Note 6 Personnel expenses
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Salaries and variable compensation
Financial advisor compensation
1
Contractors
Social security
Post-employment benefit plans
Other personnel expenses
Total personnel expenses
1 Financial advisor compensation consists of formulaic compensation based directly on compensable revenues generated by financial advisors and supplemental compensation calculated on the basis of financial
advisor productivity, firm tenure, new assets and other variables. It also includes expenses related to compensation commitments with financial advisors entered into at the time of recruitment that are subject to
vesting requirements.
Note 7 General and administrative expenses
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Outsourcing costs
IT expenses
Consulting, legal and audit fees
Real estate and logistics costs
Market data services
Marketing and communication
Travel and entertainment
Litigation, regulatory and similar matters
1
Other
of which: shared services costs charged by UBS Group AG or its subsidiaries
Total general and administrative expenses
1 Reflects the net increase in provisions for litigation, regulatory and similar matters recognized in the income statement. Refer to Note 16b for more information.
Note 8 Income taxes
Income tax expenses of USD
m were recognized for the second quarter of 2022, representing an effective tax
rate of
%, compared with USD
m for the second quarter of 2021 and an effective tax rate of
%.
Current tax expenses were USD
m, compared with USD
m, and related to taxable profits of UBS Switzerland
AG and other entities.
Deferred tax expenses were USD
m, compared with USD
m. These include an expense of USD
m that
primarily relates to the amortization of deferred tax assets that were previously recognized in relation to tax losses
carried forward and deductible temporary differences of UBS Americas Inc. In addition, they include an expense of
USD
m in respect of a decrease in the expected value of future tax deductions for deferred compensation awards,
due to a decrease in UBS Group AG’s share price during the quarter.
The effective tax rate for the second quarter of 2022 of
% is low primarily because no net tax expense was
recognized in respect of the pre-tax gain of USD
m that resulted from the sale of UBS AG’s shareholding in
Mitsubishi Corp.-UBS Realty Inc. However, this impact on the effective tax rate was partly offset by the
aforementioned expense of USD
m in respect of deferred compensation awards.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
21
Note 9 Expected credit loss measurement
a) Credit loss expense / release
Total net credit loss expenses in the second quarter of 2022 were USD
m, reflecting USD
m net credit loss
expenses related to stage 1 and 2 positions and USD
m net credit loss releases related to stage 3 positions.
Stage 1 and 2 net expenses included: scenario-related net expenses of USD
m related to Personal & Corporate
Banking corporate lending; net releases of USD
m from model changes, mainly in Global Wealth Management
Americas; and additional net expenses of USD
m from book quality and size changes, mainly across corporate
and real estate lending portfolios of Personal & Corporate Banking.
Stage 3 net credit loss releases were USD
m, driven by a release of USD
m in the Investment Bank, including a
reduction of the allowance for a single defaulted travel-industry-related counterparty (USD
m), mainly due to
improved cash flow assumptions. Personal & Corporate Banking, Global Wealth Management and Non-core legacy
contributed net expenses of USD
m, USD
m and USD
m, respectively.
b) Changes to ECL models, scenarios, scenario weights and post-model adjustments
Scenarios
The expected credit loss (ECL) scenarios, along with the related macroeconomic factors, were reviewed in light of
the economic and political conditions prevailing in the second quarter of 2022 through a series of governance
meetings, with input and feedback from UBS AG Risk and Finance experts across the business divisions and regions.
The baseline scenario assumptions on a calendar-year basis are included in the table below and outline a weaker
economic forecast for 2022 compared with 2021.
As a response to inflationary developments and Russia’s invasion of Ukraine, in the first quarter of 2022, UBS AG
replaced the mild global interest rate steepening scenario applied at year-end 2021 with the severe global interest
rate steepening scenario. The aim was to reflect the rising trend in inflation and ongoing tightening of monetary
policy measures, which would lead to substantially lower GDP growth in key markets. For the second quarter of
2022, a new severe Russia–Ukraine conflict scenario was developed. It has similar dynamics to the severe global
interest rate steepening scenario, but includes an escalating energy crisis and disruptions in the delivery of Russian
energy. These factors result in surging commodity prices and accelerated inflation in major economies compared
with the severe global interest rate steepening scenario. Eurozone economic activity in particular is impacted in this
scenario, due to the region’s reliance on its supply of energy from Russia.
The global crisis scenario and the asset price inflation scenario were updated with current macroeconomic factors
but remain materially unchanged.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
22
Note 9 Expected credit loss measurement (continued)
Scenario weights
UBS AG kept scenario weights in line with those applied in the first quarter of 2022, with the
% weight previously
assigned to the severe global interest rate steepening scenario instead applied to the replacement severe Russia–
Ukraine conflict scenario. Scenario weights applied in the second and first quarters of 2022 differ from those applied
for annual reporting 2021, in order to account for the more adverse outlook.
Post-model adjustments
Total stage 1 and 2 allowances and provisions amounted to USD
m as of 30 June 2022 and include post-model
adjustments (PMA) of USD
m (31 March 2022: USD
m; 31 December 2021: USD
m).
The PMA represent uncertainty and risk related to substantially heightened geopolitical tensions and the continued
COVID-19 pandemic, which cannot be fully and reliably modeled due to a lack of sufficiently supportable data.
The PMA were reduced during the first and second quarters of 2022 as the application of different and more
adverse scenarios and scenario assumptions in UBS AG’s models addressed some of the uncertainties that had been
reflected in the PMA in prior periods.
Comparison of shock factors
Baseline
Key parameters
2021
2022
2023
Real GDP growth (annual percentage change)
US
Eurozone
Switzerland
Unemployment rate (%, annual average)
US
Eurozone
Switzerland
Real estate (annual percentage change, Q4)
US
Eurozone
Switzerland
Economic scenarios and weights applied
Assigned weights in %
ECL scenario
30.6.22
31.3.22
31.12.21
Upside
Baseline
Mild global interest rate steepening
-
-
Severe global interest rate steepening
-
-
Severe Russia–Ukraine conflict scenario
-
-
Global crisis
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
23
Note 9 Expected credit loss measurement (continued)
c) ECL-relevant balance sheet and off-balance sheet positions including ECL allowances and provisions
The following tables provide information about financial instruments and certain non-financial instruments that are
subject to ECL requirements. For amortized-cost instruments, the carrying amount represents the maximum
exposure to credit risk, taking into account the allowance for credit losses. Financial assets measured at fair value
through other comprehensive income (FVOCI) are also subject to ECL; however, unlike amortized-cost instruments,
the allowance for credit losses for FVOCI instruments does not reduce the carrying amount of these financial assets.
Instead, the carrying amount of financial assets measured at FVOCI represents the maximum exposure to credit risk.
In addition to recognized financial assets, certain off-balance sheet financial instruments and other credit lines are
also subject to ECL. The maximum exposure to credit risk for off-balance sheet financial instruments is calculated
based on the maximum contractual amounts.
USD m
30.6.22
Carrying amount
1
ECL allowances
Financial instruments measured at amortized cost
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Cash and balances at central banks
(13 )
(13 )
Loans and advances to banks
(8 )
(7 )
(1 )
Receivables from securities financing transactions
(2 )
(2 )
Cash collateral receivables on derivative instruments
Loans and advances to customers
(793 )
(129 )
(163 )
(501 )
of which: Private clients with mortgages
(126 )
(27 )
(72 )
(27 )
of which: Real estate financing
(59 )
(17 )
(42 )
of which: Large corporate clients
(141 )
(27 )
(17 )
(98 )
of which: SME clients
(249 )
(22 )
(22 )
(205 )
of which: Lombard
(37 )
(7 )
(29 )
of which: Credit cards
(36 )
(10 )
(9 )
(17 )
of which: Commodity trade finance
(94 )
(5 )
(89 )
Other financial assets measured at amortized cost
2
(99 )
(18 )
(7 )
(74 )
of which: Loans to financial advisors
(78 )
(11 )
(2 )
(64 )
Total financial assets measured at amortized cost
(915 )
(155 )
(184 )
(575 )
Financial assets measured at fair value through other comprehensive income
2
Total on-balance sheet financial assets in scope of ECL requirements
(915 )
(155 )
(184 )
(575 )
Total exposure
ECL provisions
Off-balance sheet (in scope of ECL)
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Guarantees
(40 )
(16 )
(9 )
(15 )
of which: Large corporate clients
(10 )
(3 )
(3 )
(4 )
of which: SME clients
(9 )
(1 )
(1 )
(7 )
of which: Financial intermediaries and hedge funds
(16 )
(11 )
(5 )
of which: Lombard
(1 )
(1 )
of which: Commodity trade finance
(1 )
(1 )
Irrevocable loan commitments
(113 )
(67 )
(46 )
of which: Large corporate clients
(94 )
(60 )
(34 )
Forward starting reverse repurchase and securities borrowing agreements
Committed unconditionally revocable credit lines
(37 )
(27 )
(10 )
of which: Real estate financing
(5 )
(5 )
of which: Large corporate clients
(6 )
(1 )
(5 )
of which: SME clients
(16 )
(13 )
(3 )
of which: Lombard
of which: Credit cards
(6 )
(4 )
(2 )
of which: Commodity trade finance
Irrevocable committed prolongation of existing loans
(2 )
(2 )
Total off-balance sheet financial instruments and other credit lines
(192 )
(112 )
(66 )
(15 )
Total allowances and provisions
(1,107 )
(267 )
(250 )
(590 )
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. 2 Effective 1 April 2022, a portfolio of assets previously classified as
Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 1 for more information.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
24
Note 9 Expected credit loss measurement (continued)
USD m
31.3.22
Carrying amount
1
ECL allowances
Financial instruments measured at amortized cost
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Cash and balances at central banks
(6 )
(6 )
Loans and advances to banks
(9 )
(8 )
(1 )
Receivables from securities financing transactions
(2 )
(2 )
Cash collateral receivables on derivative instruments
Loans and advances to customers
(801 )
(121 )
(155 )
(525 )
of which: Private clients with mortgages
(126 )
(27 )
(71 )
(28 )
of which: Real estate financing
(57 )
(17 )
(40 )
of which: Large corporate clients
(143 )
(21 )
(14 )
(108 )
of which: SME clients
(260 )
(22 )
(20 )
(218 )
of which: Lombard
(34 )
(7 )
(27 )
of which: Credit cards
(36 )
(10 )
(9 )
(17 )
of which: Commodity trade finance
(103 )
(6 )
(96 )
Other financial assets measured at amortized cost
(109 )
(27 )
(7 )
(75 )
of which: Loans to financial advisors
(86 )
(20 )
(3 )
(63 )
Total financial assets measured at amortized cost
(928 )
(158 )
(170 )
(600 )
Financial assets measured at fair value through other comprehensive income
Total on-balance sheet financial assets in scope of ECL requirements
(928 )
(158 )
(170 )
(600 )
Total exposure
ECL provisions
Off-balance sheet (in scope of ECL)
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Guarantees
(66 )
(17 )
(10 )
(39 )
of which: Large corporate clients
(32 )
(3 )
(4 )
(26 )
of which: SME clients
(11 )
(1 )
(1 )
(9 )
of which: Financial intermediaries and hedge funds
(16 )
(12 )
(5 )
of which: Lombard
(1 )
(1 )
of which: Commodity trade finance
(1 )
(1 )
Irrevocable loan commitments
(112 )
(68 )
(44 )
of which: Large corporate clients
(98 )
(63 )
(35 )
Forward starting reverse repurchase and securities borrowing agreements
Committed unconditionally revocable credit lines
(40 )
(30 )
(10 )
of which: Real estate financing
(7 )
(5 )
(2 )
of which: Large corporate clients
(5 )
(2 )
(3 )
of which: SME clients
(15 )
(12 )
(3 )
of which: Lombard
of which: Credit cards
(6 )
(5 )
(2 )
of which: Commodity trade finance
Irrevocable committed prolongation of existing loans
(2 )
(2 )
Total off-balance sheet financial instruments and other credit lines
(221 )
(117 )
(64 )
(39 )
Total allowances and provisions
(1,148 )
(275 )
(234 )
(639 )
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
25
Note 9 Expected credit loss measurement (continued)
USD m
31.12.21
Carrying amount
1
ECL allowances
Financial instruments measured at amortized cost
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Cash and balances at central banks
Loans and advances to banks
(8 )
(7 )
(1 )
Receivables from securities financing transactions
(2 )
(2 )
Cash collateral receivables on derivative instruments
Loans and advances to customers
(850 )
(126 )
(152 )
(572 )
of which: Private clients with mortgages
(132 )
(28 )
(71 )
(33 )
of which: Real estate financing
(60 )
(19 )
(40 )
of which: Large corporate clients
(170 )
(22 )
(16 )
(133 )
of which: SME clients
(259 )
(19 )
(15 )
(225 )
of which: Lombard
(33 )
(6 )
(28 )
of which: Credit cards
(36 )
(10 )
(9 )
(17 )
of which: Commodity trade finance
(114 )
(6 )
(108 )
Other financial assets measured at amortized cost
(109 )
(27 )
(7 )
(76 )
of which: Loans to financial advisors
(86 )
(19 )
(3 )
(63 )
Total financial assets measured at amortized cost
(969 )
(161 )
(160 )
(647 )
Financial assets measured at fair value through other comprehensive income
Total on-balance sheet financial assets in scope of ECL requirements
(969 )
(161 )
(160 )
(647 )
Total exposure
ECL provisions
Off-balance sheet (in scope of ECL)
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Guarantees
(41 )
(18 )
(8 )
(15 )
of which: Large corporate clients
(6 )
(3 )
(3 )
of which: SME clients
(8 )
(1 )
(1 )
(7 )
of which: Financial intermediaries and hedge funds
(17 )
(13 )
(4 )
of which: Lombard
(1 )
(1 )
of which: Commodity trade finance
(1 )
(1 )
Irrevocable loan commitments
(114 )
(72 )
(42 )
of which: Large corporate clients
(100 )
(66 )
(34 )
Forward starting reverse repurchase and securities borrowing agreements
Committed unconditionally revocable credit lines
(38 )
(28 )
(10 )
of which: Real estate financing
(5 )
(4 )
(1 )
of which: Large corporate clients
(7 )
(4 )
(3 )
of which: SME clients
(15 )
(11 )
(3 )
of which: Lombard
of which: Credit cards
(6 )
(5 )
(2 )
of which: Commodity trade finance
Irrevocable committed prolongation of existing loans
(3 )
(3 )
Total off-balance sheet financial instruments and other credit lines
(196 )
(121 )
(60 )
(15 )
Total allowances and provisions
(1,165 )
(282 )
(220 )
(662 )
1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
26
Note 9 Expected credit loss measurement (continued)
The table below provides information about the ECL gross exposure and the ECL coverage ratio for UBS AG’s core
loan portfolios (i.e.,
Loans and advances to customers
and
) and relevant off-balance
sheet exposures.
Cash and balances at central banks
,
Loans and advances to banks
,
Receivables from securities
financing transactions
,
Cash collateral receivables on derivative instruments
Financial assets measured at fair
value through other comprehensive income
ECL.
ECL coverage ratios are calculated by dividing ECL allowances and provisions by the gross carrying amount of the
related exposures.
Coverage ratios for core loan portfolio
30.6.22
Gross carrying amount (USD m)
ECL coverage (bps)
On-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Other loans and advances to customers
Loans to financial advisors
Total other lending
Total
1
Gross exposure (USD m)
ECL coverage (bps)
Off-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Financial intermediaries and hedge funds
Other off-balance sheet commitments
Total other lending
Total
2
1 Includes Loans and advances to customers of USD
m and Loans to financial advisors of USD
m, which are presented on the balance sheet line Other assets measured at amortized cost. 2 Excludes
Forward starting reverse repurchase and securities borrowing agreements.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
27
Note 9 Expected credit loss measurement (continued)
Coverage ratios for core loan portfolio
31.3.22
Gross carrying amount (USD m)
ECL coverage (bps)
On-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Other loans and advances to customers
Loans to financial advisors
Total other lending
Total
1
Gross exposure (USD m)
ECL coverage (bps)
Off-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Financial intermediaries and hedge funds
Other off-balance sheet commitments
Total other lending
Total
2
1 Includes Loans and advances to customers of USD
m and Loans to financial advisors of USD
m, which are presented on the balance sheet line Other assets measured at amortized cost. 2 Excludes
Forward starting reverse repurchase and securities borrowing agreements.
Coverage ratios for core loan portfolio
31.12.21
Gross carrying amount (USD m)
ECL coverage (bps)
On-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Other loans and advances to customers
Loans to financial advisors
Total other lending
Total
1
Gross exposure (USD m)
ECL coverage (bps)
Off-balance sheet
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 1&2
Stage 3
Private clients with mortgages
Real estate financing
Total real estate lending
Large corporate clients
SME clients
Total corporate lending
Lombard
Credit cards
Commodity trade finance
Financial intermediaries and hedge funds
Other off-balance sheet commitments
Total other lending
Total
2
1 Includes Loans and advances to customers of USD
m and Loans to financial advisors of USD
m, which are presented on the balance sheet line Other assets measured at amortized cost. 2 Excludes
Forward starting reverse repurchase and securities borrowing agreements.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
28
Note 10 Fair value measurement
a) Fair value hierarchy
The fair value hierarchy classification of financial and non-financial assets and liabilities measured at fair value is
summarized in the table below.
During the first six months of 2022, assets and liabilities transferred from Level 2 to Level 1, or from Level 1 to
Level 2, that were held for the entire reporting period, were not material.
Determination of fair values from quoted market prices or valuation techniques
1
30.6.22
31.3.22
31.12.21
USD m
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Financial assets measured at fair value on a recurring basis
Financial assets at fair value held for trading
of which: Equity instruments
of which: Government bills / bonds
of which: Investment fund units
of which: Corporate and municipal bonds
of which: Loans
of which: Asset-backed securities
Derivative financial instruments
of which: Foreign exchange
of which: Interest rate
of which: Equity / index
of which: Credit derivatives
of which: Commodities
Brokerage receivables
Financial assets at fair value not held for trading
of which: Financial assets for unit-linked
investment contracts
of which: Corporate and municipal bonds
of which: Government bills / bonds
of which: Loans
of which: Securities financing transactions
of which: Auction rate securities
of which: Investment fund units
of which: Equity instruments
Financial assets measured at fair value through other comprehensive income on a recurring basis
Financial assets measured at fair value through
other comprehensive income
of which: Asset-backed securities
2
of which: Government bills / bonds
2
of which: Corporate and municipal bonds
Non-financial assets measured at fair value on a recurring basis
Precious metals and other physical commodities
Non-financial assets measured at fair value on a non-recurring basis
Other non-financial assets
3
Total assets measured at fair value
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
29
Note 10 Fair value measurement (continued)
Determination of fair values from quoted market prices or valuation techniques (continued)
1
30.6.22
31.3.22
31.12.21
USD m
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Financial liabilities measured at fair value on a recurring basis
Financial liabilities at fair value held for trading
of which: Equity instruments
of which: Corporate and municipal bonds
of which: Government bills / bonds
of which: Investment fund units
Derivative financial instruments
of which: Foreign exchange
of which: Interest rate
of which: Equity / index
of which: Credit derivatives
of which: Commodities
Financial liabilities designated at fair value on a recurring basis
Brokerage payables designated at fair value
Debt issued designated at fair value
Other financial liabilities designated at fair value
of which: Financial liabilities related to unit-linked
investment contracts
of which: Securities financing transactions
of which: Over-the-counter debt instruments
Total liabilities measured at fair value
1 Bifurcated embedded derivatives are presented on the same balance sheet lines as their host contracts and are not included in this table. The fair value of these derivatives was not material for the
periods presented. 2 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial
assets measured at amortized cost. Refer to Note 1 for more information. 3 Other non-financial assets primarily consist of properties and other non-current assets held for sale, which are measured at
the lower of their net carrying amount or fair value less costs to sell.
b) Valuation adjustments
The table below summarizes the changes in deferred day-1 profit or loss reserves during the relevant period.
Deferred day-1 profit or loss is generally released into
Other net income from financial instruments measured at fair
value through profit or loss
when the pricing of equivalent products or the underlying parameters become
observable or when the transaction is closed out.
Deferred day-1 profit or loss reserves
For the quarter ended
Year-to-date
USD m
30.6.22
31.3.22
30.6.21
30.6.22
30.6.21
Reserve balance at the beginning of the period
Profit / (loss) deferred on new transactions
(Profit) / loss recognized in the income statement
(58 )
(69 )
(79 )
(127 )
(142 )
Foreign currency translation
(1 )
(1 )
(1 )
Reserve balance at the end of the period
The table below summarizes other valuation adjustment reserves recognized on the balance sheet.
Other valuation adjustment reserves on the balance sheet
As of
Life-to-date gain / (loss), USD m
30.6.22
31.3.22
31.12.21
Own credit adjustments on financial liabilities designated at fair value
(315 )
of which: debt issued designated at fair value
(144 )
of which: other financial liabilities designated at fair value
(172 )
Credit valuation adjustments
1
(36 )
(45 )
(44 )
Funding valuation adjustments
(8 )
(41 )
(49 )
Debit valuation adjustments
Other valuation adjustments
(869 )
(887 )
(913 )
of which: liquidity
(326 )
(343 )
(341 )
of which: model uncertainty
(543 )
(544 )
(571 )
1 Amount does not include reserves against defaulted counterparties.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
30
Note 10 Fair value measurement (continued)
c) Level 3 instruments: valuation techniques and inputs
The table below presents material Level 3 assets and liabilities, together with the valuation techniques used to
measure fair value, as well as the inputs used in a given valuation technique that are considered significant as of
30 June 2022 and unobservable, and a range of values for those unobservable inputs.
The range of values represents the highest- and lowest-level inputs used in the valuation techniques. Therefore the
range does not reflect the level of uncertainty regarding a particular input or an assessment of the reasonableness of
UBS AG’s estimates and assumptions, but rather the different underlying characteristics of the relevant assets and
liabilities held by UBS AG.
The significant unobservable inputs disclosed in the table below are consistent with those included in “Note 21 Fair
value measurement” in the “Consolidated financial statements” section of the Annual Report 2021.
Valuation techniques and inputs used in the fair value measurement of Level 3 assets and liabilities
Fair value
Significant unobservable
input(s)
1
Range of inputs
Assets
Liabilities
Valuation technique(s)
30.6.22
31.12.21
USD bn
30.6.22
31.12.21
30.6.22
31.12.21
low
high
weighted
average
2
low
high
weighted
average
2
unit
1
Financial assets and liabilities at fair value held for trading and Financial assets at fair value not held for trading
Corporate and municipal
bonds
Relative value to
market comparable
Bond price equivalent
points
Discounted expected
cash flows
Discount margin
basis
points
Traded loans, loans
measured at fair value, loan
commitments and
guarantees
Relative value to
market comparable
Loan price equivalent
points
Discounted expected
cash flows
Credit spread
basis
points
Market comparable
and securitization
model
Credit spread
basis
points
Auction rate securities
Discounted expected
cash flows
Credit spread
basis
points
Investment fund units
3
Relative value to
market comparable
Net asset value
Equity instruments
3
Relative value to
market comparable
Price
Debt issued designated at
fair value
4
Other financial liabilities
designated at fair value
Discounted expected
cash flows
Funding spread
basis
points
Derivative financial instruments
Interest rate
Option model
Volatility of interest rates
basis
points
Credit derivatives
Discounted expected
cash flows
Credit spreads
basis
points
Bond price equivalent
points
Equity / index
Option model
Equity dividend yields
%
Volatility of equity stocks,
equity and other indices
%
Equity-to-FX correlation
(29 )
(29 )
%
Equity-to-equity
correlation
(25 )
(25 )
%
1 The ranges of significant unobservable inputs are represented in points, percentages and basis points. Points are a percentage of par (e.g., 100 points would be 100% of par). 2 Weighted averages are provided
for most non-derivative financial instruments and were calculated by weighting inputs based on the fair values of the respective instruments. Weighted averages are not provided for inputs related to Other financial
liabilities designated at fair value and Derivative financial instruments, as this would not be meaningful. 3 The range of inputs is not disclosed, as there is a dispersion of values given the diverse nature of the
investments. 4 Debt issued designated at fair value primarily consists of structured notes, which include variable maturity notes with various equity and foreign exchange underlying risks, rates-linked and credit-
linked notes, all of which have embedded derivative parameters that are considered to be unobservable. The equivalent derivative instrument parameters are presented in the respective derivative financial instruments
lines in this table.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
31
Note 10 Fair value measurement (continued)
d) Level 3 instruments: sensitivity to changes in unobservable input assumptions
The table below summarizes those financial assets and liabilities classified as Level 3 for which a change in one or
more of the unobservable inputs to reflect reasonably possible alternative assumptions would change fair value
significantly, and the estimated effect thereof.
The sensitivity data shown below presents an estimation of valuation uncertainty based on reasonably possible
alternative values for Level 3 inputs at the balance sheet date and does not represent the estimated effect of stress
scenarios. Typically, these financial assets and liabilities are sensitive to a combination of inputs from Levels 1–3.
Although well-defined interdependencies may exist between Level 1 / 2 parameters and Level 3 parameters (e.g.,
between interest rates, which are generally Level 1 or Level 2, and prepayments, which are generally Level 3), these
have not been incorporated in the table. Furthermore, direct interrelationships between the Level 3 parameters are
not a significant element of the valuation uncertainty.
Sensitivity of fair value measurements to changes in unobservable input assumptions
1
30.6.22
31.3.22
31.12.21
USD m
Favorable
changes
Unfavorable
changes
Favorable
changes
Unfavorable
changes
Favorable
changes
Unfavorable
changes
Traded loans, loans designated at fair value, loan commitments and guarantees
(32 )
(20 )
(13 )
Securities financing transactions
(55 )
(52 )
(53 )
Auction rate securities
(79 )
(79 )
(66 )
Asset-backed securities
(19 )
(18 )
(20 )
Equity instruments
(152 )
(144 )
(146 )
Interest rate derivatives, net
(54 )
(62 )
(19 )
Credit derivatives, net
(6 )
(7 )
(8 )
Foreign exchange derivatives, net
(7 )
(9 )
(11 )
Equity / index derivatives, net
(374 )
(367 )
(335 )
Other
(90 )
(81 )
(73 )
Total
(868 )
(839 )
(744 )
1 Sensitivity of issued and over-the-counter debt instruments is reported with the equivalent derivative or securities financing instrument.
e) Level 3 instruments: movements during the period
The table on the following page presents additional information about material Level 3 assets and liabilities
measured at fair value on a recurring basis. Level 3 assets and liabilities may be hedged with instruments classified
as Level 1 or Level 2 in the fair value hierarchy and, as a result, realized and unrealized gains and losses included in
the table may not include the effect of related hedging activity. Furthermore, the realized and unrealized gains and
losses presented in the table are not limited solely to those arising from Level 3 inputs, as valuations are generally
derived from both observable and unobservable parameters.
Assets and liabilities transferred into or out of Level 3 are presented as if those assets or liabilities had been
transferred at the beginning of the year.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
32
Note 10 Fair value measurement (continued)
Movements of Level 3 instruments
USD bn
Balance at
the beginning
of the period
Net gains /
losses
included in
compre-
hensive
income
1
of which:
related to
instruments
held at the
end of the
period
Purchases
Sales
Issuances
Settlements
Transfers
into
Level 3
Transfers
out of
Level 3
Foreign
currency
translation
Balance at
the end
of the period
For the six months ended 30 June 2022
2
Financial assets at fair value held for
trading
(0.1 )
(0.2 )
(1.3 )
(0.3 )
(0.0 )
of which: Investment fund units
(0.0 )
(0.0 )
(0.0 )
(0.0 )
(0.0 )
of which: Corporate and municipal
bonds
(0.0 )
(0.0 )
(0.1 )
(0.0 )
(0.0 )
of which: Loans
(0.1 )
(0.1 )
(1.2 )
(0.2 )
(0.0 )
Derivative financial instruments –
assets
(0.4 )
(0.2 )
(0.0 )
of which: Interest rate
(0.1 )
(0.1 )
(0.0 )
of which: Equity / index
(0.2 )
(0.0 )
(0.0 )
of which: Credit derivatives
(0.0 )
Financial assets at fair value not held
for trading
(0.6 )
(0.0 )
(0.1 )
(0.1 )
of which: Loans
(0.0 )
(0.0 )
(0.2 )
(0.1 )
(0.0 )
of which: Auction rate securities
of which: Equity instruments
(0.1 )
(0.0 )
Derivative financial instruments –
liabilities
(0.6 )
(0.6 )
(0.8 )
(0.1 )
(0.1 )
of which: Interest rate
(0.2 )
(0.2 )
(0.0 )
(0.0 )
of which: Equity / index
(0.3 )
(0.3 )
(0.7 )
(0.1 )
(0.0 )
of which: Credit derivatives
(0.1 )
(0.1 )
(0.0 )
(0.0 )
Debt issued designated at fair value
(1.9 )
(1.6 )
(2.7 )
(1.3 )
(0.4 )
Other financial liabilities designated at
fair value
(0.7 )
(0.7 )
(0.1 )
(0.2 )
(0.0 )
For the six months ended 30 June 2021
Financial assets at fair value held for
trading
(0.0 )
(0.0 )
(0.8 )
(0.2 )
(0.0 )
of which: Investment fund units
(0.0 )
(0.0 )
(0.0 )
(0.0 )
(0.0 )
of which: Corporate and municipal
bonds
(0.1 )
(0.1 )
(0.0 )
of which: Loans
(0.5 )
(0.2 )
Derivative financial instruments –
assets
(0.2 )
(0.1 )
(0.4 )
(0.0 )
(0.1 )
(0.0 )
of which: Interest rate
(0.1 )
(0.1 )
(0.1 )
(0.0 )
of which: Equity / index
(0.4 )
(0.0 )
(0.1 )
(0.0 )
of which: Credit derivatives
(0.1 )
(0.1 )
(0.0 )
(0.0 )
Financial assets at fair value not held
for trading
(0.3 )
(0.0 )
(0.0 )
of which: Loans
(0.0 )
(0.1 )
(0.0 )
(0.0 )
of which: Auction rate securities
of which: Equity instruments
(0.1 )
(0.0 )
(0.0 )
Derivative financial instruments –
liabilities
(0.0 )
(1.2 )
(0.2 )
(0.0 )
of which: Interest rate
(0.1 )
(0.1 )
(0.0 )
(0.0 )
(0.0 )
of which: Equity / index
(1.1 )
(0.2 )
(0.0 )
of which: Credit derivatives
(0.2 )
(0.2 )
(0.0 )
(0.0 )
(0.0 )
Debt issued designated at fair value
(2.9 )
(0.8 )
(0.2 )
Other financial liabilities designated at
fair value
(0.0 )
(0.0 )
(0.2 )
(0.0 )
(0.0 )
1 Net gains / losses included in comprehensive income are recognized in Net interest income and Other net income from financial instruments measured at fair value through profit or loss in the Income statement, and
also in Gains / (losses) from own credit on financial liabilities designated at fair value, before tax in the Statement of comprehensive income. 2 Total Level 3 assets as of 30 June 2022 were USD
bn (31 December
2021: USD
bn). Total Level 3 liabilities as of 30 June 2022 were USD
bn (31 December 2021: USD
bn).
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Note 10 Fair value measurement (continued)
f) Financial instruments not measured at fair value
The table below reflects the estimated fair values of financial instruments not measured at fair value. Valuation
principles applied when determining fair value estimates for financial instruments not measured at fair value are
consistent with those described in “Note 21 Fair Value measurement” in the “Consolidated financial statements”
section of the Annual Report 2021.
Financial instruments not measured at fair value
30.6.22
31.3.22
31.12.21
USD bn
Carrying
amount
Fair value
Carrying
amount
Fair value
Carrying
amount
Fair value
Assets
Cash and balances at central banks
Loans and advances to banks
Receivables from securities financing transactions
Cash collateral receivables on derivative instruments
Loans and advances to customers
Other financial assets measured at amortized cost
1
Liabilities
Amounts due to banks
Payables from securities financing transactions
Cash collateral payables on derivative instruments
Customer deposits
Funding from UBS Group AG
Debt issued measured at amortized cost
Other financial liabilities measured at amortized cost
2
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost.
Refer to Note 1 for more information. 2 Excludes lease liabilities.
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Note 11
Derivative instruments
a) Derivative instruments
As of 30.6.22, USD bn
Derivative
financial
assets
Notional values
related to derivative
financial assets
1
Derivative
financial
liabilities
Notional values
related to derivative
financial liabilities
1
Other
notional
values
2
Derivative financial instruments
Interest rate
Credit derivatives
Foreign exchange
Equity / index
Commodities
Loan commitments measured at FVTPL
Unsettled purchases of non-derivative financial instruments
3
Unsettled sales of non-derivative financial instruments
3
Total derivative financial instruments, based on IFRS netting
4
Further netting potential not recognized on the balance sheet
5
(146.5 )
(141.0 )
of which: netting of recognized financial liabilities / assets
(116.0 )
(116.0 )
of which: netting with collateral received / pledged
(30.5 )
(24.9 )
Total derivative financial instruments, after consideration of further
netting potential
As of 31.3.22, USD bn
Derivative financial instruments
Interest rate
Credit derivatives
Foreign exchange
Equity / index
Commodities
Loan commitments measured at FVTPL
Unsettled purchases of non-derivative financial instruments
3
Unsettled sales of non-derivative financial instruments
3
Total derivative financial instruments, based on IFRS netting
4
Further netting potential not recognized on the balance sheet
5
(126.6 )
(121.4 )
of which: netting of recognized financial liabilities / assets
(101.7 )
(101.7 )
of which: netting with collateral received / pledged
(25.0 )
(19.7 )
Total derivative financial instruments, after consideration of further
netting potential
As of 31.12.21, USD bn
Derivative financial instruments
Interest rate
Credit derivatives
Foreign exchange
Equity / index
Commodities
Loan commitments measured at FVTPL
Unsettled purchases of non-derivative financial instruments
3
Unsettled sales of non-derivative financial instruments
3
Total derivative financial instruments, based on IFRS netting
4
Further netting potential not recognized on the balance sheet
5
(107.4 )
(107.0 )
of which: netting of recognized financial liabilities / assets
(88.9 )
(88.9 )
of which: netting with collateral received / pledged
(18.5 )
(18.1 )
Total derivative financial instruments, after consideration of further
netting potential
1 In cases where derivative financial instruments are presented on a net basis on the balance sheet, the respective notional values of the netted derivative financial instruments are still presented on a gross basis.
Notional amounts of client-cleared ETD and OTC transactions through central clearing counterparties are not disclosed, as they have a significantly different risk profile. 2 Other notional values relate to derivatives
that are cleared through either a central counterparty or an exchange. The fair value of these derivatives is presented on the balance sheet net of the corresponding cash margin under Cash collateral receivables on
derivative instruments and Cash collateral payables on derivative instruments and was not material for all periods presented. 3 Changes in the fair value of purchased and sold non-derivative financial instruments
between trade date and settlement date are recognized as derivative financial instruments. 4 Financial assets and liabilities are presented net on the balance sheet if UBS AG has the unconditional and legally
enforceable right to offset the recognized amounts, both in the normal course of business and in the event of default, bankruptcy or insolvency of UBS AG or its counterparties, and intends either to settle on a net
basis or to realize the asset and settle the liability simultaneously. 5 Reflects the netting potential in accordance with enforceable master netting and similar arrangements where not all criteria for a net presentation
on the balance sheet have been met. Refer to “Note 22 Offsetting financial assets and financial liabilities” in the “Consolidated financial statements” section of the Annual Report 2021 for more information.
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Note 11
Derivative instruments (continued)
b) Cash collateral on derivative instruments
USD bn
Receivables
30.6.22
Payables
30.6.22
Receivables
31.3.22
Payables
31.3.22
Receivables
31.12.21
Payables
31.12.21
Cash collateral on derivative instruments, based on IFRS netting
1
Further netting potential not recognized on the balance sheet
2
(23.2 )
(22.6 )
(19.0 )
(21.4 )
(18.4 )
(16.4 )
of which: netting of recognized financial liabilities / assets
(20.4 )
(19.9 )
(15.8 )
(18.2 )
(15.2 )
(13.1 )
of which: netting with collateral received / pledged
(2.8 )
(2.8 )
(3.2 )
(3.2 )
(3.3 )
(3.3 )
Cash collateral on derivative instruments, after consideration of further netting
potential
1 Financial assets and liabilities are presented net on the balance sheet if UBS AG has the unconditional and legally enforceable right to offset the recognized amounts, both in the normal course of business and in
the event of default, bankruptcy or insolvency of UBS AG or its counterparties, and intends either to settle on a net basis or to realize the asset and settle the liability simultaneously. 2 Reflects the netting potential
in accordance with enforceable master netting and similar arrangements where not all criteria for a net presentation on the balance sheet have been met. Refer to “Note 22 Offsetting financial assets and financial
liabilities” in the “Consolidated financial statements” section of the Annual Report 2021 for more information.
Note
12
Other assets and liabilities
a) Other financial assets measured at amortized cost
USD m
30.6.22
31.3.22
31.12.21
Debt securities
1
Loans to financial advisors
Fee- and commission-related receivables
Finance lease receivables
Settlement and clearing accounts
Accrued interest income
Other
Total other financial assets measured at amortized cost
1 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost.
Refer to Note 1 for more information
b) Other non-financial assets
USD m
30.6.22
31.3.22
31.12.21
Precious metals and other physical commodities
Deposits and collateral provided in connection with litigation, regulatory and similar matters
1
Prepaid expenses
VAT and other tax receivables
Properties and other non-current assets held for sale
Assets of disposal groups held for sale
Other
Total other non-financial assets
1 Refer to Note 16 for more information.
c) Other financial liabilities measured at amortized cost
USD m
30.6.22
31.3.22
31.12.21
Other accrued expenses
Accrued interest expenses
Settlement and clearing accounts
Lease liabilities
Other
Total other financial liabilities measured at amortized cost
d) Other financial liabilities designated at fair value
USD m
30.6.22
31.3.22
31.12.21
Financial liabilities related to unit-linked investment contracts
Securities financing transactions
Over-the-counter debt instruments
Funding from UBS Group AG
Other
Total other financial liabilities designated at fair value
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Note 12 Other assets and liabilities (continued)
e) Other non-financial liabilities
USD m
30.6.22
31.3.22
31.12.21
Compensation-related liabilities
Deferred tax liabilities
Current tax liabilities
VAT and other tax payables
Deferred income
Liabilities of disposal groups held for sale
Other
Total other non-financial liabilities
Note
13
Debt issued designated at fair value
USD m
30.6.22
31.3.22
31.12.21
Issued debt instruments
Equity-linked
1
Rates-linked
Credit-linked
Fixed-rate
Commodity-linked
Other
Total debt issued designated at fair value
of which: issued by UBS AG with original maturity greater than one year
2
1 Includes investment fund unit-linked instruments issued. 2 Based on original contractual maturity without considering any early redemption features. As of 30 June 2022,
% of the balance was unsecured
(31 March 2022:
%; 31 December 2021:
%).
Note
14
Debt issued measured at amortized cost
USD m
30.6.22
31.3.22
31.12.21
Short-term debt
1
Senior unsecured debt other than TLAC
of which: issued by UBS AG with original maturity greater than one year
2
Covered bonds
Subordinated debt
of which: low-trigger loss-absorbing tier 2 capital instruments
of which: non-Basel III-compliant tier 2 capital instruments
Debt issued through the Swiss central mortgage institutions
Long-term debt
3
Total debt issued measured at amortized cost
4
1 Debt with an original contractual maturity of less than one year, mainly consisting of certificates of deposit and commercial paper. 2 Based on original contractual maturity without considering any early redemption
features. As of 30 June 2022,
% of the balance was unsecured (31 March 2022:
%; 31 December 2021:
%). 3 Debt with an original contractual maturity greater than or equal to one year. The
classification of debt issued into short-term and long-term does not consider any early redempti on features. 4 Net of bifurcated embedded derivatives, the fair value of which was not material for the periods
presented.
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Note 15 Interest rate benchmark reform
During 2022, UBS AG has continued to manage the transition to alternative reference rates (ARRs) under the
oversight of the dedicated Group-wide forum, with an increased focus on the US region. The transition of non-USD
interbank offered rates (IBORs) is largely complete, with efforts now focused on managing the transition of
remaining USD LIBOR exposures.
On 15 March 2022, the US enacted federal legislation, the “Adjustable Interest Rate (LIBOR) Act,” which is
substantially based on, and supersedes, the New York State London Interbank Offered Rate (LIBOR) legislation. The
Adjustable Interest Rate (LIBOR) Act provides a legislative solution for USD LIBOR legacy products governed by any
US state law should such products fail to transition prior to the USD LIBOR cessation date of 30 June 2023.
Non-derivative instruments
Most of the USD
bn mortgages linked to CHF LIBOR that were outstanding as of 31 December 2021 were
automatically transitioned to Swiss Average Rate Overnight (SARON) during the first quarter of 2022. A small
number of transitions took place in the second quarter of 2022, with the remaining due to transition later in 2022,
on their next roll date. Substantially all of the US securities-based lending outstanding as of 31 December 2021 was
transitioned to Secured Overnight Financing Rate (SOFR) during the first quarter of 2022. In January 2022, UBS AG
completed the transition of USD LIBOR-linked non-derivative balances related to brokerage accounts to SOFR. No
other material transitions of USD LIBOR-linked contracts occurred in the first half of 2022.
Derivative instruments
UBS AG successfully transitioned the remaining non-USD IBOR derivatives not transacted through clearing houses
or exchanges during the first quarter of 2022, which ensured an orderly transition when converting high volumes
of transactions at the time of rate cessation. No material USD LIBOR-linked derivatives have transitioned in 2022.
Note 16 Provisions and contingent liabilities
a) Provisions
The table below presents an overview of total provisions.
USD m
30.6.22
31.3.22
31.12.21
Provisions other than provisions for expected credit losses
Provisions for expected credit losses
1
Total provisions
1 Refer to Note 9c for more information.
The following table presents additional information for provisions other than provisions for expected credit losses.
USD m
Litigation,
regulatory and
similar matters
1
Restructuring
2
Other
3
Total
Balance as of 31 December 2021
Balance as of 31 March 2022
Increase in provisions recognized in the income statement
Release of provisions recognized in the income statement
(14 )
(6 )
(5 )
(25 )
Provisions used in conformity with designated purpose
(101 )
(54 )
(5 )
(161 )
Foreign currency translation / unwind of discount
(80 )
(4 )
(12 )
(96 )
Balance as of 30 June 2022
1 Consists of provisions for losses resulting from legal, liability and compliance risks. 2 Primarily consists of personnel-related restructuring provisions of USD
m as of 30 June 2022 (31 March 2022: USD
m;
31 December 2021: USD
m) and provisions for onerous contracts of USD
m as of 30 June 2022 (31 March 2022: USD
m; 31 December 2021: USD
m). 3 Mainly includes provisions related to real estate,
employee benefits and operational risks.
Restructuring provisions primarily relate to personnel-related provisions and onerous contracts. Personnel-related
restructuring provisions are generally used within a short period of time. The level of personnel-related provisions
can change when natural staff attrition reduces the number of people affected by a restructuring event, and
therefore results in lower estimated costs. Onerous contracts for property are recognized when UBS AG is
committed to pay for non-lease components, such as utilities, service charges, taxes and maintenance, when a
property is vacated or not fully recovered from sub-tenants.
Information about provisions and contingent liabilities in respect of litigation, regulatory and similar matters, as a
class, is included in Note 16b. There are no material contingent liabilities associated with the other classes of
provisions.
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38
Note 16 Provisions and contingent liabilities (continued)
b) Litigation, regulatory and similar matters
UBS operates in a legal and regulatory environment that exposes it to significant litigation and similar risks arising
from disputes and regulatory proceedings. As a result, UBS is involved in various disputes and legal proceedings,
including litigation, arbitration, and regulatory and criminal investigations. “UBS,” “we” and “our” may, for
purposes of this Note, refer to UBS AG and / or one or more of its subsidiaries, as applicable.
Such matters are subject to many uncertainties, and the outcome and the timing of resolution are often difficult to
predict, particularly in the earlier stages of a case. There are also situations where UBS may enter into a settlement
agreement. This may occur in order to avoid the expense, management distraction or reputational implications of
continuing to contest liability, even for those matters for which UBS believes it should be exonerated. The
uncertainties inherent in all such matters affect the amount and timing of any potential outflows for both matters
with respect to which provisions have been established and other contingent liabilities. UBS makes provisions for
such matters brought against it when, in the opinion of management after seeking legal advice, it is more likely
than not that UBS has a present legal or constructive obligation as a result of past events, it is probable that an
outflow of resources will be required, and the amount can be reliably estimated. Where these factors are otherwise
satisfied, a provision may be established for claims that have not yet been asserted against UBS, but are nevertheless
expected to be, based on UBS’s experience with similar asserted claims. If any of those conditions is not met, such
matters result in contingent liabilities. If the amount of an obligation cannot be reliably estimated, a liability exists
that is not recognized even if an outflow of resources is probable. Accordingly, no provision is established even if
the potential outflow of resources with respect to such matters could be significant. Developments relating to a
matter that occur after the relevant reporting period, but prior to the issuance of financial statements, which affect
management’s assessment of the provision for such matter (because, for example, the developments provide
evidence of conditions that existed at the end of the reporting period), are adjusting events after the reporting
period under IAS 10 and must be recognized in the financial statements for the reporting period.
Specific litigation, regulatory and other matters are described below, including all such matters that management
considers to be material and others that management believes to be of significance due to potential financial,
reputational and other effects. The amount of damages claimed, the size of a transaction or other information is
provided where available and appropriate in order to assist users in considering the magnitude of potential
exposures.
In the case of certain matters below, we state that we have established a provision, and for the other matters, we
make no such statement. When we make this statement and we expect disclosure of the amount of a provision to
prejudice seriously our position with other parties in the matter because it would reveal what UBS believes to be
the probable and reliably estimable outflow, we do not disclose that amount. In some cases we are subject to
confidentiality obligations that preclude such disclosure. With respect to the matters for which we do not state
whether we have established a provision, either: (a) we have not established a provision, in which case the matter
is treated as a contingent liability under the applicable accounting standard; or (b) we have established a provision
but expect disclosure of that fact to prejudice seriously our position with other parties in the matter because it
would reveal the fact that UBS believes an outflow of resources to be probable and reliably estimable.
With respect to certain litigation, regulatory and similar matters for which we have established provisions, we are
able to estimate the expected timing of outflows. However, the aggregate amount of the expected outflows for
those matters for which we are able to estimate expected timing is immaterial relative to our current and expected
levels of liquidity over the relevant time periods.
The aggregate amount provisioned for litigation, regulatory and similar matters as a class is disclosed in the
“Provisions” table in Note 16a above. It is not practicable to provide an aggregate estimate of liability for our
litigation, regulatory and similar matters as a class of contingent liabilities. Doing so would require UBS to provide
speculative legal assessments as to claims and proceedings that involve unique fact patterns or novel legal theories,
that have not yet been initiated or are at early stages of adjudication, or as to which alleged damages have not
been quantified by the claimants. Although UBS therefore cannot provide a numerical estimate of the future losses
that could arise from litigation, regulatory and similar matters, UBS believes that the aggregate amount of possible
future losses from this class that are more than remote substantially exceeds the level of current provisions.
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39
Note 16 Provisions and contingent liabilities (continued)
Litigation, regulatory and similar matters may also result in non-monetary penalties and consequences. A guilty plea
to, or conviction of, a crime could have material consequences for UBS. Resolution of regulatory proceedings may
require UBS to obtain waivers of regulatory disqualifications to maintain certain operations, may entitle regulatory
authorities to limit, suspend or terminate licenses and regulatory authorizations, and may permit financial market
utilities to limit, suspend or terminate UBS’s participation in such utilities. Failure to obtain such waivers, or any
limitation, suspension or termination of licenses, authorizations or participations, could have material consequences
for UBS.
The risk of loss associated with litigation, regulatory and similar matters is a component of operational risk for
purposes of determining capital requirements. Information concerning our capital requirements and the calculation
of operational risk for this purpose is included in the “Capital management” section of the UBS Group second
quarter 2022 report.
Provisions for litigation, regulatory and similar matters by business division and in Group Functions
1
USD m
Global Wealth
Manage-
ment
Personal &
Corporate
Banking
Asset
Manage-
ment
Investment
Bank
Group
Functions
Total
Balance as of 31 December 2021
Balance as of 31 March 2022
Increase in provisions recognized in the income statement
Release of provisions recognized in the income statement
(7 )
(6 )
(1 )
(14 )
Provisions used in conformity with designated purpose
(80 )
(5 )
(15 )
(101 )
Foreign currency translation / unwind of discount
(60 )
(9 )
(10 )
(1 )
(80 )
Balance as of 30 June 2022
1 Provisions, if any, for the matters described in items 3 and 4 of this Note are recorded in Global Wealth Management, and provisions, if any, for the matters described in item 2 are recorded in Group Functions.
Provisions, if any, for the matters described in items 1 and 6 of this Note are allocated between Global Wealth Management and Personal & Corporate Banking, provisions, if any, for the matters described in item 5
are allocated between the Investment Bank and Group Functions, and provisions, if any, for the matters described in item 7 are allocated between Global Wealth Management and Investment Bank.
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or
examined employees located in their respective jurisdictions relating to the cross-border wealth management
services provided by UBS and other financial institutions. It is possible that the implementation of automatic tax
information exchange and other measures relating to cross-border provision of financial services could give rise to
further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax Administration (FTA)
to transfer information based on requests for international administrative assistance in tax matters. The requests
concern a number of UBS account numbers pertaining to current and former clients and are based on data from
2006 and 2008. UBS has taken steps to inform affected clients about the administrative assistance proceedings and
their procedural rights, including the right to appeal. The requests are based on data received from the German
authorities, who seized certain data related to UBS clients booked in Switzerland during their investigations and
have apparently shared this data with other European countries. UBS expects additional countries to file similar
requests.
Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France in
relation to UBS’s cross-border business with French clients. In connection with this investigation, the investigating
judges ordered UBS AG to provide bail (“
caution
”) of EUR
bn.
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Note 16 Provisions and contingent liabilities (continued)
On 20 February 2019, the court of first instance returned a verdict finding UBS AG guilty of unlawful solicitation of
clients on French territory and aggravated laundering of the proceeds of tax fraud, and UBS (France) S.A. guilty of
aiding and abetting unlawful solicitation and of laundering the proceeds of tax fraud. The court imposed fines
aggregating EUR
bn on UBS AG and UBS (France) S.A. and awarded EUR
m of civil damages to the French
state. A trial in the French Court of Appeal took place in March 2021. On 13 December 2021, the Court of Appeal
found UBS AG guilty of unlawful solicitation and aggravated laundering of the proceeds of tax fraud. The court
ordered a fine of EUR
m, the confiscation of EUR
bn, and awarded civil damages to the French state of
EUR
m. The court also found UBS (France) SA guilty of the aiding and abetting of unlawful solicitation and
ordered it to pay a fine of EUR
m. UBS AG has filed an appeal with the French Supreme Court to preserve its
rights. The notice of appeal enables UBS AG to thoroughly assess the verdict of the Court of Appeal and to
determine next steps in the best interest of its stakeholders. The fine and confiscation imposed by the Court of
Appeal are suspended during the appeal. The civil damages award has been paid to the French state (EUR
m of
which was deducted from the bail), subject to the result of UBS’s appeal.
Our balance sheet at 30 June 2022 reflected provisions with respect to this matter in an amount of EUR
bn
(USD
bn). The wide range of possible outcomes in this case contributes to a high degree of estimation
uncertainty and the provision reflects our best estimate of possible financial implications, although actual penalties
and civil damages could exceed (or may be less than) the provision amount.
Our balance sheet at 30 June 2022 reflected provisions with respect to matters described in this item 1 in an amount
that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for
which we have established provisions, the future outflow of resources in respect of such matters cannot be
determined with certainty based on currently available information and accordingly may ultimately prove to be
substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and mortgages
From 2002 through 2007, prior to the crisis in the US residential loan market, UBS was a substantial issuer and
underwriter of US residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential
mortgages.
In November 2018, the DOJ filed a civil complaint in the District Court for the Eastern District of New York. The
complaint seeks unspecified civil monetary penalties under the Financial Institutions Reform, Recovery and
Enforcement Act of 1989 related to UBS’s issuance, underwriting and sale of 40 RMBS transactions in 2006 and
2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10 December 2019, the district court
denied UBS’s motion to dismiss.
Our balance sheet at 30 June 2022 reflected a provision with respect to matters described in this item 2 in an
amount that UBS believes to be appropriate under the applicable accounting standard. As in the case of other
matters for which we have established provisions, the future outflow of resources in respect of this matter cannot
be determined with certainty based on currently available information and accordingly may ultimately prove to be
substantially greater (or may be less) than the provision that we have recognized.
3. Madoff
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg)
S.A. (now UBS Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries
by a number of regulators, including the Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg
Commission de Surveillance du Secteur Financier. Those inquiries concerned two third-party funds established
under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in
offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the
Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various
roles, including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees
serve as board members.
In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities
and certain individuals, including current and former UBS employees, seeking amounts totaling approximately
EUR
bn, which includes amounts that the funds may be held liable to pay the trustee for the liquidation of BMIS
(BMIS Trustee).
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Note 16 Provisions and contingent liabilities (continued)
A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported
losses relating to the Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions
that the claims in eight test cases were inadmissible have been affirmed by the Luxembourg Court of Appeal, and
the Luxembourg Supreme Court has dismissed a further appeal in one of the test cases.
In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg
funds and one of the offshore funds. The total amount claimed against all defendants in these actions was not less
than USD
bn. In 2014, the US Supreme Court rejected the BMIS Trustee’s motion for leave to appeal decisions
dismissing all claims except those for the recovery of approximately USD
m of payments alleged to be fraudulent
conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims against the UBS
entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee’s remaining claims, and
the US Supreme Court subsequently denied a petition seeking review of the Court of Appeals’ decision. The case
has been remanded to the Bankruptcy Court for further proceedings.
4. Puerto Rico
Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are
sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services
Incorporated of Puerto Rico (UBS PR) led to multiple regulatory inquiries, which in 2014 and 2015, led to settlements
with the Office of the Commissioner of Financial Institutions for the Commonwealth of Puerto Rico, the US
Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority.
Since then, UBS clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their
UBS account assets as collateral for UBS non-purpose loans filed customer complaints and arbitration demands
seeking aggregate damages of USD
bn, of which USD
bn have been resolved through settlements, arbitration
or withdrawal of claims. Allegations include fraud, misrepresentation and unsuitability of the funds and of the
loans.
A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former
directors of the funds, alleging hundreds of millions of US dollars in losses in the funds. In 2021, the parties reached
an agreement to settle this matter for USD
m, subject to court approval.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the
Commonwealth of Puerto Rico (System) against over 40 defendants, including UBS PR, which was named in
connection with its underwriting and consulting services. Plaintiffs alleged that defendants violated their purported
fiduciary duties and contractual obligations in connection with the issuance and underwriting of USD
bn of bonds
by the System in 2008 and sought damages of over USD
m. In 2016, the court granted the System’s request
to join the action as a plaintiff. In 2017, the court denied defendants’ motion to dismiss the complaint. In 2020,
the court denied plaintiffs’ motion for summary judgment.
Beginning in 2015, certain agencies and public corporations of the Commonwealth of Puerto Rico
(Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation
created an oversight board with power to oversee Puerto Rico’s finances and to restructure its debt. The oversight
board has imposed a stay on the exercise of certain creditors’ rights. In 2017, the oversight board placed certain of
the bonds into a bankruptcy-like proceeding under the supervision of a Federal District Judge.
In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against
financial, legal and accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS,
seeking a return of underwriting and swap fees paid in connection with those offerings. UBS estimates that it
received approximately USD
m in fees in the relevant offerings.
In August 2019, and February and November 2020, four US insurance companies that insured issues of Puerto Rico
municipal bonds sued UBS and several other underwriters of Puerto Rico municipal bonds in three separate cases.
The actions collectively seek recovery of an aggregate of USD
m in damages from the defendants. The plaintiffs
in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials
for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in
agreeing to insure the bonds notwithstanding that they had no contractual relationship with the underwriters.
Defendants’ motions to dismiss have been granted in all three cases; those decisions are being appealed by the
plaintiffs.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
42
Note 16 Provisions and contingent liabilities (continued)
Our balance sheet at 30 June 2022 reflected provisions with respect to matters described in this item 4 in amounts
that UBS believes to be appropriate under the applicable accounting standard. As in the case of other matters for
which we have established provisions, the future outflow of resources in respect of such matters cannot be
determined with certainty based on currently available information and accordingly may ultimately prove to be
substantially greater (or may be less) than the provisions that we have recognized.
5. Foreign exchange, LIBOR and benchmark rates, and other trading practices
Foreign exchange-related regulatory matters:
concerning possible manipulation of foreign exchange markets and precious metals prices. As a result of these
investigations, UBS entered into resolutions with Swiss, US and United Kingdom regulators and the European
Commission. UBS was granted conditional immunity by the Antitrust Division of the DOJ and by authorities in other
jurisdictions in connection with potential competition law violations relating to foreign exchange and precious
metals businesses.
Foreign exchange-related civil litigation:
in other jurisdictions against UBS and other banks on behalf of putative classes of persons who engaged in foreign
currency transactions with any of the defendant banks. UBS has resolved US federal court class actions relating to
foreign currency transactions with the defendant banks and persons who transacted in foreign exchange futures
contracts and options on such futures under a settlement agreement that provides for UBS to pay an aggregate of
USD
m and provide cooperation to the settlement classes. Certain class members have excluded themselves
from that settlement and have filed individual actions in US and English courts against UBS and other banks, alleging
violations of US and European competition laws and unjust enrichment.
In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of
persons and businesses in the US who directly purchased foreign currency from the defendants and alleged co-
conspirators for their own end use. In March 2017, the court granted UBS’s (and the other banks’) motions to
dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March 2018, the court denied
the defendants’ motions to dismiss the amended complaint. In March 2022, the court denied plaintiffs’ motion for
class certification.
LIBOR and other benchmark -related regulatory matters:
regarding potential improper attempts by UBS, among others, to manipulate LIBOR and other benchmark rates at
certain times. UBS reached settlements or otherwise concluded investigations relating to benchmark interest rates
with the investigating authorities. UBS was granted conditional leniency or conditional immunity from authorities
in certain jurisdictions, including the Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO),
in connection with potential antitrust or competition law violations related to certain rates. However, UBS has not
reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that UBS does not qualify for full
immunity.
LIBOR and other benchmark -related civil litigation:
in the federal courts in New York against UBS and numerous other banks on behalf of parties who transacted in
certain interest rate benchmark-based derivatives. Also pending in the US and in other jurisdictions are a number
of other actions asserting losses related to various products whose interest rates were linked to LIBOR and other
benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral, loans,
depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation,
through various means, of certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR,
EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR and SOR and Australian BBSW, and seek unspecified compensatory
and other damages under varying legal theories.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
43
Note 16 Provisions and contingent liabilities (continued)
USD LIBOR class and individual actions in the US:
In 2013 and 2015, the district court in the USD LIBOR actions
dismissed, in whole or in part, certain plaintiffs’ antitrust claims, federal racketeering claims, CEA claims, and state
common law claims, and again dismissed the antitrust claims in 2016 following an appeal. In December 2021, the
Second Circuit affirmed the district court’s dismissal in part and reversed in part and remanded to the district court
for further proceedings. The Second Circuit, among other things, held that there was personal jurisdiction over UBS
and other foreign defendants based on allegations that at least one alleged co-conspirator undertook an overt act
in the United States. Separately, in 2018, the Second Circuit reversed in part the district court’s 2015 decision
dismissing certain individual plaintiffs’ claims and certain of these actions are now proceeding. In 2018, the district
court denied plaintiffs’ motions for class certification in the USD class actions for claims pending against UBS, and
plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the Second Circuit denied the
petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange
class. In January 2019, a putative class action was filed in the District Court for the Southern District of New York
against UBS and numerous other banks on behalf of US residents who, since 1 February 2014, directly transacted
with a defendant bank in USD LIBOR instruments. The complaint asserts antitrust claims. The defendants moved to
dismiss the complaint in August 2019. In March 2020 the court granted defendants’ motion to dismiss the
complaint in its entirety. Plaintiffs have appealed the dismissal. In March 2022, the Second Circuit dismissed the
appeal because appellants, who had been substituted in to replace the original plaintiffs who had withdrawn,
lacked standing to pursue the appeal. In August 2020, an individual action was filed in the Northern District of
California against UBS and numerous other banks alleging that the defendants conspired to fix the interest rate
used as the basis for loans to consumers by jointly setting the USD LIBOR rate and monopolized the market for
LIBOR-based consumer loans and credit cards. Defendants moved to dismiss the complaint in September 2021.
Other benchmark class actions in the US:
Yen LIBOR / Euroyen TIBOR –
In 2014, 2015 and 2017, the court in one of the Yen LIBOR / Euroyen TIBOR lawsuits
dismissed certain of the plaintiffs’ claims, including the plaintiffs’ federal antitrust and racketeering claims. In August
2020, the court granted defendants’ motion for judgment on the pleadings and dismissed the lone remaining claim
in the action as impermissibly extraterritorial. Plaintiffs have appealed. In 2017, the court dismissed the other Yen
LIBOR / Euroyen TIBOR action in its entirety on standing grounds. In April 2020, the appeals court reversed the
dismissal and in August 2020 plaintiffs in that action filed an amended complaint focused on Yen LIBOR. The court
granted in part and denied in part defendants’ motion to dismiss the amended complaint in September 2021 and
plaintiffs and the remaining defendants have moved for reconsideration.
CHF LIBOR
Plaintiffs filed an amended complaint, and the court granted a renewed motion to dismiss in September 2019.
Plaintiffs appealed. In September 2021, the Second Circuit granted the parties’ joint motion to vacate the dismissal
and remand the case for further proceedings.
EURIBOR
defendants for lack of personal jurisdiction. Plaintiffs have appealed.
SIBOR / SOR
UBS. Plaintiffs filed an amended complaint, and the court granted a renewed motion to dismiss in July 2019.
Plaintiffs appealed. In March 2021, the Second Circuit reversed the dismissal. Plaintiffs filed an amended complaint
in October 2021, which defendants have moved to dismiss. In March 2022, plaintiffs reached a settlement in
principle with the remaining defendants, including UBS. The court granted preliminary approval of the settlement
in June 2022.
BBSW
for lack of personal jurisdiction. Plaintiffs filed an amended complaint in April 2019, which UBS and other
defendants moved to dismiss. In February 2020, the court granted in part and denied in part defendants’ motions
to dismiss the amended complaint. In August 2020, UBS and other BBSW defendants joined a motion for judgment
on the pleadings, which the court denied in May 2021. In February 2022, plaintiffs reached a settlement in principle
with the remaining defendants, including UBS. The court granted preliminary approval of the settlement in May
2022.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
44
Note 16 Provisions and contingent liabilities (continued)
GBP LIBOR
Government bonds:
on behalf of persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was
filed in 2017 in the US District Court for the Southern District of New York alleging that the banks colluded with
respect to, and manipulated prices of, US Treasury securities sold at auction and in the secondary market and asserting
claims under the antitrust laws and for unjust enrichment. Defendants’ motions to dismiss the consolidated complaint
were granted in March 2021. Plaintiffs filed an amended complaint, which defendants moved to dismiss in June 2021.
In March 2022, the court granted defendants’ motion to dismiss that complaint. Plaintiffs have appealed the dismissal.
Similar class actions have been filed concerning European government bonds and other government bonds.
In May 2021, the European Commission issued a decision finding that UBS and six other banks breached European
Union antitrust rules in 2007–2011 relating to European government bonds. The European Commission fined UBS
EUR
m. UBS is appealing the amount of the fine.
With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to
above, our balance sheet at 30 June 2022 reflected a provision in an amount that UBS believes to be appropriate
under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently
available information and accordingly may ultimately prove to be substantially greater (or may be less) than the
provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to
a firm for distributing third-party and intra-group investment funds and structured products must be disclosed and
surrendered to clients who have entered into a discretionary mandate agreement with the firm, absent a valid
waiver. FINMA issued a supervisory note to all Swiss banks in response to the Supreme Court decision. UBS has met
the FINMA requirements and has notified all potentially affected clients.
The Supreme Court decision has resulted, and continues to result, in a number of client requests for UBS to disclose
and potentially surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken
into account when assessing these cases include, among other things, the existence of a discretionary mandate and
whether or not the client documentation contained a valid waiver with respect to distribution fees.
Our balance sheet at 30 June 2022 reflected a provision with respect to matters described in this item 6 in an
amount that UBS believes to be appropriate under the applicable accounting standard. The ultimate exposure will
depend on client requests and the resolution thereof, factors that are difficult to predict and assess. Hence, as in
the case of other matters for which we have established provisions, the future outflow of resources in respect of
such matters cannot be determined with certainty based on currently available information and accordingly may
ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Communications recordkeeping
The SEC and CFTC are conducting investigations of UBS and other financial institutions regarding compliance with
records preservation requirements relating to business communications sent over unapproved electronic messaging
channels. UBS is cooperating with the investigations.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
45
Note 17 Supplemental guarantor information required under SEC regulations
Joint liability of UBS Switzerland AG
In 2015, the Personal & Corporate Banking and Wealth Management businesses booked in Switzerland were
transferred from UBS AG to UBS Switzerland AG through an asset transfer in accordance with the Swiss Merger
Act. Under the terms of the asset transfer agreement, UBS Switzerland AG assumed joint liability for contractual
obligations of UBS AG existing on the asset transfer date, including the full and unconditional guarantee of certain
registered debt securities issued by UBS AG. To reflect this joint liability, UBS Switzerland AG is presented in a
separate column as a subsidiary co-guarantor.
The joint liability of UBS Switzerland AG for contractual obligations of UBS AG decreased in the first half of 2022
by USD
bn to USD
bn as of 30 June 2022. The decrease substantially relates to a combination of contractual
maturities, early extinguishments, fair value movements and foreign currency effects.
Supplemental guarantor information
The following tables provide supplemental guarantor information that is required under SEC regulations.
Supplemental guarantor consolidated income statement
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
For the six months ended 30 June 2022
Interest income from financial instruments measured at amortized cost and
fair value through other comprehensive income
(393 )
Interest expense from financial instruments measured at amortized cost
(1,629 )
(238 )
(643 )
(1,912 )
Net interest income from financial instruments measured at fair value through
profit or loss
(165 )
Net interest income
Other net income from financial instruments measured at fair value through
profit or loss
Fee and commission income
(366 )
Fee and commission expense
(373 )
(247 )
(678 )
(934 )
Net fee and commission income
(3 )
Other income
(4,567 )
Total revenues
(3,995 )
Credit loss expense / (release)
(31 )
(4 )
Personnel expenses
General and administrative expenses
(1,330 )
Depreciation, amortization and impairment of non-financial assets
(55 )
Operating expenses
(1,385 )
Operating profit / (loss) before tax
(2,612 )
Tax expense / (benefit)
(18 )
Net profit / (loss)
(2,777 )
Net profit / (loss) attributable to non-controlling interests
Net profit / (loss) attributable to shareholders
(2,777 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements
under “Complementary financial information” at ubs.com/investors for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the
UBS Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
46
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated statement of comprehensive income
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
For the six months ended 30 June 2022
Comprehensive income attributable to shareholders
Net profit / (loss)
(2,777 )
Other comprehensive income
Other comprehensive income that may be reclassified to the income
statement
Foreign currency translation, net of tax
(107 )
(688 )
(647 )
(801 )
Financial assets measured at fair value through other comprehensive
income, net of tax
(6 )
Cash flow hedges, net of tax
(1,970 )
(889 )
(492 )
(3 )
(3,355 )
Cost of hedging, net of tax
Total other comprehensive income that may be reclassified to the
income statement, net of tax
(1,986 )
(1,576 )
(1,130 )
(4,055 )
Other comprehensive income that will not be reclassified to the
income statement
Defined benefit plans, net of tax
(94 )
Own credit on financial liabilities designated at fair value, net of tax
Total other comprehensive income that will not be reclassified to the
income statement, net of tax
(94 )
Total other comprehensive income
(1,027 )
(1,671 )
(1,073 )
(3,133 )
Total comprehensive income attributable to shareholders
(219 )
(2,140 )
Total comprehensive income attributable to non-controlling interests
Total comprehensive income
(219 )
(2,140 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements,
available under “Complementary financial information” at ubs.com/investors, for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the
UBS Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
47
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated balance sheet
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
As of 30 June 2022
Assets
Cash and balances at central banks
Loans and advances to banks
(53,499 )
Receivables from securities financing transactions
(20,018 )
Cash collateral receivables on derivative instruments
(14,003 )
Loans and advances to customers
(26,123 )
Other financial assets measured at amortized cost
(1,725 )
Total financial assets measured at amortized cost
(115,368 )
Financial assets at fair value held for trading
(3,863 )
of which: assets pledged as collateral that may be
sold or repledged by counterparties
(9,587 )
Derivative financial instruments
(43,935 )
Brokerage receivables
(322 )
Financial assets at fair value not held for trading
(15,812 )
Total financial assets measured at fair value through profit or loss
(63,932 )
Financial assets measured at fair value
through other comprehensive income
Investments in subsidiaries and associates
(51,687 )
Property, equipment and software
(287 )
Goodwill and intangible assets
Deferred tax assets
(71 )
Other non-financial assets
(2 )
Total assets
(231,321 )
Liabilities
Amounts due to banks
(107,510 )
Payables from securities financing transactions
(19,973 )
Cash collateral payables on derivative instruments
(13,946 )
Customer deposits
Funding from UBS Group AG
Debt issued measured at amortized cost
(84 )
Other financial liabilities measured at amortized cost
(1,972 )
Total financial liabilities measured at amortized cost
(129,462 )
Financial liabilities at fair value held for trading
(3,685 )
Derivative financial instruments
(43,931 )
Brokerage payables designated at fair value
(322 )
Debt issued designated at fair value
(78 )
Other financial liabilities designated at fair value
(2,502 )
Total financial liabilities measured at fair value through profit or loss
(50,520 )
Provisions
(19 )
Other non-financial liabilities
Total liabilities
(179,947 )
Equity attributable to shareholders
(51,374 )
Equity attributable to non-controlling interests
Total equity
(51,374 )
Total liabilities and equity
(231,321 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements,
available under “Complementary financial information” at ubs.com/investors, for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the
UBS Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
48
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated statement of cash flows
USD m
UBS AG
1
UBS
Switzerland AG
1
Other
1
UBS AG
(consolidated)
For the six months ended 30 June 2022
Net cash flow from / (used in) operating activities
(3,121 )
Cash flow from / (used in) investing activities
Disposal of subsidiaries, associates and intangible assets
2
Purchase of property, equipment and software
(276 )
(145 )
(275 )
(695 )
Disposal of property, equipment and software
Purchase of financial assets measured at fair value through other comprehensive income
(2,275 )
(547 )
(2,821 )
Disposal and redemption of financial assets measured at fair value through other comprehensive
income
Net (purchase) / redemption of debt securities measured at amortized cost
(3,719 )
(309 )
(226 )
(4,254 )
Net cash flow from / (used in) investing activities
(4,738 )
(454 )
(4,565 )
Cash flow from / (used in) financing activities
Net short-term debt issued / (repaid)
(10,421 )
(3 )
(16 )
(10,440 )
Distributions paid on UBS AG shares
(4,200 )
(4,200 )
Issuance of debt designated at fair value and long-term debt measured at amortized cost
3
Repayment of debt designated at fair value and long-term debt measured at amortized cost
3
(35,671 )
(385 )
(253 )
(36,309 )
Net cash flows from other financing activities
(130 )
(211 )
(341 )
Net activity related to group internal capital transactions and dividends
(2,088 )
(2,004 )
Net cash flow from / (used in) financing activities
(1,926 )
(2,436 )
(2,433 )
Total cash flow
Cash and cash equivalents at the beginning of the year
Net cash flow from / (used in) operating, investing and financing activities
(4,930 )
Effects of exchange rate differences on cash and cash equivalents
(3,671 )
(4,342 )
(1,635 )
(9,648 )
Cash and cash equivalents at the end of the period
4
1 Cash flows generally represent a third-party view from a UBS AG consolidated perspective, except for Net activity related to group internal capital transactions and dividends. 2 Includes cash proceeds from the
sale of UBS’s shareholding in its Japanese real estate joint venture, Mitsubishi Corp. -UBS Realty Inc. and dividends received from associates. 3 Includes funding from UBS Group AG to UBS AG. 4 Consists of
balances with an original maturity of three months or less. USD
m were restricted.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
49
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated income statement
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
For the six months ended 30 June 2021
Interest income from financial instruments measured at amortized cost and
fair value through other comprehensive income
(356 )
Interest expense from financial instruments measured at amortized cost
(1,441 )
(276 )
(517 )
(1,719 )
Net interest income from financial instruments measured at fair value through
profit or loss
(133 )
Net interest income
Other net income from financial instruments measured at fair value through
profit or loss
(109 )
Fee and commission income
(387 )
Fee and commission expense
(412 )
(239 )
(690 )
(962 )
Net fee and commission income
(7 )
Other income
(3,333 )
Total revenues
(3,422 )
Credit loss expense / (release)
(47 )
(80 )
(3 )
(108 )
Personnel expenses
General and administrative expenses
(1,373 )
Depreciation, amortization and impairment of non-financial assets
(57 )
Operating expenses
(1,429 )
Operating profit / (loss) before tax
(2,016 )
Tax expense / (benefit)
(13 )
Net profit / (loss)
(2,003 )
Net profit / (loss) attributable to non-controlling interests
Net profit / (loss) attributable to shareholders
(2,003 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements
under “Complementary financial information” at ubs.com/investors for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the UBS
Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
50
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated statement of comprehensive income
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
For the six months ended 30 June 2021
Comprehensive income attributable to shareholders
Net profit / (loss)
(2,003 )
Other comprehensive income
Other comprehensive income that may be reclassified to the income
statement
Foreign currency translation, net of tax
(38 )
(641 )
(287 )
(452 )
Financial assets measured at fair value through other comprehensive
income, net of tax
(88 )
(88 )
Cash flow hedges, net of tax
(662 )
(159 )
(110 )
(5 )
(937 )
Cost of hedging, net of tax
(23 )
(23 )
Total other comprehensive income that may be reclassified to the
income statement, net of tax
(723 )
(801 )
(485 )
(1,500 )
Other comprehensive income that will not be reclassified to the
income statement
Defined benefit plans, net of tax
(123 )
(31 )
Own credit on financial liabilities designated at fair value, net of tax
Total other comprehensive income that will not be reclassified to the
income statement, net of tax
(123 )
Total other comprehensive income
(592 )
(924 )
(435 )
(1,442 )
Total comprehensive income attributable to shareholders
(1,494 )
Total comprehensive income attributable to non-controlling interests
Total comprehensive income
(1,494 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements,
available under “Complementary financial information” at ubs.com/investors, for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the
UBS Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
51
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated balance sheet
USD m
UBS AG
(standalone)
1
UBS
Switzerland AG
(standalone)
1
Other
subsidiaries
2
Elimination
entries
UBS AG
(consolidated)
As of 31 December 2021
Assets
Cash and balances at central banks
Loans and advances to banks
(51,245 )
Receivables from securities financing transactions
(21,577 )
Cash collateral receivables on derivative instruments
(10,518 )
Loans and advances to customers
(26,188 )
Other financial assets measured at amortized cost
(1,870 )
Total financial assets measured at amortized cost
(111,397 )
Financial assets at fair value held for trading
(2,156 )
of which: assets pledged as collateral that
may be sold or repledged by counterparties
(10,568 )
Derivative financial instruments
(35,047 )
Brokerage receivables
(7 )
Financial assets at fair value not held for trading
(17,243 )
Total financial assets measured at fair value through profit or loss
(54,454 )
Financial assets measured at fair value
through other comprehensive income
Investments in subsidiaries and associates
(53,038 )
Property, equipment and software
(293 )
Goodwill and intangible assets
Deferred tax assets
Other non-financial assets
(1 )
Total assets
(219,154 )
Liabilities
Amounts due to banks
(105,448 )
Payables from securities financing transactions
(21,615 )
Cash collateral payables on derivative instruments
(10,458 )
Customer deposits
Funding from UBS Group AG
Debt issued measured at amortized cost
(73 )
Other financial liabilities measured at amortized cost
(2,245 )
Total financial liabilities measured at amortized cost
(125,551 )
Financial liabilities at fair value held for trading
(2,046 )
Derivative financial instruments
(35,063 )
Brokerage payables designated at fair value
(1 )
Debt issued designated at fair value
Other financial liabilities designated at fair value
(3,167 )
Total financial liabilities measured at fair value through profit or loss
(40,263 )
Provisions
(21 )
Other non-financial liabilities
(33 )
Total liabilities
(165,868 )
Equity attributable to shareholders
(53,287 )
Equity attributable to non-controlling interests
Total equity
(53,287 )
Total liabilities and equity
(219,154 )
1 Amounts presented for UBS AG standalone and UBS Switzerland AG standalone represent IFRS standalone information. Refer to the UBS AG standalone and UBS Switzerland AG standalone financial statements,
available under “Complementary financial information” at ubs.com/investors, for information prepared in accordance with Swiss GAAP. 2 The ”Other subsidiaries“ column includes consolidated information for the
UBS Americas Holding LLC, UBS Europe SE and UBS Asset Management AG significant sub-groups, as well as standalone information for other subsidiaries.
UBS AG Second quarter 2022 report |
Consolidated
financial
statements
|
Notes
to
the
UBS
AG
interim
consolidated
financial
statements
(unaudited)
52
Note 17 Supplemental guarantor information required under SEC regulations (continued)
Supplemental guarantor consolidated statement of cash flows
USD m
UBS AG
1
UBS
Switzerland AG
1
Other
1
UBS AG
(consolidated)
For the six months ended 30 June 2021
Net cash flow from / (used in) operating activities
(3,264 )
(1,413 )
Cash flow from / (used in) investing activities
Purchase of subsidiaries, associates and intangible assets
(1 )
(1 )
Disposal of subsidiaries, associates and intangible assets
2
Purchase of property, equipment and software
(313 )
(134 )
(310 )
(757 )
Disposal of property, equipment and software
Purchase of financial assets measured at fair value through other comprehensive income
(11 )
(1,939 )
(1,950 )
Disposal and redemption of financial assets measured at fair value through other comprehensive
income
Net (purchase) / redemption of debt securities measured at amortized cost
(449 )
Net cash flow from / (used in) investing activities
Cash flow from / (used in) financing activities
Net short-term debt issued / (repaid)
(3,863 )
(14 )
(3,877 )
Distributions paid on UBS AG shares
(4,539 )
(4,539 )
Issuance of debt designated at fair value and long-term debt measured at amortized cost
3
Repayment of debt designated at fair value and long-term debt measured at amortized cost
3
(44,428 )
(570 )
(246 )
(45,244 )
Net cash flows from other financing activities
(143 )
(134 )
(278 )
Net activity related to group internal capital transactions and dividends
(537 )
(1,687 )
Net cash flow from / (used in) financing activities
(833 )
(1,932 )
Total cash flow
Cash and cash equivalents at the beginning of the year
Net cash flow from / (used in) operating, investing and financing activities
(1,451 )
Effects of exchange rate differences on cash and cash equivalents
(945 )
(3,926 )
(518 )
(5,389 )
Cash and cash equivalents at the end of the period
4
1 Cash flows generally represent a third-party view from a UBS AG consolidated perspective, except for Net activity related to group internal capital transactions and dividends. 2 Includes cash proceeds from the
sale of UBS’s minority investment in Clearstream Fund Centre and dividends received from associates. 3 Includes funding from UBS Group AG to UBS AG. 4 Consists of balances with an original maturity of three
months or less. USD
m were restricted.
UBS AG Second quarter 2022 report |
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AG
standalone
financial
information
|
UBS
AG
interim
standalone
financial
information
(unaudited)
53
UBS AG standalone financial
information
Unaudited
Table of contents
54
55
56
UBS AG Second quarter 2022 report |
UBS
AG
standalone
financial
information
|
UBS
AG
interim
standalone
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information
(unaudited)
54
UBS AG interim standalone financial information (unaudited)
Income statement
USD m
CHF m
Year-to-date
Year-to-date
30.6.22
30.6.21
30.6.22
30.6.21
Interest and discount income
1
2,120
2,039
2,002
1,865
Interest and dividend income from trading portfolio
1
1,167
1,332
1,103
1,221
Interest and dividend income from financial investments
90
51
85
46
Interest expense
2
(3,060)
(2,582)
(2,904)
(2,361)
Gross interest income
316
839
286
772
Credit loss (expense) / release
27
60
25
55
Net interest income
343
898
311
828
Fee and commission income from securities and investment business and other fee and commission income
1,572
1,985
1,477
1,814
Credit-related fees and commissions
53
64
50
59
Fee and commission expense
(373)
(412)
(352)
(376)
Net fee and commission income
1,251
1,637
1,175
1,497
Net trading income
3,303
1,544
3,110
1,383
Net income from disposal of financial investments
(37)
54
(35)
50
Dividend income from investments in subsidiaries and other participations
4,405
2,358
4,248
2,181
Income from real estate holdings
200
259
188
237
Sundry ordinary income
718
701
676
642
Sundry ordinary expenses
(651)
(167)
(610)
(150)
Other income from ordinary activities
4,636
3,205
4,468
2,959
Total operating income
9,532
7,284
9,064
6,667
Personnel expenses
1,505
1,881
1,417
1,713
General and administrative expenses
1,738
1,788
1,637
1,634
Subtotal operating expenses
3,243
3,669
3,054
3,347
Impairment of investments in subsidiaries and other participations
1,218
39
1,156
37
Depreciation, amortization and impairment of property, equipment, software and intangible assets
372
391
350
358
Changes in provisions for litigation, regulatory and similar matters, and other provisions
22
74
20
68
Total operating expenses
4,855
4,173
4,580
3,811
Operating profit
4,677
3,111
4,484
2,856
Extraordinary income
9
136
8
126
Extraordinary expenses
0
1
0
1
Tax expense / (benefit)
143
202
135
183
Net profit / (loss)
4,543
3,045
4,356
2,797
1 Interest income includes negative interest income of approximately USD 0.3bn (CHF 0.3bn) for the period ended 30 June 2022 (approximately USD 0.2bn (CHF 0.2bn) for the period ended 30
June 2021).
2 Includes negative interest expense on financial liabilities of approximately USD 0.3bn (CHF 0.3bn) for the period ended 30 June 2022 (approximately USD 0.2bn (CHF 0.2bn) for the period ended 30 June 2021).
UBS AG Second quarter 2022 report |
UBS
AG
standalone
financial
information
|
UBS
AG
interim
standalone
financial
information
(unaudited)
55
Balance sheet
USD m
CHF m
30.6.22
31.12.21
30.6.22
31.12.21
Assets
Cash and balances at central banks
59,122
53,760
56,481
49,012
Due from banks
38,216
33,330
36,509
30,386
Receivables from securities financing transactions
52,034
56,336
49,709
51,360
Due from customers
111,814
121,812
106,819
111,052
Funding provided to significant regulated subsidiaries eligible as total loss-absorbing capacity
1
27,098
27,530
25,887
25,098
Mortgage loans
4,874
5,492
4,656
5,007
Trading portfolio assets
92,345
119,795
88,219
109,213
Derivative financial instruments
20,069
11,921
19,172
10,868
Financial investments
26,742
19,482
25,547
17,761
Accrued income and prepaid expenses
1,314
1,213
1,255
1,106
Investments in subsidiaries and other participations
49,731
50,671
47,509
46,195
Property, equipment and software
5,185
5,580
4,953
5,087
Other assets
9,807
2,927
9,368
2,667
Total assets
498,351
509,851
476,084
464,814
of which: subordinated assets
18,199
18,751
17,386
17,095
of which: subject to mandatory conversion and / or debt waiver
17,491
17,813
16,709
16,239
Liabilities
Due to banks
44,532
40,293
42,542
36,734
Payables from securities financing transactions
22,456
23,046
21,453
21,010
Due to customers
136,591
141,119
130,489
128,654
Funding received from UBS Group AG eligible as total loss-absorbing capacity at UBS AG level measured at
amortized cost
1
60,235
57,078
57,544
52,036
Trading portfolio liabilities
25,548
25,711
24,407
23,440
Derivative financial instruments
16,658
14,128
15,914
12,880
Financial liabilities designated at fair value
70,364
73,081
67,220
66,625
of which: funding received from UBS Group AG eligible as total loss-absorbing capacity at UBS AG level
1,864
2,137
1,781
1,948
Bonds issued
60,662
73,631
57,951
67,127
of which: eligible as total loss-absorbing capacity at UBS AG level
5,041
5,048
4,816
4,602
Accrued expenses and deferred income
2,387
2,919
2,280
2,661
Other liabilities
2,162
2,305
2,064
2,100
Provisions
2,009
2,136
1,920
1,947
Total liabilities
443,604
455,446
423,782
415,215
Equity
Share capital
393
393
386
386
General reserve
36,326
36,326
35,649
35,649
of which: statutory capital reserve
36,326
36,326
35,649
35,649
of which: capital contribution reserve
36,326
36,326
35,649
35,649
Voluntary earnings reserve
13,485
11,138
11,911
7,552
Net profit / (loss) for the period
4,543
6,548
4,356
6,013
Total equity
54,747
54,405
52,302
49,599
Total liabilities and equity
498,351
509,851
476,084
464,814
of which: subordinated liabilities
67,802
65,219
64,772
59,459
of which: subject to mandatory conversion and / or debt waiver
67,241
64,654
64,237
58,943
1 Represents the Swiss GAAP carrying amount of instruments qualifying as total loss-absorbing capital.
UBS AG Second quarter 2022 report |
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AG
standalone
financial
information
|
UBS
AG
interim
standalone
financial
information
(unaudited)
56
Basis of accounting
UBS AG standalone financial statements are prepared in accordance with Swiss GAAP (the FINMA Accounting
Ordinance, FINMA Circular 2020/1 “Accounting – banks” and the Banking Ordinance).
The accounting policies are principally the same as the IFRS-based accounting policies for the consolidated financial
statements outlined in Note 1 to the consolidated financial statements of UBS AG included in the UBS Group AG
and UBS AG Annual Report 2021. Major differences between the Swiss GAAP requirements and International
Financial Reporting Standards are described in Note 35 to the consolidated financial statements of UBS AG. Further
information on the accounting policies applied for the standalone financial statements of UBS AG is provided in
Note 2 to the UBS AG standalone financial statements as of 31 December 2021.
In preparing the interim financial information for UBS AG, the same accounting policies and methods of
computation have been applied as in the annual standalone financial statements as of 31 December 2021.
This interim financial information is unaudited and should be read in conjunction with the audited 2021 standalone
financial statements of UBS AG, available under “Holding company and significant regulated subsidiaries and sub-
groups” under complementary financial information at
ubs.com/investors
.
UBS AG Second quarter 2022 report |
Appendix
57
Appendix
Alternative performance measures
Alternative performance measures
An alternative performance measure (an APM) is a financial measure of historical or future financial performance,
financial position or cash flows other than a financial measure defined or specified in the applicable recognized
accounting standards or in other applicable regulations. We report a number of APMs in our external reports
(annual, quarterly and other reports). We use APMs to provide a more complete picture of our operating
performance and to reflect management’s view of the fundamental drivers of our business results. A definition of
each APM, the method used to calculate it and the information content are presented in alphabetical order in the
table below. Our APMs may qualify as non-GAAP measures as defined by US Securities and Exchange Commission
(SEC) regulations.
APM label
Calculation
Information content
Active Digital Banking clients in
Corporate & Institutional Clients (%)
– Personal & Corporate Banking
Calculated as the average number of active clients for
each month in the relevant period divided by the
average number of total clients. “Clients” refers to the
number of unique business relationships or legal
entities operated by Corporate & Institutional Clients,
excluding clients that do not have an account, mono-
product clients and clients that have defaulted on loans
or credit facilities. At the end of each month, any client
that has logged on at least once in that month is
determined to be “active” (a log-in time stamp is
allocated to all business relationship numbers or per
legal entity in a digital banking contract).
This measure provides information about the
proportion of active Digital Banking clients in the total
number of UBS clients (within the aforementioned
meaning) which are serviced by Corporate &
Institutional Clients.
Active Digital Banking clients in
Personal Banking (%)
– Personal & Corporate Banking
Calculated as the average number of active clients for
each month in the relevant period divided by the
average number of total clients. “Clients” refers to the
number of unique business relationships operated by
Personal Banking, excluding persons under the age of
15, clients who do not have a private account, clients
domiciled outside Switzerland and clients who have
defaulted on loans or credit facilities. At the end of
each month, any client that has logged on at least once
in that month is determined to be “active” (a log-in
time stamp is allocated to all business relationship
numbers in a digital banking contract).
This measure provides information about the
proportion of active Digital Banking clients in the total
number of UBS clients (within the aforementioned
meaning) who are serviced by Personal Banking.
Active Mobile Banking clients in
Personal Banking (%)
– Personal & Corporate Banking
Calculated as the average number of active clients for
each month in the relevant period divided by the
average number of total clients. “Clients” refers to the
number of unique business relationships operated by
Personal Banking, excluding persons under the age of
15, clients who do not have a private account, clients
domiciled outside Switzerland and clients who have
defaulted on loans or credit facilities. At the end of
each month, any client that has logged on via the
mobile app at least once in that month is determined
to be “active” (a log-in time stamp is allocated to all
business relationship numbers in a digital banking
contract).
This measure provides information about the
proportion of active Mobile Banking clients in the
total number of UBS clients (within the
aforementioned meaning) who are serviced by
Personal Banking.
Cost / income ratio (%)
Calculated as operating expenses divided by total
revenues.
This measure provides information about the
efficiency of the business by comparing operating
expenses with gross income.
Fee and trading income for Corporate
& Institutional Clients (USD and CHF)
– Personal & Corporate Banking
Calculated as the total of recurring net fee and
transaction-based income for Corporate & Institutional
Clients.
This measure provides information about the amount
of fee and trading income for Corporate &
Institutional Clients.
UBS AG Second quarter 2022 report |
Appendix
58
APM label
Calculation
Information content
Fee-generating assets (USD)
– Global Wealth Management
Calculated as the sum of discretionary and
nondiscretionary wealth management portfolios
(mandate volume) and assets where generated
revenues are predominantly of a recurring nature, i.e.,
mainly investment, mutual, hedge and private-market
funds where we have a distribution agreement,
including client commitments into closed-ended
private-market funds from the date that recurring
fees are charged. Assets related to our Global
Financial Intermediaries business are excluded, as are
assets of sanctioned clients.
This measure provides information about the volume
of invested assets that create a revenue stream,
whether as a result of the nature of the contractual
relationship with clients or through the fee structure
of the asset. An increase in the level of fee-generating
assets results in an increase in the associated revenue
stream. Assets of sanctioned clients are excluded from
fee-generating assets.
Fee-generating asset margin (bps)
– Global Wealth Management
Calculated as revenues from fee-generating assets (a
portion of which is included in recurring fee income
and a portion of which is included in transaction-
based income, annualized as applicable) divided by
average fee-generating assets for the relevant
mandate fee billing period. For the US, fees have
been billed on daily balances since the fourth quarter
of 2020 and average fee-generating assets are
calculated as the average of the monthly average
balances. Prior to the fourth quarter of 2020, billing
was based on prior quarter-end balances, and the
average fee-generating assets were thus the prior
quarter-end balance. For balances outside of the US,
billing is based on prior month-end balances and
average fee-generating assets are thus the average of
the prior month-end balances.
This measure provides information about the revenues
from fee-generating assets in relation to their average
volume during the relevant mandate fee billing
period.
Gross margin on invested assets (bps)
– Asset Management
Calculated as total revenues (annualized as applicable)
divided by average invested assets.
This measure provides information about the total
revenues of the business in relation to invested assets.
Impaired loan portfolio as a percentage
of total loan portfolio, gross (%)
– Global Wealth Management,
Personal & Corporate Banking
Calculated as impaired loan portfolio divided by total
gross loan portfolio.
This measure provides information about the
proportion of impaired loan portfolio in the total gross
loan portfolio.
Invested assets (USD and CHF)
– Global Wealth Management,
Personal & Corporate Banking,
Asset Management
Calculated as the sum of managed fund assets,
managed institutional assets, discretionary and
advisory wealth management portfolios, fiduciary
deposits, time deposits, savings accounts, and wealth
management securities or brokerage accounts.
This measure provides information about the volume
of client assets managed by or deposited with UBS for
investment purposes.
Investment products for Personal
Banking (USD and CHF)
Calculated as the sum of investment funds (including
UBS Vitainvest third-pillar pension funds), mandates
and third-party life insurance operated in Personal
Banking.
This measure provides information about the volume
of investment funds (including UBS Vitainvest third-
pillar pension funds), mandates and third-party life
insurance operated in Personal Banking.
Net interest margin (bps)
– Personal & Corporate Banking
Calculated as net interest income (annualized as
applicable) divided by average loans.
This measure provides information about the
profitability of the business by calculating the
difference between the price charged for lending and
the cost of funding, relative to loan value.
Net new fee-generating assets (USD)
– Global Wealth Management
Calculated as the sum of the net amount of fee-
generating asset inflows and outflows, including
dividend and interest inflows into mandates and
outflows from mandate fees paid by clients during a
specific period. Excluded from the calculation are the
effects on fee-generating assets of strategic decisions
by UBS to exit markets or services.
This measure provides information about the
development of fee-generating assets during a
specific period as a result of net flows, excluding
movements due to market performance and foreign
exchange translation, as well as the effects on fee-
generating assets of strategic decisions by UBS to exit
markets or services.
Net new fee-generating asset
growth rate (%)
– Global Wealth Management
Calculated as the sum of the net amount of fee-
generating asset inflows and outflows recorded
during a specific period (annualized as applicable)
divided by total fee-generating assets at the
beginning of the period.
This measure provides information about the growth
of fee-generating assets during a specific period as a
result of net new fee-generating asset flows.
Net new investment products for
Personal Banking (USD and CHF)
– Personal & Corporate Banking
Calculated as the sum of the net amount of inflows
and outflows of investment products during a specific
period.
This measure provides information about the
development of investment products during a specific
period as a result of net new investment product
flows.
UBS AG Second quarter 2022 report |
Appendix
59
APM label
Calculation
Information content
Net new money (USD)
– Global Wealth Management,
Asset Management
Calculated as the sum of the net amount of inflows
and outflows of invested assets (as defined in UBS
policy) recorded during a specific period. Excluded
from the calculation are the effects on invested assets
of strategic decisions by UBS to exit markets or
services. Net new money for Global Wealth
Management is disclosed on an annual basis. Net new
money is not measured for Personal & Corporate
Banking.
This measure provides information about the
development of invested assets during a specific
period as a result of net new money flows and
excludes movements due to market performance,
foreign exchange translation, dividends, interest and
fees, as well as the effects on invested assets of
strategic decisions by UBS to exit markets or services.
Net profit growth (%)
Calculated as the change in net profit attributable to
shareholders from continuing operations between
current and comparison periods divided by net profit
attributable to shareholders from continuing
operations of the comparison period.
This measure provides information about profit
growth since the comparison period.
Pre-tax profit growth (%)
Calculated as the change in net profit before tax
attributable to shareholders from continuing
operations between current and comparison periods
divided by net profit before tax attributable to
shareholders from continuing operations of the
comparison period.
This measure provides information about pre-tax
profit growth since the comparison period.
Recurring net fee income
(USD and CHF)
– Global Wealth Management,
Personal & Corporate Banking
Calculated as the total of fees for services provided on
an ongoing basis, such as portfolio management fees,
asset-based investment fund fees and custody fees,
which are generated on client assets, and
administrative fees for accounts.
This measure provides information about the amount
of recurring net fee income.
Return on attributed equity (%)
Calculated as annualized business division operating
profit before tax divided by average attributed equity.
This measure provides information about the
profitability of the business divisions in relation to
attributed equity.
Return on common equity tier 1
capital (%)
Calculated as annualized net profit attributable to
shareholders divided by average common equity tier 1
capital.
This measure provides information about the
profitability of the business in relation to common
equity tier 1 capital.
Return on equity (%)
Calculated as annualized net profit attributable to
shareholders divided by average equity attributable to
shareholders.
This measure provides information about the
profitability of the business in relation to equity.
Return on leverage ratio denominator,
gross (%)
Calculated as annualized total revenues divided by
average leverage ratio denominator.
This measure provides information about the revenues
of the business in relation to the leverage ratio
denominator.
Return on tangible equity (%)
Calculated as annualized net profit attributable to
shareholders divided by average equity attributable to
shareholders less average goodwill and intangible
assets.
This measure provides information about the
profitability of the business in relation to tangible
equity.
Tangible book value per share
(USD)
Calculated as equity attributable to shareholders less
goodwill and intangible assets divided by the number
of shares outstanding.
This measure provides information about tangible net
assets on a per-share basis.
Total book value per share
(USD)
Calculated as equity attributable to shareholders
divided by the number of shares outstanding.
This measure provides information about net assets
on a per-share basis.
Transaction-based income
(USD and CHF)
– Global Wealth Management,
Personal & Corporate Banking
Calculated as the total of the non-recurring portion of
net fee and commission income, mainly composed of
brokerage and transaction-based investment fund
fees, and credit card fees, as well as fees for payment
and foreign exchange transactions, together with
other net income from financial instruments
measured at fair value through profit or loss.
This measure provides information about the amount
of the non-recurring portion of net fee and
commission income, together with other net income
from financial instruments measured at fair value
through profit or loss.
UBS AG Second quarter 2022 report |
Appendix
60
Abbreviations frequently used in our financial reports
A
ABS
asset
-
backed securities
AGM
Annual General Meeting of
shareholders
A
-
IRB
advanced internal ratings
-
based
AIV
alternative
investment
vehicle
ALCO
Asset and Liability
Committee
AMA
advanced measurement
approach
AML
anti
-
money laundering
AoA
Articles of Association
APM
alternative performance
measure
ARR
alternative reference rate
ARS
auction rate securities
ASF
available stable funding
AT1
additional tier 1
AuM
assets under management
B
BCBS
Basel Committee on
Banking Supervision
BIS
Bank for International
Settlements
BoD
Board of Directors
C
CAO
Capital Adequacy
Ordinance
CCAR
Comprehensive Capital
Analysis and Review
CCF
credit conversion factor
CCP
central counterparty
CCR
counterparty credit risk
CCRC
Corporate Culture and
Responsibility Committee
CDS
credit default swap
CEA
Commodity Exchange Act
CEO
Chief Executive Officer
CET1
common equity tier 1
CFO
Chief Financial Officer
CFTC
US Commodity Futures
Trading Commission
CGU
cash
-
generating unit
CHF
Swiss franc
CIO
Chief Investment Office
CLS
Continuous Linked
Settlement
C&ORC
Compliance & Operational
Risk Control
CRD IV
EU Capital Requirements
Directive of 2013
CRM
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
combined stress test
CUSIP
Committee on Uniform
Security Identification
Procedures
CVA
credit valuation adjustment
D
DBO
defined benefit obligation
DCCP
Deferred Contingent
Capital Plan
DM
discount margin
DOJ
US Department of Justice
DTA
deferred tax asset
DVA
debit valuation adjustment
E
EAD
exposure at default
EB
Executive Board
EC
European Commission
ECB
European Central Bank
ECL
expected credit
loss
EGM
Extraordinary General
Meeting of shareholders
EIR
effective interest rate
EL
expected loss
EMEA
Europe, Middle East and
Africa
EOP
Equity Ownership Plan
EPS
earnings per share
ESG
environmental, social and
governance
ETD
exchange
-
traded derivativ
es
ETF
exchange
-
traded fund
EU
European Union
EUR
euro
EURIBOR
Euro Interbank Offered Rate
ESR
environmental and social
risk
EVE
economic value of equity
EY
Ernst & Young Ltd
F
FA
financial advisor
FCA
UK Financial Conduct
Authority
FCT
foreign currency t
ranslation
FINMA
Swiss Financial Market
Supervisory Authority
FMIA
Swiss Financial Market
Infrastructure Act
FSB
Financial Stability Board
FTA
Swiss Federal Tax
Administration
FVA
funding valuation
adjustment
FVOCI
fair value through other
comprehensive income
FVTPL
fair value through profit or
loss
FX
foreign exchange
G
GAAP
generally accepted
accounting principles
GBP
pound sterling
GCRG
Group Compliance,
Regulatory & Governance
GDP
gross domestic product
GEB
Group Executive Board
GHG
gre
enhouse gas
GIA
Group Internal Audit
GMD
Group Managing Director
GRI
Global Reporting Initiative
G
-
SIB
global systemically
important bank
H
Hong K
ong
Hong Kong Special
SAR
Administrative Region of
the People’s Republic of
China
HQLA
high-quality liquid assets
I
IAS
International Accounting
Standards
IASB
International Accounting
Standards Board
IBOR
interbank offered rate
IFRIC
International Financial
Reporting Interpretations
Committee
IFRS
International Financial
Reporting Standards
IRB
internal ratings
-
based
IRRBB
interest rate risk in the
banking book
ISDA
International Swaps and
Derivatives Association
ISIN
International Securities
Identification Number
UBS AG Second quarter 2022 report |
Appendix
61
Abbreviations frequently used in our financial reports (continued)
K
KRT
Key Risk Taker
L
LAS
liquidity
-
adjusted stress
LCR
liquidity coverage ratio
LGD
loss given default
LIBOR
London Interbank Offered
Rate
LLC
limited liability company
LoD
lines of defense
LRD
leve
rage ratio denominator
LTIP
Long
-
Term Incentive Plan
LTV
loan
-
to
-
value
M
M&A
mergers and acquisitions
MiFID II
Markets in Financial
Instruments Directive II
MRT
Material Risk Taker
N
NAV
net asset value
NII
net interest income
NSFR
net stable
funding ratio
NYSE
New York Stock Exchange
O
OCA
own credit adjustment
OCI
other comprehensive
income
ORF
operational risk framework
OTC
over
-
the
-
counter
P
PD
probability of default
PIT
point in time
P&L
profit or loss
POCI
purchased or
originated
credit-impaired
PRA
UK Prudential Regulation
Authority
PRV
positive replacement value
R
RBA
role
-
based allowance
RBC
risk
-
based capital
RbM
risk
-
based monitoring
REIT
real estate investment trust
RMBS
residential mortgage
-
backed securities
RniV
risks not in VaR
RoCET1
return on CET1 capital
RoTE
return on tangible equity
RoU
right
-
of
-
use
rTSR
relative total shareholder
return
RWA
risk
-
weighted assets
S
SA
standardized approach
SA
-
CCR
standardized approach for
counterparty credit risk
SAR
Special Administrative
Region
SBC
Swiss Bank Corporation
SDG
Sustainable Development
Goal
SE
structured entity
SEC
US Securities and Exchange
Commission
SEEOP
Senior Executive Equity
Ownership Plan
SFT
securities financing
transaction
SI
susta
inable investing or
sustainable investments
SIBOR
Singapore Interbank
Offered Rate
SICR
significant increase in credit
risk
SIX
SIX Swiss Exchange
SME
small and medium
-
sized
entities
SMF
Senior Management
Function
SNB
Swiss National Bank
SOR
Singapore Swap Offer Rate
SPPI
solely payments of principal
and interest
SRB
systemically relevant bank
SRM
specific risk measure
SVaR
stressed value
-
at
-
risk
T
TBTF
too big to fail
TCFD
Task Force on Climate
-
related Financial Disclosures
TIBOR
Tokyo
Interbank Offered
Rate
TLAC
total loss
-
absorbing capacity
U
UoM
units of measure
USD
US dollar
V
VaR
value
-
at
-
risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations
may appear in this particular report.
UBS AG Second quarter 2022 report |
Appendix
62
Information sources
Reporting publications
Annual publications
Annual Report (SAP No. 80531): Published in English, this single-volume report provides descriptions of: our Group
strategy and performance; the strategy and performance of the business divisions and Group Functions; risk,
treasury and capital management; corporate governance, corporate responsibility and our compensation
framework, including information about compensation for the Board of Directors and the Group Executive Board
members; and financial information, including the financial statements.
Geschäftsbericht (SAP No. 80531): This publication provides a German translation of selected sections of our Annual
Report.
Annual Review (SAP No. 80530): This booklet contains key information about our strategy and performance, with
a focus on corporate responsibility at UBS. It is published in English, German, French and Italian.
Compensation Report (SAP No. 82307): This report discusses our compensation framework and provides
information about compensation for the Board of Directors and the Group Executive Board members. It is available
in English and German.
Quarterly publications
The quarterly financial report provides an update on our strategy and performance for the respective quarter. It is
available in English.
How to order publications
The annual and quarterly publications are available in a fully digital and .pdf format at
ubs.com/investors
, under
“Financial information.” Printed copies of our Annual Report (in English) and our Compensation Report (in English
and German), as well as a German translation of selected sections of our Annual Report, can be requested from
UBS free of charge. For annual publications, refer to the “Investor services” section at
ubs.com/investors.
Alternatively, they can be ordered by quoting the SAP number and the language preference, where applicable, from
UBS AG, F4UK–AUL, P.O. Box, CH-8098 Zurich, Switzerland.
Other information
Website
The “Investor Relations” website at
ubs.com/investors
news releases; financial
information, including results
-
related filings with the US Securities and Exchange
Commission (the SEC); information for shareholders, including UBS share price charts, as well as data and dividend
information, and for bondholders; our corporate calendar; and presentations by management for investors and
financial analysts. Information is available online in English, with some information also available in German.
Results presentations
Our quarterly results presentations are webcast live. Recordings of most presentations can be downloaded from
ubs.com/presentations
.
Messaging service
Email alerts to news about UBS can be subscribed for under “UBS News Alert” at
ubs.com/global/en/investor-
relations/contact/investor-services.html
. Messages are sent in English, German, French or Italian, with an option to
select theme preferences for such alerts.
Form 20-F and other submissions to the US Securities and Exchange Commission
We file periodic reports and submit other information about UBS to the SEC. Principal among these filings is the
annual report on Form 20-F, filed pursuant to the US Securities Exchange Act of 1934. The filing of Form 20-F is
structured as a wraparound document. Most sections of the filing can be satisfied by referring to the combined
UBS Group AG and UBS AG annual report. However, there is a small amount of additional information in Form 20-F
that is not presented elsewhere and is particularly targeted at readers in the US. Readers are encouraged to refer
to this additional disclosure. Any document that we file with the SEC is available on the SEC’s website:
sec.gov
.
Refer to
ubs.com/investors
UBS AG Second quarter 2022 report |
Appendix
63
Cautionary Statement Regarding Forward-Looking Statements |
but not limited to management’s outlook for UBS’s financial performance, statements relating to the anticipated effect of transactions and strategic initiatives
on UBS’s business and future development and goals or intentions to achieve climate, sustainability and other social objectives. While these forward-looking
statements represent UBS’s judgments, expectations and objectives concerning the matters described, a number of risks, uncertainties and other important
factors could cause actual developments and results to differ materially from UBS’s expectations. Russia’s invasion of Ukraine has led to heightened volatility
across global markets, to the coordinated implementation of sanctions on Russia and Belarus, Russian and Belarusian entities and nationals, and to heightened
political tensions across the globe. In addition, the war has caused significant population displacement, and if the conflict continues, the scale of disruption will
increase and may come to include wide-scale shortages of vital commodities, including causing food insecurity. The speed of implementation and extent of
sanctions, as well as the uncertainty as to how the situation will develop, may have significant adverse effects on the market and macroeconomic conditions,
including in ways that cannot be anticipated. This creates significantly greater uncertainty about forward-looking statements. Other factors that may affect our
performance and ability to achieve our plans, outlook and other objectives also include, but are not limited to: (i) the degree to which UBS is successful in the
ongoing execution of its strategic plans, including its cost reduction and efficiency initiatives and its ability to manage its levels of risk-weighted assets (RWA) and
leverage ratio denominator (LRD), liquidity coverage ratio and other financial resources, including changes in RWA assets and liabilities arising from higher market
volatility; (ii) the degree to which UBS is successful in implementing changes to its businesses to meet changing market, regulatory and other conditions;
(iii) increased interest rate volatility in major markets; (iv) developments in the macroeconomic climate and in the markets in which UBS operates or to which it is
exposed, including movements in securities prices or liquidity, credit spreads, and currency exchange rates, and the effects of economic conditions, including
increasing inflationary pressures, market developments, and increasing geopolitical tensions, and changes to national trade policies on the financial position or
creditworthiness of UBS’s clients and counterparties, as well as on client sentiment and levels of activity, including the COVID-19 pandemic and the measures
taken to manage it, which have had and may also continue to have a significant adverse effect on global and regional economic activity, including disruptions to
global supply chains and labor market displacements; (v) changes in the availability of capital and funding, including any changes in UBS’s credit spreads and
ratings, as well as availability and cost of funding to meet requirements for debt eligible for total loss-absorbing capacity (TLAC); (vi) changes in central bank
policies or the implementation of financial legislation and regulation in Switzerland, the US, the UK, the European Union and other financial centers that have
imposed, or resulted in, or may do so in the future, more stringent or entity-specific capital, TLAC, leverage ratio, net stable funding ratio, liquidity and funding
requirements, heightened operational resilience requirements, incremental tax requirements, additional levies, limitations on permitted activities, constraints on
remuneration, constraints on transfers of capital and liquidity and sharing of operational costs across the Group or other measures, and the effect these will or
would have on UBS’s business activities; (vii) UBS’s ability to successfully implement resolvability and related regulatory requirements and the potential need to
make further changes to the legal structure or booking model of UBS Group in response to legal and regulatory requirements, or other external developments;
(viii) UBS’s ability to maintain and improve its systems and controls for complying with sanctions in a timely manner and for the detection and prevention of
money laundering to meet evolving regulatory requirements and expectations, in particular in current geopolitical turmoil; (ix) the uncertainty arising from
domestic stresses in certain major economies; (x) changes in UBS’s competitive position, including whether differences in regulatory capital and other requirements
among the major financial centers adversely affect UBS’s ability to compete in certain lines of business; (xi) changes in the standards of conduct applicable to our
businesses that may result from new regulations or new enforcement of existing standards, including measures to impose new and enhanced duties when
interacting with customers and in the execution and handling of customer transactions; (xii) the liability to which UBS may be exposed, or possible constraints or
sanctions that regulatory authorities might impose on UBS, due to litigation, contractual claims and regulatory investigations, including the potential for
disqualification from certain businesses, potentially large fines or monetary penalties, or the loss of licenses or privileges as a result of regulatory or other
governmental sanctions, as well as the effect that litigation, regulatory and similar matters have on the operational risk component of our RWA, as well as the
amount of capital available for return to shareholders; (xiii) the effects on UBS’s cross-border banking business of sanctions, tax or regulatory developments and
of possible changes in UBS’s policies and practices relating to this business; (xiv) UBS’s ability to retain and attract the employees necessary to generate revenues
and to manage, support and control its businesses, which may be affected by competitive factors; (xv) changes in accounting or tax standards or policies, and
determinations or interpretations affecting the recognition of gain or loss, the valuation of goodwill, the recognition of deferred tax assets and other matters;
(xvi) UBS’s ability to implement new technologies and business methods, including digital services and technologies, and ability to successfully compete with both
existing and new financial service providers, some of which may not be regulated to the same extent; (xvii) limitations on the effectiveness of UBS’s internal
processes for risk management, risk control, measurement and modeling, and of financial models generally; (xviii) the occurrence of operational failures, such as
fraud, misconduct, unauthorized trading, financial crime, cyberattacks, data leakage and systems failures, the risk of which is increased with cyberattack threats
from nation states and while COVID-19 control measures require large portions of the staff of both UBS and its service providers to work remotely; (xix) restrictions
on the ability of UBS Group AG to make payments or distributions, including due to restrictions on the ability of its subsidiaries to make loans or distributions,
directly or indirectly, or, in the case of financial difficulties, due to the exercise by FINMA or the regulators of UBS’s operations in other countries of their broad
statutory powers in relation to protective measures, restructuring and liquidation proceedings; (xx) the degree to which changes in regulation, capital or legal
structure, financial results or other factors may affect UBS’s ability to maintain its stated capital return objective; (xxi) uncertainty over the scope of actions that
may be required by UBS, governments and others to achieve goals relating to climate, environmental and social matters, as well as the evolving nature of
underlying science and industry and governmental standards and regulations; and (xxii) the effect that these or other factors or unanticipated events may have
on our reputation and the additional consequences that this may have on our business and performance. The sequence in which the factors above are presented
is not indicative of their likelihood of occurrence or the potential magnitude of their consequences. Our business and financial performance could be affected by
other factors identified in our past and future filings and reports, including those filed with the US Securities and Exchange Commission (the SEC). More detailed
information about those factors is set forth in documents furnished by UBS and filings made by UBS with the SEC, including UBS’s Annual Report on Form 20-F
for the year ended 31 December 2021. UBS is not under any obligation to (and expressly disclaims any obligation to) update or alter its forward-looking
statements, whether as a result of new information, future events, or otherwise.
Rounding |
disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be
derived from numbers presented in related tables, are calculated on a rounded basis.
Tables |
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. Values
that are zero on a rounded basis can be either negative or positive on an actual basis.
UBS AG
P.O. Box, CH-8098 Zurich
P.O. Box, CH-4002 Basel
ubs.com
This Form 6-K is hereby incorporated by reference into (1) each of the registration statements of UBS AG on Form
F-3 (Registration Number 333-263376), and of UBS Group AG on Form S-8 (Registration Numbers 333-200634;
333-200635; 333-200641; 333-200665; 333-215254; 333-215255; 333-228653; 333-230312; and 333-249143), 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 Forms 6-K 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 AG
By: /s/ Ralph Hamers ________________
Name: Ralph Hamers
Title: President of the Executive Board
By: /s/ Sarah Youngwood_____________
Name: Sarah Youngwood
Title: Chief Financial Officer
By: /s/ Christopher Castello____________
Name:
Christopher Castello
Title:
Controller and Chief
Accounting Officer
Date: July 29, 2022