6-K 1 ubsbaselIIIpillar36k1q20.htm ubsbaselIIIpillar36k1q20



UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

_________________

 

FORM 6-K

 

REPORT OF FOREIGN PRIVATE ISSUER

 

PURSUANT TO RULE 13a-16 OR 15d-16 UNDER

THE SECURITIES EXCHANGE ACT OF 1934

 

Date: April 28, 2020

 

 

UBS Group AG

Commission File Number: 1-36764

 

UBS AG

Commission File Number: 1-15060

 

 

(Registrants' Name)

 

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

(Address of principal executive offices)

 

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

 

Form 20-F                         Form 40-F 

 


 

This Form 6-K consists of the Basel III Pillar 3 UBS Group AG First Quarter 2020 Report, which appears immediately following this page.

 

 

 


 

  

 

 

31 March 2020 Pillar 3 report

 

UBS Group and significant regulated subsidiaries and sub-groups

 

 


 

Table of contents

Introduction and basis for preparation

 

UBS Group

6

Section 1

Key metrics

8

Section 2

Risk-weighted assets

12

Section 3

Going and gone concern requirements
and eligible capital

14

Section 4

Leverage ratio

17

Section 5

Liquidity coverage ratio

 

 

Significant regulated subsidiaries and sub-groups

20

Section 1

Introduction

20

Section 2

UBS AG standalone

25

Section 3

UBS Switzerland AG standalone

31

Section 4

UBS Europe SE consolidated

32

Section 5

UBS Americas Holding LLC consolidated

 

 

 

Appendix

33

Abbreviations frequently used in our financial reports

35

Cautionary statement

 

 

 

       

 

 
Contacts


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+41-44-235 6652

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UBS’s Shareholder Services team,
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Shareholder website:
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Imprint

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

© UBS 2020. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.

  

 


 

Introduction and basis for preparation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Terms used in this report, unless the context requires otherwise

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

UBS Group AG and its consolidated subsidiaries

“UBS AG consolidated”

UBS AG and its consolidated subsidiaries

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

UBS Group AG on a standalone basis

“UBS AG” and “UBS AG standalone”

UBS AG on a standalone basis

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

UBS Switzerland AG on a standalone basis

“UBS Europe SE consolidated”

UBS Europe SE and its consolidated subsidiaries

“UBS Americas Holding LLC” and

“UBS Americas Holding LLC consolidated”

UBS Americas Holding LLC and its consolidated subsidiaries

 

 


Introduction and basis for preparation 

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

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

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

As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 31 March 2020 for UBS Group AG consolidated is provided in the “Capital management” section of our first quarter report and for UBS AG consolidated in the “Capital management” section of the UBS AG first quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors.  

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

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

This Pillar 3 report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1, “Disclosure – banks”) as revised on 31 October 2019, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.


COVID-19 temporary regulatory measures

The Swiss Federal Council has established a loan guarantee scheme of up to CHF 40 billion, increased from the initially announced amount of up to CHF 20 billion, to support small and medium-sized Swiss companies suffering from substantial reductions in revenue due to the current COVID-19 pandemic. Affected companies can apply through their banks for emergency loans amounting to a maximum of 10% of their annual turnover, with a ceiling of CHF 20 million. Loans up to CHF 0.5 million are 100% guaranteed by the Swiss government and carry a 0% interest rate. Loans of between CHF 0.5 million and CHF 20 million are 85% government-guaranteed; for these loans the portion that is guaranteed by the government carries a 0.5% interest rate and banks are free to determine the interest rate for the remaining portion.

To support the lending capacity of banks, the Swiss Federal Council has deactivated the countercyclical buffer on residential real estate loans at the request of the Swiss National Bank (the SNB) and several other countries similarly reduced their countercyclical buffers. This led to a reduction of 29 basis points of UBS’s common equity tier 1 (CET1) capital requirement, with no impact on UBS’s capital ratios.

Banks that have model-based market risk RWA calculations, such as UBS, are experiencing an increased number of backtesting exceptions driven by the higher volatility in the markets. These exceptions could ultimately result in higher bank-specific minimum capital requirements. FINMA has introduced a temporary exemption, freezing the number of backtesting exceptions from 1 February 2020 until 1 July 2020. As of 31 March 2020, we did not benefit from this measure, as the number of backtesting exceptions we experienced would not have led to an increase in market risk RWA.

In addition, FINMA has permitted banks to temporarily exclude central bank sight deposits from the leverage ratio denominator (LRD) for the purpose of calculating going concern ratios. This exemption applies until 1 July 2020 and may be extended. Applicable dividends or similar distributions approved by shareholders after 25 March 2020 reduce the relief by the LRD equivalent of the capital distribution.

As of 31 March 2020, these exclusions resulted in a temporary reduction of our LRD for going concern requirement purposes of USD 78 billion. Given our existing buffers to capital requirements and the temporary nature of this measure, this had no impact on our capacity to provide funding to our clients or the Swiss economy.

 

2 


 

Regulators in key jurisdictions outside of Switzerland have taken measures intended to encourage banks to take an accommodative stance when dealing with customers facing financial stress, and also to support liquidity in markets. These measures include temporary relaxation of capital buffer and Pillar 2 capital requirements, temporary modifications to the LRD and the establishment of special lending or financing facilities.

Furthermore, the Basel Committee on Banking Supervision (the BCBS) has delayed the implementation deadline of Basel III rules by one year, to 1 January 2023. The accompanying transitional arrangement for the output floor has also been extended by one year, to 1 January 2028. These measures had no impact on UBS's capital position.

®   Refer to the “UBS Group AG consolidated” section of this report for more information about the effects of the temporary exemption granted by FINMA in connection with COVID-19

®   Refer to the “UBS AG standalone” section of this report for more information about the effects of the temporary exemption granted by FINMA in connection with COVID-19

®   Refer to the “UBS Switzerland AG standalone” section of this report for more information about the effects of the temporary exemption granted by FINMA in connection with COVID-19

Revised FINMA circular on credit risk

Effective 1 January 2020, we have adopted the standardized approach for counterparty credit risk (SA-CCR). SA-CCR is a comprehensive, non-modeled approach for measuring counterparty credit risk associated with over-the-counter derivatives, exchange-traded derivatives and long settlement transactions that replaces the current exposure method (CEM).


In addition, we have implemented the FINMA revisions to the capital treatment concerning UBS’s exposures to central counterparties, which mainly include a single approach for calculating capital requirements for exposures arising from UBS’s contributions to the mutualized default fund resources of a qualifying central counterparty (a QCCP), and the specific guidance regarding multi-level client structures where UBS clears its trades through intermediaries linked to a central counterparty.

We also adopted the capital requirements for investments in funds in the banking book detailed in FINMA Circular 2017/7 “Credit risk – banks” whereby investments in funds that are held in the banking book are consistently treated with one of the following three approaches, which vary in their degree of risk sensitivity and conservatism: the “look-through approach,” the “mandate-based approach” or the “fallback approach.”

Gone concern capital requirements for UBS AG standalone and UBS Switzerland AG

Effective 1 January 2020, UBS AG standalone is subject to the gone concern capital requirements for Switzerland-based intermediate parent banks of global systemically important banks (G-SIBs) on a standalone basis, as stipulated in the revised Capital Adequacy Ordinance issued in November 2019. We have implemented the necessary disclosure in this report, as agreed with FINMA.

UBS Switzerland AG is subject to a lower gone concern requirement effective 1 January 2020, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions) as outlined in the revised Capital Adequacy Ordinance.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7 and 8 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors.  

In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 December 2019 for disclosures required on a quarterly basis. Where specifically required by FINMA and/or the BCBS, we disclose comparative information for additional reporting dates.

  

3 


 

 


 

UBS Group

 


UBS Group 

Section 1  Key metrics

Key metrics of the first quarter of 2020

The KM1 and KM2 tables on the next page are based on Basel Committee on Banking Supervision (BCBS) Basel III rules; however, they do not reflect the effects of the temporary exemption of central bank sight deposits for leverage ratio calculation granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (the FSB). The FSB provides this term sheet at www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet

During the first quarter of 2020, our common equity tier 1 (CET1) capital increased by USD 1.1 billion to USD 36.7 billion, mainly as a result of operating profit before tax and compensation- and own shares-related capital components, partly offset by share repurchases under our share repurchase program, accruals for capital returns to shareholders, defined benefit plans, current tax expense and foreign currency translation effects.

®   Refer to “UBS shares” in the “Capital management” section of our first quarter 2020 report for more information about the share repurchase program

®   Refer to the “Introduction and basis for preparation” section of this report for more information about the COVID-19-related temporary regulatory measures, and to “Effects of the application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital“ section of this report for additional information

 

Tier 1 capital remained stable at USD 51.9 billion as the aforementioned CET1 increase was mostly offset by a net decrease of USD 1.1 billion in additional tier 1 (AT1) instruments, which was primarily due to the call of a USD 1.25 billion loss-absorbing AT1 instrument denominated in US dollars. The TLAC
available as of 31 March 2020 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes is measured at the lower of cost or market value. This amount was negligible as of 31 March 2020, but is included as available TLAC in the KM2 table in this section.

Our available TLAC increased by USD 4.1 billion to USD 93.7 billion, mainly reflecting new issuances of two external TLAC instruments amounting to USD 1.8 billion, an increase in the eligibility of two external TLAC instruments of USD 1.5 billion due to the removal of the 50% haircut in their last year of eligibility under the Swiss SRB framework (as a national discretion item), as well as interest rate risk hedge, foreign currency translation and other effects.

Risk-weighted assets (RWA) increased by USD 27.0 billion to USD 286.3 billion, mainly due to increases in credit risk and market risk RWA from client-driven increases and higher market volatility. The leverage ratio exposure increased by USD 45 billion to USD 956 billion, reflecting increases in on-balance sheet exposures, derivative exposures and securities financing transactions (SFTs).

The liquidity coverage ratio (LCR) increase was primarily driven by higher average high-quality liquid asset (HQLA) balances due to lower funding consumption by the business divisions and higher customer deposit balances in Global Wealth Management. In addition, average net cash outflows decreased, due to a reduction in secured financing transactions and increased average inflows from customer lending, which have been partially offset by increased average outflows from customer deposits.

  

 

 

6 


 

KM1: Key metrics

 

 

 

 

 

 

USD million, except where indicated

 

 

 

 

31.3.20

31.12.19

30.9.19

30.6.19

31.3.19

Available capital (amounts)

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 36,691 

 35,582 

 34,673 

 34,948 

 34,658 

1a

Fully loaded ECL accounting model CET11

 

 36,656 

 35,538 

 34,635 

 34,904 

 34,613 

2

Tier 1

 

 51,916 

 51,888 

 50,702 

 49,993 

 49,436 

2a

Fully loaded ECL accounting model Tier 11

 

 51,882 

 51,844 

 50,664 

 49,949 

 49,391 

3

Total capital

 

 57,784 

 57,614 

 56,396 

 56,345 

 56,148 

3a

Fully loaded ECL accounting model total capital1

 

 57,750 

 57,570 

 56,358 

 56,302 

 56,103 

Risk-weighted assets (amounts)

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 286,256 

 259,208 

 264,626 

 262,135 

 267,556 

4a

Minimum capital requirement2

 

 22,901 

 20,737 

 21,170 

 20,971 

 21,404 

4b

Total risk-weighted assets (pre-floor)

 

 286,256 

 259,208 

 264,626 

 262,135 

 267,556 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 12.82 

 13.73 

 13.10 

 13.33 

 12.95 

5a

Fully loaded ECL accounting model Common equity tier 1 ratio (%)1

 

 12.81 

 13.71 

 13.09 

 13.32 

 12.94 

6

Tier 1 ratio (%)

 

 18.14 

 20.02 

 19.16 

 19.07 

 18.48 

6a

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

 

 18.12 

 20.00 

 19.15 

 19.05 

 18.46 

7

Total capital ratio (%)

 

 20.19 

 22.23 

 21.31 

 21.49 

 20.99 

7a

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

 

 20.17 

 22.21 

 21.30 

 21.48 

 20.97 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

8

Capital conservation buffer requirement (2.5% from 2019) (%)

 

 2.50 

 2.50 

 2.50 

 2.50 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.02 

 0.08 

 0.10 

 0.09 

 0.10 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 0.00 

 0.23 

 0.21 

 0.22 

 0.21 

10

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

 

 1.00 

 1.00 

 1.00 

 1.00 

 1.00 

11

Total of bank CET1-specific buffer requirements (%)

 

 3.52 

 3.58 

 3.60 

 3.59 

 3.60 

12

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

 

 8.32 

 9.23 

 8.60 

 8.83 

 8.45 

Basel III leverage ratio

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 955,932 

 911,325 

 901,914 

 911,379 

 910,993 

14

Basel III leverage ratio (%)

 

 5.43 

 5.69 

 5.62 

 5.49 

 5.43 

14a

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

 

 5.43 

 5.69 

 5.62 

 5.48 

 5.42 

Liquidity coverage ratio3

 

 

 

 

 

 

15

Total HQLA

 

 170,630 

 166,215 

 167,916 

 176,173 

 186,038 

16

Total net cash outflow

 

 122,383 

 124,112 

 122,025 

 121,314 

 121,521 

17

LCR (%)

 

 139 

 134 

 138 

 145 

 153 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in section 5 of this report for more information.

  

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

USD million, except where indicated

 

 

 

 

 

 

 

 

 

 

 

 

31.3.20

 

31.12.19

 

30.9.19

 

30.6.19

 

31.3.19

1

Total loss-absorbing capacity (TLAC) available

 

 93,718 

 

 89,660 

 

 88,197 

 

 87,388 

 

 87,477 

1a

Fully loaded ECL accounting model TLAC available2

 

 93,684 

 

 89,616 

 

 88,159 

 

 87,344 

 

 87,433 

2

Total RWA at the level of the resolution group

 

 286,256 

 

 259,208 

 

 264,626 

 

 262,135 

 

 267,556 

3

TLAC as a percentage of RWA (%)

 

 32.74 

 

 34.59 

 

 33.33 

 

 33.34 

 

 32.69 

3a

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

 

 32.73 

 

 34.57 

 

 33.31 

 

 33.32 

 

 32.68 

4

Leverage ratio exposure measure at the level of the resolution group

 

 955,932 

 

 911,325 

 

 901,914 

 

 911,379 

 

 910,993 

5

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

 

 9.80 

 

 9.84 

 

 9.78 

 

 9.59 

 

 9.60 

5a

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

 

 9.80 

 

 9.83 

 

 9.77 

 

 9.58 

 

 9.60 

6a

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

 

No

6b

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

 

No

6c

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

 

N/A – Refer to our response to 6b.

1 Resolution group level is defined as the UBS Group AG consolidated level.    2 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”

7 


UBS Group 

 

Section 2  Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

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

For information about the measurement of risk exposures and RWA, refer to pages 12–14 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors

RWA development in the first quarter of 2020

The OV1 table on the next page provides an overview of our RWA and the related minimum capital requirements by risk type. The FINMA template includes rows that are currently not applicable to UBS and therefore have been left empty.

During the first quarter of 2020, RWA increased by USD 27.0 billion to USD 286.3 billion, mainly reflecting increases in credit
risk RWA of USD 9.0 billion, market risk RWA of USD 8.5 billion, counterparty credit risk (CCR) RWA of USD 5.2 billion and credit valuation adjustment RWA of USD 2 billion. Fund investment related RWA for the first quarter of 2020 are newly calculated based on revised capital requirements, reflecting an implementation impact of USD 0.6 billion.

Credit risk RWA under the standardized approach increased by USD 1.8 billion, mainly due to higher exposures in the Investment Bank. Standardized RWAs for counterparty credit risk increased by USD 2.6 billion, mainly in the Investment Bank and in Global Wealth Management, primarily driven by the revised methodology for the calculation of exposure at default on derivatives (SA-CCR) and due to increased trading volumes and market volatility during the period. Other CCR RWA increased by USD 1.2 billion, mainly driven by higher exposures in our agency lending business and margin loans. The increase in credit valuation adjustment RWA of USD 2 billion was primarily due to increased trading volumes and market volatility during the period, as well as the revised methodology for the calculation of exposure at default on derivatives (SA-CCR).

The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the first quarter of 2020. More information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2020, is provided on pages 50–51  in the “Capital management” section of our first quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors

 

 

8 


 

OV1: Overview of RWA

USD million

 

RWA

 

Minimum capital requirements1

 

 

31.3.20

31.12.19

 

31.3.20

1

Credit risk (excluding counterparty credit risk)

 

 130,236 

 121,244 

 

 10,419 

2

of which: standardized approach (SA)

 

 30,159 

 28,386 

 

 2,413 

2a

  of which: non-counterparty-related risk

 

 13,061 

 13,135 

 

 1,045 

3

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

 

 

 

 

 

4

of which: supervisory slotting approach

 

 

 

 

 

5

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

 

 100,076 

 92,858 

 

 8,006 

6

Counterparty credit risk2

 

 41,560 

 36,354 

 

 3,325 

7

of which: SA for counterparty credit risk (SA-CCR)3

 

 7,254 

 4,699 

 

 580 

8

of which: internal model method (IMM)

 

 20,582 

 20,275 

 

 1,647 

8a

of which: value-at-risk (VaR)

 

 6,663 

 5,502 

 

 533 

9

of which: other CCR

 

 7,061 

 5,879 

 

 565 

10

Credit valuation adjustment (CVA)

 

 3,889 

 1,900 

 

 311 

11

Equity positions under the simple risk weight approach4

 

 3,136 

 3,261 

 

 251 

12

Equity investments in funds – look-through approach5

 

 671 

 

 

 54 

13

Equity investments in funds – mandate-based approach5

 

 735 

 

 

 59 

14

Equity investments in funds – fallback approach5

 

 110 

 

 

 9 

15

Settlement risk

 

 1,201 

 357 

 

 96 

16

Securitization exposures in banking book

 

 607 

 633 

 

 49 

17

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

 

 

 

 

 

18

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

 

 574 

 598 

 

 46 

19

of which securitization standardized approach (SEC-SA)

 

 33 

 35 

 

 3 

20

Market Risk

 

 15,096 

 6,556 

 

 1,208 

21

of which: standardized approach (SA)

 

 449 

 419 

 

 36 

22

of which: internal model approaches (IMM)

 

 14,647 

 6,137 

 

 1,172 

23

Capital charge for switch between trading book and banking book6

 

 

 

 

 

24

Operational risk

 

 77,542 

 77,542 

 

 6,203 

25

Amounts below thresholds for deduction (250% risk weight)7

 

 11,473 

 11,361 

 

 918 

25a

 of which: Deferred tax assets

 

 8,705 

 8,951 

 

 696 

26

Floor adjustment8

 

 

 

 

 

27

Total

 

 286,256 

 259,208 

 

 22,901 

1 Calculated based on 8% of RWA.    2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure.    3 Calculated in accordance with the standardized approach for counterparty credit risk (SA-CCR) from 1 January 2020 onward, whereas periods prior to 2020 were calculated in accordance with the current exposure method (CEM).    4 Comparative period prior to 2020 includes investments in funds calculated based on the simple risk-weight approach, whereas from 1 January 2020 onward investments in funds are disclosed in rows 12, 13, and 14 based on the new regulation for investments in funds risk-weighting.    5 First-time disclosure based on the new regulation for investments in funds risk-weighting, which was implemented on 1 January 2020. Prior periods have not been restated for this change.    6 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book).    7 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk weighted at 250%. Such items subject to threshold deduction treatment are significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences.    8 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, do not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions. For the status of the finalization of the Basel III capital framework, refer to the “Regulatory and legal developments” section of our Annual Report 2019, which outlines how the proposed floor calculation would differ in significant aspects from the current approach.

   

9 


UBS Group 

Credit risk RWA development in the first quarter of 2020

Credit risk RWA under the advanced internal ratings-based
(A-IRB) approach increased by USD 7.2 billion to USD 100.1 billion as of 31 March 2020.

The RWA increase from asset size movements of USD 7.5 billion was predominantly due to client-driven increases in loans and unutilized credit facilities, primarily in our Investment Bank.


The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2020 across movement categories defined by BCBS. These categories are described on page 50 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors

 

CR8: RWA flow statements of credit risk exposures under IRB

USD million

RWA

1

RWA as of 31.12.19

 92,858 

2

Asset size

 7,543 

3

Asset quality

 (241) 

4

Model updates

 

5

Methodology and policy

 60 

5a

of which: regulatory add-ons

 60 

6

Acquisitions and disposals

 

7

Foreign exchange movements

 (144) 

8

Other

 

9

RWA as of 31.3.20

 100,076 

 

 

Counterparty credit risk RWA development in the first quarter of 2020

Counterparty credit risk RWA under the internal model method (IMM) increased by USD 0.3 billion to USD 20.6 billion during the first quarter of 2020, primarily due to increased business activity in equity swaps and foreign currency trades in the Investment Bank’s Global Markets business partially offset by a
decrease in RWA of USD 0.4 billion as a result of improved credit quality of counterparties.

Counterparty credit risk RWA under value-at-risk (VaR) increased by USD 1.2 billion to USD 6.7 billion, mainly driven by higher prime brokerage receivables and increased volume of securities financing transactions in the Investment Bank and Group Functions.

 

CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)

 

 

 

 

 

Derivatives

 

SFTs

 

Total

USD million

 

Subject to IMM

 

Subject to VaR

 

 

1

RWA as of 31.12.19

 

 20,275 

 

 5,502 

 

 25,777 

2

Asset size

 

 1,091 

 

 1,421 

 

 2,511 

3

Credit quality of counterparties

 

 (434) 

 

 (180) 

 

 (614) 

4

Model updates

 

 (133) 

 

 

 

 (133) 

5

Methodology and policy

 

 

 

 

 

 

5a

of which: regulatory add-ons

 

 

 

 

 

 

6

Acquisitions and disposals

 

 

 

 

 

 

7

Foreign exchange movements

 

 (217) 

 

 (79) 

 

 (296) 

8

Other

 

 

 

 

 

 

9

RWA as of 31.3.20

 

 20,582 

 

 6,663 

 

 27,245 

 

10 


 

Market risk RWA development in the first quarter of 2020

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

The MR2 table below provides a breakdown of the market risk RWA under an internal models approach movement in the first quarter of 2020 across these components, according to the movement categories defined by the BCBS. These categories are described on page 81 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors


Market risk RWA under an internal models approach increased by USD 8.5 billion to USD 14.6 billion in the first quarter of 2020, driven by higher average regulatory VaR and SVaR levels, mainly driven by the Investment Bank’s Global Markets business due to unprecedented and sharp market moves across asset classes. This was partially offset by a decrease related to the ongoing parameter update of the VaR model.

The VaR multiplier remained unchanged, at 3, compared with the fourth quarter of 2019.

 

 

MR2: RWA flow statements of market risk exposures under an internal models approach1

USD million

VaR

Stressed VaR

IRC

CRM

Other

Total RWA

1

RWA as of 31.12.19

 901 

 4,012 

 1,224 

 

 

 6,137 

1a

Regulatory adjustment

 (382) 

 (2,500) 

 0 

 

 

 (2,882) 

1b

RWA at previous quarter-end (end of day)

 519 

 1,512 

 1,224 

 

 

 3,255 

2

Movement in risk levels

 1,410 

 1,981 

 (368) 

 

 

 3,023 

3

Model updates / changes

 866 

 (723) 

 98 

 

 

 241 

4

Methodology and policy

 0 

 0 

 0 

 

 

 0 

5

Acquisitions and disposals

 0 

 0 

 0 

 

 

 0 

6

Foreign exchange movements

 0 

 0 

 0 

 

 

 0 

7

Other

 (256) 

 (217) 

 0 

 

 

 (473) 

8a

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

 2,539 

 2,552 

 954 

 

 

 6,045 

8b

Regulatory adjustment

 1,247 

 7,052 

 304 

 

 

 8,602 

8c

RWA as of 31.3.20

 3,786 

 9,604 

 1,258 

 

 

 14,647 

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

 

  

11 


UBS Group 

Section 3  Going and gone concern requirements and eligible capital

As of 1 January 2020, we have fully phased in the going and gone concern requirements according to the Swiss Capital Adequacy Ordinance (CAO) that includes the too-big-to-fail provisions applicable to Swiss SRBs, which became effective on 1 July 2016 and were subject to phasing in until 1 January 2020. The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA); however, it does not reflect the effects of the temporary exemption of central bank sight deposits for going concern leverage ratio calculation granted by FINMA on 25 March 2020 in connection with COVID-19. The respective effect is presented on the next page. More information about capital management is provided on pages 43–53 in the “Capital management” section of our first quarter 2020 report, available under “Quarterly reporting” at www.ubs.com/investors

 

Swiss SRB going and gone concern requirements and information

As of 31.3.20

 

RWA

 

LRD1

USD million, except where indicated

 

in %

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

Total going concern capital

 

 13.962

 39,949 

 

 4.882

 46,602 

Common equity tier 1 capital

 

 9.66 

 27,640 

 

 3.38 

 32,263 

of which: minimum capital

 

 4.50 

 12,882 

 

 1.50 

 14,339 

of which: buffer capital

 

 5.14 

 14,714 

 

 1.88 

 17,924 

of which: countercyclical buffer3

 

 0.02 

 45 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 12,309 

 

 1.50 

 14,339 

of which: additional tier 1 capital

 

 3.50 

 10,019 

 

 1.50 

 14,339 

of which: additional tier 1 buffer capital

 

 0.80 

 2,290 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

Total going concern capital

 

 18.14 

 51,916 

 

 5.43 

 51,916 

Common equity tier 1 capital

 

 12.82 

 36,691 

 

 3.84 

 36,691 

Total loss-absorbing additional tier 1 capital4

 

 5.32 

 15,225 

 

 1.59 

 15,225 

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

 

 4.46 

 12,761 

 

 1.33 

 12,761 

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

 

 0.86 

 2,464 

 

 0.26 

 2,464 

 

 

 

 

 

 

 

Required gone concern capital5

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 10.44 

 29,899 

 

 3.71 

 35,476 

of which: base requirement

 

 12.86 

 36,813 

 

 4.50 

 43,017 

of which: additional requirement for market share and LRD

 

 1.08 

 3,092 

 

 0.38 

 3,585 

of which: applicable reduction on requirements

 

 (3.50) 

 (10,005) 

 

 (1.16) 

 (11,126) 

of which: rebate granted (equivalent to 42.5% of maximum rebate)

 

 (2.27) 

 (6,497) 

 

 (0.80) 

 (7,618) 

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

 

 (1.23) 

 (3,508) 

 

 (0.37) 

 (3,508) 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 14.57 

 41,704 

 

 4.36 

 41,704 

Total tier 2 capital

 

 2.64 

 7,551 

 

 0.79 

 7,551 

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

 

 2.45 

 7,017 

 

 0.73 

 7,017 

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

 

 0.19 

 534 

 

 0.06 

 534 

TLAC-eligible senior unsecured debt

 

 11.93 

 34,153 

 

 3.57 

 34,153 

 

 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

 

 

 

Required total loss-absorbing capacity

 

 24.40 

 69,848 

 

 8.59 

 82,077 

Eligible total loss-absorbing capacity

 

 32.71 

 93,620 

 

 9.79 

 93,620 

1 LRD-based requirements presented in this table exclude the effects of the temporary exemption granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section of this report for more information.    2 Includes applicable add-ons of 1.08% for RWA and 0.375% for LRD.    3 Reflects the countercyclical buffer (CCyB) requirement for Hong Kong and Luxembourg. The CCyBs of Switzerland and other countries have been deactivated or reduced in the first quarter of 2020, resulting in a temporary reduction of the capital requirement by 29 basis points compared with 31 December 2019.    4 Includes outstanding low-trigger loss-absorbing additional tier 1 (AT1) capital instruments, which are available under the Swiss SRB framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements.    5 From 1 January 2020 onward, 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.

 

12 


 

Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits

In line with the FINMA exemption rules that apply until 1 July 2020 and may be extended, the eligible leverage ratio denominator (LRD) relief applicable to UBS is reduced by the going concern LRD equivalent of the capital distribution that UBS plans to make after 25 March 2020. The table below summarizes the effects on our Swiss SRB going concern capital requirements and information. The FINMA exemption rules have no effect on our Swiss SRB gone concern capital requirements and ratios.


Outside of this section of this report, for simplicity and due to the short-term nature of the FINMA exemption, we have chosen to present LRD excluding the temporary FINMA exemption.

The LRD after the aforementioned temporary FINMA exemption under BCBS rules is identical to the Swiss SRB number presented in the table below. The BCBS Basel III leverage ratio was 5.92% after considering the temporary FINMA exemption.


  

Swiss SRB going concern requirements and information including temporary FINMA exemption

As of 31.3.20

 

LRD

USD million, except where indicated

 

in %

 

 

 

 

 

Leverage ratio denominator before temporary exemption

 

 

 955,932 

Effective relief

 

 

 (78,469) 

of which: central bank sight deposits eligible for relief

 

 

 (132,377) 

of which: reduction of relief due to planned dividend distribution1

 

 

 53,908 

Leverage ratio denominator after temporary exemption

 

 

 877,463 

 

 

 

 

Required going concern capital

 

 

 

Total going concern capital

 

 4.88 

 42,776 

Common equity tier 1 capital

 

 3.38 

 29,614 

 

 

 

 

Eligible going concern capital

 

 

 

Total going concern capital

 

 5.92 

 51,916 

Common equity tier 1 capital

 

 4.18 

 36,691 

1 Represents the leverage ratio denominator equivalent to a 4.875% going concern leverage ratio requirement applied to the planned 2019 dividend of USD 2,628 million, which includes the proposed first installment of the 2019 dividend (USD 0.365 per share, to be paid on 7 May 2020, subject to shareholder approval) and the special dividend of USD 0.365 per share (planned to be paid after EGM to be held on 19 November 2020).

13 


UBS Group 

Section 4  Leverage ratio

Basel III leverage ratio

The Basel Committee on Banking Supervision (BCBS) leverage ratio is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (LRD), as summarized in the table below. The LRD presented below does not reflect the effects of the temporary exemption related to the central bank sight deposit exclusion for leverage ratio calculation granted by
the Swiss Financial Market Supervisory Authority (FINMA) on 25 March 2020 in connection with COVID-19. The effects of the

temporary exemption granted by FINMA in connection with COVID-19 are presented in the “Going and gone concern requirements and eligible capital“ section of this report.

®   Refer to the “Introduction and basis for preparation” section of this report for more information about the COVID-19-related temporary regulatory measures

 

 

BCBS Basel III leverage ratio

 

 

 

 

 

USD million, except where indicated

31.3.20

31.12.19

30.9.19

30.6.19

31.3.19

Total tier 1 capital

 51,916 

 51,888 

 50,702 

 49,993 

 49,436 

BCBS total exposures (leverage ratio denominator)

 955,932 

 911,325 

 901,914 

 911,379 

 910,993 

BCBS Basel III leverage ratio (%)

 5.4 

 5.7 

 5.6 

 5.5 

 5.4 

 

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

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

Difference between the Swiss SRB and BCBS leverage ratio

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

 

14 


 

The tables presented below and on the next page do not reflect the effects of the temporary exemption related to the central bank sight deposit exclusion for the leverage ratio calculation granted by FINMA on 25 March 2020 in connection with COVID-19. The effects of the temporary exemption granted by FINMA in connection with COVID-19 are presented in the “Going and gone concern requirements and eligible capital“ section of this report.

®   Refer to the “Introduction and basis for preparation” section of this report for more information about the COVID-19-related temporary regulatory measures

 

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

USD million

31.3.20

31.12.19

On-balance sheet exposures

 

 

IFRS total assets

 1,098,099 

 972,183 

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

 (23,285) 

 (28,281) 

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

 

 

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

 

 

Less carrying amount of derivative financial instruments in IFRS total assets1

 (252,537) 

 (145,141) 

Less carrying amount of securities financing transactions in IFRS total assets2

 (117,778) 

 (108,471) 

Adjustments to accounting values

 

 

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

 704,500 

 690,291 

Asset amounts deducted in determining BCBS Basel III tier 1 capital

 (13,084) 

 (13,284) 

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

 691,415 

 677,007 

1 Consists of derivative financial instruments and cash collateral receivables on derivative instruments in accordance with the regulatory scope of consolidation.    2 Consists of receivables from securities financing transactions, margin loans, prime brokerage receivables and financial assets at fair value not held for trading related to securities financing transactions in accordance with the regulatory scope of consolidation.

 

 

LR1: BCBS Basel III leverage ratio summary comparison

 

 

USD million

31.3.20

31.12.19

1

Total consolidated assets as per published financial statements

 1,098,099 

 972,183 

2

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

 (36,370) 

 (41,565) 

3

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

 

 

4

Adjustments for derivative financial instruments

 (145,801) 

 (56,179) 

5

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

 10,118 

 8,984 

6

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

 29,885 

 27,902 

7

Other adjustments

 

 

8

Leverage ratio exposure (leverage ratio denominator)

 955,932 

 911,325 

1 Includes assets that are deducted from tier 1 capital.

 

15 


UBS Group 

During the first quarter of 2020, LRD increased by USD 45 billion to USD 956 billion. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 14 billion, mainly driven by higher cash and balances with central banks and an increase in lending, partly offset by reductions in trading assets. Derivative exposures increased by USD 18 billion, reflecting market-driven movements on equity and foreign exchange contracts as well as higher collateral placed with counterparties and exchanges. SFTs increased by USD 10 billion as a result of an increase in borrowing activities, collateral sourcing and cash reinvestment.

®   Refer to the “Introduction and basis for preparation” section of this report for more information about the COVID-19-related temporary regulatory measures, and to “Application of the temporary COVID-19-related FINMA exemption of central bank sight deposits” in the “Going and gone concern requirements and eligible capital“ section of this report for additional information

                                                                                                                  

LR2: BCBS Basel III leverage ratio common disclosure

 

 

USD million, except where indicated

31.3.20

31.12.19

 

 

 

 

 

On-balance sheet exposures

 

 

1

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

 704,500 

 690,291 

2

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

 (13,084) 

 (13,284) 

3

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

 691,415 

 677,007 

 

 

 

 

 

Derivative exposures

 

 

4

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

 65,769 

 38,253 

5

Add-on amounts for PFE associated with all derivatives transactions

 77,082 

 81,484 

6

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

 0 

 0 

7

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

 (20,839) 

 (14,700) 

8

(Exempted CCP leg of client-cleared trade exposures)

 (16,227) 

 (18,401) 

9

Adjusted effective notional amount of all written credit derivatives1

 75,646 

 66,707 

10

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

 (74,695) 

 (64,382) 

11

Total derivative exposures

 106,736 

 88,961 

 

 

 

 

 

Securities financing transaction exposures

 

 

12

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

 228,572 

 200,010 

13

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

 (110,794) 

 (91,539) 

14

CCR exposure for SFT assets

 10,118 

 8,984 

15

Agent transaction exposures

 

 

16

Total securities financing transaction exposures

 127,896 

 117,455 

 

 

 

 

 

Other off-balance sheet exposures

 

 

17

Off-balance sheet exposure at gross notional amount

 90,163 

 86,627 

18

(Adjustments for conversion to credit equivalent amounts)

 (60,277) 

 (58,725) 

19

Total off-balance sheet items

 29,885 

 27,902 

 

Total exposures (leverage ratio denominator)

 955,932 

 911,325 

 

 

 

 

 

Capital and total exposures (leverage ratio denominator)

 

 

20

Tier 1 capital

 51,916 

 51,888 

21

Total exposures (leverage ratio denominator)

 955,932 

 911,325 

 

 

 

 

 

Leverage ratio

 

 

22

Basel III leverage ratio (%)

 5.4 

 5.7 

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

 

  

16 


 

 

Section 5  Liquidity coverage ratio

Liquidity coverage ratio

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

 

Pillar 3 disclosure requirement

 

Quarterly Report 2020 section

 

Disclosure

 

First quarter 2020 report

 

 

 

 

 

 

 

 

Concentration of funding sources

 

Treasury management

 

Liabilities by product and currency

 

42

Currency mismatch in the LCR

 

Treasury management

 

Liquidity coverage ratio

 

39

 

 

High-quality liquid assets

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

 

 

High-quality liquid assets

 

 

 

 

 

 

Average 1Q201

 

Average 4Q191

USD billion

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

 

Level 1

weighted

liquidity

value2

Level 2

weighted

liquidity

value2

Total

weighted

liquidity

value2

Cash balances3

 

 106 

 

 106 

 

 100 

 

 100 

Securities (on- and off-balance sheet)

 

 48 

 17 

 65 

 

 52 

 14 

 66 

Total high-quality liquid assets4

 

 154 

 17 

 171 

 

 152 

 14 

 166 

1 Calculated based on an average of 63 data points in the first quarter of 2020 and 64 data points in the fourth quarter of 2019.    2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets.    3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.    4 Calculated in accordance with FINMA requirements.

 

 

17 


UBS Group 

Liquidity coverage ratio

In the first quarter of 2020, the UBS Group LCR increased 5 percentage points to 139%, remaining above the 110% Group LCR requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The LCR increase was primarily driven by higher average HQLA balances due to lower funding consumption by the business divisions and higher customer deposit balances in Global Wealth Management. In addition, average net cash outflows decreased due to reduced secured financing transactions and higher average inflows from customer lending, which were partially offset by higher average outflows from customer deposits.

 

LIQ1: Liquidity coverage ratio

 

 

 

 

 

 

 

 

 

Average 1Q201

 

Average 4Q191

USD billion, except where indicated

 

Unweighted value

Weighted value2

 

Unweighted value

Weighted value2

 

High-quality liquid assets

 

 

 

 

 

 

1

High-quality liquid assets

 

 176 

 171 

 

 169 

 166 

 

 

 

 

 

 

 

 

Cash outflows

 

 

 

 

 

 

2

Retail deposits and deposits from small business customers

 

 254 

 29 

 

 243 

 28 

3

of which: stable deposits

 

 33 

 1 

 

 32 

 1 

4

of which: less stable deposits

 

 220 

 28 

 

 211 

 27 

5

Unsecured wholesale funding

 

 199 

 110 

 

 190 

 106 

6

of which: operational deposits (all counterparties)

 

 44 

 11 

 

 41 

 10 

7

of which: non-operational deposits (all counterparties)

 

 144 

 89 

 

 136 

 83 

8

of which: unsecured debt

 

 11 

 11 

 

 13 

 13 

9

Secured wholesale funding

 

 

 71 

 

 

 74 

10

Additional requirements:

 

 74 

 23 

 

 63 

 22 

11

of which: outflows related to derivatives and other transactions

 

 41 

 16 

 

 32 

 14 

12

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

 

 0 

 0 

 

 1 

 1 

13

of which: committed credit and liquidity facilities

 

 32 

 7 

 

 31 

 7 

14

Other contractual funding obligations

 

 13 

 11 

 

 14 

 12 

15

Other contingent funding obligations

 

 229 

 6 

 

 238 

 6 

16

Total cash outflows

 

 

 250 

 

 

 248 

 

 

 

 

 

 

 

 

Cash inflows

 

 

 

 

 

 

17

Secured lending

 

 303 

 81 

 

 307 

 81 

18

Inflows from fully performing exposures

 

 70 

 31 

 

 65 

 29 

19

Other cash inflows

 

 15 

 15 

 

 13 

 13 

20

Total cash inflows

 

 388 

 127 

 

 385 

 123 

 

 

 

 

 

 

 

 

 

Average 1Q201

 

 

Average 4Q191

USD billion, except where indicated

 

 

Total adjusted value4

 

 

Total adjusted value4

 

 

 

 

 

 

 

 

Liquidity coverage ratio

 

 

 

 

 

 

21

High-quality liquid assets

 

 

 171 

 

 

 166 

22

Net cash outflows

 

 

 122 

 

 

 124 

23

Liquidity coverage ratio (%)

 

 

 139 

 

 

 134 

1 Calculated based on an average of 63 data points in the first quarter of 2020 and 64 data points in the fourth quarter of 2019.    2 Calculated after the application of haircuts and inflow and outflow rates.    3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities.    4 Calculated after the application of haircuts and inflow and outflow rates as well as, where applicable, caps on Level 2 assets and cash inflows.

 

  

18 


 

Significant regulated subsidiaries and sub-groups

 


Significant regulated subsidiaries and sub-groups  

Section 1  Introduction

The sections below include capital and other regulatory information as of 31 March 2020 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.


Capital information in this section is based on Pillar 1 requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

Section 2  UBS AG standalone

Key metrics of the first quarter of 2020

The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules. The temporary exemption of central bank sight deposits for leverage ratio calculation granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19 had no net effect on UBS AG as of 31 March 2020.

During the first quarter of 2020, common equity tier 1 (CET1) capital decreased by USD 0.5 billion to USD 49.0 billion, mainly due to accruals for capital returns to UBS Group AG. Risk-weighted assets (RWA) increased by USD 29.6 billion to USD 317.6 billion during the first quarter of 2020, primarily driven by increases in credit and counterparty credit risk RWA, including the gradual increase of risk weights for investments in the Swiss and foreign-domiciled subsidiaries according to FINMA decree, and market risk RWA. Leverage ratio exposure decreased by USD 14 billion to USD 575 billion, mainly due to a decrease in on-balance sheet exposures (excluding derivative exposures and securities financing transactions (SFTs)) and partly offset by increases in derivatives, SFTs and off-balance sheet items.

High-quality liquid assets (HQLA) decreased by USD 5.8 billion, driven by lower average secured financing transactions and average reductions in the trading portfolio. Net cash outflows decreased by USD 5.6 billion, due to lower average outflows from intercompany transactions, reduced average secured financing transactions and lower maturing debt instruments, as well as greater inflows from customer lending, which has been partially offset by an increase in average customer deposit balances in Global Wealth Management.

®   Refer to the “Introduction and basis for preparation” section of this report for more information about the COVID-19-related temporary regulatory measures

   

20 


 

KM1: Key metrics

 

 

 

 

 

 

 

 

 

USD million, except where indicated

 

 

 

31.3.20

31.12.19

 

30.9.19

 

30.6.19

 

31.3.19

Available capital (amounts)

 

 

 

 

 

 

 

 

 

1

Common equity tier 1 (CET1)

 

 48,998 

 49,521 

 

 50,458 

 

 51,261 

 

 49,024 

1a

Fully loaded ECL accounting model CET11

 

 48,994 

 49,518 

 

 50,456 

 

 51,258 

 

 49,021 

2

Tier 1

 

 62,382 

 63,893 

 

 64,545 

 

 64,315 

 

 61,839 

2a

Fully loaded ECL accounting model tier 11

 

 62,379 

 63,891 

 

 64,543 

 

 64,312 

 

 61,836 

3

Total capital

 

 68,130 

 69,576 

 

 70,194 

 

 70,612 

 

 68,542 

3a

Fully loaded ECL accounting model total capital1

 

 68,127 

 69,574 

 

 70,191 

 

 70,609 

 

 68,539 

Risk-weighted assets (amounts)

 

 

 

 

 

 

 

 

 

4

Total risk-weighted assets (RWA)

 

 317,621 

 287,999 

 

 297,200 

 

 294,348 

 

 300,734 

4a

Minimum capital requirement2

 

 25,410 

 23,040 

 

 23,776 

 

 23,548 

 

 24,059 

4b

Total risk-weighted assets (pre-floor)

 

 317,621 

 287,999 

 

 297,200 

 

 294,348 

 

 300,734 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

 

 

 

 

5

Common equity tier 1 ratio (%)

 

 15.43 

 17.19 

 

 16.98 

 

 17.41 

 

 16.30 

5a

Fully loaded ECL accounting model CET1 ratio (%)1

 

 15.43 

 17.19 

 

 16.98 

 

 17.41 

 

 16.30 

6

Tier 1 ratio (%)

 

 19.64 

 22.19 

 

 21.72 

 

 21.85 

 

 20.56 

6a

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

 

 19.64 

 22.18 

 

 21.72 

 

 21.85 

 

 20.56 

7

Total capital ratio (%)

 

 21.45 

 24.16 

 

 23.62 

 

 23.99 

 

 22.79 

7a

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

 

 21.45 

 24.16 

 

 23.62 

 

 23.99 

 

 22.79 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

 

 

 

 

8

Capital conservation buffer requirement (2.5% from 2019) (%)

 

 2.50 

 2.50 

 

 2.50 

 

 2.50 

 

 2.50 

9

Countercyclical buffer requirement (%)

 

 0.01 

 0.07 

 

 0.08 

 

 0.08 

 

 0.09 

9a

Additional countercyclical buffer for Swiss mortgage loans (%)

 

 0.00 

 0.00 

 

 0.00 

 

 0.00 

 

 0.00 

10

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

 

 

 

 

 

 

 

 

 

11

Total of bank CET1-specific buffer requirements (%)

 

 2.51 

 2.57 

 

 2.58 

 

 2.58 

 

 2.59 

12

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

 

 10.93 

 12.69 

 

 12.48 

 

 12.91 

 

 11.80 

Basel III leverage ratio

 

 

 

 

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

 

 574,692 

 589,127 

 

 609,656 

 

 618,704 

 

 617,329 

14

Basel III leverage ratio (%)

 

 10.85 

 10.85 

 

 10.59 

 

 10.40 

 

 10.02 

14a

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

 

 10.85 

 10.84 

 

 10.59 

 

 10.39 

 

 10.02 

Liquidity coverage ratio4

 

 

 

 

 

 

 

 

 

15

Total HQLA

 

 67,963 

 73,805 

 

 76,330 

 

 82,201 

 

 86,690 

16

Total net cash outflow

 

 48,320 

 53,960 

 

 55,607 

 

 56,626 

 

 51,434 

17

LCR (%)

 

 141 

 137 

 

 137 

 

 145 

 

 169 

1 The fully loaded ECL accounting model excludes the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks.”    2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.    3 Swiss SRB going concern requirements and information for UBS AG standalone is provided on the following pages in this section.    4 Calculated based on quarterly average. Refer to “Liquidity coverage ratio” in this section for more information.

 

21 


Significant regulated subsidiaries and sub-groups  

Swiss SRB going and gone concern requirements and information

From 1 January 2020, UBS AG standalone is subject to a gone concern capital requirement based on the sum of (i) its third-party exposure on a standalone basis, (ii) a buffer requirement equal to 30% of the Group’s gone concern capital requirement on UBS AG’s consolidated exposure, and (iii) the nominal value of the gone concern instruments issued by UBS entities and held by the parent bank. A transitional period until 2024 has been granted for the buffer requirement. ”Gone concern capital coverage ratio” represents how much gone concern capital is available to meet the gone concern requirement.

More information about the going concern requirements and information is provided on page 115 of our 31 December 2019 Pillar 3 report, available under “Pillar 3 disclosures” at www.ubs.com/investors


In connection with COVID-19, FINMA has permitted banks to temporarily exclude central bank sight deposits from the leverage ratio denominator (LRD) for the purpose of calculating going concern ratios. This exemption applies until 1 July 2020 and may be extended. Applicable dividends or similar distributions approved by shareholders after 25 March 2020 reduce the relief by the LRD equivalent of the capital distribution. This exemption had no net effect on UBS AG standalone as of 31 March 2020.

®   Refer to “Introduction and basis for preparation” of this report for more information about the COVID-19-related temporary regulatory measures

 

The table below provides details of the Swiss systematically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by FINMA; details on eligible gone concern instruments are provided on the next page.

  

Swiss SRB going and gone concern requirements and information

As of 31.3.20

 

RWA, phase-in

 

RWA, fully applied as of 1.1.28

 

LRD1

USD million, except where indicated

 

in %

 

 

in%

 

 

in %

 

Required going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 13.95 

 44,317 

 

 13.95 

 55,029 

 

 4.88 

 28,016 

Common equity tier 1 capital

 

 9.65 

 30,660 

 

 9.65 

 38,071 

 

 3.38 

 19,396 

of which: minimum capital

 

 4.50 

 14,293 

 

 4.50 

 17,748 

 

 1.50 

 8,620 

of which: buffer capital

 

 5.14 

 16,326 

 

 5.14 

 20,272 

 

 1.88 

 10,775 

of which: countercyclical buffer2

 

 0.01 

 41 

 

 0.01 

 51 

 

 

 

Maximum additional tier 1 capital

 

 4.30 

 13,658 

 

 4.30 

 16,959 

 

 1.50 

 8,620 

of which: additional tier 1 capital

 

 3.50 

 11,117 

 

 3.50 

 13,804 

 

 1.50 

 8,620 

of which: additional tier 1 buffer capital

 

 0.80 

 2,541 

 

 0.80 

 3,155 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible going concern capital

 

 

 

 

 

 

 

 

 

Total going concern capital

 

 18.86 

 59,919 

 

 15.19 

 59,919 

 

 10.43 

 59,919 

Common equity tier 1 capital

 

 15.43 

 48,998 

 

 12.42 

 48,998 

 

 8.53 

 48,998 

Total loss-absorbing additional tier 1 capital

 

 3.44 

 10,921 

 

 2.77 

 10,921 

 

 1.90 

 10,921 

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

 

 3.44 

 10,921 

 

 2.77 

 10,921 

 

 1.90 

 10,921 

 

 

 

 

 

 

 

 

 

 

Required gone concern capital3

 

Higher of RWA- or LRD-based

 

 

 

 

 

 

Total gone concern loss-absorbing requirement

 

 

 30,922 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Eligible gone concern capital

 

 

 

 

 

 

 

 

Total gone concern loss-absorbing capacity

 

 

 44,137 

 

 

 

 

 

 

Gone concern coverage capital ratio

 

 142.74 

 

 

 

 

 

 

 

1 LRD-based requirements presented in this table do not reflect the effects of temporary exemption granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section of this report for more information.    2 Reflects the countercyclical buffer (CCyB) requirement for Hong Kong and Luxembourg. The CCyBs of Switzerland and other countries have been deactivated or reduced in the first quarter of 2020, resulting in a temporary reduction of the capital requirement by 6 basis points compared with 31 December 2019.    3 From 1 January 2020 onward, 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.

 

 

22 


 

Swiss SRB going and gone concern information

 

 

 

USD million, except where indicated

 

31.3.20

31.12.19

 

 

 

 

Eligible going concern capital

 

 

 

Total going concern capital

 

 59,919 

 61,479 

Total tier 1 capital

 

 59,919 

 61,479 

Common equity tier 1 capital

 

 48,998 

 49,521 

Total loss-absorbing additional tier 1 capital

 

 10,921 

 11,958 

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

 

 10,921 

 11,958 

 

 

 

 

Eligible gone concern capital

 

 

 

Total gone concern loss-absorbing capacity

 

 44,137 

 

Total tier 1 capital

 

 2,463 

 

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

 

 2,463 

 

Total tier 2 capital

 

 7,521 

 

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

 

 6,995 

 

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

 

 526 

 

TLAC-eligible senior unsecured debt

 

 34,153 

 

 

 

 

 

Total loss-absorbing capacity

 

 

 

Total loss-absorbing capacity

 

 104,056 

 61,479 

 

 

 

 

Risk-weighted assets / leverage ratio denominator

 

 

 

Risk-weighted assets, phase-in

 

 317,621 

 287,999 

of which: direct and indirect investments in Swiss-domiciled subsidiaries1

 

 34,211 

 34,418 

of which: direct and indirect investments in foreign-domiciled subsidiaries1

 

 105,384 

 96,307 

Risk-weighted assets, fully applied as of 1.1.28

 

 394,393 

 374,351 

of which: direct and indirect investments in Swiss-domiciled subsidiaries1

 

 40,727 

 41,973 

of which: direct and indirect investments in foreign-domiciled subsidiaries1

 

 175,639 

 175,104 

Leverage ratio denominator2

 

 574,692 

 589,127 

 

 

 

 

Capital and loss-absorbing capacity ratios (%)

 

 

 

Going concern capital ratio, phase-in3

 

 18.9 

 23.1 

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

 

 15.4 

 17.2 

Going concern capital ratio, fully applied as of 1.1.28

 

 15.2 

 16.4 

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

 

 12.4 

 13.2 

 

 

 

 

Leverage ratios (%)2

 

 

 

Going concern leverage ratio, phase-in3

 

 

 11.3 

Going concern leverage ratio, fully applied as of 1.1.20

 

 10.4 

 10.4 

of which: common equity tier 1 leverage ratio, fully applied as of 1.1.20

 

 8.5 

 8.4 

 

 

 

 

Gone concern capital coverage ratio (%)

 

 

 

Gone concern capital coverage ratio

 

 142.7 

 

1 Carrying amount for direct and indirect investments including holding of regulatory capital instruments in Swiss-domiciled subsidiaries (31 March 2020: USD 16,291 million; 31 December 2019: USD 16,789 million), and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries (31 March 2020: USD 43,910 million; 31 December 2019: USD 43,776 million), is risk weighted at 210% and 240%, respectively, for the current year (31 December 2019: 205% and 220%, respectively). Risk weights will gradually increase 5 percentage points per year for Swiss-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.    2 Leverage ratio denominator (LRD) and leverage ratios for 31 March 2020 do not reflect the effects of the temporary exemption granted by FINMA in connection with COVID-19. Refer to the “Introduction and basis for preparation” section of this report for more information. The effects of temporary exemption granted by FINMA in connection with COVID-19 are presented on the previous page in this section.    3 As of 31 December 2019, Tier 2 capital of USD 5,153 million was eligible as going concern capital due to the transitional arrangements. The going concern phase-in capital ratios and leverage ratios presented for 2019 include this component.   

   

23 


Significant regulated subsidiaries and sub-groups  

Leverage ratio information

Due to the adjustment for planned dividends, the temporary exemption of central bank sight deposits for leverage ratio calculation granted by FINMA on 25 March 2020 in connection with COVID-19 had no effect on UBS AG standalone as of 31 March 2020.

®   Refer to “Introduction and basis for preparation” of this report for more information about the COVID-19-related temporary regulatory measures

 

Swiss SRB leverage ratio denominator

USD billion

 

31.3.20

 

31.12.19

 

 

 

 

 

Leverage ratio denominator

 

 

 

 

Swiss GAAP total assets

 

 487.5 

 

 478.9 

Difference between Swiss GAAP and IFRS total assets

 

 200.3 

 

 122.3 

Less: derivative exposures and SFTs1

 

 (322.7) 

 

 (220.4) 

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

 

 (18.5) 

 

 

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

 

 346.7 

 

 380.8 

Derivative exposures

 

 108.2 

 

 94.8 

Securities financing transactions

 

 96.3 

 

 92.6 

Off-balance sheet items

 

 24.3 

 

 21.7 

Items deducted from Swiss SRB tier 1 capital

 

 (0.8) 

 

 (0.8) 

Total exposures (leverage ratio denominator)

 

 574.7 

 

 589.1 

1 Consists of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from securities financing transactions, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to securities financing transactions, in accordance with the regulatory scope of consolidation, which are presented separately under Derivative exposures and Securities financing transactions in this table.

 

 

 

BCBS Basel III leverage ratio

USD million, except where indicated

31.3.20

31.12.19

30.9.19

30.6.19

31.3.19

Total tier 1 capital

 62,382 

 63,893 

 64,545 

 64,315 

 61,839 

Total exposures (leverage ratio denominator)

 574,692 

 589,127 

 609,656 

 618,704 

 617,329 

BCBS Basel III leverage ratio (%)

 10.9 

 10.8 

 10.6 

 10.4 

 10.0 

 

Liquidity coverage ratio

UBS AG is required to maintain a liquidity coverage ratio (LCR) of 105% as communicated by FINMA.

 

Liquidity coverage ratio

 

 

 

 

 

Weighted value1

USD billion, except where indicated

 

Average 1Q202

Average 4Q192

High-quality liquid assets

 

 68 

 74 

Total net cash outflows

 

 48 

 54 

of which: cash outflows

 

 160 

 160 

of which: cash inflows

 

 112 

 106 

Liquidity coverage ratio (%)

 

 141 

 137 

1 Calculated after the application of haircuts and inflow and outflow rates as well as, where applicable, caps on Level 2 assets and cash inflows.    2 Calculated based on an average of 63 data points in the first quarter of 2020 and 64 data points in the fourth quarter of 2019.

 

 

  

24 


 

Section 3  UBS Switzerland AG standalone

Key metrics of the first quarter of 2020

The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules; however, it does not reflect the effects of the temporary exemption of central bank sight deposits for leverage ratio calculation granted by the Swiss Financial Market Supervisory Authority (FINMA) in connection with COVID-19.

During the first quarter of 2020, common equity tier 1 (CET1) capital increased by CHF 0.5 billion to CHF 11.4 billion, mainly as a result of operating profit. Risk-weighted assets (RWA) increased by CHF 4.8 billion to CHF 104.5 billion, primarily due to the implementation of the Basel III RWA floor as agreed with FINMA. Leverage ratio exposure increased by CHF 15 billion to CHF 317 billion, mainly driven by an increase in on-balance sheet
exposures (excluding derivatives and securities financing transactions (SFTs)) and derivatives, partly offset by a decrease in SFTs.

High-quality liquid assets (HQLA) increased by CHF 7.5 billion as a result of higher average cash balances, reflecting a wind-down of secured financing transactions and higher average customer deposit balances in Global Wealth Management. Net cash outflows increased by CHF 1.5 billion, reflecting lower average inflows from intercompany transactions and increased average outflows from customer deposit balances in Global Wealth Management.

®   Refer to the following pages for more information about the effects of the temporary exemption granted by FINMA in connection with COVID-19 on UBS Switzerland AG standalone

 

KM1: Key metrics

 

 

 

 

 

 

CHF million, except where indicated

 

 

 

31.3.20

31.12.19

30.9.19

30.6.19

31.3.19

Available capital (amounts)

 

 

 

 

 

 

1

Common equity tier 1 (CET1)