Derivative instruments

6 Months Ended

Jun. 30, 2021

Derivative [Line Items]

Disclosure Of Derivative Financial Instruments Explanatory

Note 9 Derivative instruments

a) Derivative instruments

As of 30.6.21, USD billion

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 contracts

38.4

995

32.7

912

9,918

Credit derivative contracts

2.0

54

2.4

54

0

Foreign exchange contracts

49.5

3,074

47.4

2,869

2

Equity / index contracts

29.2

458

36.3

615

90

Commodity contracts

1.9

59

2.1

58

15

Loan commitments measured at FVTPL

0.0

1

0.0

11

Unsettled purchases of non-derivative financial instruments

3

0.3

29

0.3

26

Unsettled sales of non-derivative financial instruments

3

0.3

39

0.4

23

Total derivative financial instruments, based on IFRS netting

4

121.6

4,708

121.7

4,569

10,024

Further netting potential not recognized on the balance sheet

5

(107.5)

(106.8)

of which: netting of recognized financial liabilities / assets

(86.8)

(86.8)

of which: netting with collateral received / pledged

(20.6)

(20.0)

Total derivative financial instruments, after consideration of further

netting potential

14.2

14.9

As of 31.3.21, USD billion

Derivative financial instruments

Interest rate contracts

39.9

991

34.0

901

11,707

Credit derivative contracts

2.3

65

2.5

62

0

Foreign exchange contracts

70.7

3,283

67.6

3,066

2

Equity / index contracts

32.2

468

38.7

599

97

Commodity contracts

2.2

62

2.0

54

12

Loan commitments measured at FVTPL

0.0

1

0.0

9

Unsettled purchases of non-derivative financial instruments

3

0.6

26

0.3

32

Unsettled sales of non-derivative financial instruments

3

0.4

41

0.8

21

Total derivative financial instruments, based on IFRS netting

4

148.3

4,937

146.0

4,745

11,817

Further netting potential not recognized on the balance sheet

5

(130.1)

(127.5)

of which: netting of recognized financial liabilities / assets

(105.1)

(105.1)

of which: netting with collateral received / pledged

(25.0)

(22.5)

Total derivative financial instruments, after consideration of further

netting potential

18.2

18.5

As of 31.12.20, USD billion

Derivative financial instruments

Interest rate contracts

50.9

928

43.9

880

11,292

Credit derivative contracts

2.4

58

2.9

65

0

Foreign exchange contracts

68.7

2,951

70.5

2,820

1

Equity / index contracts

34.8

450

41.2

581

91

Commodity contracts

2.2

58

2.0

50

10

Loan commitments measured at FVTPL

0.0

10

Unsettled purchases of non-derivative financial instruments

3

0.3

18

0.2

10

Unsettled sales of non-derivative financial instruments

3

0.2

17

0.3

13

Total derivative financial instruments, based on IFRS netting

4

159.6

4,479

161.1

4,430

11,394

Further netting potential not recognized on the balance sheet

5

(144.4)

(141.2)

of which: netting of recognized financial liabilities / assets

(117.2)

(117.2)

of which: netting with collateral received / pledged

(27.2)

(23.9)

Total derivative financial instruments, after consideration of further

netting potential

15.2

19.9

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 exchange-traded agency transactions and OTC -cleared transactions entered into on behalf of clients 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 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 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 financi al liabilities” in the “Consolidated financial statements” section of the Annual Report

2020 for more information.

b) Cash collateral on derivative instruments

USD billion

Receivables

30.6.21

Payables

30.6.21

Receivables

31.3.21

Payables

31.3.21

Receivables

31.12.20

Payables

31.12.20

Cash collateral on derivative instruments, based on IFRS netting

1

29.8

32.2

35.0

36.6

32.7

37.3

Further netting potential not recognized on the balance sheet

2

(18.3)

(16.9)

(21.1)

(20.7)

(21.1)

(21.6)

of which: netting of recognized financial liabilities / assets

(15.9)

(14.4)

(18.2)

(18.3)

(19.6)

(19.6)

of which: netting with collateral received / pledged

(2.4)

(2.5)

(2.9)

(2.3)

(1.5)

(2.1)

Cash collateral on derivative instruments, after consideration of further netting potential

11.5

15.3

14.0

15.9

11.6

15.7

1 Financial assets and liabilities are presented net on the balance sheet if UBS 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 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 2020 for more information.