Financial assets at amortized cost and other positions in scope of expected credit loss measurement

12 Months Ended

Dec. 31, 2021

Entity [Table]

Disclosure Of Provision Matrix Explanatory

Note 9 Financial assets at amortized cost and other positions in scope of expected credit loss measurement

The tables on the following pages provide information about

financial instruments and certain credit lines that are subject to

expected credit loss (ECL) requirements. UBS’s ECL disclosure

segments or “ECL segments” are aggregated portfolios based on

shared risk characteristics and on the same or similar rating

methods applied. The key segments are presented in the table

below.

›

Refer to Note 20 for more information about expected credit

loss measuremen

Segment

Segment description

Description of credit risk sensitivity

Business division / Group Functions

Private clients with

mortgages

Lending to private clients secured by

owner-occupied real estate and

personal account overdrafts of those

clients

Sensitive to the interest rate environment,

unemployment levels, real estate collateral

values and other regional aspects 

–

Personal & Corporate Banking

–

Global Wealth Management

Real estate financing

Rental or income-producing real estate

financing to private and corporate

clients secured by real estate

Sensitive to unemployment levels, the

interest rate environment, real estate

collateral values and other regional

aspects 

–

Personal & Corporate Banking

–

Global Wealth Management

–

Investment Bank

Large corporate clients

Lending to large corporate and multi-

national clients

Sensitive to GDP developments,

unemployment levels, seasonality,

business cycles and collateral values

(diverse collateral, including real estate

and other collateral types)

–

Personal & Corporate Banking

–

Investment Bank

SME clients

Lending to small and medium-sized

corporate clients

Sensitive to GDP developments,

unemployment levels, the interest rate

environment and, to some extent,

seasonality, business cycles and collateral

values (diverse collateral, including real

estate and other collateral types)

–

Personal & Corporate Banking

Lombard

Loans secured by pledges of marketable

securities, guarantees and other forms

of collateral

Sensitive to equity and debt markets (e.g.,

changes in collateral values)

–

Global Wealth Management

Credit cards

Credit card solutions in Switzerland and

the US

Sensitive to unemployment levels

–

Personal & Corporate Banking

–

Global Wealth Management

Commodity trade

finance

Working capital financing of commodity

traders, generally extended on a self-

liquidating transactional basis

Sensitive primarily to the strength of

individual transaction structures and

collateral values (price volatility of

commodities), as the primary source for

debt service is directly linked to the

shipments financed

–

Personal & Corporate Banking

Financial intermediaries

and hedge funds

Lending to financial institutions and

pension funds, including exposures to

broker-dealers and clearing houses

Sensitive to GDP development, the

interest rate environment, price and

volatility risks in financial markets, and

regulatory and political risk

–

Personal & Corporate Banking

–

Investment Bank

Refer to Note 20f for more details regarding sensitivity

The tables below and on the following pages provide ECL exposure and ECL allowance and provision information about financial

instruments and certain non-financial instruments that are subject to ECL.

Coverage ratios are calculated for the core loan portfolio by

taking ECL allowances and provisions divided by the gross carrying

amount of the exposures. Core loan exposure is defined as the

sum of

Loans and advances to customers

 and

Loans to financial

advisors

. 

These ratios are influenced by the following key factors: 

–

Lombard loans are generally secured with marketable securities

in portfolios that are, as a rule, highly diversified, with strict

lending policies that are intended to ensure that credit risk is

minimal under most circumstances; 

–

mortgage loans to private clients and real estate financing are

controlled by conservative eligibility criteria, including low loan-

to-value ratios and strong debt service capabilities;

–

the amount of unsecured retail lending (including credit cards)

is insignificant;

lending in Switzerland includes government-backed COVID-19

loans;

–

contractual maturities in the loan portfolio, which are a factor

in the calculation of ECLs, are generally short, with Lombard

lending typically having average contractual maturities of 12

months or less, real estate lending generally between 2 years

and 3 years in Switzerland with longer dated maturities in the

US and corporate lending between 1 to 2 years with related

loan commitments up to 4 years; and 

–

write-offs of ECL allowances against the gross loan balances

when all or part of a financial asset is deemed uncollectible or

forgiven, reduces the coverage ratios

UBS AG

Entity [Table]

Disclosure Of Provision Matrix Explanatory

Note 9 Financial assets at amortized cost and other positions in scope of expected credit loss measurement

The tables on the following pages provide information about

financial instruments and certain credit lines that are subject to

expected credit loss (ECL) requirements . UBS AG’s ECL disclosure

segments or “ECL segments” are aggregated portfolios based on

shared risk characteristics and on the same or similar rating

methods applied. The key segments are presented in the table

below.

›

Refer to Note 20 for more information about expected credit

loss measurement

Segment

Segment description

Description of credit risk sensitivity

Business division / Group Functions

Private clients with

mortgages

Lending to private clients secured by

owner-occupied real estate and

personal account overdrafts of those

clients

Sensitive to the interest rate environment,

unemployment levels, real estate collateral

values and other regional aspects 

–

Personal & Corporate Banking

–

Global Wealth Management

Real estate financing

Rental or income-producing real estate

financing to private and corporate

clients secured by real estate

Sensitive to unemployment levels, the

interest rate environment, real estate

collateral values and other regional

aspects

–

Personal & Corporate Banking

–

Global Wealth Management

–

Investment Bank

Large corporate clients

Lending to large corporate and multi-

national clients

Sensitive to GDP developments,

unemployment levels, seasonality,

business cycles and collateral values

(diverse collateral, including real estate

and other collateral types)

–

Personal & Corporate Banking

–

Investment Bank

SME clients

Lending to small and medium-sized

corporate clients

Sensitive to GDP developments,

unemployment levels, the interest rate

environment and, to some extent,

seasonality, business cycles and collateral

values (diverse collateral, including real

estate and other collateral types)

–

Personal & Corporate Banking

Lombard

Loans secured by pledges of marketable

securities, guarantees and other forms

of collateral

Sensitive to equity and debt markets (e.g.,

changes in collateral values)

–

Global Wealth Management

Credit cards

Credit card solutions in Switzerland and

the US

Sensitive to unemployment levels

–

Personal & Corporate Banking

–

Global Wealth Management

Commodity trade

finance

Working capital financing of commodity

traders, generally extended on a self-

liquidating transactional basis

Sensitive primarily to the strength of

individual transaction structures and

collateral values (price volatility of

commodities), as the primary source for

debt service is directly linked to the

shipments financed

–

Personal & Corporate Banking

Financial intermediaries

and hedge funds

Lending to financial institutions and

pension funds, including exposures to

broker-dealers and clearing houses

Sensitive to GDP development, the

interest rate environment, price and

volatility risks in financial markets, and

regulatory and political risk

–

Personal & Corporate Banking

–

Investment Bank

Refer to Note 20f for more details regarding sensitivity

The tables below and on the following pages provide ECL exposure and ECL allowance and provision information about financial

instruments and certain non-financial instruments that are subject to ECL.

USD million

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

192,817

192,817

0

0

0

0

0

0

Loans and advances to banks

15,360

15,333

26

1

(8)

(7)

(1)

0

Receivables from securities financing transactions

75,012

75,012

0

0

(2)

(2)

0

0

Cash collateral receivables on derivative instruments

30,514

30,514

0

0

0

0

0

0

Loans and advances to customers

398,693

381,496

15,620

1,577

(850)

(126)

(152)

(572)

of which: Private clients with mortgages

152,479

143,505

8,262

711

(132)

(28)

(71)

(33)

of which: Real estate financing

43,945

40,463

3,472

9

(60)

(19)

(40)

0

of which: Large corporate clients

13,990

12,643

1,037

310

(170)

(22)

(16)

(133)

of which: SME clients

14,004

12,076

1,492

436

(259)

(19)

(15)

(225)

of which: Lombard

149,283

149,255

0

27

(33)

(6)

0

(28)

of which: Credit cards

1,716

1,345

342

29

(36)

(10)

(9)

(17)

of which: Commodity trade finance

3,813

3,799

7

7

(114)

(6)

0

(108)

Other financial assets measured at amortized cost

26,236

25,746

302

189

(109)

(27)

(7)

(76)

of which: Loans to financial advisors

2,453

2,184

106

163

(86)

(19)

(3)

(63)

Total financial assets measured at amortized cost

738,632

720,917

15,948

1,767

(969)

(161)

(160)

(647)

Financial assets measured at fair value through other comprehensive income

8,844

8,844

0

0

0

0

0

0

Total on-balance sheet financial assets in scope of ECL requirements

747,477

729,762

15,948

1,767

(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

20,972

19,695

1,127

150

(41)

(18)

(8)

(15)

of which: Large corporate clients

3,464

2,567

793

104

(6)

(3)

(3)

0

of which: SME clients

1,353

1,143

164

46

(8)

(1)

(1)

(7)

of which: Financial intermediaries and hedge funds 

9,575

9,491

84

0

(17)

(13)

(4)

0

of which: Lombard

2,454

2,454

0

0

(1)

0

0

(1)

of which: Commodity trade finance

3,137

3,137

0

0

(1)

(1)

0

0

Irrevocable loan commitments

39,478

37,097

2,335

46

(114)

(72)

(42)

0

of which: Large corporate clients

23,922

21,811

2,102

9

(100)

(66)

(34)

0

Forward starting reverse repurchase and securities borrowing agreements

1,444

1,444

0

0

0

0

0

0

Committed unconditionally revocable credit lines

42,373

39,802

2,508

63

(38)

(28)

(10)

0

of which: Real estate financing

7,328

7,046

281

0

(5)

(4)

(1)

0

of which: Large corporate clients

5,358

4,599

736

23

(7)

(4)

(3)

0

of which: SME clients

5,160

4,736

389

35

(15)

(11)

(3)

0

of which: Lombard

8,670

8,670

0

0

0

0

0

0

of which: Credit cards

9,466

9,000

462

4

(6)

(5)

(2)

0

of which: Commodity trade finance

117

117

0

0

0

0

0

0

Irrevocable committed prolongation of existing loans

5,611

5,527

36

48

(3)

(3)

0

0

Total off-balance sheet financial instruments and credit lines

109,878

103,565

6,006

307

(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.

USD million

31.12.20

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

158,231

158,231

0

0

0

0

0

0

Loans and advances to banks

15,344

15,160

184

0

(16)

(9)

(5)

(1)

Receivables from securities financing transactions

74,210

74,210

0

0

(2)

(2)

0

0

Cash collateral receivables on derivative instruments

32,737

32,737

0

0

0

0

0

0

Loans and advances to customers

380,977

358,396

20,341

2,240

(1,060)

(142)

(215)

(703)

of which: Private clients with mortgages

148,175

138,769

8,448

959

(166)

(35)

(93)

(39)

of which: Real estate financing

43,429

37,568

5,838

23

(63)

(15)

(44)

(4)

of which: Large corporate clients

15,161

12,658

2,029

474

(279)

(27)

(40)

(212)

of which: SME clients

14,872

11,990

2,254

628

(310)

(19)

(23)

(268)

of which: Lombard

133,850

133,795

0

55

(36)

(5)

0

(31)

of which: Credit cards

1,558

1,198

330

30

(38)

(11)

(11)

(16)

of which: Commodity trade finance

3,269

3,214

43

12

(106)

(5)

0

(101)

Other financial assets measured at amortized cost

27,219

26,401

348

469

(133)

(34)

(9)

(90)

of which: Loans to financial advisors

2,569

1,982

137

450

(108)

(27)

(5)

(76)

Total financial assets measured at amortized cost

688,717

665,135

20,873

2,709

(1,211)

(187)

(229)

(795)

Financial assets measured at fair value through other comprehensive income

8,258

8,258

0

0

0

0

0

0

Total on-balance sheet financial assets in scope of ECL requirements

696,976

673,394

20,873

2,709

(1,211)

(187)

(229)

(795)

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

17,081

14,687

2,225

170

(63)

(14)

(15)

(34)

of which: Large corporate clients

3,710

2,048

1,549

113

(20)

(4)

(5)

(12)

of which: SME clients

1,310

936

326

48

(13)

(1)

(1)

(11)

of which: Financial intermediaries and hedge funds 

7,637

7,413

224

0

(17)

(7)

(9)

0

of which: Lombard

641

633

0

8

(2)

0

0

(2)

of which: Commodity trade finance

1,441

1,416

25

0

(2)

(1)

0

0

Irrevocable loan commitments

41,372

36,894

4,374

104

(142)

(74)

(68)

0

of which: Large corporate clients

24,209

20,195

3,950

64

(121)

(63)

(58)

0

Forward starting reverse repurchase and securities borrowing agreements

3,247

3,247

0

0

0

0

0

0

Committed unconditionally revocable credit lines

42,077

37,176

4,792

108

(50)

(29)

(21)

0

of which: Real estate financing

6,328

5,811

517

0

(12)

(5)

(7)

0

of which: Large corporate clients

4,909

2,783

2,099

27

(9)

(2)

(7)

0

of which: SME clients

5,827

4,596

1,169

63

(16)

(12)

(4)

0

of which: Lombard

9,671

9,671

0

0

0

(1)

0

0

of which: Credit cards

8,661

8,220

430

11

(8)

(6)

(2)

0

of which: Commodity trade finance

242

242

0

0

0

0

0

0

Irrevocable committed prolongation of existing loans

3,282

3,277

5

0

(2)

(2)

0

0

Total off-balance sheet financial instruments and credit lines

107,059

95,281

11,396

382

(257)

(119)

(104)

(34)

Total allowances and provisions

(1,468)

(306)

(333)

(829)

1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances.

Coverage ratios are calculated for the core loan portfolio by

taking ECL allowances and provisions divided by the gross carrying

amount of the exposures. Core loan exposure is defined as the

sum of

Loans and advances to customers

 and

Loans to financial

advisors

. 

These ratios are influenced by the following key factors: 

–

Lombard loans are generally secured with marketable securities

in portfolios that are, as a rule, highly diversified, with strict

lending policies that are intended to ensure that credit risk is

minimal under most circumstances; 

–

mortgage loans to private clients and real estate financing are

controlled by conservative eligibility criteria, including low loan-

to-value ratios and strong debt service capabilities; 

–

the amount of unsecured retail lending (including credit cards)

is insignificant;

lending in Switzerland includes government backed COVID-19

loans;

–

contractual maturities in the loan portfolio, which are a factor

in the calculation of ECLs, are generally short, with Lombard

lending typically having average contractual maturities of 12

months or less, real estate lending generally between 2 years

and 3 years in Switzerland with longer dated maturities in the

US and corporate lending between 1 to 2 years with related

loan commitments up to 4 years; and 

–

write-offs of ECL allowances against the gross loan balances

when all or part of a financial asset is deemed uncollectible or

forgiven, reduces the coverage ratios

Coverage ratios for core loan portfolio

31.12.21

Gross carrying amount (USD million)

ECL coverage (bps)

On-balance sheet

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Private clients with mortgages

152,610

143,533

8,333

744

9

2

85

446

Real estate financing

44,004

40,483

3,512

10

14

5

114

231

Large corporate clients

14,161

12,665

1,053

443

120

18

148

2,997

SME clients

14,263

12,095

1,507

661

182

16

103

3,402

Lombard

149,316

149,261

0

55

2

0

0

5,026

Credit cards

1,752

1,355

351

46

204

72

255

3,735

Commodity trade finance

3,927

3,805

7

115

290

15

3

9,388

Other loans and advances to customers

19,510

18,425

1,010

75

23

9

15

3,730

Loans to financial advisors

2,539

2,203

109

226

338

88

303

2,791

Total

1

402,081

383,825

15,882

2,374

23

4

98

2,673

Gross exposure (USD million)

ECL coverage (bps)

Off-balance sheet

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Private clients with mortgages

9,123

8,798

276

49

3

3

9

15

Real estate financing

8,766

8,481

285

0

9

7

88

0

Large corporate clients

32,748

28,981

3,630

136

34

25

110

1

SME clients

8,077

7,276

688

114

38

19

151

585

Lombard

14,438

14,438

0

0

1

0

0

0

Credit cards

9,466

9,000

462

4

7

5

34

0

Commodity trade finance

3,262

3,262

0

0

4

4

0

0

Financial intermediaries and hedge funds

13,747

13,379

369

0

13

10

120

0

 Other off-balance sheet commitments

8,806

8,507

296

4

15

6

30

0

Total

2

108,434

102,121

6,006

307

18

12

100

486

1 Includes Loans and advances to customers of USD

399,543

 million and Loans to financial advisors of USD

2,539

 million 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

31.12.20

Gross carrying amount (USD million)

ECL coverage (bps)

On-balance sheet

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Private clients with mortgages

148,341

138,803

8,540

998

11

2

108

390

Real estate financing

43,492

37,583

5,883

27

15

4

75

1,414

Large corporate clients

15,440

12,684

2,069

686

181

21

192

3,089

SME clients

15,183

12,010

2,277

896

204

16

101

2,991

Lombard

133,886

133,800

0

86

3

0

0

3,592

Credit cards

1,596

1,209

342

46

240

91

333

3,488

Commodity trade finance

3,375

3,219

43

113

315

16

2

8,939

Other loans and advances to customers

20,722

19,229

1,402

91

29

13

25

3,563

Loans to financial advisors

2,677

2,009

142

526

404

135

351

1,446

Total

1

384,714

360,547

20,697

3,470

30

5

106

2,247

Gross exposure (USD million)

ECL coverage (bps)

Off-balance sheet

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Private clients with mortgages

6,285

6,083

198

3

7

6

16

197

Real estate financing

7,056

6,576

481

0

21

9

185

0

Large corporate clients

32,828

25,026

7,598

205

46

27

92

565

SME clients

9,121

7,239

1,734

148

40

19

63

779

Lombard

14,178

14,170

0

8

2

1

0

1,941

Credit cards

8,661

8,220

430

11

9

8

44

0

Commodity trade finance

1,683

1,658

25

0

10

8

15

8,279

Financial intermediaries and hedge funds

7,690

7,270

448

0

26

13

248

166

 Other off-balance sheet commitments

16,309

15,792

482

8

12

6

11

12,414

Total

2

103,812

92,034

11,396

382

25

13

91

894

1 Includes Loans and advances to customers of USD

382,036

 million and Loans to financial advisors of USD

2,677

 million which are presented on the balance sheet line Other assets measured at amortized cost. 

2 Excludes Forward starting reverse repurchase and securities borrowing agreements.