Expected credit loss measurement (Tables)

12 Months Ended

Dec. 31, 2021

Dec. 31, 2020

Entity [Table]

Disclosure Of Credit Loss Expense Recovery Explanatory

Credit loss (expense) / release

USD million

Global 

Wealth 

Management

Personal & 

Corporate 

Banking

Asset

Management

Investment 

Bank

Group 

Functions

Total

For the year ended 31.12.21

Stages 1 and 2

28

62

0

34

0

123

Stage 3

1

24

(1)

0

0

25

Total credit loss (expense) / release

29

86

(1)

34

0

148

For the year ended 31.12.20

Stages 1 and 2

(48)

(129)

0

(88)

0

(266)

Stage 3

(40)

(128)

(2)

(217)

(42)

(429)

Total credit loss (expense) / release

(88)

(257)

(2)

(305)

(42)

(694)

For the year ended 31.12.19

Stages 1 and 2

3

23

0

(4)

0

22

Stage 3

(23)

(44)

0

(26)

(7)

(100)

Total credit loss (expense) / release

(20)

(21)

0

(30)

(7)

(78)

Disclosure Of Key Macro Economic Variables Explanatory

Scenario assumptions

One year 

Three years cumulative 

31.12.21

Upside

Baseline

Mild

downside

Severe

downside

Upside

Baseline

Mild

downside

Severe

downside

Real GDP growth (% change)

United States

9.1

4.4

(0.1)

(5.9)

17.8

10.1

1.8

(3.8)

Eurozone

9.4

3.9

(0.1)

(8.7)

17.3

7.5

0.9

(10.3)

Switzerland

5.5

2.4

(0.9)

(6.6)

13.1

5.8

(0.1)

(5.7)

Consumer price index (% change)

United States

3.1

2.2

5.7

(1.2)

9.5

6.3

13.0

0.4

Eurozone

2.3

1.4

4.2

(1.3)

8.0

4.8

10.4

(1.7)

Switzerland

1.8

0.3

3.5

(1.8)

6.1

1.7

9.0

(1.6)

Unemployment rate (end-of-period level, %)

United States

3.0

3.9

6.1

10.9

3.0

3.5

7.2

10.8

Eurozone

6.2

7.4

8.7

12.9

6.0

7.2

9.1

15.1

Switzerland

2.3

2.5

3.4

5.2

1.6

2.3

4.2

5.9

Fixed income: 10-year government bonds (change in yields, basis points)

USD

50.0

16.5

259.2

(50.0)

170.0

41.2

329.2

(15.0)

EUR

40.0

11.1

283.8

(35.0)

140.0

34.9

349.3

(25.0)

CHF

50.0

12.1

245.5

(70.0)

150.0

34.4

307.3

(35.0)

Equity indices (% change)

S&P 500

12.0

14.1

(27.0)

(50.2)

35.5

24.7

(21.8)

(40.1)

EuroStoxx 50

16.0

12.3

(23.4)

(57.6)

41.6

20.7

(19.9)

(50.4)

SPI

14.0

12.1

(22.9)

(53.6)

37.9

19.1

(19.6)

(44.2)

Swiss real estate (% change)

Single-Family Homes 

5.1

4.4

(4.3)

(17.0)

15.5

7.4

(8.8)

(30.0)

Other real estate (% change)

United States (S&P / Case-Shiller)

10.0

3.5

(2.3)

(9.5)

21.7

7.1

(8.7)

(26.3)

Eurozone (House Price Index)

8.4

5.1

(4.0)

(5.4)

17.8

9.6

(7.6)

(10.8)

Scenario assumptions

One year 

Three years cumulative 

31.12.20

Baseline

Severe downside

Baseline

Severe downside

Real GDP growth (% change)

United States

2.7

(5.9)

9.1

(3.8)

Eurozone

2.5

(8.7)

9.9

(10.3)

Switzerland

3.3

(6.6)

9.0

(5.7)

Consumer price index (% change)

United States

1.7

(1.2)

5.5

0.4

Eurozone

1.4

(1.3)

3.9

(1.7)

Switzerland

0.3

(1.8)

0.9

(1.6)

Unemployment rate (end-of-period level, %)

United States

5.5

12.1

4.5

9.9

Eurozone

9.5

14.1

8.0

16.4

Switzerland

3.8

6.1

3.2

6.8

Fixed income: 10-year government bonds (change in yields, basis points)

USD

22.0

(50.0)

46.0

(15.0)

EUR

4.0

(35.0)

21.0

(25.0)

CHF

13.0

(70.0)

31.0

(35.0)

Equity indices (% change)

S&P 500

(2.9)

(50.2)

(1.7)

(40.1)

EuroStoxx 50

3.8

(57.6)

13.5

(50.4)

SPI

(0.8)

(53.6)

5.8

(44.2)

Swiss real estate (% change)

Single-Family Homes 

3.4

(17.0)

7.1

(30.0)

Other real estate (% change)

United States (S&P / Case-Shiller)

2.5

(15.3)

9.2

(28.7)

Eurozone (House Price Index)

1.1

(22.9)

7.2

(35.4)

Disclosure Of Credit Risk Exposure Movement Explanatory

Development of ECL allowances and provisions

USD million

Total

Stage 1

Stage 2

Stage 3

Balance as of 31 December 2020

(1,468)

(306)

(333)

(829)

Net movement from new and derecognized transactions

1

(59)

(72)

13

0

of which: Private clients with mortgages

(7)

(10)

3

0

of which: Real estate financing

(7)

(11)

4

0

of which: Large corporate clients

(13)

(21)

7

0

of which: SME clients

(8)

(8)

0

0

of which: Other

(24)

(23)

(2)

0

 of which: Financial intermediaries and hedge funds

(21)

(18)

(4)

0

 of which: Loans to financial advisors

0

(1)

1

0

Remeasurements with stage transfers

2

(40)

8

0

(49)

of which: Private clients with mortgages

(9)

4

(13)

0

of which: Real estate financing

(3)

1

(4)

0

of which: Large corporate clients

2

(2)

12

(8)

of which: SME clients

(27)

5

4

(36)

of which: Other

(3)

0

2

(4)

 of which: Financial intermediaries and hedge funds

2

(1)

3

0

 of which: Loans to financial advisors

0

1

(1)

0

Remeasurements without stage transfers

3

203

55

74

74

of which: Private clients with mortgages

33

8

26

(1)

of which: Real estate financing

30

13

13

3

of which: Large corporate clients

44

5

21

17

of which: SME clients

53

(1)

1

53

of which: Other

44

29

14

2

 of which: Financial intermediaries and hedge funds

27

15

12

0

 of which: Loans to financial advisors

6

8

1

(3)

Model changes

4

45

29

16

0

Movements with profit or loss impact

5

148

19

104

25

Movements without profit or loss impact (write-off, FX and other)

6

154

5

9

141

Balance as of 31 December 2021

(1,165)

(282)

(220)

(662)

1 Represents the increase and decrease in allowances and provisions resulting from financial instruments (including guarantees and facilities) that were newly originated, purchased or renewed and from the final

derecognition of loans or facilities on their maturity date or earlier. 2 Represents the remeasurement between 12-month and lifetime ECL due to stage transfers. 3 Represents the change in allowances and provisions

related to changes in model inputs or assumptions, including changes in forward -looking macroeconomic conditions, changes in the exposure profile, PD and LGD changes, and unwinding of the time value. 

4 Represents the change in the allowances and provisions related to changes in models and methodologies. 5 Includes ECL movements from new and derecognized transactions, remeasurement changes, model and

methodology changes. 6 Represents the decrease in allowances and provisions resulting from write-offs of the ECL allowance against the gross carrying amount when all or part of a financial asset is deemed

uncollectible or forgiven and movements in foreign exchange rates.

Development of ECL allowances and provisions

USD million

Total

Stage 1

Stage 2

Stage 3

Balance as of 31 December 2019

(1,029)

(181)

(160)

(688)

Net movement from new and derecognized transactions

1

(28)

(90)

17

46

of which: Private clients with mortgages

(2)

(3)

2

0

of which: Real estate financing

(3)

(5)

2

0

of which: Large corporate clients

(32)

(29)

(4)

0

of which: SME clients

(16)

(14)

(3)

0

of which: Other

26

(39)

20

46

 of which: Securities financing transactions REIT

32

(1)

15

17

 of which: Loans to financial advisors

9

(1)

9

0

 of which: Lombard loans

23

(6)

0

29

 of which Financial intermediaries 

(20)

(15)

(5)

0

Remeasurements with stage transfers

2

(427)

45

(134)

(338)

of which: Private clients with mortgages

(19)

(2)

(17)

0

of which: Real estate financing

(6)

3

(9)

0

of which: Large corporate clients

(224)

34

(83)

(175)

of which: SME clients

(43)

(1)

(11)

(31)

of which: Other

(134)

11

(14)

(131)

 of which: Securities financing transactions REIT

(36)

0

(18)

(19)

 of which: Loans to financial advisors

(12)

7

(7)

(11)

 of which: Lombard loans

(36)

0

0

(36)

 of which Commodity trade finance

(59)

0

0

(59)

Remeasurements without stage transfers

3

(271)

(88)

(47)

(136)

of which: Private clients with mortgages

(34)

(19)

(8)

(7)

of which: Real estate financing

(14)

(4)

(11)

1

of which: Large corporate clients

(149)

(53)

(17)

(79)

of which: SME clients

(13)

0

(7)

(6)

of which: Other

(60)

(11)

(4)

(44)

 of which: Loans to financial advisors

(18)

(12)

(3)

(3)

 of which: Lombard loans

(3)

6

0

(9)

 of which: Credit cards

(12)

0

0

(12)

Model changes

4

32

21

11

0

Movements with profit or loss impact

5

(694)

(112)

(154)

(429)

Movements without profit or loss impact (write-off, FX and other)

6

254

(14)

(19)

287

Balance as of 31 December 2020

(1,468)

(306)

(333)

(829)

1 Represents the increase and decrease in allowances and provisions resulting from financial instruments (including guarantees and facilities) that were newly originated, purchased or renewed and from the final

derecognition of loans or facilities on their maturity date or earlier. 2 Represents the remeasurement between 12-month and lifetime ECL due to stage transfers. 3 Represents the change in allowances and provisions

related to changes in model inputs or assumptions, including changes in forward -looking macroeconomic conditions, changes in the exposure profile, PD and LGD changes, and unwinding of the time value. 

4 Represents the change in the allowances and provisions related to changes in models and methodologies. 5 Includes ECL movements from new and derecognized transactions, remeasurement changes, model and

methodology changes. 6 Represents the decrease in allowances and provisions resulting from write-offs of the ECL allowance against the gross carrying amount when all or part of a financial asset is deemed

uncollectible or forgiven and movements in foreign exchange rates.

Disclosure Of Credit Risk Exposure Categories Explanatory

ECL stage 2 (“significant deterioration in credit risk”) allowances / provisions as of 31 December 2021 – classification by trigger

USD million

Stage 2

of which:

PD layer

of which:

watch list

of which:

≥30 days 

past due

On-and off-balance sheet 

(220)

(158)

(22)

(39)

of which: Private clients with mortgages

(71)

(54)

0

(17)

of which: Real estate financing

(43)

(38)

0

(4)

of which: Large corporate clients

(55)

(40)

(15)

0

of which: SME clients

(30)

(19)

(7)

(4)

of which: Financial intermediaries and hedge funds

(6)

(6)

0

0

of which: Loans to financial advisors

(3)

0

0

(3)

of which: Credit cards

(11)

0

0

(11)

of which: Other

(1)

(1)

0

0

Disclosure Of Maximum Exposure To Credit Risk Explanatory

Maximum exposure to credit risk 

31.12.21

Collateral

1,2

Credit enhancements

1

Exposure to

credit risk

after collateral

and credit

enhancements

USD billion

Maximum

exposure to

credit risk

Cash

collateral

received

Collateralized

by securities

Secured by

real estate

Other

collateral

3

Netting

Credit

derivative

contracts

Guarantees 

Financial assets measured at 

amortized cost on the balance sheet

Cash and balances at central banks

192.8

192.8

Loans and advances to banks

4

15.5

0.1

0.1

15.3

Receivables from securities financing transactions

75.0

0.0

68.0

6.9

0.0

Cash collateral receivables on derivative instruments

5,6

30.5

18.4

12.1

Loans and advances to customers

7

397.8

37.5

128.7

191.3

20.2

4.0

16.2

Other financial assets measured at amortized cost

26.2

0.2

0.1

 0.0

1.3

24.6

Total financial assets measured at amortized cost

737.8

37.7

196.9

191.3

28.4

18.4

0.0

4.0

261.0

Financial assets measured at fair value 

through other comprehensive income – debt

8.8

8.8

Total maximum exposure to credit risk 

reflected on the balance sheet in scope of ECL

746.6

37.7

196.9

191.3

28.4

18.4

0.0

4.0

269.8

Guarantees

8

20.9

1.3

6.5

0.2

2.5

2.3

8.1

Loan commitments

8

39.4

0.5

4.0

2.4

7.3

0.3

1.7

23.1

Forward starting transactions, reverse repurchase

and securities borrowing agreements

1.4

1.4

0.0

Committed unconditionally revocable credit lines

40.7

0.3

9.0

6.2

3.9

0.5

20.9

Total maximum exposure to credit risk not 

reflected on the balance sheet, in scope of ECL

102.5

2.2

20.9

8.7

13.7

0.0

0.3

4.5

52.1

31.12.20

Collateral

1,2

Credit enhancements

1

Exposure to

credit risk

after collateral

and credit

enhancements

USD billion

Maximum

exposure to

credit risk

Cash

collateral

received

Collateralized

by securities

Secured by

real estate

Other

collateral

3

Netting

Credit

derivative

contracts

Guarantees 

Financial assets measured at 

amortized cost on the balance sheet

Cash and balances at central banks

158.2

158.2

Loans and advances to banks

4

15.4

0.1

15.3

Receivables from securities financing transactions

74.2

0.0

67.1

7.0

0.0

Cash collateral receivables on derivative instruments

5,6

32.7

21.1

11.6

Loans and advances to customers

7

379.5

25.8

118.2

194.6

21.7

4.4

14.8

Other financial assets measured at amortized cost

27.2

0.1

0.2

1.3

25.5

Total financial assets measured at amortized cost

687.3

26.0

185.7

194.6

30.1

21.1

0.0

4.4

225.5

Financial assets measured at fair value 

through other comprehensive income – debt

8.3

8.3

Total maximum exposure to credit risk 

reflected on the balance sheet in scope of ECL

695.6

26.0

185.7

194.6

30.1

21.1

0.0

4.4

233.7

Guarantees

8

17.0

0.7

5.0

0.2

1.7

2.5

7.0

Loan commitments

8

41.2

0.0

4.2

2.1

6.8

0.4

2.4

25.3

Forward starting transactions, reverse repurchase

and securities borrowing agreements

3.2

3.2

0.0

Committed unconditionally revocable credit lines

40.1

0.1

10.3

6.2

2.7

0.0

20.7

Total maximum exposure to credit risk not 

reflected on the balance sheet, in scope of ECL

101.6

0.8

22.7

8.5

11.2

0.0

0.4

4.9

53.0

1 Of which: USD

1,443

 million for 31 December 2021 (31 December 2020: USD

1,983

 million) relates to total credit-impaired financial assets measured at amortized cost and USD

130

 million for 31 December 2021

(31 December 2020: USD

154

 million) to total off-balance sheet financial instruments and credit lines for credit-impaired positions. 2 Collateral arrangements generally incorporate a range of collateral, including

cash, securities, real estate and other collateral. UBS applies a risk-based approach that generally prioritizes collateral according to its liquidity profile. 3 Includes but is not limited to life insurance contracts, inventory,

mortgage loans, gold and other commodities. 4 Loans and advances to banks include amounts held with third-party banks on behalf of clients. The credit risk associated with these balances may be borne by those

clients. 5 Included within Cash collateral receivables on derivative instruments are margin balances due from exchanges or clearing houses. Some of these margin balances reflect amounts transferred on behalf of

clients who retain the associated credit risk. 6 The amount shown in the “Netting” column represents the netting potential not recognized on the balance sheet. Refer to Note 22 for more information. 7 In 2021,

the collateral allocation was updated to reflect additional cash collateral and custody accounts that are also available as security for certain on-balance sheet lending. This resulted in an increase in loans secured by

cash, with an offsetting reduction in loans secured by real estate and loans secured by securities. 8 The amount shown in the “Guarantees” column includes sub-participations.

Disclosure Of Internal Credit Exposures Explanatory

Financial assets subject to credit risk by rating category

USD million

31.12.21

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total gross

carrying

amount

ECL

allowances

Net carrying

amount

(maximum

exposure to

credit risk)

Financial assets measured at amortized cost

Cash and balances at central banks

191,015

1,802

0

0

0

0

192,817

0

192,817

of which: stage 1

191,015

1,802

0

0

0

0

192,817

0

192,817

Loans and advances to banks

407

12,623

1,171

795

490

1

15,488

(8)

15,480

of which: stage 1

407

12,623

1,146

795

488

0

15,460

(7)

15,453

of which: stage 2

0

0

24

0

2

0

27

(1)

26

of which: stage 3

0

0

0

0

0

1

1

0

1

Receivables from securities financing transactions 

34,386

11,267

10,483

17,440

1,439

0

75,014

(2)

75,012

of which: stage 1

34,386

11,267

10,483

17,440

1,439

0

75,014

(2)

75,012

Cash collateral receivables on derivative instruments

7,466

13,476

5,878

3,647

47

0

30,514

0

30,514

of which: stage 1

7,466

13,476

5,878

3,647

47

0

30,514

0

30,514

Loans and advances to customers

5,295

232,233

67,620

69,892

21,423

2,148

398,611

(850)

397,761

of which: stage 1

5,295

231,153

65,084

62,796

16,362

0

380,690

(126)

380,564

of which: stage 2

0

1,080

2,536

7,096

5,061

0

15,773

(152)

15,620

of which: stage 3

0

0

0

0

0

2,148

2,148

(572)

1,577

Other financial assets measured at amortized cost

12,564

6,702

321

6,072

394

264

26,318

(109)

26,209

of which: stage 1

12,564

6,693

307

5,863

317

0

25,745

(27)

25,718

of which: stage 2

0

10

13

209

77

0

309

(7)

302

of which: stage 3

0

0

0

0

0

264

264

(76)

189

Total financial assets measured at amortized cost

251,133

278,103

85,472

97,846

23,793

2,414

738,762

(969)

737,794

On-balance sheet financial instruments

Financial assets measured at FVOCI – debt instruments

3,996

4,771

0

77

0

0

8,844

0

8,844

Total on-balance sheet financial instruments

255,130

282,874

85,472

97,923

23,793

2,414

747,606

(969)

746,638

Financial assets subject to credit risk by rating category

USD million

31.12.20

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total gross

carrying

amount

ECL

allowances

Net carrying

amount

(maximum

exposure to

credit risk)

Financial assets measured at amortized cost

Cash and balances at central banks

156,250

1,981

0

0

0

0

158,231

0

158,231

of which: stage 1

156,250

1,981

0

0

0

0

158,231

0

158,231

Loans and advances to banks

543

12,129

1,344

1,182

260

1

15,460

(16)

15,444

of which: stage 1

543

12,074

1,277

1,145

231

0

15,269

(9)

15,260

of which: stage 2

0

55

67

37

29

0

189

(5)

184

of which: stage 3

0

0

0

0

0

1

1

(1)

0

Receivables from securities financing transactions 

22,998

16,009

15,367

17,995

1,842

0

74,212

(2)

74,210

of which: stage 1

22,998

16,009

15,367

17,995

1,842

0

74,212

(2)

74,210

Cash collateral receivables on derivative instruments

8,196

13,477

7,733

3,243

88

0

32,737

0

32,737

of which: stage 1

8,196

13,477

7,733

3,243

88

0

32,737

0

32,737

Loans and advances to customers

5,813

214,307

67,270

69,217

21,038

2,943

380,589

(1,060)

379,528

of which: stage 1

5,813

212,970

63,000

59,447

15,860

0

357,090

(142)

356,948

of which: stage 2

0

1,338

4,269

9,770

5,178

0

20,556

(215)

20,341

of which: stage 3

0

0

0

0

0

2,943

2,943

(703)

2,240

Other financial assets measured at amortized cost

15,404

4,018

280

6,585

481

560

27,327

(133)

27,194

of which: stage 1

15,404

4,015

269

6,334

389

0

26,410

(34)

26,377

of which: stage 2

0

3

11

251

91

0

357

(9)

348

of which: stage 3

0

0

0

0

0

560

560

(90)

469

Total financial assets measured at amortized cost

209,204

261,922

91,993

98,223

23,709

3,505

688,556

(1,211)

687,345

On-balance sheet financial instruments

Financial assets measured at FVOCI – debt instruments

3,212

5,014

0

32

0

0

8,258

0

8,258

Total on-balance sheet financial instruments

212,417

266,936

91,993

98,255

23,709

3,505

696,815

(1,211)

695,603

Disclosure Of Off Balance Sheet Positions By Rating Category Explanatory

Off-balance sheet positions subject to expected credit loss by rating category

USD million

31.12.21

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total off -

balance sheet

exposure

(maximum

exposure to

credit risk)

ECL provisions

Off-balance sheet financial instruments

Guarantees 

4,457

7,064

4,535

3,757

1,009

150

20,972

(41)

of which: stage 1

4,457

7,037

4,375

3,075

752

0

19,695

(18)

of which: stage 2

0

27

160

682

258

0

1,127

(8)

of which: stage 3

0

0

0

0

0

150

150

(15)

Irrevocable loan commitments

2,797

14,183

7,651

8,298

6,502

46

39,478

(114)

of which: stage 1

2,797

13,917

7,416

7,127

5,840

0

37,097

(72)

of which: stage 2

0

266

235

1,171

663

0

2,335

(42)

of which: stage 3

0

0

0

0

0

46

46

0

Forward starting reverse repurchase and securities borrowing agreements

0

0

55

1,389

0

0

1,444

0

Total off-balance sheet financial instruments

7,254

21,247

12,241

13,444

7,512

196

61,894

(155)

Credit lines

Committed unconditionally revocable credit lines

2,636

15,594

8,627

9,752

4,107

63

40,778

(38)

of which: stage 1

2,636

15,250

8,304

8,346

3,671

0

38,207

(28)

of which: stage 2

0

344

323

1,406

436

0

2,508

(10)

of which: stage 3

0

0

0

0

0

63

63

0

Irrevocable committed prolongation of existing loans

17

2,438

1,422

1,084

602

48

5,611

(3)

of which: stage 1

17

2,438

1,422

1,082

568

0

5,527

(3)

of which: stage 2

0

0

0

1

34

0

36

0

of which: stage 3

0

0

0

0

0

48

48

0

Total credit lines

2,653

18,032

10,049

10,836

4,709

111

46,390

(41)

1 Refer to the “Internal UBS rating scale and mapping of external ratings” table in the “Risk management and control” section of this report for more information on rating categories.

Off-balance sheet positions subject to expected credit loss by rating category

USD million

31.12.20

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total off -

balance sheet

exposure

(maximum

exposure to

credit risk)

ECL provisions

Off-balance sheet financial instruments

Guarantees 

3,482

4,623

3,522

4,293

991

170

17,081

(63)

of which: stage 1

3,482

4,219

2,688

3,558

739

0

14,687

(14)

of which: stage 2

0

404

834

736

252

0

2,225

(15)

of which: stage 3

0

0

0

0

0

170

170

(34)

Irrevocable loan commitments

3,018

14,516

8,583

9,302

5,850

104

41,372

(142)

of which: stage 1

3,018

13,589

6,873

8,739

4,676

0

36,894

(74)

of which: stage 2

0

927

1,711

563

1,174

0

4,374

(68)

of which: stage 3

0

0

0

0

0

104

104

0

Forward starting reverse repurchase and securities borrowing agreements

82

150

0

3,015

0

0

3,247

0

Total off-balance sheet financial instruments

6,583

19,289

12,105

16,610

6,840

273

61,700

(205)

Credit lines

Committed unconditionally revocable credit lines

574

13,505

5,958

8,488

11,501

108

40,134

(50)

of which: stage 1

574

12,940

4,517

6,609

10,593

0

35,233

(29)

of which: stage 2

0

565

1,441

1,879

908

0

4,792

(21)

of which: stage 3

0

0

0

0

0

108

108

0

Irrevocable committed prolongation of existing loans

14

1,349

931

632

357

0

3,282

(2)

of which: stage 1

14

1,349

930

630

355

0

3,277

(2)

of which: stage 2

0

1

1

2

1

0

5

0

of which: stage 3

0

0

0

0

0

0

0

0

Total credit lines

588

14,854

6,889

9,119

11,858

109

43,416

(52)

1 Refer to the “Internal UBS rating scale and mapping of external ratings” table in the “Risk management and control” section of this report for more information on rating categories.

Scenario Sensitivity Analysis Explanatory

Actual ECL

allowances and

provisions,

including staging

(as per Note 9)

 Pro forma ECL allowances and provisions, including staging

 and assuming application of 100% scenario weighting 

Pro forma ECL

allowances and

provisions,

assuming all

positions being

subject to lifetime

ECL 

Scenarios

Weighted average

100% Baseline

100% Upside

100% Mild

downside

100% Severe

downside

Weighted average

USD million, except where indicated

Segmentation

Private clients with mortgages

(95)

(53)

(52)

(119)

(207)

(277)

Real estate financing

(62)

(50)

(48)

(101)

(97)

(118)

Large corporate clients

(150)

(116)

(107)

(148)

(244)

(257)

SME clients

(65)

(56)

(55)

(71)

(91)

(117)

Other segments

(130)

(112)

(108)

(135)

(166)

(291)

Total

(503)

(387)

(370)

(574)

(806)

(1,060)

Scenario Sensitivity Analysis Calculation Change Explanatory

USD million

Baseline

Upside

Mild downside

Severe downside

Weighted average 

Change in key parameters

Fixed income: Government bonds (absolute change)

–0.50%

(1)

0

(29)

(9)

(4)

+0.50%

1

1

39

11

5

+1.00%

4

2

88

23

14

Unemployment rate (absolute change)

–1.00%

(2)

(2)

(30)

(48)

(13)

–0.50%

(1)

(1)

(17)

(27)

(7)

+0.50%

1

1

21

31

8

+1.00%

3

2

47

68

18

Real GDP growth (relative change)

–2.00%

4

2

8

17

10

–1.00%

2

1

4

8

5

+1.00%

(1)

0

(10)

(8)

(4)

+2.00%

(2)

0

(14)

(16)

(7)

House Price Index (relative change)

–5.00%

6

4

50

73

24

–2.50%

3

2

24

34

12

+2.50%

(2)

(1)

(26)

(31)

(11)

+5.00%

(4)

(3)

(46)

(31)

(13)

Equity (S&P500, EuroStoxx, SMI) (relative change)

–10.00%

2

2

5

6

5

–5.00%

1

0

2

3

2

+5.00%

(1)

0

(2)

(3)

(2)

+10.00%

(2)

0

(4)

(6)

(3)

UBS AG

Entity [Table]

Disclosure Of Credit Loss Expense Recovery Explanatory

Credit loss (expense) / release

USD million

Global 

Wealth 

Management

Personal & 

Corporate 

Banking

Asset

Management

Investment 

Bank

Group 

Functions

Total

For the year ended 31.12.21

Stages 1 and 2

28

62

0

34

0

123

Stage 3

1

24

(1)

0

0

25

Total credit loss (expense) / release

29

86

(1)

34

0

148

For the year ended 31.12.20

Stages 1 and 2

(48)

(129)

0

(88)

0

(266)

Stage 3

(40)

(128)

(2)

(217)

(42)

(429)

Total credit loss (expense) / release

(88)

(257)

(2)

(305)

(42)

(695)

For the year ended 31.12.19

Stages 1 and 2

3

23

0

(4)

0

22

Stage 3

(23)

(44)

0

(26)

(7)

(100)

Total credit loss (expense) / release

(20)

(21)

0

(30)

(7)

(78)

Disclosure Of Key Macro Economic Variables Explanatory

Scenario assumptions

One year 

Three years cumulative 

31.12.21

Upside

Baseline

Mild

downside

Severe

downside

Upside

Baseline

Mild

downside

Severe

downside

Real GDP growth (% change)

United States

9.1

4.4

(0.1)

(5.9)

17.8

10.1

1.8

(3.8)

Eurozone

9.4

3.9

(0.1)

(8.7)

17.3

7.5

0.9

(10.3)

Switzerland

5.5

2.4

(0.9)

(6.6)

13.1

5.8

(0.1)

(5.7)

Consumer price index (% change)

United States

3.1

2.2

5.7

(1.2)

9.5

6.3

13.0

0.4

Eurozone

2.3

1.4

4.2

(1.3)

8.0

4.8

10.4

(1.7)

Switzerland

1.8

0.3

3.5

(1.8)

6.1

1.7

9.0

(1.6)

Unemployment rate (end-of-period level, %)

United States

3.0

3.9

6.1

10.9

3.0

3.5

7.2

10.8

Eurozone

6.2

7.4

8.7

12.9

6.0

7.2

9.1

15.1

Switzerland

2.3

2.5

3.4

5.2

1.6

2.3

4.2

5.9

Fixed income: 10-year government bonds (change in yields, basis points)

USD

50.0

16.5

259.2

(50.0)

170.0

41.2

329.2

(15.0)

EUR

40.0

11.1

283.8

(35.0)

140.0

34.9

349.3

(25.0)

CHF

50.0

12.1

245.5

(70.0)

150.0

34.4

307.3

(35.0)

Equity indices (% change)

S&P 500

12.0

14.1

(27.0)

(50.2)

35.5

24.7

(21.8)

(40.1)

EuroStoxx 50

16.0

12.3

(23.4)

(57.6)

41.6

20.7

(19.9)

(50.4)

SPI

14.0

12.1

(22.9)

(53.6)

37.9

19.1

(19.6)

(44.2)

Swiss real estate (% change)

Single-Family Homes 

5.1

4.4

(4.3)

(17.0)

15.5

7.4

(8.8)

(30.0)

Other real estate (% change)

United States (S&P / Case-Shiller)

10.0

3.5

(2.3)

(9.5)

21.7

7.1

(8.7)

(26.3)

Eurozone (House Price Index)

8.4

5.1

(4.0)

(5.4)

17.8

9.6

(7.6)

(10.8)

Scenario assumptions

One year 

Three years cumulative 

31.12.20

Baseline

Severe downside

Baseline

Severe downside

Real GDP growth (% change)

United States

2.7

(5.9)

9.1

(3.8)

Eurozone

2.5

(8.7)

9.9

(10.3)

Switzerland

3.3

(6.6)

9.0

(5.7)

Consumer price index (% change)

United States

1.7

(1.2)

5.5

0.4

Eurozone

1.4

(1.3)

3.9

(1.7)

Switzerland

0.3

(1.8)

0.9

(1.6)

Unemployment rate (end-of-period level, %)

United States

5.5

12.1

4.5

9.9

Eurozone

9.5

14.1

8.0

16.4

Switzerland

3.8

6.1

3.2

6.8

Fixed income: 10-year government bonds (change in yields, basis points)

USD

22.0

(50.0)

46.0

(15.0)

EUR

4.0

(35.0)

21.0

(25.0)

CHF

13.0

(70.0)

31.0

(35.0)

Equity indices (% change)

S&P 500

(2.9)

(50.2)

(1.7)

(40.1)

EuroStoxx 50

3.8

(57.6)

13.5

(50.4)

SPI

(0.8)

(53.6)

5.8

(44.2)

Swiss real estate (% change)

Single-Family Homes 

3.4

(17.0)

7.1

(30.0)

Other real estate (% change)

United States (S&P / Case-Shiller)

2.5

(15.3)

9.2

(28.7)

Eurozone (House Price Index)

1.1

(22.9)

7.2

(35.4)

Disclosure Of Credit Risk Exposure Movement Explanatory

Development of ECL allowances and provisions

USD million

Total

Stage 1

Stage 2

Stage 3

Balance as of 31 December 2020

(1,468)

(306)

(333)

(829)

Net movement from new and derecognized transactions

1

(59)

(72)

13

0

of which: Private clients with mortgages

(7)

(10)

3

0

of which: Real estate financing

(7)

(11)

4

0

of which: Large corporate clients

(13)

(21)

7

0

of which: SME clients

(8)

(8)

0

0

of which: Other

(24)

(23)

(2)

0

 of which: Financial intermediaries and hedge funds

(21)

(18)

(4)

0

 of which: Loans to financial advisors

0

(1)

1

0

Remeasurements with stage transfers

2

(40)

8

0

(49)

of which: Private clients with mortgages

(9)

4

(13)

0

of which: Real estate financing

(3)

1

(4)

0

of which: Large corporate clients

2

(2)

12

(8)

of which: SME clients

(27)

5

4

(36)

of which: Other

(3)

0

2

(4)

 of which: Financial intermediaries and hedge funds

2

(1)

3

0

 of which: Loans to financial advisors

0

1

(1)

0

Remeasurements without stage transfers

3

203

55

74

74

of which: Private clients with mortgages

33

8

26

(1)

of which: Real estate financing

30

13

13

3

of which: Large corporate clients

44

5

21

17

of which: SME clients

53

(1)

1

53

of which: Other

44

29

14

2

 of which: Financial intermediaries and hedge funds

27

15

12

0

 of which: Loans to financial advisors

6

8

1

(3)

Model changes

4

45

29

16

0

Movements with profit or loss impact

5

148

19

104

25

Movements without profit or loss impact (write-off, FX and other)

6

154

5

9

141

Balance as of 31 December 2021

(1,165)

(282)

(220)

(662)

1 Represents the increase and decrease in allowances and provisions resulting from financial instruments (including guarantees and facilities) that were newly originated, purchased or renewed and from the final

derecognition of loans or facilities on their maturity date or earlier. 2 Represents the remeasurement between 12-month and lifetime ECL due to stage transfers. 3 Represents the change in allowances and provisions

related to changes in model inputs or assumptions, including changes in forward -looking macroeconomic conditions, changes in the exposure profile, PD and LGD changes, and unwinding of the time value. 

4 Represents the change in the allowances and provisions related to changes in models and methodologies. 5 Includes ECL movements from new and derecognized transactions, remeasurement changes, model and

methodology changes. 6 Represents the decrease in allowances and provisions resulting from write-offs of the ECL allowance against the gross carrying amount when all or part of a financial asset is deemed

uncollectible or forgiven and movements in foreign exchange rates.

Development of ECL allowances and provisions

USD million

Total

Stage 1

Stage 2

Stage 3

Balance as of 31 December 2019

(1,029)

(181)

(160)

(688)

Net movement from new and derecognized transactions

1

(28)

(90)

17

46

of which: Private clients with mortgages

(2)

(3)

2

0

of which: Real estate financing

(3)

(5)

2

0

of which: Large corporate clients

(32)

(29)

(4)

0

of which: SME clients

(16)

(14)

(3)

0

of which: Other

26

(39)

20

46

 of which: Securities financing transactions REIT

32

(1)

15

17

 of which: Loans to financial advisors

9

(1)

9

0

 of which: Lombard loans

23

(6)

0

29

 of which Financial intermediaries 

(20)

(15)

(5)

0

Remeasurements with stage transfers

2

(427)

45

(134)

(338)

of which: Private clients with mortgages

(19)

(2)

(17)

0

of which: Real estate financing

(6)

3

(9)

0

of which: Large corporate clients

(224)

34

(83)

(175)

of which: SME clients

(43)

(1)

(11)

(31)

of which: Other

(134)

11

(14)

(131)

 of which: Securities financing transactions REIT

(36)

0

(18)

(19)

 of which: Loans to financial advisors

(12)

7

(7)

(11)

 of which: Lombard loans

(36)

0

0

(36)

 of which Commodity trade finance

(59)

0

0

(59)

Remeasurements without stage transfers

3

(271)

(88)

(47)

(136)

of which: Private clients with mortgages

(34)

(19)

(8)

(7)

of which: Real estate financing

(14)

(4)

(11)

1

of which: Large corporate clients

(149)

(53)

(17)

(79)

of which: SME clients

(13)

0

(7)

(6)

of which: Other

(60)

(11)

(4)

(44)

 of which: Loans to financial advisors

(18)

(12)

(3)

(3)

 of which: Lombard loans

(3)

6

0

(9)

 of which: Credit cards

(12)

0

0

(12)

Model changes

4

32

21

11

0

Movements with profit or loss impact

5

(694)

(112)

(154)

(429)

Movements without profit or loss impact (write-off, FX and other)

6

254

(14)

(19)

287

Balance as of 31 December 2020

(1,468)

(306)

(333)

(829)

1 Represents the increase and decrease in allowances and provisions resulting from financial instruments (including guarantees and facilities) that were newly originated, purchased or renewed and from the final

derecognition of loans or facilities on their maturity date or earlier. 2 Represents the remeasurement between 12-month and lifetime ECL due to stage transfers. 3 Represents the change in allowances and provisions

related to changes in model inputs or assumptions, including changes in forward -looking macroeconomic conditions, changes in the exposure profile, PD and LGD changes, and unwinding of the time value. 

4 Represents the change in the allowances and provisions related to changes in models and methodologies. 5 Includes ECL movements from new and derecognized transactions, remeasurement changes, model and

methodology changes. 6 Represents the decrease in allowances and provisions resulting from write-offs of the ECL allowance against the gross carrying amount when all or part of a financial asset is deemed

uncollectible or forgiven and movements in foreign exchange rates.

Disclosure Of Credit Risk Exposure Categories Explanatory

ECL stage 2 ("significant deterioration in credit risk”) allowances / provisions as of 31 December 2021 – classification by trigger

USD million

Stage 2

of which:

PD layer

of which:

watch list

of which:

≥30 days 

past due

On-and off-balance sheet 

(220)

(158)

(22)

(39)

of which: Private clients with mortgages

(71)

(54)

0

(17)

of which: Real estate financing

(43)

(38)

0

(4)

of which: Large corporate clients

(55)

(40)

(15)

0

of which: SME clients

(30)

(19)

(7)

(4)

of which: Financial intermediaries and hedge funds

(6)

(6)

0

0

of which: Loans to financial advisors

(3)

0

0

(3)

of which: Credit cards

(11)

0

0

(11)

of which: Other

(1)

(1)

0

0

Disclosure Of Maximum Exposure To Credit Risk Explanatory

Maximum exposure to credit risk 

31.12.21

Collateral

1,2

Credit enhancements

1

Exposure to

credit risk

after collateral

and credit

enhancements

USD billion

Maximum

exposure to

credit risk

Cash

collateral

received

Collateralized

by securities

Secured by

real estate

Other

collateral

3

Netting

Credit

derivative

contracts

Guarantees 

Financial assets measured at 

amortized cost on the balance sheet

Cash and balances at central banks

192.8

192.8

Loans and advances to banks

4

15.4

0.1

0.1

15.1

Receivables from securities financing transactions

75.0

0.0

68.0

6.9

0.0

Cash collateral receivables on derivative instruments

5,6

30.5

18.4

12.1

Loans and advances to customers

7

398.7

38.2

128.7

191.3

20.2

4.0

16.4

Other financial assets measured at amortized cost

26.2

0.2

0.1

0.0

1.3

24.7

Total financial assets measured at amortized cost

738.6

38.4

196.9

191.3

28.4

18.4

0.0

4.0

261.1

Financial assets measured at fair value 

through other comprehensive income – debt

8.8

8.8

Total maximum exposure to credit risk 

reflected on the balance sheet in scope of ECL

747.5

38.4

196.9

191.3

28.4

18.4

0.0

4.0

270.0

Guarantees

8

20.9

1.3

6.5

0.2

2.5

2.3

8.1

Loan commitments

8

39.4

0.5

4.0

2.4

7.3

0.3

1.7

23.1

Forward starting transactions, reverse repurchase

and securities borrowing agreements

1.4

1.4

0.0

Committed unconditionally revocable credit lines

42.3

0.3

9.0

6.2

3.9

0.5

22.5

Total maximum exposure to credit risk not 

reflected on the balance sheet, in scope of ECL

104.1

2.2

20.9

8.7

13.7

0.0

0.3

4.5

53.7

31.12.20

Collateral

1,2

Credit enhancements

1

Exposure to

credit risk

after collateral

and credit

enhancements

USD billion

Maximum

exposure to

credit risk

Cash

collateral

received

Collateralized

by securities

Secured by

real estate

Other

collateral

3

Netting

Credit

derivative

contracts

Guarantees 

Financial assets measured at 

amortized cost on the balance sheet

Cash and balances at central banks

158.2

158.2

Loans and advances to banks

4

15.3

0.1

15.2

Receivables from securities financing transactions

74.2

0.0

67.1

7.0

0.0

Cash collateral receivables on derivative instruments

5,6

32.7

21.1

11.6

Loans and advances to customers

7

381.0

27.0

118.2

194.6

21.7

0.0

4.4

15.1

Other financial assets measured at amortized cost

27.2

0.1

0.2

0.0

1.3

25.5

Total financial assets measured at amortized cost

688.7

27.2

185.7

194.6

30.1

21.1

0.0

4.4

225.6

Financial assets measured at fair value 

through other comprehensive income – debt

8.3

8.3

Total maximum exposure to credit risk 

reflected on the balance sheet in scope of ECL

697.0

27.2

185.7

194.6

30.1

21.1

0.0

4.4

233.9

Guarantees

8

17.0

0.7

5.0

0.2

1.7

2.5

7.0

Loan commitments

8

41.2

0.0

4.2

2.1

6.8

0.4

2.4

25.3

Forward starting transactions, reverse repurchase

and securities borrowing agreements

3.2

3.2

0.0

Committed unconditionally revocable credit lines

42.0

0.1

10.3

6.2

2.7

0.0

22.7

Total maximum exposure to credit risk not 

reflected on the balance sheet, in scope of ECL

103.5

0.8

22.7

8.5

11.2

0.0

0.4

4.9

54.9

1 Of which: USD

1,443

 million for 31 December 2021 (31 December 2020: USD

1,983

 million) relates to total credit-impaired financial assets measured at amortized cost and USD

130

 million for 31 December 2021

(31 December 2020: USD

154

 million) to total off-balance sheet financial instruments and credit lines for credit-impaired positions. 2 Collateral arrangements generally incorporate a range of collateral, including

cash, securities, real estate and other collateral. UBS AG applies a risk-based approach that generally prioritizes collateral according to its liquidity profile. 3 Includes but is not limited to life insurance contracts,

inventory, mortgage loans, gold and other commodities. 4 Loans and advances to banks include amounts held with third-party banks on behalf of clients. The credit risk associated with these balances may be borne

by those clients. 5 Included within Cash collateral receivables on derivative instruments are margin balances due from exchanges or clearing houses. Some of these margin balances reflect amounts transferred on

behalf of clients who retain the associated credit risk. 6 The amount shown in the “Netting” column represents the netting potential not recognized on the balance sheet. Refer to Note 22 for more

information. 7 In 2021, the collateral allocation was updated to reflect additional cash collateral and custody accounts that are also available as security for certain on-balance sheet lending. This resulted in an

increase in loans secured by cash, with an offsetting reduction in loans secured by real estate and loans secured by securities. 8 The amount shown in the “Guarantees” column includes sub-participations.

Disclosure Of Internal Credit Exposures Explanatory

Financial assets subject to credit risk by rating category

USD million

31.12.21

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total gross

carrying

amount

ECL

allowances

Net carrying

amount

(maximum

exposure to

credit risk)

Financial assets measured at amortized cost

Cash and balances at central banks

191,015

1,802

0

0

0

0

192,817

0

192,817

of which: stage 1

191,015

1,802

0

0

0

0

192,817

0

192,817

Loans and advances to banks

407

12,552

1,123

795

490

1

15,368

(8)

15,360

of which: stage 1

407

12,552

1,098

795

488

0

15,340

(7)

15,333

of which: stage 2

0

0

24

0

2

0

27

(1)

26

of which: stage 3

0

0

0

0

0

1

1

0

1

Receivables from securities financing transactions 

34,386

11,267

10,483

17,440

1,439

0

75,014

(2)

75,012

of which: stage 1

34,386

11,267

10,483

17,440

1,439

0

75,014

(2)

75,012

Cash collateral receivables on derivative instruments

7,466

13,476

5,878

3,647

47

0

30,514

0

30,514

of which: stage 1

7,466

13,476

5,878

3,647

47

0

30,514

0

30,514

Loans and advances to customers

5,295

232,663

67,620

70,394

21,423

2,148

399,543

(850)

398,693

of which: stage 1

5,295

231,583

65,083

63,298

16,362

0

381,622

(126)

381,496

of which: stage 2

0

1,080

2,536

7,096

5,061

0

15,773

(152)

15,620

of which: stage 3

0

0

0

0

0

2,148

2,148

(572)

1,577

Other financial assets measured at amortized cost

12,564

6,705

321

6,097

394

264

26,346

(109)

26,236

of which: stage 1

12,564

6,696

307

5,887

317

0

25,772

(27)

25,746

of which: stage 2

0

10

13

209

77

0

309

(7)

302

of which: stage 3

0

0

0

0

0

264

264

(76)

189

Total financial assets measured at amortized cost

251,133

278,465

85,424

98,372

23,793

2,414

739,601

(969)

738,632

On-balance sheet financial instruments

Financial assets measured at FVOCI – debt instruments

3,996

4,771

0

77

0

0

8,844

0

8,844

Total on-balance sheet financial instruments

255,130

283,236

85,424

98,449

23,793

2,414

748,445

(969)

747,477

Financial assets subject to credit risk by rating category

USD million

31.12.20

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total gross

carrying

amount

ECL

allowances

Net carrying

amount

(maximum

exposure to

credit risk)

Financial assets measured at amortized cost

Cash and balances at central banks

156,250

1,981

0

0

0

0

158,231

0

158,231

of which: stage 1

156,250

1,981

0

0

0

0

158,231

0

158,231

Loans and advances to banks

543

12,029

1,344

1,182

260

1

15,360

(16)

15,344

of which: stage 1

543

11,974

1,277

1,145

231

0

15,170

(9)

15,160

of which: stage 2

0

55

67

37

29

0

189

(5)

184

of which: stage 3

0

0

0

0

0

1

1

(1)

0

Receivables from securities financing transactions 

22,998

16,009

15,367

17,995

1,842

0

74,212

(2)

74,210

of which: stage 1

22,998

16,009

15,367

17,995

1,842

0

74,212

(2)

74,210

Cash collateral receivables on derivative instruments

8,196

13,477

7,733

3,243

88

0

32,737

0

32,737

of which: stage 1

8,196

13,477

7,733

3,243

88

0

32,737

0

32,737

Loans and advances to customers

5,813

215,755

67,270

69,217

21,038

2,943

382,036

(1,060)

380,977

of which: stage 1

5,813

214,418

63,000

59,447

15,860

0

358,538

(142)

358,396

of which: stage 2

0

1,338

4,269

9,770

5,178

0

20,556

(215)

20,341

of which: stage 3

0

0

0

0

0

2,943

2,943

(703)

2,240

Other financial assets measured at amortized cost

15,404

4,043

280

6,585

481

560

27,352

(133)

27,219

of which: stage 1

15,404

4,040

269

6,334

389

0

26,435

(34)

26,401

of which: stage 2

0

3

11

251

91

0

357

(9)

348

of which: stage 3

0

0

0

0

0

560

560

(90)

469

Total financial assets measured at amortized cost

209,204

263,295

91,993

98,223

23,709

3,505

689,929

(1,211)

688,717

On-balance sheet financial instruments

Financial assets measured at FVOCI – debt instruments

3,212

5,014

0

32

0

0

8,258

0

8,258

Total on-balance sheet financial instruments

212,417

268,309

91,993

98,255

23,709

3,505

698,187

(1,211)

696,976

Disclosure Of Off Balance Sheet Positions By Rating Category Explanatory

Off-balance sheet positions subject to expected credit loss by rating category

USD million

31.12.21

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total off -

balance sheet

exposure

(maximum

exposure to

credit risk)

ECL provisions

Off-balance sheet financial instruments

Guarantees 

4,457

7,064

4,535

3,757

1,009

150

20,972

(41)

of which: stage 1

4,457

7,037

4,375

3,075

752

0

19,695

(18)

of which: stage 2

0

27

160

682

258

0

1,127

(8)

of which: stage 3

0

0

0

0

0

150

150

(15)

Irrevocable loan commitments

2,797

14,183

7,651

8,298

6,502

46

39,478

(114)

of which: stage 1

2,797

13,917

7,416

7,127

5,840

0

37,097

(72)

of which: stage 2

0

266

235

1,171

663

0

2,335

(42)

of which: stage 3

0

0

0

0

0

46

46

0

Forward starting reverse repurchase and securities borrowing agreements

0

0

55

1,389

0

0

1,444

0

Total off balance sheet financial instruments

7,254

21,247

12,241

13,444

7,512

196

61,894

(155)

Credit lines

Committed unconditionally revocable credit lines

2,636

16,811

8,627

10,130

4,107

63

42,373

(38)

of which: stage 1

2,636

16,467

8,304

8,724

3,671

0

39,802

(28)

of which: stage 2

0

344

323

1,406

436

0

2,508

(10)

of which: stage 3

0

0

0

0

0

63

63

0

Irrevocable committed prolongation of existing loans

17

2,438

1,422

1,084

602

48

5,611

(3)

of which: stage 1

17

2,438

1,422

1,082

568

0

5,527

(3)

of which: stage 2

0

0

0

1

34

0

36

0

of which: stage 3

0

0

0

0

0

48

48

0

Total credit lines

2,653

19,249

10,049

11,214

4,709

111

47,984

(41)

1 Refer to the “Internal UBS rating scale and mapping of external ratings” table in the “Risk management and control” section of this report for more information on rating categories.

Off-balance sheet positions subject to expected credit loss by rating category

USD million

31.12.20

Rating category

1

0–1

2–3

4–5

6–8

9–13

Credit-

impaired

(defaulted)

Total off -

balance sheet

exposure

(maximum

exposure to

credit risk)

ECL provisions

Off-balance sheet financial instruments

Guarantees 

3,482

4,623

3,522

4,293

991

170

17,081

(63)

of which: stage 1

3,482

4,219

2,688

3,558

739

0

14,687

(14)

of which: stage 2

0

404

834

736

252

0

2,225

(15)

of which: stage 3

0

0

0

0

0

170

170

(34)

Irrevocable loan commitments

3,018

14,516

8,583

9,302

5,850

104

41,372

(142)

of which: stage 1

3,018

13,589

6,873

8,739

4,676

0

36,894

(74)

of which: stage 2

0

927

1,711

563

1,174

0

4,374

(68)

of which: stage 3

0

0

0

0

0

104

104

0

Forward starting reverse repurchase and securities borrowing agreements

82

150

0

3,015

0

0

3,247

0

Total off balance sheet financial instruments

6,583

19,289

12,105

16,610

6,840

273

61,700

(205)

Credit lines

Committed unconditionally revocable credit lines

574

15,448

5,958

8,488

11,501

108

42,077

(50)

of which: stage 1

574

14,883

4,517

6,609

10,593

0

37,176

(29)

of which: stage 2

0

565

1,441

1,879

908

0

4,792

(21)

of which: stage 3

0

0

0

0

0

108

108

0

Irrevocable committed prolongation of existing loans

14

1,349

931

632

357

0

3,282

(2)

of which: stage 1

14

1,349

930

630

355

0

3,277

(2)

of which: stage 2

0

1

1

2

1

0

5

0

of which: stage 3

0

0

0

0

0

0

0

0

Total credit lines

588

16,797

6,889

9,119

11,858

109

45,359

(52)

1 Refer to the “Internal UBS rating scale and mapping of external ratings” table in the “Risk management and control” section of this report for more information on rating categories.

Scenario Sensitivity Analysis Explanatory

Actual ECL

allowances and

provisions,

including staging

(as per Note 9)

 Pro forma ECL allowances and provisions, including staging

 and assuming application of 100% scenario weighting 

Pro forma ECL

allowances and

provisions,

assuming all

positions being

subject to lifetime

ECL 

Scenarios

Weighted average

100% Baseline

100% Upside

100% Mild

downside

100% Severe

downside

Weighted average

USD million, except where indicated

Segmentation

Private clients with mortgages

(95)

(53)

(52)

(119)

(207)

(277)

Real estate financing

(62)

(50)

(48)

(101)

(97)

(118)

Large corporate clients

(150)

(116)

(107)

(148)

(244)

(257)

SME clients

(65)

(56)

(55)

(71)

(91)

(117)

Other segments

(130)

(112)

(108)

(135)

(166)

(291)

Total

(503)

(387)

(370)

(574)

(806)

(1,060)

Scenario Sensitivity Analysis Calculation Change Explanatory

USD million

Baseline

Upside

Mild downside

Severe downside

Weighted average 

Change in key parameters

Fixed income: Government bonds (absolute change)

–0.50%

(1)

0

(29)

(9)

(4)

+0.50%

1

1

39

11

5

+1.00%

4

2

88

23

14

Unemployment rate (absolute change)

–1.00%

(2)

(2)

(30)

(48)

(13)

–0.50%

(1)

(1)

(17)

(27)

(7)

+0.50%

1

1

21

31

8

+1.00%

3

2

47

68

18

Real GDP growth (relative change)

–2.00%

4

2

8

17

10

–1.00%

2

1

4

8

5

+1.00%

(1)

0

(10)

(8)

(4)

+2.00%

(2)

0

(14)

(16)

(7)

House Price Index (relative change)

–5.00%

6

4

50

73

24

–2.50%

3

2

24

34

12

+2.50%

(2)

(1)

(26)

(31)

(11)

+5.00%

(4)

(3)

(46)

(31)

(13)

Equity (S&P500, EuroStoxx, SMI) (relative change)

–10.00%

2

2

5

6

5

–5.00%

1

0

2

3

2

+5.00%

(1)

0

(2)

(3)

(2)

+10.00%

(2)

0

(4)

(6)

(3)