XML 171 R25.htm IDEA: XBRL DOCUMENT v3.24.1
Derivative instruments
 12 Months Ended
Dec. 31, 2023
Disclosure Of Derivative Financial Instruments [Line Items]  
Disclosure Of Derivative Financial Instruments Explanatory
 
Note 11
 
Derivative instruments
Overview
Over-the-counter (OTC) derivative
 
contracts are usually traded under a standardized International Swaps
 
and Derivatives
Association (ISDA) master
 
agreement or other
 
recognized local industry-standard
 
master agreements
 
between UBS and
its counterparties. Terms are negotiated directly with counterparties and the contracts have industry-standard settlement
mechanisms prescribed by ISDA
 
or similar industry-standard solutions. Other
 
OTC derivatives are cleared through
 
clearing
houses, in particular interest rate swaps with LCH,
 
where a settled-to-market method has been generally adopted, under
which
 
cash
 
collateral
 
exchanged
 
on
 
a
 
daily
 
basis
 
is
 
considered
 
to
 
legally
 
settle
 
the
 
market
 
value
 
of
 
the
 
derivatives.
Regulators
 
in
 
various
 
jurisdictions
 
have
 
introduced
 
rules
 
requiring
 
the
 
payment
 
and
 
collection
 
of
 
initial
 
and
 
variation
margins on certain OTC derivative contracts, which may
 
have a bearing on price and other relevant terms
 
.
Exchange-traded derivatives (ETD) are standardized in terms of their amounts and
 
settlement dates, and are bought and
sold
 
on
 
regulated
 
exchanges.
 
Exchanges
 
offer
 
the
 
benefits
 
of
 
pricing
 
transparency,
 
standardized
 
daily
 
settlement
 
of
changes in value and, consequently, reduced credit risk.
Most
 
of
 
the
 
Group’s
 
derivative
 
transactions
 
relate
 
to
 
sales
 
and
 
market-making
 
activity.
 
Sales
 
activities
 
include
 
the
structuring and marketing of derivative products to customers to enable them to take, transfer, modify or reduce current
or expected
 
risks. Market
 
-making aims
 
to directly
 
support the
 
facilitation and
 
execution
 
of client
 
activity, and
 
involves
quoting
 
bid
 
and
 
offer
 
prices
 
to
 
other
 
market
 
participants
 
with
 
the
 
aim
 
of
 
generating
 
revenues
 
based
 
on
 
spread
 
and
volume. The Group also uses various derivative instruments
 
for hedging purposes.
›
Refer to Notes 16 and 21 for more information about
 
derivative instruments
›
Refer to Note 26 for more information about derivatives
 
designated in hedge accounting relationships
Risks of derivative instruments
The
 
derivative
 
financial
 
assets
 
shown
 
on
 
the
 
balance
 
sheet
 
can
 
be
 
an
 
important
 
component
 
of
 
the
 
Group’s
 
credit
exposure; however, the positive replacement values related to a respective counterparty are rarely an adequate reflection
of the
 
Group’s credit
 
exposure in
 
its derivatives
 
business with
 
that counterparty.
 
This is
 
generally the
 
case because,
 
on
the one hand, replacement values can increase over time (potential future exposure), while, on the other hand,
 
exposure
may be mitigated
 
by entering
 
into master
 
netting agreements
 
and bilateral
 
collateral arrangements.
 
Both the exposure
measures used
 
internally by
 
the Group to
 
control credit
 
risk and the
 
capital requirements
 
imposed by
 
regulators reflect
these additional factors.
›
Refer to Note 22 for more information about derivative
 
financial assets and liabilities after consideration
 
of netting potential
permitted under enforceable netting arrangements
›
Refer to the “Risk management and control” section of this
 
report for more information about the risks arising from derivative
instruments
Derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31.12.23
31.12.22
USD bn
Derivative
financial
assets
Derivative
financial
liabilities
Notional
amounts related
to derivative
financial assets
and liabilities
1,2
Other
notional
amounts
1,3
Derivative
financial
assets
Derivative
financial
liabilities
Notional
amounts related
to derivative
financial assets
and liabilities
1,2
Other
notional
amounts
1,3
Interest rate
55.6
52.9
3,524.1
20,073.9
39.8
37.5
2,080.3
11,255.4
of which: forwards (OTC)
4
0.1
0.1
122.4
2,532.2
0.2
0.0
72.3
792.7
of which: swaps (OTC)
37.7
32.6
1,331.6
16,601.3
25.2
19.8
607.1
9,728.6
of which: options (OTC)
17.7
20.0
2,066.7
14.2
17.5
1,392.5
of which: futures (ETD)
843.7
606.3
of which: options (ETD)
0.0
0.0
3.4
96.1
0.0
0.0
8.3
127.7
Credit derivatives
4.0
4.7
274.9
1.0
1.2
73.9
of which: credit default swaps (OTC)
3.8
4.4
269.6
0.9
1.0
71.0
of which: total return swaps (OTC)
0.1
0.3
3.7
0.1
0.2
1.2
Foreign exchange
78.7
89.9
6,913.3
180.4
85.5
88.5
6,079.8
40.1
of which: forwards (OTC)
18.7
24.1
2,152.0
26.5
28.6
1,763.6
of which: swaps (OTC)
52.2
58.1
3,809.7
178.7
49.6
50.4
3,233.0
38.4
of which: options (OTC)
7.7
7.6
944.4
9.3
9.2
1,073.2
Equity / index
35.5
41.4
1,396.8
95.0
22.2
26.1
885.8
63.4
of which: swaps (OTC)
6.6
9.2
273.3
5.3
6.6
217.5
of which: options (OTC)
4.9
9.0
245.2
2.8
4.4
140.6
of which: futures (ETD)
86.6
52.2
of which: options (ETD)
15.4
14.3
876.6
8.5
9.0
8.1
526.7
11.2
of which: client-cleared transactions (ETD)
8.3
8.2
5.1
7.0
Commodities
2.0
1.6
142.9
16.4
1.4
1.4
132.3
17.6
of which: swaps (OTC)
0.9
0.7
50.0
0.5
0.7
38.6
of which: options (OTC)
0.6
0.3
42.3
0.4
0.3
29.1
of which: futures (ETD)
13.7
16.4
of which: forwards (ETD)
0.0
0.0
31.5
0.0
0.0
47.7
of which: client-cleared transactions (ETD)
0.2
0.3
0.2
0.3
Other
5
0.4
1.6
116.5
0.2
0.1
49.8
Total derivative instruments,
 
based on netting under IFRS Accounting Standards
6
176.1
192.2
12,368.5
20,365.8
150.1
154.9
9,301.8
11,376.5
of which: Credit Suisse
7
47.4
53.5
2,194.1
6,337.4
1 In cases where derivative financial instruments
 
are presented on a net basis on the balance
 
sheet, the respective notional amounts of the netted derivative
 
financial instruments are still presented on a gross basis.
 
2 Notional amounts of client-cleared ETD and OTC transactions through central clearing counterparties are not disclosed, as they have
 
significantly different risk profile.
 
3 Other notional amounts relate to derivatives
that are cleared through either
 
a central counterparty or an
 
exchange and settled on a
 
daily basis (except for
 
OTC derivatives settled through collateralized-to-market arrangements, which are presented under
 
Derivative
financial assets and Derivative financial liabilities). 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 any of the periods presented.
 
4 Includes certain forward starting repurchase and reverse repurchase agreements that are classified as
measured at fair value through profit or
 
loss and are recognized within derivative
 
instruments.
 
5 Includes mainly derivative loan commitments
 
measured at FVTPL, as well as unsettled
 
purchases and sales of non-
derivative financial instruments
 
for which the
 
changes in the
 
fair value between
 
trade date and
 
settlement date are
 
recognized as derivative
 
financial instruments.
 
6 Derivative 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
 
the entity
 
and all
 
of the
 
counterparties, and
 
intends either
 
to settle
 
on a
 
net basis
 
or to
 
realize the
 
asset and
 
settle the
 
liability simultaneously.
 
Refer to
 
Note 22
 
for more
 
information on
 
netting
arrangements.
 
7 Refer to Note 2 for more information about the acquisition of the Credit Suisse Group.
On
 
a
 
notional
 
amount
 
basis,
 
approximately
50
%
 
of
 
OTC
 
interest
 
rate
 
contracts
 
held
 
as
 
of
 
31 December
 
2023
(31 December 2022:
46
%) mature
 
within one year,
30
% (31 December 2022:
32
%) within one to
 
five years and
20
%
(31 December 2022:
22
%) after five years.
 
Notional amounts of interest rate contracts cleared through either a central counterparty
 
or an exchange that are legally
settled or economically
 
net settled on a
 
daily basis are
 
presented under
Other notional amounts
 
in the table
 
above and
are categorized into maturity
 
buckets on the basis
 
of contractual maturities of
 
the cleared underlying derivative
 
contracts.
Other notional
 
amounts related
 
to interest
 
rate contracts
 
increased by
 
USD
8.8
trn compared
 
with 31 December
 
2022,
mainly reflecting the
 
acquisition
 
of the Credit
 
Suisse Group and lower
 
compression activity, partly offset
 
by lower business
volume primarily due to the unwinding of Credit Suisse business.