UBS UBS Group AG

BIS regulatory key figures

CHF million, except where indicated

30.9.16

Capital information

Eligible capital

55,576

of which: common equity tier 1 capital

37,207

of which: tier 1 capital

44,061

Risk-weighted assets

219,876

Capital ratios

Common equity tier 1 capital ratio (%)

16.9

Tier 1 capital ratio (%)

20.0

Total capital ratio (%)

25.3

Leverage ratio

Leverage ratio denominator

881,717

Leverage ratio (%)

5.0

As of 30.9.16

Numbers phase-in

Effect of the

transition phase

References¹

CHF million, except where indicated

1

Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus                             

28,443

1

2

Retained earnings                                           

31,045

2

3

Accumulated other comprehensive income (and other reserves)                                      

(6,318)

3

4

Directly issued capital subject to phase-out from common equity tier 1 capital (only applicable to non-joint stock companies)                              

5

Common share capital issued by subsidiaries and held by third parties (amount allowed in Group common equity tier 1 capital)

6

Common equity tier 1 capital before regulatory adjustments                                     

53,171

7

Prudential valuation adjustments                                          

(89)

8

Goodwill, net of tax, less additional tier 1 capital²

(3,823)

(2,548)

4

9

Intangible assets, net of tax²

(253)

5

10

Deferred tax assets recognized for tax loss carry-forwards³

(4,650)

(3,100)

9

11

Unrealized (gains) / losses from cash flow hedges, net of tax

(2,005)

11

12

Expected losses on advanced internal ratings-based portfolio less general provisions

(356)

13

Securitization gain on sale

14

Own credit related to financial liabilities designated at fair value, net of tax, and replacement values

(333)

15

Defined benefit plans

(215)

(144)

10

16

Compensation and own shares-related capital components (not recognized in net profit)

(1,404)

17

Reciprocal crossholdings in common equity

17a

Qualifying interest where a controlling influence is exercised together with other owners (CET instruments)

17b

Consolidated investments (CET1 instruments)

18

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory

consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital

(amount above 10% threshold)

19

Significant investments in the common stock of banking, financial and insurance entities that are outside

the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)

20

Mortgage servicing rights (amount above 10% threshold)

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)⁴

(872)

(1,161)

12

22

Amount exceeding the 15% threshold

23

of which: significant investments in the common stock of financials

24

of which: mortgage servicing rights

25

of which: deferred tax assets arising from temporary differences

As of 30.9.16

Numbers phase-in

Effect of the

transition phase

References¹

CHF million, except where indicated

26

Expected losses on equity investments treated according to the PD/LGD approach

26a

Other adjustments relating to the application of an internationally accepted accounting standard

(351)

26b

Other deductions

(1,611)

13

27

Regulatory adjustments applied to common equity tier 1 due to insufficient additional tier 1 and tier 2 to cover deductions

28

Total regulatory adjustments to common equity tier 1

(15,964)

(6,953)

29

Common equity tier 1 capital (CET1)

37,207

(6,953)

30

Directly issued qualifying additional tier 1 instruments plus related stock surplus

8,749

31

of which: classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards⁵

8,749

13

33

Directly issued capital instruments subject to phase-out from additional tier 1

34

Additional tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held

by third parties (amount allowed in Group additional tier 1)

654

(654)

6

35

of which: instruments issued by subsidiaries subject to phase-out

654

(654)

36

Additional tier 1 capital before regulatory adjustments

9,402

(654)

37

Investments in own additional tier 1 instruments

38

Reciprocal crossholdings in additional tier 1 instruments

38a

Qualifying interest where a controlling influence is exercised together with other owner (AT1 instruments)

38b

Holdings in companies which are to be consolidated (additional tier1 instruments)

39

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity amount above 10% threshold)

40

Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

41

National specific regulatory adjustments

(2,548)

2,548

42

Regulatory adjustments applied to additional tier 1 due to insufficient tier 2 to cover deductions

Tier 1 adjustments on impact of transitional arrangements

(2,548)

2,548

of which: prudential valuation adjustment

of which: own CET1 instruments

of which: goodwill net of tax, offset against additional loss-absorbing tier 1 capital

(2,548)

2,548

of which: intangible assets (net of related tax liabilities)

of which: gains from the calculation of cash flow hedges

of which: IRB shortfall of provisions to expected losses

of which: gains on sales related to securitization transactions

of which: gains/losses in connection with own credit risk

of which: investments

of which: expected loss amount for equity exposures under the PD/LGD approach

of which: mortgage servicing rights

42a

Excess of the adjustments which are allocated to the common equity tier 1 capital

43

Total regulatory adjustments to additional tier 1 capital

(2,548)

2,548

44

Additional tier 1 capital (AT1)

6,854

1,895

45

Tier 1 capital (T1 = CET1 + AT1)

44,061

(5,058)

46

Directly issued qualifying tier 2 instruments plus related stock surplus⁶

10,813

7

47

Directly issued capital instruments subject to phase-out from tier 2⁶

731

(731)

8

48

Tier 2 instruments (and CET1 and additional tier 1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Group tier 2)

49

of which: instruments issued by subsidiaries subject to phase-out

50

Provisions

51

Tier 2 capital before regulatory adjustments

11,544

(731)

As of 30.9.16

Numbers phase-in

Effect of the

transition phase

References¹

CHF million, except where indicated

52

Investments in own tier 2 instruments⁶

(29)

17

7, 8

53

Reciprocal cross holdings in tier 2 instruments

53a

Qualifying interest where a controlling influence is exercised together with other owner (tier 2 instruments)

53b

Investments to be consolidated (tier 2 instruments)

54

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above the 10% threshold)

55

Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

56

National specific regulatory adjustments

56a

Excess of the adjustments which are allocated to the additional tier 1 capital

57

Total regulatory adjustments to tier 2 capital

(29)

17

58

Tier 2 capital (T2)

11,515

(714)

of which: high-trigger loss-absorbing capital⁵

269

13

of which: low-trigger loss-absorbing capital⁶

10,332

7

59

Total capital (TC = T1 + T2)

55,576

(5,772)

Amount with risk weight pursuant to the transitional arrangement (phase-in)

(3,046)

of which: net defined benefit pension assets

(144)

of which:  DTA on temporary differences

(2,902)

60

Total risk-weighted assets

219,876

(3,046)

Capital ratios and buffers

61

Common equity tier 1 (as a percentage of risk-weighted assets)

16.9

62

Tier 1 (pos 45 as a percentage of risk-weighted assets)

20.0

63

Total capital (pos 59 as a percentage of risk-weighted assets)

25.3

64

CET1 requirement (base capital, buffer capital and countercyclical buffer requirements) plus G-SIB buffer requirement, expressed as a percentage of risk-weighted assets⁷

5.6

65

of which: capital buffer requirement

0.6

66

of which: bank-specific countercyclical buffer requirement

0.2

67

of which: G-SIB buffer requirement

0.3

68

Common equity tier 1 available to meet buffers (as a percentage of risk-weighted assets)

16.9

68a–f

Not applicable for systemically relevant banks according to FINMA RS 11/2

72

Non-significant investments in the capital of other financials

1,504

73

Significant investments in the common stock of financials

769

74

Mortgage servicing rights (net of related tax liability)

75

Deferred tax assets arising from temporary differences (net of related tax liability)

5,262

Applicable caps on the inclusion of provisions in tier 2

76

Provisions eligible for inclusion in tier 2 in respect of exposures subject to standardized approach (prior to application of cap)

77

Cap on inclusion of provisions in tier 2 under standardized approach

78

Provisions eligible for inclusion in tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)

79

Cap for inclusion of provisions in tier 2 under internal ratings-based approach

1 References link the lines of this table to the respective reference numbers provided in the column “References” in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation".   2 The CHF 6,371 million (CHF 3,823 million and CHF 2,548 million) reported in line 8 includes goodwill on investments in associates of CHF 340 million and DTL on goodwill of CHF 56 million. The CHF 253 million reported in line 9 includes DTL on intangible assets of CHF 5 million.    3 The CHF 7,750 million (CHF 4,650 million and CHF 3,100 million) deferred tax assets recognized for tax loss carry-forwards reported in line 10 differ from the CHF 7,314 million deferred tax assets shown in line "Deferred tax assets" in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation" because the latter figure is shown after the offset of deferred tax liabilities for cash flow hedge gains (CHF 360 million) and other temporary differences, which are adjusted out in line 11 and other lines of this table respectively.   4 The CHF 2,033 million (CHF 872 million and CHF 1,161 million) deferred tax assets arising from temporary differences in line 21 differ from the CHF 5,081 million deferred tax assets on temporary differences shown in the line “Deferred tax assets” in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation" as the former relates only to the amount above the 10% threshold.   5 CHF 8,749 million and CHF 269 million reported in line 32 and 58 respectively of this table, includes the following positions: CHF 5,388 million and CHF 2,392 million recognized in line "Debt issued" in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation", CHF 730 million DCCP recognized in line "Other liabilities" in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation" and CHF 508 million recognized in DCCP-related charge for regulatory capital purpose in line 16 "Compensation and own shares-related capital components (not recognized in net profit)" of this table.   6 The CHF 11,544 million in line 51 includes CHF 10,332 million low-trigger loss-absorbing tier 2 capital recognized in line "Debt issued" in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation", which is shown net of CHF 12 million investments in own tier 2 instruments reported in line 52 of this table, CHF 714 million phase-out capital recognized in line "Debt issued" in the table “Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation", which is shown net of CHF 17 million investments in own tier 2 reported in line 52 of this table, high-trigger loss-absorbing capital of CHF 269 million reported in line 58 and CHF 200 million of unrealized gains on financial assets available for sale, which are eligible under BIS rules.    7 BCBS requirements are exceeded by our Swiss SRB requirements.  Refer to the UBS Group third quarter 2016 report, available under "Quarterly reporting" at www.ubs.com/investors for more information on the Swiss SRB requirements.