Report of Foreign Issuer (6-k)
October 28 2016 - 6:45AM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: October 28, 2016
UBS Group AG
Commission File Number: 1-36764
UBS AG
Commission File Number: 1-15060
(Registrants' Names)
Bahnhofstrasse 45, Zurich, Switzerland, and
Aeschenvorstadt 1, Basel, Switzerland
(Address of
principal executive office)
Indicate by check mark whether the registrant
files or will file annual reports under cover of Form 20‑F or Form 40-F.
This Form 6-K consists of the 3Q16 UBS
Group AG (consolidated) regulatory information, published today by the
registrants, which appears immediately following this page.
UBS Group AG (consolidated) regulatory information
Third quarter 2016
This document includes the following disclosures in accordance with Pillar
III requirements, as outlined in the FINMA Circular 2008 / 22 “Disclosure
–Banks“: (i) BIS Basel III leverage ratio information, (ii) reconciliation of
the IFRS balance sheet to the balance sheet according to the regulatory scope
of consolidation and (iii) information about the composition of our capital.
®
Refer to our third quarter 2016 report for information on our Swiss
SRB leverage ratio as of 30 September 2016
®
Refer to “Basel III Pillar 3 First Half 2016 Report,” under “Pillar
3, SEC filings & other disclosures” at
www.ubs.com/investors
for more
information
®
Refer to the “UBS Group AG consolidated supplemental disclosures
required under Basel III Pillar 3 regulations” in the “Additional regulatory
information” section of our Annual Report 2015 for more information
BIS Basel III leverage ratio
The BIS leverage ratio is calculated
by dividing the period-end tier 1 capital by the period-end leverage ratio
denominator (LRD). The LRD consists of IFRS on-balance sheet assets and
off-balance sheet items. Derivative exposures are adjusted for a number of
items, including replacement value and eligible cash variation margin netting,
the current exposure method add-on and net notional amounts for written credit
derivatives. The LRD further includes an additional charge for counterparty
credit risk related to securities financing transactions. In addition, balance
sheet assets deducted from our tier 1 capital are excluded from LRD, resulting
in a difference between phase-in and fully applied LRD for deferred tax assets
(DTAs) and net defined benefit pension plan assets.
The
“Reconciliation of IFRS total assets to BIS Basel III total on-balance sheet
exposures excluding derivatives and securities financing transactions” table
below shows the difference between total IFRS assets per IFRS consolidation
scope and the BIS total on-balance sheet exposures, which are the starting
point for calculating the BIS LRD as shown in the “BIS Basel III leverage ratio
common disclosure” table on the next page. The difference is due to the
application of the regulatory scope of consolidation for the purpose of the BIS
calculation. In addition, carrying values for derivative financial instruments
and securities financing transactions are deducted from IFRS total assets. They
are measured differently under BIS leverage ratio rules and are therefore added
back in separate exposure line items in the “BIS Basel III leverage ratio
common disclosure” table on the next page.
®
Refer to our third
quarter 2016 report for information on our Swiss SRB leverage ratio as of 30
September 2016
®
Refer to the “UBS
Group AG consolidated supplemental disclosures required under Basel III Pillar
3 regulations” in the “Additional regulatory information” section of our
Annual Report 2015 for more information on the regulatory scope of
consolidation
BIS Basel III leverage ratio
As of 30
September 2016, our BIS Basel III leverage ratio was 4.4% on a fully applied
basis and 5.0% on a phase-in basis. The BIS Basel III LRD was CHF 877 billion
on a fully applied basis and CHF 882 billion on a phase-in basis.
®
Refer to our third
quarter 2016 report for information on our BIS Basel III leverage ratio
denominator movements
Differences between the Swiss SRB and
BIS frameworks
The LRD
is the same under Swiss SRB and BIS rules.
However, there
are differences in the capital numerator between the two frameworks. Under BIS
rules, only common equity tier 1 and additional tier 1 capital are included in
the numerator, whereas under Swiss SRB rules total capital is eligible.
Furthermore, the BIS capital framework does not include gone concern
requirements as defined by the revised Swiss SRB framework, under which,
subject to final agreement with FINMA, phase-out hybrid tier 1 capital is only
eligible to meet gone concern requirements and is not included in the capital
numerator for the purpose of leverage ratio calculation.
Reconciliation of IFRS total
assets to BIS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
|
CHF million
|
30.9.16
|
On-balance sheet exposures
|
|
IFRS total assets
|
935,206
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation
|
(15,543)
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are outside the scope of consolidation for
accounting purposes but consolidated for regulatory purposes
|
0
|
Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
Less carrying value of derivative financial instruments in IFRS
total assets¹
|
(179,052)
|
Less carrying value of securities financing transactions in IFRS
total assets²
|
(103,459)
|
Adjustments to accounting values
|
0
|
On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral
|
637,153
|
Asset amounts deducted in determining BIS Basel III tier 1
capital
|
(13,070)
|
Total on-balance sheet
exposures (excluding derivatives and securities financing transactions)
|
624,083
|
1 Consists of positive replacement values and cash collateral
receivables on derivative instruments in accordance with the regulatory scope
of consolidation. 2 Consists of cash collateral on securities borrowed,
reverse repurchase agreements, margin loans and prime brokerage receivables
related to securities financing transactions in accordance with the
regulatory scope of consolidation.
|
The naming
convention in the following table is based on BIS guidance and does not reflect
UBS naming conventions.
BIS Basel III leverage ratio
common disclosure
|
|
|
|
CHF million, except where
indicated
|
30.9.16
|
|
|
|
|
On-balance sheet exposures
|
|
1
|
On-balance sheet items excluding derivatives and SFTs¹, but
including collateral
|
637,153
|
2
|
(Asset amounts deducted in determining Basel III tier 1 capital)
|
(13,070)
|
3
|
Total on-balance sheet exposures
(excluding derivatives and SFTs¹)
|
624,083
|
|
|
|
|
Derivative exposures
|
|
4
|
Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin)
|
48,412
|
5
|
Add-on amounts for PFE² associated with all derivatives
transactions
|
87,298
|
6
|
Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative accounting framework
|
0
|
7
|
(Deductions of receivables assets for cash variation margin
provided in derivatives transactions)
|
(13,911)
|
8
|
(Exempted CCP³ leg of client-cleared trade exposures)
|
(16,018)
|
9
|
Adjusted effective notional amount of all written credit
derivatives⁴
|
143,757
|
10
|
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)⁵
|
(140,098)
|
11
|
Total derivative exposures
|
109,440
|
|
|
|
|
Securities financing
transaction exposures
|
|
12
|
Gross SFT¹ assets (with no recognition of netting), after
adjusting for sale accounting transactions
|
176,975
|
13
|
(Netted amounts of cash payables and cash receivables of gross
SFT¹ assets)
|
(73,517)
|
14
|
CCR⁶ exposure for SFT¹ assets
|
8,729
|
15
|
Agent transaction exposures
|
0
|
16
|
Total securities financing
transaction exposures
|
112,187
|
|
|
|
|
Other off-balance sheet
exposures
|
|
17
|
Off-balance sheet exposure at gross notional amount
|
104,158
|
18
|
(Adjustments for conversion to credit equivalent amounts)
|
(68,152)
|
19
|
Total off-balance sheet
items
|
36,006
|
|
Total exposures (leverage
ratio denominator), phase-in
|
881,717
|
|
(Additional asset amounts deducted in determining Basel III tier
1 capital fully applied)
|
(4,404)
|
|
Total exposures (leverage
ratio denominator), fully applied
|
877,313
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), phase-in
|
|
20
|
Tier 1 capital
|
44,061
|
21
|
Total exposures (leverage ratio denominator)
|
881,717
|
|
Leverage ratio
|
|
22
|
Basel III leverage ratio
phase-in (%)
|
5.0
|
|
|
|
|
Capital and total exposures
(leverage ratio denominator), fully applied
|
|
20
|
Tier 1 capital
|
39,003
|
21
|
Total exposures (leverage ratio denominator)
|
877,313
|
|
Leverage ratio
|
|
22
|
Basel III leverage ratio
fully applied (%)
|
4.4
|
1 Securities financing transactions. 2 Potential future
exposure – Current exposure method (CEM) add-on based on notional amounts.
3 Central cleared counterparties. 4 Includes protection sold, including
agency transactions. 5 Protection sold can be offset with protection
bought on the same underlying reference entity, provided that the conditions
according to the Basel III leverage ratio framework and disclosure
requirements are met. 6 Counterparty credit risk.
|
The naming
convention in the following table is based on BIS guidance and does not reflect
UBS naming conventions.
BIS Basel III leverage ratio
summary comparison
|
CHF million
|
30.9.16
|
1
|
Total consolidated assets as per published financial statements
|
935,206
|
2
|
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation¹
|
(28,613)
|
3
|
Adjustment for fiduciary assets recognised on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
|
0
|
4
|
Adjustments for derivative financial instruments
|
(69,611)
|
5
|
Adjustment for securities financing transactions (i.e., repos
and similar secured lending)
|
8,729
|
6
|
Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures)
|
36,006
|
7
|
Other adjustments
|
0
|
8
|
Leverage ratio exposure
(leverage ratio denominator), phase-in
|
881,717
|
1 This item includes assets that are deducted from tier 1
capital.
|
BIS Basel III leverage ratio
|
|
|
|
|
CHF million, except where
indicated
|
Phase-in
|
30.9.16
|
30.6.16
|
31.3.16
|
31.12.15
|
Total tier 1 capital
|
44,061
|
42,934
|
43,541
|
44,559
|
BIS total exposures (leverage ratio denominator)
|
881,717
|
902,431
|
910,000
|
904,014
|
BIS Basel III leverage ratio (%)
|
5.0
|
4.8
|
4.8
|
4.9
|
|
|
|
|
|
Fully applied
|
30.9.16
|
30.6.16
|
31.3.16
|
31.12.15
|
Total tier 1 capital
|
39,003
|
38,049
|
37,438
|
36,198
|
BIS total exposures (leverage ratio denominator)
|
877,313
|
898,195
|
905,801
|
897,607
|
BIS Basel III leverage ratio (%)
|
4.4
|
4.2
|
4.1
|
4.0
|
BIS regulatory key figures (phase-in)
The table below provides an overview
of our regulatory key figures as defined by BIS and FINMA as of 30 September
2016.
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
|
Balance sheet reconciliation and
composition of capital
Reconciliation
of accounting balance sheet to balance sheet under the regulatory scope of
consolidation
The table below provides a
reconciliation of the IFRS balance sheet to the balance sheet according to the
regulatory scope of consolidation as defined by BIS and FINMA. Lines in the
balance sheet under the regulatory scope of consolidation are expanded and
referenced, where relevant, to display all components that are used in the
“Composition of capital” table.
As of 30.9.16
|
Balance sheet in accordance with IFRS scope of consolidation
|
Effect of deconsolidated entities for regulatory consolidation
|
Effect of additional consolidated entities for regulatory consolidation
|
Balance sheet in accordance with regulatory scope of
consolidation
|
References¹
|
CHF million
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Cash and balances with central banks
|
94,680
|
|
|
94,680
|
|
Due from banks
|
15,120
|
(308)
|
|
14,811
|
|
Loans
|
305,021
|
93
|
|
305,114
|
|
Cash collateral on securities borrowed
|
18,277
|
|
|
18,277
|
|
Reverse repurchase agreements
|
69,999
|
|
|
69,999
|
|
Trading portfolio assets
|
105,437
|
(15,173)
|
|
90,264
|
|
Positive replacement values
|
154,383
|
25
|
|
154,407
|
|
Cash collateral receivables on derivative instruments
|
24,644
|
|
|
24,644
|
|
Financial assets designated at fair value
|
69,832
|
|
|
69,832
|
|
Financial assets available for sale
|
13,554
|
(32)
|
|
13,522
|
|
Financial assets held to maturity
|
7,005
|
|
|
7,005
|
|
Consolidated participations
|
0
|
116
|
|
116
|
|
Investments in associates
|
947
|
|
|
947
|
|
of which: goodwill
|
340
|
|
|
340
|
4
|
Property, equipment and software
|
8,113
|
(71)
|
|
8,042
|
|
Goodwill and intangible assets
|
6,345
|
|
|
6,345
|
|
of which: goodwill
|
6,087
|
|
|
6,087
|
4
|
of which: intangible assets
|
258
|
|
|
258
|
5
|
Deferred tax assets
|
12,396
|
(1)
|
|
12,395
|
|
of which: deferred tax
assets recognized for tax loss carry-forwards
|
7,315
|
(1)
|
|
7,314
|
9
|
of which: deferred tax
assets on temporary differences
|
5,081
|
|
|
5,081
|
12
|
Other assets
|
29,454
|
(191)
|
|
29,263
|
|
of which: net defined
benefit pension and other post-employment assets
|
359
|
|
|
359
|
10
|
Total assets
|
935,206
|
(15,543)
|
0
|
919,663
|
|
Reconciliation
of accounting balance sheet to balance sheet under the regulatory scope of
consolidation
(
continued)
As of 30.9.16
|
Balance sheet in accordance with IFRS scope of consolidation
|
Effect of deconsolidated entities for regulatory consolidation
|
Effect of additional consolidated entities for regulatory
consolidation
|
Balance sheet in accordance with regulatory scope of
consolidation
|
References¹
|
CHF million
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Due to banks
|
11,227
|
(53)
|
|
11,174
|
|
Due to customers
|
411,840
|
(222)
|
|
411,618
|
|
Cash collateral on securities lent
|
3,726
|
|
|
3,726
|
|
Repurchase agreements
|
9,342
|
|
|
9,342
|
|
Trading portfolio liabilities
|
32,069
|
|
|
32,069
|
|
Negative replacement values
|
151,031
|
2
|
|
151,032
|
|
Cash collateral payables on derivative instruments
|
33,641
|
|
|
33,641
|
|
Financial liabilities designated at fair value
|
54,229
|
|
|
54,229
|
|
Debt issued
|
106,940
|
(15)
|
|
106,925
|
|
of which: amount eligible
for high-trigger loss-absorbing additional tier 1 capital²
|
5,388
|
|
|
5,388
|
13
|
of which: amount eligible
for low-trigger loss-absorbing additional tier 1 capital²
|
2,392
|
|
|
2,392
|
13
|
of which: amount eligible
for low-trigger loss-absorbing tier 2 capital³
|
10,332
|
|
|
10,332
|
7
|
of which: amount eligible
for capital instruments subject to phase-out from tier 2 capital⁴
|
714
|
|
|
714
|
8
|
Provisions
|
3,954
|
|
|
3,954
|
|
Other liabilities
|
63,216
|
(15,127)
|
|
48,090
|
|
of which: amount eligible
for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan
(DCCP))⁵
|
730
|
|
|
730
|
13
|
Total liabilities
|
881,213
|
(15,415)
|
0
|
865,798
|
|
Equity
|
|
|
|
|
|
Share capital
|
385
|
|
|
385
|
1
|
Share premium
|
28,058
|
|
|
28,058
|
1
|
Treasury shares
|
(2,291)
|
|
|
(2,291)
|
3
|
Retained earnings
|
31,308
|
(262)
|
|
31,045
|
2
|
Other comprehensive income recognized directly in equity, net of
tax
|
(4,160)
|
133
|
|
(4,027)
|
3
|
of which: unrealized gains /
(losses) from cash flow hedges
|
2,005
|
|
|
2,005
|
11
|
Equity attributable to UBS
Group AG shareholders
|
53,300
|
(129)
|
0
|
53,171
|
|
Equity attributable to non-controlling interests
|
693
|
1
|
|
694
|
6
|
Total equity
|
53,993
|
(128)
|
0
|
53,865
|
|
Total liabilities and equity
|
935,206
|
(15,543)
|
0
|
919,663
|
|
1 References link the lines of this table to the respective
reference numbers provided in the "References" column in the
"Composition of capital" table. 2 Represents IFRS book value.
3 IFRS book value is CHF 10,356 million. 4 IFRS book value is CHF 1,090
million. 5 IFRS book value is CHF 1,527 million. Refer to the
"Compensation" section of our Annual Report 2015 for more
information on DCCP.
|
The tables below and on
the next pages provides the Composition of capital as defined by the Basel
Committee on Banking Supervision (BCBS) and FINMA. The naming convention does
not always reflect the UBS naming convention. Reference is made to items
reconciling to the balance sheet under the regulatory scope of consolidation as
disclosed in the table “Reconciliation of accounting balance sheet to balance
sheet under the regulatory scope of consolidation.” Where relevant, the effect
of phase-in arrangements is disclosed, as well.
Differences between the Swiss SRB and
BIS frameworks
The two frameworks
differ in their treatment of two tier 2 capital items. The amount of tier 2
high-trigger loss-absorbing capital in the form of Deferred Contingent Capital
plan awards granted for the performance years 2012 and 2013 is higher under
Swiss SRB rules than under BIS rules, because a different amortization is applied.
Moreover, a portion of unrealized gains on financial assets available for sale is
recognized as tier 2 capital under BIS rules, but not under Swiss SRB rules.
The BIS capital framework does not include
gone concern requirements as defined by the revised Swiss SRB framework. Under Swiss
SRB rules, certain senior unsecured debt, phase-out hybrid tier 1 and phase-out
tier 2 capital instruments are eligible to meet gone concern requirements. The
treatment of phase-out instruments is subject to final agreement with FINMA. The
implementation of the revised Swiss SRB framework resulted in additional minor
differences, due to the amortization required for gone concern instruments.
®
Refer to “Bondholder information” at
www.ubs.com/investors
for more information on the capital instruments, including key
features and terms and conditions of UBS Group AG and UBS AG on a consolidated
and on a standalone basis
®
Refer to “UBS Switzerland AG (standalone) regulatory information,” in
“Disclosure for legal entities” at
www.ubs.com/
investors
, for more information on the capital instruments
of UBS Switzerland AG
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
|
|
|
|
Composition
of capital (continued)
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)
|
|
Composition
of capital (continued)
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.
|
Notice to investors |
This document
and the information contained herein are provided solely for information
purposes, and are not to be construed as solicitation of an offer to buy or
sell any securities or other financial instruments in Switzerland, the United
States or any other jurisdiction. No investment decision relating to securities
of or relating to UBS Group AG, UBS AG or their affiliates should be made on
the basis of this document. Refer to UBS’s third quarter 2016 report and its
Annual Report 2015 for additional information. These reports are available at
www.ubs.com/investors.
Rounding |
Numbers presented
throughout this document may not add up precisely to the totals provided in the
tables and text. Percentages, percent changes and absolute variances are calculated
on the basis of rounded figures displayed in the tables and text and may not
precisely reflect the percentages, percent changes and absolute variances that
would be derived based on figures that are not rounded.
Tables |
Within tables, blank fields
generally indicate that the field is not applicable or not meaningful, or that
information is not available as of the relevant date or for the relevant
period. Zero values generally indicate that the respective figure is zero on an
actual or rounded basis. Percentage changes are presented as a mathematical
calculation of the change between periods.
This Form 6-K is
hereby incorporated by reference into (1) each of the registration statements
of UBS AG on Form F-3 (Registration Number 333-204908) and of UBS Group AG on
Form S-8 (Registration Numbers 333-200634; 333-200635; 333-200641; and
333-200665), and into each prospectus outstanding under any of the foregoing
registration statements, (2) any outstanding offering circular or similar
document issued or authorized by UBS AG that incorporates by reference any Form
6-K’s of UBS AG that are incorporated into its registration statements filed
with the SEC, and (3) the base prospectus of Corporate Asset Backed Corporation
(“CABCO”) dated June 23, 2004 (Registration Number 333-111572), the Form 8-K of
CABCO filed and dated June 23, 2004 (SEC File Number 001-13444), and the
Prospectus Supplements relating to the CABCO Series 2004-101 Trust dated May
10, 2004 and May 17, 2004 (Registration Number 033-91744 and 033-91744-05).
SIGNATURES
Pursuant to the requirements of the
Securities Exchange Act of 1934, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Sarah M. Starkweather
_____
Name: Sarah M. Starkweather
Title: Executive Director
UBS AG
By:
_/s/ David Kelly_____________
Name: David Kelly
Title: Managing Director
By:
_/s/ Sarah M. Starkweather ____
Name: Sarah M. Starkweather
Title: Executive Director
Date: October 28, 2016
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