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UBS Pillar 3 Report As of 30 September 2019

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UBS Pillar 3 Report As of 30 September 2019 30 September 2019 Pillar 3 report UBS Group and significant regulated subsidiaries and sub-groups Table of contents Contacts Switchboards Office of the Group Company For all general inquiries Secretary www.ubs.com/contact The Group Company Secretary receives inquiries regarding Introduction and basis for preparation Zurich +41-44-234 1111 compensation and related issues London +44- 207-567 8000 addressed to members of the Board New York +1-212-821 3000 of Directors. UBS Group Hong Kong +852-2971 8888 Singapore +65-6495 8000 UBS Group AG, Office of the 4 Section 1 Key metrics Group Company Secretary 6 Section 2 Risk-weighted assets Investor Relations P.O. Box, CH-8098 Zurich, UBS’s Investor Relations team Switzerland 10 Section 3 Going and gone concern requirements supports institutional, professional and eligible capital and retail investors from [email protected] 11 Section 4 Leverage ratio our offices in Zurich, London, New York and Krakow. +41-44-235 6652 14 Section 5 Liquidity coverage ratio UBS Group AG, Investor Relations Shareholder Services P.O. Box, CH-8098 Zurich, UBS’s Shareholder Services team, Switzerland a unit of the Group Company Secretary Office, is responsible Significant regulated subsidiaries and sub-groups www.ubs.com/investors for the registration of UBS Group AG registered shares. 18 Section 1 Introduction Zurich +41-44-234 4100 18 Section 2 UBS AG standalone New York +1-212-882 5734 UBS Group AG, Shareholder Services 22 Section 3 UBS Switzerland AG standalone P.O. Box, CH-8098 Zurich, Media Relations Switzerland 28 Section 4 UBS Europe SE consolidated UBS’s Media Relations team supports 29 Section 5 UBS Americas Holding LLC consolidated global media and journalists [email protected] from our offices in Zurich, London, New York and Hong Kong. +41-44-235 6652 www.ubs.com/media US Transfer Agent For global registered share-related Zurich +41-44-234 8500 inquiries in the US. [email protected] Computershare Trust Company NA London +44-20-7567 4714 P.O. Box 505000 [email protected] Louisville, KY 40233-5000, USA New York +1-212-882 5858 Shareholder online inquiries: [email protected] www-us.computershare.com/ investor/Contact Hong Kong +852-2971 8200 [email protected] Shareholder website: www.computershare.com/investor Calls from the US +1-866-305-9566 Calls from outside the US +1-781-575-2623 TDD for hearing impaired +1-800-231-5469 TDD for foreign shareholders +1-201-680-6610 Imprint Publisher: UBS Group AG, Zurich, Switzerland | www.ubs.com Language: English © UBS 2019. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved. Introduction and basis for preparation Introduction and basis for preparation Introduction and basis for preparation Scope and location of Basel III Pillar 3 disclosures Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements The Basel Committee on Banking Supervision (BCBS) Basel III capital adequacy framework consists of three complementary This Pillar 3 report has been prepared in accordance with FINMA pillars. Pillar 1 provides a framework for measuring minimum Pillar 3 disclosure requirements (FINMA Circular 2016/1, capital requirements for the credit, market, operational and non- “Disclosure – banks”) as revised on 16 July 2018, the underlying counterparty-related risks faced by banks. Pillar 2 addresses the BCBS guidance “Revised Pillar 3 disclosure requirements” issued principles of the supervisory review process, emphasizing the in January 2015, the “Frequently asked questions on the revised need for a qualitative approach to supervising banks. Pillar 3 Pillar 3 disclosure requirements” issued in August 2016, the requires banks to publish a range of disclosures, mainly covering “Pillar 3 disclosure requirements – consolidated and enhanced risk, capital, leverage, liquidity and remuneration. framework” issued in March 2017 and the subsequent This report provides Pillar 3 disclosures for UBS Group and “Technical Amendment – Pillar 3 disclosure requirements – prudential key figures and regulatory information for UBS AG regulatory treatment of accounting provisions” issued in August standalone, UBS Switzerland AG standalone, UBS Europe SE 2018. consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and Frequency and comparability of Pillar 3 disclosures sub-groups.” As UBS is considered a systemically relevant bank (SRB) under FINMA has specified the reporting frequency for each disclosure, Swiss banking law, UBS Group AG and UBS AG are required to as outlined in the table on pages 5 and 6 of our 31 December comply with regulations based on the Basel III framework as 2018 Pillar 3 report available under “Pillar 3 disclosures” at applicable to Swiss SRBs on a consolidated basis. Capital and www.ubs.com/investors. other regulatory information as of 30 September 2019 for UBS In line with the FINMA-specified disclosure frequency and Group AG consolidated is provided in the “Capital requirements for disclosure with regard to comparative periods, management” section of our third quarter 2019 report and for we provide quantitative comparative information as of 30 June UBS AG consolidated in the “Capital management” section of 2019 for disclosures required on a quarterly basis. Where the UBS AG third quarter 2019 report available under “Quarterly specifically required by FINMA and / or BCBS, we disclose reporting” at www.ubs.com/investors. comparative information for additional reporting dates. Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-groups” at www.ubs.com/investors. 2 UBS Group UBS Group Section 1 Key metrics Key metrics of the third quarter of 2019 The TLAC available as of 30 September 2019 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible The KM1 and KM2 tables below are based on Basel Committee under the TLAC framework, and non-regulatory capital elements on Banking Supervision (BCBS) Basel III phase-in rules. The KM2 of TLAC. Under the Swiss systemically relevant bank (SRB) table includes a reference to the total loss-absorbing capacity framework, including transitional arrangements, TLAC excludes (TLAC) term sheet, published by the Financial Stability Board 45% of the gross unrealized gains on debt instruments (FSB). The website of the FSB provides this term sheet, at measured at fair value through other comprehensive income for www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac- accounting purposes, which for regulatory capital purposes is principles-and-term-sheet. measured at the lower of cost or market value. This amount was During the third quarter of 2019, our common equity tier 1 negligible as of 30 September 2019, but is included as available (CET1) capital decreased by USD 0.3 billion to USD 34.7 billion, TLAC in the KM2 table below. mainly as a result of accruals for capital returns to shareholders, Risk-weighted assets (RWA) increased by USD 2.5 billion to share repurchases under our share repurchase program, foreign USD 264.6 billion, mainly due to an increase in credit risk RWA, currency translation effects, current tax expense and increases in partly offset by a decrease in market risk RWA. Leverage ratio pension liabilities of non-Swiss pension plans, partly offset by exposure decreased by USD 9 billion during the quarter, operating profit before tax. Our tier 1 capital increased by predominantly driven by on-balance sheet exposures. High- USD 0.7 billion to USD 50.7 billion, primarily reflecting two quality liquid assets decreased by USD 8.3 billion, primarily separate issuances of high-trigger loss-absorbing AT1 driven by a reduction of cash at central banks reflecting higher instruments of AUD 700 million and SGD 750 million, average funding consumption by the business divisions and respectively. reductions in the level of issued debt. Refer to “UBS shares” in the “Capital management” section of our third quarter 2019 report for more information about the share repurchase program 4 KM1: Key metrics USD million, except where indicated 30.9.19 30.6.19 31.3.19 31.12.18 30.9.183 Available capital (amounts)1 1 Common equity tier 1 (CET1) 34,673 34,948 34,658 34,119 34,816 1a Fully loaded ECL accounting model 34,635 34,904 34,613 34,071 34,816 2 Tier 1 50,702 49,993 49,436 46,279 45,972 2a Fully loaded ECL accounting model Tier 1 50,664 49,949 49,391 46,231 45,972 3 Total capital 56,396 56,345 56,148 52,981 52,637 3a Fully loaded ECL accounting model total capital 56,358 56,302 56,103 52,933 52,637 Risk-weighted assets (amounts) 4 Total risk-weighted assets (RWA) 264,626 262,135 267,556 263,747 257,041 4a Minimum capital requirement2 21,170 20,971 21,404 21,100 20,563 4b Total risk-weighted assets (pre-floor) 264,626 262,135 267,556 263,747 257,041 Risk-based capital ratios as a percentage of RWA1 5 Common equity tier 1 ratio (%) 13.10 13.33 12.95 12.94 13.55 5a Fully loaded ECL accounting model Common equity tier 1 (%) 13.09 13.32 12.94 12.92 13.55 6 Tier 1 ratio (%) 19.16 19.07 18.48 17.55 17.89 6a Fully loaded ECL accounting model Tier 1 ratio (%) 19.15 19.05 18.46 17.53 17.89 7 Total capital ratio (%) 21.31 21.49 20.99 20.09 20.48 7a Fully loaded ECL accounting model total capital ratio (%) 21.30 21.48 20.97 20.07
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