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31 December 2019 Pillar 3 Report

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31 December 2019 Pillar 3 Report 31 December 2019 Pillar 3 report UBS Group and significant regulated subsidiaries and sub-groups Terms used in this report, unless the context requires otherwise “UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” UBS Group AG and its consolidated subsidiaries “the Group,” “we,” “us” and “our” “UBS AG consolidated” UBS AG and its consolidated subsidiaries “UBS Group AG” and “UBS Group AG standalone” UBS Group AG on a standalone basis “UBS AG” and “UBS AG standalone” UBS AG on a standalone basis “UBS Switzerland AG” and “UBS Switzerland AG standalone” UBS Switzerland AG on a standalone basis “UBS Europe SE consolidated” UBS Europe SE and its consolidated subsidiaries “UBS Americas Holding LLC” and UBS Americas Holding LLC and its consolidated subsidiaries “UBS Americas Holding LLC consolidated” 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 16 Section 1 Key metrics Group Company Secretary 19 Section 2 Regulatory exposures and risk-weighted Investor Relations P.O. Box, CH-8098 Zurich, UBS’s Investor Relations team Switzerland assets supports institutional, professional 23 Section 3 Linkage between financial statements and and retail investors from [email protected] regulatory exposures our offices in Zurich, London, New York and Krakow. +41-44-235 6652 26 Section 4 Credit risk Shareholder Services 57 Section 5 Counterparty credit risk UBS Group AG, Investor Relations P.O. Box, CH-8098 Zurich, UBS’s Shareholder Services team, 67 Section 6 Comparison of A-IRB approach and Switzerland a unit of the Group Company standardized approach for credit risk Secretary Office, is responsible www.ubs.com/investors for the registration of UBS Group AG 72 Section 7 Securitizations registered shares. 80 Section 8 Market risk Zurich +41-44-234 4100 New York +1-212-882 5734 UBS Group AG, Shareholder Services 90 Section 9 Operational risk P.O. Box, CH-8098 Zurich, 91 Section 10 Interest rate risk in the banking book Switzerland Media Relations 95 Section 11 Going and gone concern requirements and UBS’s Media Relations team supports [email protected] eligible capital global media and journalists from our offices in Zurich, London, +41-44-235 6652 103 Section 12 Total loss-absorbing capacity New York and Hong Kong. US Transfer Agent 105 Section 13 Leverage ratio www.ubs.com/media For global registered share-related 108 Section 14 Liquidity coverage ratio inquiries in the US. 111 Section 15 Remuneration Zurich +41-44-234 8500 [email protected] Computershare Trust Company NA 112 Section 16 Requirements for global systemically P.O. Box 505000 important banks and related indicators London +44-20-7567 4714 Louisville, KY 40233-5000, USA [email protected] Shareholder online inquiries: New York +1-212-882 5858 www-us.computershare.com/ [email protected] investor/Contact Significant regulated subsidiaries and sub-groups Hong Kong +852-2971 8200 Shareholder website: 114 Section 1 Introduction [email protected] www.computershare.com/investor 114 Section 2 UBS AG standalone Calls from the US 118 Section 3 UBS Switzerland AG standalone +1-866-305-9566 Calls from outside the US 124 Section 4 UBS Europe SE consolidated +1-781-575-2623 125 Section 5 UBS Americas Holding LLC consolidated 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 2020. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved. Introduction and basis for preparation Scope of Basel III Pillar 3 disclosures disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent The Basel Committee on Banking Supervision (the BCBS) Basel III “Technical Amendment – Pillar 3 disclosure requirements – capital adequacy framework consists of three complementary regulatory treatment of accounting provisions” issued in August pillars. Pillar 1 provides a framework for measuring minimum 2018. capital requirements for the credit, market, operational and non- counterparty-related risks faced by banks. Pillar 2 addresses the BCBS launches a consolidated framework of its standards principles of the supervisory review process, emphasizing the Following a consultation period earlier in the year, the BCBS need for a qualitative approach to supervising banks. Pillar 3 launched a consolidated version of its global standards in requires banks to publish a range of disclosures, mainly covering December 2019, bringing together all BCBS global standards for risk, capital, leverage, liquidity and remuneration. the regulation and supervision of banks. The publication of these This report provides Pillar 3 disclosures for UBS Group as well standards in a new format primarily focused on reorganizing as prudential key figures and regulatory information for UBS AG existing and future requirements. While no new elements were standalone, UBS Switzerland AG standalone, UBS Europe SE introduced, a number of minor inconsistencies were addressed consolidated and UBS Americas Holding LLC consolidated in the along with a list of new frequently asked questions and answers respective sections under “Significant regulated subsidiaries and added. sub-groups.” Certain information provided in our Annual Report 2019 or other publications also serves to address Pillar 3 Changes to Pillar 1 requirements disclosure requirements. Where this is the case, a reference has been included in this report to the UBS publication which Revised Capital Adequacy Ordinance and the Banking Ordinance provides such information. As of 1 January 2019, we became subject to the revised Capital As UBS is considered a systemically relevant bank (SRB) under Adequacy Ordinance (the CAO) and the Banking Ordinance (the Swiss banking law, UBS Group AG and UBS AG are required to BO), with no material effect on UBS, as the changes were largely comply with regulations based on the Basel III framework as previously implemented by too big to fail-related decrees. applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 31 December 2019 for UBS Changes to Pillar 3 disclosure requirements Group AG consolidated is provided in the “Capital We disclosed the following tables and/or narratives for the first management” section of our Annual Report 2019 and for UBS time in 2019: AG consolidated in the “Capital management” section of the – “KM2: Key metrics – TLAC requirements (at resolution group combined UBS Group AG and UBS AG Annual Report 2019, level)” effective 31 March 2019 and applicable for UBS Group available under “Annual reporting” at www.ubs.com/investors. AG consolidated, the ultimate parent entity of the defined Local regulators may also require the publication of Pillar 3 UBS resolution group, to which, in case of resolution, information at a subsidiary or sub-group level. Where applicable, resolution tools (e.g., a bail-in) are expected to be applied; these local disclosures are provided under “Holding company – “TLAC1 – TLAC composition for G-SIBs (at resolution group and significant regulated subsidiaries and sub-groups” at level)” applicable to UBS Group AG consolidated, effective www.ubs.com/investors. 30 June 2019; – “TLAC2 – Material sub-group entity – creditor ranking at Significant regulatory and disclosure requirements and legal entity level” applicable to UBS Americas Holding LLC changes effective in or from 2019 consolidated, effective 31 December 2019; – “TLAC3 – Resolution entity – creditor ranking at legal entity Significant BCBS and FINMA capital adequacy, liquidity and level” applicable to UBS Group AG consolidated at a legal funding, and related disclosure requirements entity level, effective 30 June 2019; This Pillar 3 report has been prepared in accordance with Swiss – “IRRBBA – IRRBB risk management objectives and policies” Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure applicable to UBS Group AG consolidated, effective 30 June requirements (FINMA Circular 2016/1 “Disclosure – banks”) as 2019; revised on 31 October 2019, the underlying BCBS guidance – “IRRBB1 – Quantitative information about IRRBB” applicable “Revised Pillar 3 disclosure requirements” issued in January to UBS Group AG consolidated, effective 30 June 2019; and 2015, the “Frequently asked questions on the revised Pillar 3 – “IRRBBA1 – Quantitative disclosures relating to the position disclosure requirements” issued in August 2016, the “Pillar 3 structure and interest rate reset of IRRBB risk” applicable to UBS Group AG consolidated, effective 30 June 2019. 3 Effective 30 June 2019, we have revised the “CR1 – Credit Significant BCBS and FINMA requirements to be adopted quality of assets” table to address additional disclosure in 2020 or later requirements with regard to the allocation of the accounting provisions for credit losses between the standardized approach Final guidance and the internal ratings-based approach, as required by the aforementioned BCBS Technical Amendment issued in August Gone concern loss-absorbing capacity requirements 2018.
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