UBS Group AG - Audit Report / Information 2019

6-K 1 6k3q19ubsbaseIIIpillar3.htm 6k3q19ubsbaselIIIpillar3

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 22, 2019

UBS Group AG

Commission File Number: 1-36764

UBS AG

Commission File Number: 1-15060

(Registrants' Name)

Bahnhofstrasse 45, Zurich, Switzerland and Aeschenvorstadt 1, Basel, Switzerland

(Address of principal executive offices)

Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20‑F or Form 40-F.

Form 20-F x Form 40-F o

This Form 6-K consists of the Basel III Pillar 3 disclosure for UBS Group AG and significant regulated subsidiaries report as of 22 October 2019, which appears immediately following this page.

30 September 2019 Pillar 3 report

UBS Group and significant regulated subsidiaries and sub-groups

| Table
of contents | | |
| --- | --- | --- |
| Introduction and basis for
preparation | | |
| UBS Group | | |
| 4 | Section
1 | Key metrics |
| 6 | Section
2 | Risk-weighted assets |
| 10 | Section
3 | Going and gone concern
requirements and eligible capital |
| 11 | Section
4 | Leverage ratio |
| 14 | Section
5 | Liquidity coverage ratio |
| Significant regulated
subsidiaries and sub-groups | | |
| 18 | Section
1 | Introduction |
| 18 | Section
2 | UBS AG standalone |
| 22 | Section
3 | UBS Switzerland AG standalone |
| 28 | Section
4 | UBS Europe SE consolidated |
| 29 | Section
5 | UBS Americas Holding LLC consolidated |

Contacts

Switchboards

For all general inquiries www.ubs.com/contact

Zurich +41-44-234 1111 London +44- 207-567 8000 New York +1-212-821 3000 Hong Kong +852-2971 8888 Singapore +65-6495 8000

Investor Relations

UBS’s Investor Relations team supports institutional, professional and retail investors from our offices in Zurich, London, New York and Krakow.

UBS Group AG, Investor Relations P.O. Box, CH-8098 Zurich, Switzerland

www.ubs.com/investors

Zurich +41-44-234 4100 New York +1-212-882 5734

Media Relations

UBS’s Media Relations team supports global media and journalists from our offices in Zurich, London, New York and Hong Kong.

www.ubs.com/media

Zurich +41-44-234 8500 [email protected]

London +44-20-7567 4714 [email protected]

New York +1-212-882 5858 [email protected]

Hong Kong +852-2971 8200 [email protected]

Office of the Group Company Secretary

The Group Company Secretary receives inquiries regarding compensation and related issues addressed to members of the Board of Directors.

UBS Group AG, Office of the Group Company Secretary P.O. Box, CH-8098 Zurich, Switzerland

[email protected]

+41-44-235 6652

Shareholder Services

UBS’s Shareholder Services team, a unit of the Group Company Secretary Office, is responsible for the registration of UBS Group AG registered shares.

UBS Group AG, Shareholder Services P.O. Box, CH-8098 Zurich, Switzerland

[email protected]

+41-44-235 6652

US Transfer Agent

For global registered share-related inquiries in the US.

Computershare Trust Company NA P.O. Box 505000 Louisville, KY 40233-5000, USA

Shareholder online inquiries: www-us.computershare.com/ investor/Contact

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

Introduction and basis for preparation

Introduction and basis for preparation

Scope and location of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.

This report provides Pillar 3 disclosures for UBS Group and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under “Significant regulated subsidiaries and sub-groups.”

As UBS is considered a systemically relevant bank (SRB) under Swiss banking law, UBS Group AG and UBS AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis. Capital and other regulatory information as of 30 September 2019 for UBS Group AG consolidated is provided in the “Capital management” section of our third quarter 2019 report and for UBS AG consolidated in the “Capital management” section of the UBS AG third quarter 2019 report available under “Quarterly reporting” at www.ubs.com/investors .

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.

Significant BCBS and FINMA capital adequacy, liquidity and funding, and related disclosure requirements

This Pillar 3 report has been prepared in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016/1, “Disclosure – banks”) as revised on 16 July 2018, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 5 and 6 of our 31 December 2018 Pillar 3 report available under “Pillar 3 disclosures” at www.ubs.com/investors .

In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 30 June 2019 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or BCBS, we disclose comparative information for additional reporting dates.

UBS Group AG

UBS Group

Section 1 Key metrics

Key metrics of the third quarter of 2019

The KM1 and KM2 tables below are based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board (FSB). The website of the FSB provides this term sheet, at www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet .

During the third quarter of 2019, our common equity tier 1 (CET1) capital decreased by USD 0.3 billion to USD 34.7 billion, mainly as a result of accruals for capital returns to shareholders, share repurchases under our share repurchase program, foreign currency translation effects, current tax expense and increases in pension liabilities of non-Swiss pension plans, partly offset by operating profit before tax. Our tier 1 capital increased by USD 0.7 billion to USD 50.7 billion, primarily reflecting two separate issuances of high-trigger loss-absorbing AT1 instruments of AUD 700 million and SGD 750 million, respectively.

® Refer to “UBS shares” in the “Capital management” section of our third quarter 2019 report for more information about the share repurchase program

The TLAC available as of 30 September 2019 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes is measured at the lower of cost or market value. This amount was negligible as of 30 September 2019, but is included as available TLAC in the KM2 table below.

Risk-weighted assets (RWA) increased by USD 2.5 billion to USD 264.6 billion, mainly due to an increase in credit risk RWA, partly offset by a decrease in market risk RWA. Leverage ratio exposure decreased by USD 9 billion during the quarter, predominantly driven by on-balance sheet exposures. High-quality liquid assets decreased by USD 8.3 billion, primarily driven by a reduction of cash at central banks reflecting higher average funding consumption by the business divisions and reductions in the level of issued debt.

KM1: Key metrics
USD million, except where
indicated
		30.9.19	30.6.19	31.3.19	31.12.18	30.9.18 3
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 requirement 2	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 RWA 1
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	20.48
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.50	2.50	2.50	1.88	1.88
9	Countercyclical buffer requirement (%)	0.10	0.09	0.10	0.08	0.05
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.21	0.22	0.21	0.21	0.21
10	Bank G-SIB and/or D-SIB additional requirements (%)	1.00	1.00	1.00	0.75	0.75
11	Total of bank CET1-specific buffer requirements (%) 1	3.60	3.59	3.60	2.71	2.68
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 1	8.60	8.83	8.45	8.44	9.05
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	901,914	911,379	910,993	904,598	915,066
14	Basel III leverage ratio (%) 1	5.62	5.49	5.43	5.12	5.02
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	5.62	5.48	5.42	5.11	5.02
Liquidity coverage ratio
15	Total HQLA	167,916	176,173	186,038	173,389	176,594
16	Total net cash outflow	122,025	121,314	121,521	127,352	130,750
17	LCR ratio (%)	138	145	153	136	135
1 Based on BCBS Basel III phase-in rules. 2 Calculated as 8%
of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements. 3 In line with the change of the presentation
currency of UBS Group AG’s and UBS AG’s consolidated and standalone financial
statements from Swiss francs to US dollars in October 2018, prior-period
disclosures were translated to US dollars at the respective spot rates
prevailing on the relevant reporting dates.

| KM2: Key metrics – TLAC
requirements (at resolution group level) 1 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | | | | | | |
| | | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 | 30.9.18 2 |
| 1 | Total loss-absorbing capacity (TLAC) available | 88,197 | 87,388 | 87,477 | 83,740 | 81,711 |
| 1a | Fully loaded ECL accounting model TLAC available | 88,159 | 87,344 | 87,433 | 83,692 | 81,711 |
| 2 | Total RWA at the level of the resolution group | 264,626 | 262,135 | 267,556 | 263,747 | 257,041 |
| 3 | TLAC as a percentage of RWA (%) | 33.33 | 33.34 | 32.69 | 31.75 | 31.79 |
| 3a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model RWA (%) | 33.31 | 33.32 | 32.68 | 31.73 | 31.79 |
| 4 | Leverage ratio exposure measure at the level of the resolution
group | 901,914 | 911,379 | 910,993 | 904,598 | 915,066 |
| 5 | TLAC as a percentage of leverage ratio exposure measure (%) | 9.78 | 9.59 | 9.60 | 9.26 | 8.93 |
| 5a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model Leverage exposure measure (%) | 9.77 | 9.58 | 9.60 | 9.25 | 8.93 |
| 6a | Does the subordination exemption in the antepenultimate
paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | | | | |
| 6b | Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply? | No | | | | |
| 6c | If the capped subordination exemption applies, the amount of
funding issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari passu
with excluded liabilities and that would be recognized as external TLAC if no
cap was applied (%) | N/A – Refer to our response to 6b. | | | | |
| 1 Resolution group level is defined as the UBS Group AG
consolidated level. 2 In line with the change of the presentation currency
of UBS Group AG’s and UBS AG’s consolidated and standalone financial
statements from Swiss francs to US dollars in October 2018, prior-period
disclosures were translated to US dollars at the respective spot rates
prevailing on the relevant reporting dates. | | | | | | |

UBS Group

Section 2 Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Depending on the purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (BCBS) Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by the Swiss Financial Market Supervisory Authority (FINMA).

For information about the measurement of risk exposures and RWA, refer to pages 9–12 of our 31 December 2018 Pillar 3 report available under “Pillar 3 disclosures” at www.ubs.com/investors .

RWA development in the third quarter of 2019

The OV1 table below provides an overview of our risk-weighted assets (RWA) and the related minimum capital requirements by risk type. The FINMA template includes rows that are currently not applicable to UBS and therefore have been left empty.

During the third quarter of 2019, RWA increased by USD 2.5 billion to USD 264.6 billion, mainly due to an increase of USD 5.0 billion in credit risk RWA, partly offset by a decrease of USD 1.8 billion in market risk RWA.

The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the third quarter of 2019. More information about capital management and RWA, including details of movements in RWA during the third quarter of 2019, is provided on pages 55 – 56 of our third quarter 2019 report, available under “Quarterly reporting” at www.ubs.com/investors .

OV1: Overview of RWA — USD million		RWA		Minimum capital requirements 1
		30.9.19	30.6.19	30.9.19
1	Credit risk (excluding
counterparty credit risk)	119,969	114,991	9,598
2	of which: standardized
approach (SA) 2	27,786	28,287	2,223
3	of which: foundation
internal ratings-based (F-IRB) approach
4	of which: supervisory
slotting approach
5	of which: advanced internal
ratings-based (A-IRB) approach	92,183	86,703	7,375
6	Counterparty credit risk 3	37,259	37,487	2,981
7	of which: SA for
counterparty credit risk (SA-CCR) 4	5,962	5,793	477
8	of which: internal model
method (IMM)	19,309	20,133	1,545
8a	of which: value-at-risk
(VaR)	5,426	5,453	434
9	of which: other CCR	6,561	6,107	525
10	Credit valuation adjustment
(CVA)	2,458	2,553	197
11	Equity positions under the simple
risk weight approach 5	3,248	3,302	260
12	Equity investments in funds
– look-through approach 6
13	Equity investments in funds
– mandate-based approach 6
14	Equity investments in funds
– fall-back approach 6
15	Settlement risk	347	415	28
16	Securitization exposures in
banking book	656	664	52
17	of which: securitization
internal ratings-based approach (SEC-IRBA)
18	of which: securitization
external ratings-based approach (SEC-ERBA) including internal assessment approach
(IAA)	647	657	52
19	of which: securitization
standardized approach (SEC-SA)	8	7	1
20	Market risk	9,207	10,977	737
21	of which: standardized
approach (SA)	492	452	39
22	of which: internal model
approaches (IMA)	8,714	10,526	697
23	Capital charge for switch
between trading book and banking book
24	Operational risk	80,345	80,345	6,428
25	Amounts below thresholds for
deduction (250% risk weight) 7	11,138	11,402	891
26	Floor adjustment 8	0	0	0
27	Total	264,626	262,135	21,170
1 Calculated based on 8% of RWA. 2 Includes
non-counterparty-related risk not subject to the threshold deduction
treatment (30 September 2019: RWA USD 12,678 million; 30 June 2019: RWA USD
12,912 million). Non-counterparty-related risk (30 September 2019: RWA USD
8,699 million; 30 June 2019: RWA USD 8,853 million) which is subject to the
threshold deduction treatment is reported in line 25 “Amounts below
thresholds for deduction (250% risk weight).” 3 Excludes settlement risk,
which is separately reported in line 15 “Settlement risk.” Includes RWA with
central counterparties. A new regulation for the calculation of RWA for
exposure to central counterparties will be implemented by 1 January 2020. The
split between the subcomponents of counterparty credit risk refers to the
calculation of the exposure measure. 4 Calculated in accordance with
the current exposure method (CEM) until SA-CCR is implemented by
1 January 2020. 5 Includes investments in funds. Items subject to
threshold deduction treatments that do not exceed their respective threshold
are risk weighted at 250% (30 September 2019: RWA USD 2,439 million; 30 June
2019: RWA USD 2,548 million) and are separately included in line 25 “Amounts
below thresholds for deduction (250% risk weight).” 6 A new regulation for
the calculation of RWA for investments in funds will be implemented by
1 January 2020. 7 Includes items subject to threshold deduction
treatments that do not exceed their respective threshold and risk weighted at
250%. Items subject to threshold deduction treatments are significant
investments in common shares of non-consolidated financial institutions
(banks, insurance and other financial entities) and deferred tax assets
arising from temporary differences, both of which are measured against their
respective threshold. 8 No floor effect, as 80% of our Basel I RWA
including the RWA equivalent of the Basel I capital deductions does not
exceed our Basel III RWA including the RWA equivalent of the Basel III
capital deductions. For the status of the finalization of the Basel III
capital framework, refer to the “Regulatory and legal developments” section
of our Annual Report 2018, available under “Annual reporting” at
www.ubs.com/investors, which outlines how the proposed floor calculation
would differ in significant aspects from the current approach.

UBS Group

The CR8 table below provides a breakdown of the credit risk RWA movements in the third quarter of 2019 across movement categories defined by the Basel Committee on Banking Supervision (BCBS). These categories are described on page 45 of our 31 December 2018 Pillar 3 report available under “Pillar 3 disclosures” at www.ubs.com/investors .

Credit risk RWA development in the third quarter of 2019

Credit risk RWA under the advanced internal ratings-based (A-IRB) approach increased by USD 5.5 billion to USD 92.2 billion as of 30 September 2019.

The RWA increase from asset size movements of USD 5.8 billion was predominantly driven by increases in traded loans, term loans exposures and unutilized credit facilities in the Investment Bank’s Corporate Client Solutions business.

The increase in RWA from model updates of USD 0.9 billion was mainly driven by the continued phasing-in of RWA increases related to probability of default (PD) and loss given default (LGD) changes from the implementation of revised models for Swiss residential mortgages, which resulted in RWA increases of USD 0.4 billion in Personal & Corporate Banking and USD 0.1 billion in Global Wealth Management. In addition, a change of the credit conversion factor from 5% to 10% for zero-balance securities-backed lending and margin loans exposures increased RWA in Global Wealth Management by USD 0.4 billion.

The aforementioned increases were partly offset by a USD 1.3 billion decrease in RWA due to currency effects. p

| CR8: RWA flow statements of
credit risk exposures under IRB — USD million | | RWA |
| --- | --- | --- |
| 1 | RWA as of 30.6.19 | 86,703 |
| 2 | Asset size | 5,830 |
| 3 | Asset quality | 472 |
| 4 | Model updates | 861 |
| 5 | Methodology and policy | 0 |
| 6 | Acquisitions and disposals | 0 |
| 7 | Foreign exchange movements | (1,313) |
| 8 | Other | (370) |
| 9 | RWA as of 30.9.19 | 92,183 |

Counterparty credit risk RWA development in the third quarter of 2019

Counterparty credit risk RWA under the internal model method (IMM) decreased by USD 0.8 billion to USD 19.3 billion during the third quarter of 2019, primarily due to lower notional amounts in the Investment Bank’s Foreign Exchange, Rates and Credit business and trade expiries in its Equities business. p

| CCR7: RWA flow statements of
CCR exposures under internal model method (IMM) and value-at-risk (VaR) | | | | |
| --- | --- | --- | --- | --- |
| | | For the quarter ended 30.9.19 | | |
| | | Derivatives | SFTs | Total |
| USD million | | Subject to IMM | Subject to VaR | |
| 1 | RWA as of 30.6.19 | 20,133 | 5,453 | 25,587 |
| 2 | Asset size | (648) | 106 | (543) |
| 3 | Credit quality of counterparties | (5) | (80) | (85) |
| 4 | Model updates | 0 | 0 | 0 |
| 5 | Methodology and policy | 0 | 0 | 0 |
| 5a | of which: regulatory add-ons | | | |
| 6 | Acquisitions and disposals | 0 | 0 | 0 |
| 7 | Foreign exchange movements | (170) | (53) | (223) |
| 8 | Other | 0 | 0 | 0 |
| 9 | RWA as of 30.9.19 | 19,309 | 5,426 | 24,736 |

Market risk RWA development in the third quarter of 2019

The three main components that contribute to market risk RWA are Value-at-risk (VaR), stressed value-at-risk (SVaR) and incremental risk charge (IRC). VaR and SVaR components include the RWA charge for risks-not-in-VaR.

The MR2 table below provides a breakdown of the market risk RWA under an internal models approach movement in the third quarter of 2019 across these components, according to the movement categories defined by the Basel Committee on Banking Supervision. These categories are described on page 81 of our 31 December 2018 Pillar 3 report available under “Pillar 3 disclosures” at www.ubs.com/investors .

Market risk RWA decreased by USD 1.8 billion to USD 8.7 billion in the third quarter of 2019, mainly driven by model updates reflecting changes to the VaR model parameters following our periodic review of VaR model parameters and, to a lesser extent, by regulatory add-ons which reflect updates from the monthly risks-not-in-VaR assessment.

From 30 June 2019 onward, the comprehensive risk measure (CRM)-based capital requirement has no longer been applicable to us, as we no longer hold eligible correlation trading positions.

The VaR multiplier remained unchanged, at 3.0, compared with the second quarter of 2019.

| MR2: RWA flow statements of
market risk exposures under an internal models approach 1 — USD million | | VaR | Stressed VaR | IRC | Total RWA |
| --- | --- | --- | --- | --- | --- |
| 1 | RWA as of 30.6.19 | 2,561 | 6,441 | 1,524 | 10,526 |
| 1a | Regulatory adjustment | (1,874) | (4,591) | (212) | (6,677) |
| 1b | RWA at previous quarter-end (end of day) | 687 | 1,850 | 1,312 | 3,849 |
| 2 | Movement in risk levels | 987 | 1,295 | (61) | 2,222 |
| 3 | Model updates / changes | (909) | (1,749) | 136 | (2,522) |
| 4 | Methodology and policy | 0 | 0 | 0 | 0 |
| 5 | Acquisitions and disposals | 0 | 0 | 0 | 0 |
| 6 | Foreign exchange movements | 0 | 0 | 0 | 0 |
| 7 | Other | (49) | (127) | 0 | (176) |
| 8a | RWA at the end of the reporting period (end of day) | 716 | 1,270 | 1,388 | 3,374 |
| 8b | Regulatory adjustment | 1,481 | 3,837 | 23 | 5,341 |
| 8c | RWA as of 30.9.19 | 2,197 | 5,107 | 1,411 | 8,714 |
| 1 Components that describe movements in RWA are presented in
italics. | | | | | |

UBS Group

Section 3 Going and gone concern requirements and eligible capital

The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by FINMA. More information about capital management is provided on pages 49–58 of our third quarter 2019 report available under “Quarterly reporting” at www.ubs.com/investors .

| Swiss SRB going and gone
concern requirements and information | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Swiss SRB, including transitional arrangements | | | | Swiss SRB as of 1.1.20 | | | |
| As of 30.9.19 | RWA | | LRD | | RWA | | LRD | |
| USD million, except where
indicated | in % | | in % | | in % | | in % | |
| Required going concern
capital | | | | | | | | |
| Total going concern capital | 13.89 | 36,748 | 4.50 | 40,586 | 14.61 1 | 38,654 | 5.00 1 | 45,096 |
| Common equity tier 1 capital | 9.99 | 26,428 | 3.20 | 28,861 | 10.31 | 27,275 | 3.50 | 31,567 |
| of which: minimum capital | 4.90 | 12,967 | 1.70 | 15,333 | 4.50 | 11,908 | 1.50 | 13,529 |
| of which: buffer capital | 4.78 | 12,649 | 1.50 | 13,529 | 5.50 | 14,554 | 2.00 | 18,038 |
| of which: countercyclical
buffer | 0.31 | 812 | | | 0.31 | 812 | | |
| Maximum additional tier 1
capital | 3.90 | 10,320 | 1.30 | 11,725 | 4.30 | 11,379 | 1.50 | 13,529 |
| of which: additional tier 1
capital | 3.10 | 8,203 | 1.30 | 11,725 | 3.50 | 9,262 | 1.50 | 13,529 |
| of which: additional tier 1
buffer capital | 0.80 | 2,117 | | | 0.80 | 2,117 | | |
| Eligible going concern
capital | | | | | | | | |
| Total going concern capital | 21.10 | 55,843 | 6.19 | 55,843 | 19.16 | 50,702 | 5.62 | 50,702 |
| Common equity tier 1 capital | 13.10 | 34,673 | 3.84 | 34,673 | 13.10 | 34,673 | 3.84 | 34,673 |
| Total loss-absorbing
additional tier 1 capital | 8.00 | 21,169 | 2.35 | 21,169 | 6.06 | 16,029 | 1.78 | 16,029 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 5.15 | 13,625 | 1.51 | 13,625 | 5.15 | 13,625 | 1.51 | 13,625 |
| of which: low-trigger
loss-absorbing additional tier 1 capital 2 | 0.91 | 2,404 | 0.27 | 2,404 | 0.91 | 2,404 | 0.27 | 2,404 |
| of which: low-trigger
loss-absorbing tier 2 capital 3 | 1.94 | 5,140 | 0.57 | 5,140 | | | | |
| Required gone concern
capital | | | | | | | | |
| Total gone concern
loss-absorbing capacity | 9.63 | 25,478 | 3.32 | 29,944 | 10.57 | 27,972 | 3.77 | 33,993 |
| of which: base requirement | 10.52 | 27,839 | 3.63 | 32,694 | 12.86 | 34,031 | 4.50 | 40,586 |
| of which: additional
requirement for market share and LRD | 1.08 | 2,858 | 0.38 | 3,382 | 1.44 | 3,811 | 0.50 | 4,510 |
| of which: applicable
reduction on requirements | (1.97) | (5,218) | (0.68) | (6,133) | (3.73) | (9,870) | (1.23) | (11,103) |
| of which: rebate granted
(equivalent to 42.5% of maximum rebate) 4 | (1.97) | (5,218) | (0.68) | (6,133) | (2.43) | (6,433) | (0.85) | (7,666) |
| of which: reduction for
usage of low-trigger tier 2 capital instruments | | | | | (1.30) | (3,437) | (0.38) | (3,437) |
| Eligible gone concern
capital | | | | | | | | |
| Total gone concern
loss-absorbing capacity | 12.22 | 32,336 | 3.59 | 32,336 | 14.16 | 37,476 | 4.16 | 37,476 |
| Total tier 2 capital | 0.86 | 2,267 | 0.25 | 2,267 | 2.80 | 7,407 | 0.82 | 7,407 |
| of which: low-trigger
loss-absorbing tier 2 capital | 0.65 | 1,733 | 0.19 | 1,733 | 2.60 | 6,873 | 0.76 | 6,873 |
| of which: non-Basel
III-compliant tier 2 capital | 0.20 | 534 | 0.06 | 534 | 0.20 | 534 | 0.06 | 534 |
| TLAC-eligible senior
unsecured debt | 11.36 | 30,069 | 3.33 | 30,069 | 11.36 | 30,069 | 3.33 | 30,069 |
| Total loss-absorbing
capacity | | | | | | | | |
| Required total
loss-absorbing capacity | 23.51 | 62,227 | 7.82 | 70,530 | 25.18 | 66,626 | 8.77 | 79,089 |
| Eligible total
loss-absorbing capacity | 33.32 | 88,178 | 9.78 | 88,178 | 33.32 | 88,178 | 9.78 | 88,178 |
| Risk-weighted assets /
leverage ratio denominator | | | | | | | | |
| Risk-weighted assets | 264,626 | | | | 264,626 | | | |
| Leverage ratio denominator | | | 901,914 | | | | 901,914 | |
| 1 Includes applicable add-ons of 1.44% for RWA and 0.5% for
LRD. 2 Includes outstanding low-trigger loss-absorbing additional tier 1
(AT1) capital instruments, which are available under the transitional rules
of the Swiss SRB framework to meet the going concern requirements until their
first call date, even if the first call date is after 31 December 2019. As of
their first call date, these instruments are eligible to meet the gone
concern requirements. 3 Includes outstanding low-trigger
loss-absorbing tier 2 capital instruments, which are available under the
transitional rules of the Swiss SRB framework to meet the going concern
requirements until the earlier of (i) their maturity or first call date or
(ii) 31 December 2019, and to meet gone concern requirements thereafter.
Outstanding low-trigger loss-absorbing tier 2 capital instruments are subject
to amortization starting five years prior to their maturity, with the
amortized portion qualifying as gone concern loss-absorbing capacity.
Instruments available to meet gone concern requirements are eligible until
one year before maturity, with a haircut of 50% applied in the last year of
eligibility. 4 Based on the actions we completed up to December 2018 to
improve resolvability, FINMA granted a rebate on the gone concern requirement
of 42.5% of the maximum rebate in the third quarter of 2019 as compared with
40% in the previous quarter. | | | | | | | | |

Section 4 Leverage ratio

BCBS Basel III leverage ratio

The Basel Committee on Banking Supervision (BCBS) 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 also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).

The table on this page shows the difference between total IFRS assets per IFRS consolidation scope and the BCBS total on-balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the LR2 table below. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying values for derivative financial instruments and SFTs are deducted from IFRS total assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure line items in the LR2 table.

As of 30 September 2019, our BCBS Basel III leverage ratio was 5.6% and our BCBS Basel III LRD was USD 902 billion.

Difference between the Swiss SRB and BCBS leverage ratio

The LRD is the same under Swiss SRB and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules we are required to meet going as well as gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity (TLAC)-eligible senior unsecured debt.

| Reconciliation of IFRS total
assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions — USD million | 30.9.19 | 30.6.19 |
| --- | --- | --- |
| On-balance sheet exposures | | |
| IFRS total assets | 973,118 | 968,727 |
| Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation | (25,850) | (25,625) |
| 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 | 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 | 0 |
| Less carrying value of derivative financial instruments in IFRS
total assets 1 | (159,917) | (145,470) |
| Less carrying value of securities financing transactions in IFRS
total assets 2 | (119,727) | (120,008) |
| Adjustments to accounting values | 0 | 0 |
| On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral | 667,624 | 677,624 |
| Asset amounts deducted in determining BCBS Basel III tier 1
capital | (15,562) | (13,461) |
| Total on-balance sheet
exposures (excluding derivatives and securities financing transactions) | 652,062 | 664,164 |
| 1 Consists of derivative financial instruments and cash
collateral receivables on derivative instruments in accordance with the
regulatory scope of consolidation. 2 Consists of receivables from
securities financing transactions, margin loans, prime brokerage receivables
and financial assets at fair value not held for trading related to securities
financing transactions in accordance with the regulatory scope of
consolidation. | | |

UBS Group

| LR2: BCBS Basel III leverage ratio common disclosure — USD million, except where
indicated | | 30.9.19 | 30.6.19 |
| --- | --- | --- | --- |
| | On-balance sheet exposures | | |
| 1 | On-balance sheet items excluding derivatives and SFTs, but
including collateral | 667,624 | 677,624 |
| 2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (15,562) | (13,461) |
| 3 | Total on-balance sheet
exposures (excluding derivatives and SFTs) | 652,062 | 664,164 |
| | Derivative exposures | | |
| 4 | Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin) | 42,484 | 39,849 |
| 5 | Add-on amounts for PFE associated with all derivatives
transactions | 84,565 | 84,806 |
| 6 | Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative accounting framework | 0 | 0 |
| 7 | (Deductions of receivables assets for cash variation margin
provided in derivatives transactions) | (15,236) | (14,218) |
| 8 | (Exempted CCP leg of client-cleared trade exposures) | (17,895) | (19,289) |
| 9 | Adjusted effective notional amount of all written credit
derivatives 1 | 70,968 | 71,554 |
| 10 | (Adjusted effective notional offsets and add-on deductions for
written credit derivatives) 2 | (69,236) | (69,663) |
| 11 | Total derivative exposures | 95,651 | 93,039 |
| | Securities financing
transaction exposures | | |
| 12 | Gross SFT assets (with no recognition of netting), after
adjusting for sale accounting transactions | 240,069 | 221,683 |
| 13 | (Netted amounts of cash payables and cash receivables of gross
SFT assets) | (120,342) | (101,676) |
| 14 | CCR exposure for SFT assets | 9,260 | 8,672 |
| 15 | Agent transaction exposures | 0 | 0 |
| 16 | Total securities financing transaction
exposures | 128,987 | 128,680 |
| | Other off-balance sheet
exposures | | |
| 17 | Off-balance sheet exposure at gross notional amount | 81,600 | 73,852 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (56,386) | (48,354) |
| 19 | Total off-balance sheet
items | 25,214 | 25,497 |
| | Total exposures (leverage
ratio denominator) | 901,914 | 911,379 |
| | Capital and total exposures
(leverage ratio denominator) | | |
| 20 | Tier 1 capital | 50,702 | 49,993 |
| 21 | Total exposures (leverage
ratio denominator) | 901,914 | 911,379 |
| | Leverage ratio | | |
| 22 | Basel III leverage ratio (%) | 5.6 | 5.5 |
| 1 Includes protection sold, including agency transactions. 2
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. | | | |

LRD decreased by USD 9 billion to USD 902 billion in the third quarter of 2019, mainly driven by a decrease of USD 13 billion from currency effects, partly offset by a USD 4 billion increase in asset size and other movements.

| LR1: BCBS Basel III leverage
ratio summary comparison — USD million | | 30.9.19 | 30.6.19 |
| --- | --- | --- | --- |
| 1 | Total consolidated assets as per published financial statements | 973,118 | 968,727 |
| 2 | Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation 1 | (41,412) | (39,085) |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure | 0 | 0 |
| 4 | Adjustments for derivative financial instruments | (64,266) | (52,432) |
| 5 | Adjustment for securities financing transactions (i.e., repos
and similar secured lending) | 9,260 | 8,672 |
| 6 | Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures) | 25,214 | 25,497 |
| 7 | Other adjustments | 0 | 0 |
| 8 | Leverage ratio exposure
(leverage ratio denominator) | 901,914 | 911,379 |
| 1 This item includes assets that are deducted from tier 1
capital. | | | |

| BCBS Basel III leverage ratio — USD million, except where
indicated | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
| --- | --- | --- | --- | --- |
| Total tier 1 capital | 50,702 | 49,993 | 49,436 | 46,279 |
| BCBS total exposures (leverage ratio denominator) | 901,914 | 911,379 | 910,993 | 904,598 |
| BCBS Basel III leverage
ratio (%) | 5.6 | 5.5 | 5.4 | 5.1 |

UBS Group

Section 5 Liquidity coverage ratio

LIQ1: Liquidity risk management

We monitor the liquidity coverage ratio (LCR) in all significant currencies in order to manage any currency mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress. For information about the concentration of funding sources, refer to the “Funding by product and currency” table in the “Treasury management” section of our third quarter 2019 report.

High-quality liquid assets

HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing on a developed and recognized exchange, existence of an active and sizeable market, and low volatility. Based on these characteristics, HQLA are categorized as Level 1 (primarily central bank reserves and government bonds) or Level 2 (primarily US and European agency bonds, as well as non-financial corporate covered bonds). Level 2 assets are subject to regulatory haircuts and caps.

High-quality liquid assets
	Average 3Q19 1			Average 2Q19 1
USD billion	Level 1 weighted liquidity value 2	Level 2 weighted liquidity value 2	Total weighted liquidity value 2	Level 1 weighted liquidity value 2	Level 2 weighted liquidity value 2	Total weighted liquidity value 2
Cash balances 3	99	0	99	108	0	108
Securities (on- and off-balance sheet)	53	16	69	53	15	68
Total high-quality liquid
assets 4	152	16	168	161	15	176
1 Calculated based on an average of 66 data points in the third
quarter of 2019 and 65 data points in the second quarter of 2019. 2
Calculated after the application of haircuts. 3 Includes cash and balances
with central banks and other eligible balances as prescribed by FINMA. 4
Calculated in accordance with FINMA requirements.

Liquidity coverage ratio

In the third quarter of 2019, the UBS Group liquidity coverage ratio (LCR) decreased 7 percentage points to 138%, remaining above the 110% Group LCR minimum communicated by the Swiss Financial Market Supervisory Authority (FINMA).

The LCR decrease was primarily driven by lower average high-quality liquid assets due to a reduction of cash at central banks reflecting higher average funding consumption by the business divisions and reductions in the level of issued debt.

LIQ1: Liquidity coverage ratio
		Average 3Q19 1		Average 2Q19 1
USD billion, except where
indicated		Unweighted value	Weighted value 2	Unweighted value	Weighted value 2
High-quality liquid assets
1	High-quality liquid assets	171	168	179	176
Cash outflows
2	Retail deposits and deposits from small business customers	241	28	239	27
3	of which: stable deposits	31	1	31	1
4	of which: less stable
deposits	210	27	207	26
5	Unsecured wholesale funding	188	106	186	106
6	of which: operational
deposits (all counterparties)	41	10	41	10
7	of which: non-operational
deposits (all counterparties)	135	83	132	82
8	of which: unsecured debt	12	12	13	13
9	Secured wholesale funding		75		74
10	Additional requirements:	71	22	75	22
11	of which: outflows related
to derivatives and other transactions	37	15	41	15
12	of which: outflows related
to loss of funding on debt products 3	0	0	0	0
13	of which: committed credit
and liquidity facilities	34	7	34	7
14	Other contractual funding obligations	14	12	14	12
15	Other contingent funding obligations	238	6	241	6
16	Total cash outflows		249		247
Cash inflows
17	Secured lending	304	87	297	85
18	Inflows from fully performing exposures	62	28	65	29
19	Other cash inflows	12	12	11	11
20	Total cash inflows	379	127	373	126
			Average 3Q19 1		Average 2Q19 1
USD billion, except where
indicated			Total adjusted value 4		Total adjusted value 4
Liquidity coverage ratio
21	High-quality liquid assets		168		176
22	Net cash outflows		122		121
23	Liquidity coverage ratio (%)		138		145
1 Calculated based on an average of 66 data points in the third
quarter of 2019 and 65 data points in the second quarter of 2019. 2
Calculated after the application of haircuts and inflow and outflow rates.
3 Includes outflows related to loss of funding on asset-backed
securities, covered bonds, other structured financing instruments,
asset-backed commercial papers, structured entities (conduits), securities
investment vehicles and other such financing facilities. 4 Calculated
after the application of haircuts and inflow and outflow rates as well as,
where applicable, caps on Level 2 assets and cash inflows.

Significant regulated subsidiaries and sub-groups

Section 1 Introduction

The sections below include capital and other regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.

C apital information in this section is based on Pillar 1 requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

Section 2 UBS AG standalone

Key metrics of the third quarter of 2019

The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. During the third quarter of 2019, common equity tier 1 (CET1) capital decreased by USD 0.8 billion to USD 50.5 billion, mainly due to accruals for capital returns and partly offset by operating profit. Risk-weighted assets (RWA) were stable during the quarter. Leverage ratio exposure decreased by USD 9 billion to USD 610 billion, mainly due to a decrease in on-balance sheet exposures (excluding derivative exposures and securities financing transactions). High-quality liquid assets decreased by USD 5.9 billion as a result of lower average cash balances, reflecting higher average funding consumption by the business divisions and reductions in the level of issued debt. Net cash outflows decreased by USD 1.0 billion, reflecting higher inflows from secured lending.

KM1: Key metrics
USD million, except where
indicated
		30.9.19	30.6.19	31.3.19	31.12.18	30.9.18 4
Available capital (amounts) 1
1	Common equity tier 1 (CET1)	50,458	51,261	49,024	49,411	49,810
1a	Fully loaded ECL accounting model	50,456	51,258	49,021	49,411	49,810
2	Tier 1	64,545	64,315	61,839	59,595	59,341
2a	Fully loaded ECL accounting model tier 1	64,543	64,312	61,836	59,595	59,341
3	Total capital	70,194	70,612	68,542	66,295	66,005
3a	Fully loaded ECL accounting model total capital	70,191	70,609	68,539	66,295	66,005
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	297,200	294,348	300,734	292,888	288,045
4a	Minimum capital requirement 2	23,776	23,548	24,059	23,431	23,044
4b	Total risk-weighted assets (pre-floor)	297,200	294,348	300,734	292,888	288,045
Risk-based capital ratios as
a percentage of RWA 1
5	Common equity tier 1 ratio (%)	16.98	17.41	16.30	16.87	17.29
5a	Fully loaded ECL accounting model CET1 (%)	16.98	17.41	16.30	16.87	17.29
6	Tier 1 ratio (%)	21.72	21.85	20.56	20.35	20.60
6a	Fully loaded ECL accounting model tier 1 ratio (%)	21.72	21.85	20.56	20.35	20.60
7	Total capital ratio (%)	23.62	23.99	22.79	22.63	22.91
7a	Fully loaded ECL accounting model total capital ratio (%)	23.62	23.99	22.79	22.63	22.91
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.50	2.50	2.50	1.88	1.88
9	Countercyclical buffer requirement (%)	0.08	0.08	0.09	0.07	0.05
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.00	0.00	0.00	0.00	0.00
10	Bank G-SIB and / or D-SIB additional requirements (%) 3
11	Total of bank CET1 specific buffer requirements (%) 1	2.58	2.58	2.59	1.95	1.92
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 1	12.48	12.91	11.80	12.37	12.79
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	609,656	618,704	617,329	601,013	619,741
14	Basel III leverage ratio (%) 1	10.59	10.40	10.02	9.92	9.58
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	10.59	10.39	10.02	9.92	9.58
Liquidity coverage ratio
15	Total HQLA	76,330	82,201	86,690	76,456	81,214
16	Total net cash outflow	55,607	56,626	51,434	55,032	59,450
17	LCR ratio (%)	137	145	169	139	137
1 Based on BCBS Basel III phase-in rules. 2 Calculated as 8%
of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements. 3 Swiss SRB going concern requirements and
information for UBS AG standalone is provided in the following pages in this
section. 4 In line with the change of the presentation currency of UBS
Group AG’s and UBS AG’s consolidated and standalone financial statements from
Swiss francs to US dollars in October 2018, prior periods were translated to
US dollars at the respective spot rates prevailing on the relevant reporting
dates.

Swiss SRB going concern requirements and information

The table below provides details of the Swiss systematically relevant bank (SRB) risk-weighted assets (RWA)- and leverage ratio denominator (LRD)-based going concern requirements and information as required by FINMA.

| Swiss SRB going concern
requirements and information | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Swiss SRB, including transitional arrangements | | | | Swiss SRB as of 1.1.20, after transition arrangements | | | |
| As of 30.9.19 | RWA | | LRD | | RWA | | LRD | |
| USD million, except where
indicated | in % 1 | | in % 1 | | in % | | in % | |
| Required going concern
capital | | | | | | | | |
| Total going concern capital | 14.38 2 | 42,747 | 5.00 2 | 30,483 | 14.38 2 | 55,055 | 5.00 2 | 30,483 |
| Common equity tier 1 capital | 10.08 | 29,968 | 3.50 | 21,338 | 10.08 | 38,596 | 3.50 | 21,338 |
| of which: minimum capital | 4.50 | 13,374 | 1.50 | 9,145 | 4.50 | 17,225 | 1.50 | 9,145 |
| of which: buffer capital | 5.50 | 16,346 | 2.00 | 12,193 | 5.50 | 21,052 | 2.00 | 12,193 |
| of which: countercyclical
buffer | 0.08 | 248 | | | 0.08 | 319 | | |
| Maximum additional tier 1
capital | 4.30 | 12,780 | 1.50 | 9,145 | 4.30 | 16,459 | 1.50 | 9,145 |
| of which: additional tier 1
capital | 3.50 | 10,402 | 1.50 | 9,145 | 3.50 | 13,397 | 1.50 | 9,145 |
| of which: additional tier 1
buffer capital | 0.80 | 2,378 | | | 0.80 | 3,062 | | |
| Eligible going concern
capital | | | | | | | | |
| Total going concern capital | 22.63 | 67,267 | 11.03 | 67,267 | 16.23 | 62,142 | 10.19 | 62,142 |
| Common equity tier 1 capital | 16.98 | 50,458 | 8.28 | 50,458 | 13.18 | 50,458 | 8.28 | 50,458 |
| Total loss-absorbing additional
tier 1 capital 3 | 5.66 | 16,809 | 2.76 | 16,809 | 3.05 | 11,684 | 1.92 | 11,684 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 3.93 | 11,684 | 1.92 | 11,684 | 3.05 | 11,684 | 1.92 | 11,684 |
| of which: low-trigger
loss-absorbing tier 2 capital | 1.72 | 5,125 | 0.84 | 5,125 | | | | |
| Risk-weighted assets /
leverage ratio denominator | | | | | | | | |
| Risk-weighted assets | 297,200 | | | | 382,770 | | | |
| Leverage ratio denominator | | | 609,656 | | | | 609,656 | |
| 1 By FINMA decree, requirements exceed those based on the
transitional arrangements of the Swiss Capital Adequacy Ordinance, i.e., a
total going concern capital ratio requirement of 13.58% plus the effect of
countercyclical buffer (CCyB) requirements of 0.08%, of which 9.68% plus the
effect of CCyB requirements of 0.08% must be satisfied with CET1 capital, and
a total going concern leverage ratio requirement of 4.5%, of which 3.2% must
be satisfied with CET1 capital. 2 Includes applicable add-ons of 1.44% for
RWA and 0.5% for LRD. 3 Includes outstanding low-trigger
loss-absorbing tier 2 capital instruments, which are available under the
transitional rules of the Swiss SRB framework to meet the going concern
requirements until the earlier of (i) their maturity or first call date or
(ii) 31 December 2019. Outstanding low-trigger loss-absorbing
tier 2 capital instruments are subject to amortization starting five years
prior to their maturity. | | | | | | | | |

Significant regulated subsidiaries and sub-groups

Swiss SRB going concern information
	Swiss SRB, including transitional arrangements			Swiss SRB as of 1.1.20, after transition arrangements
USD million, except where
indicated	30.9.19	30.6.19	31.12.18	30.9.19	30.6.19	31.12.18
Eligible going concern
capital
Total going concern capital	67,267	67,485	63,225	62,142	61,880	57,217
Total tier 1 capital	62,142	61,880	57,217	62,142	61,880	57,217
Common equity tier 1 capital	50,458	51,261	49,411	50,458	51,261	49,411
Total loss-absorbing
additional tier 1 capital	11,684	10,619	7,805	11,684	10,619	7,805
of which: high-trigger
loss-absorbing additional tier 1 capital	11,684	10,619	7,805	11,684	10,619	7,805
Total tier 2 capital	5,125	5,606	6,008
of which: low-trigger
loss-absorbing tier 2 capital 1	5,125	5,606	6,008
Risk-weighted assets /
leverage ratio denominator
Risk-weighted assets	297,200	294,348	292,888	382,770	380,200	383,578
of which: direct and
indirect investments in Swiss-domiciled subsidiaries 2	32,803	33,034	31,711	40,004	40,285	39,639
of which: direct and
indirect investments in foreign-domiciled subsidiaries 2	95,784	96,068	82,762	174,153	174,668	165,525
Leverage ratio denominator	609,656	618,704	601,013	609,656	618,704	601,013
Capital and loss-absorbing
capacity ratios (%)
Going concern capital ratio	22.6	22.9	21.6	16.2	16.3	14.9
of which: common equity tier
1 capital ratio	17.0	17.4	16.9	13.2	13.5	12.9
Leverage ratios (%)
Going concern leverage ratio	11.0	10.9	10.5	10.2	10.0	9.5
of which: common equity tier
1 leverage ratio	8.3	8.3	8.2	8.3	8.3	8.2
1 Outstanding low-trigger loss-absorbing tier 2 capital
instruments qualify as going concern capital until the earlier of (i) their
maturity or first call date or (ii) 31 December 2019, and are subject to
amortization starting five years prior to their maturity. 2 Carrying
value for direct and indirect investments including holding of regulatory
capital instruments in Swiss-domiciled subsidiaries
(30 September 2019: USD 16,002 million; 30 June 2019: USD
16,114 million), and for direct and indirect investments including holding of
regulatory capital instruments in foreign-domiciled subsidiaries
(30 September 2019: USD 43,538 million;
30 June 2019: USD 43,667 million), is risk weighted at 205%
and 220%, respectively, for the current year. Risk weights will gradually increase
by 5% per year for Swiss-domiciled investments and 20% per year for
foreign-domiciled investments until the fully applied risk weights of 250%
and 400%, respectively, are applied.

Leverage ratio information

| Swiss SRB leverage ratio
denominator — USD billion | 30.9.19 | 30.6.19 |
| --- | --- | --- |
| Leverage ratio denominator | | |
| Swiss GAAP total assets | 489.8 | 501.0 |
| Difference between Swiss GAAP and IFRS total assets | 136.5 | 121.6 |
| Less: derivative exposures and SFTs 1 | (250.4) | (238.9) |
| On-balance sheet exposures
(excluding derivative exposures and SFTs) | 376.0 | 383.7 |
| Derivative exposures | 102.2 | 100.5 |
| Securities financing transactions | 107.7 | 111.8 |
| Off-balance sheet items | 24.6 | 23.4 |
| Items deducted from Swiss SRB tier 1 capital | (0.9) | (0.6) |
| Total exposures (leverage
ratio denominator) | 609.7 | 618.7 |
| 1 Consists of derivative financial instruments, cash collateral
receivables on derivative instruments, receivables from securities financing
transactions, and margin loans, as well as prime brokerage receivables and
financial assets at fair value not held for trading, both related to
securities financing transactions, in accordance with the regulatory scope of
consolidation, which are presented separately under Derivative exposures and Securities
financing transactions in this table. | | |

| BCBS Basel III leverage ratio — USD million, except where
indicated | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
| --- | --- | --- | --- | --- |
| Total tier 1 capital | 64,545 | 64,315 | 61,839 | 59,595 |
| Total exposures (leverage ratio denominator) | 609,656 | 618,704 | 617,329 | 601,013 |
| BCBS Basel III leverage
ratio (%) | 10.6 | 10.4 | 10.0 | 9.9 |

Liquidity coverage ratio

UBS AG is required to maintain a minimum liquidity coverage ratio of 105% as communicated by FINMA.

Liquidity coverage ratio
	Weighted value 1
USD billion, except where
indicated	Average 3Q19 2	Average 2Q19 2
High-quality liquid assets	76	82
Total net cash outflows	56	57
of which: cash outflows	177	175
of which: cash inflows	121	118
Liquidity coverage ratio (%)	137	145
1 Calculated after the application of haircuts and inflow and
outflow rates. 2 Calculated based on an average of 66 data points in the
third quarter of 2019 and 65 data points in the second quarter of 2019.

Significant regulated subsidiaries and sub-groups

Section 3 UBS Switzerland AG standalone

Key metrics of the third quarter of 2019

The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III phase-in rules. During the third quarter of 2019, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 10.9 billion, mainly as a result of operating profit. Risk-weighted assets (RWA) increased by CHF 1.3 billion to CHF 97.9 billion, primarily due to an increase in the Basel I RWA floor. Leverage ratio exposure was stable during the quarter. High-quality liquid assets decreased by CHF 2.3 billion as a result of lower average cash balances, reflecting a decrease in average customer deposits.

KM1: Key metrics
CHF million, except where
indicated
		30.9.19	30.6.19	31.3.19	31.12.18	30.9.18
Available capital (amounts) 1
1	Common equity tier 1 (CET1)	10,875	10,654	10,463	10,225	10,165
1a	Fully loaded ECL accounting model	10,871	10,649	10,457	10,225	10,165
2	Tier 1	15,124	14,894	14,712	14,468	13,165
2a	Fully loaded ECL accounting model tier 1	15,120	14,889	14,706	14,468	13,165
3	Total capital	15,124	14,894	14,712	14,468	13,165
3a	Fully loaded ECL accounting model total capital	15,120	14,889	14,706	14,468	13,165
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	97,927	96,640	96,067	95,646	95,541
4a	Minimum capital requirement 2	7,834	7,731	7,685	7,652	7,643
4b	Total risk-weighted assets (pre-floor)	90,338	91,013	90,068	91,457	88,299
Risk-based capital ratios as
a percentage of RWA 1
5	Common equity tier 1 ratio (%)	11.10	11.02	10.89	10.69	10.64
5a	Fully loaded ECL accounting model CET1 (%)	11.10	11.02	10.89	10.69	10.64
6	Tier 1 ratio (%)	15.44	15.41	15.31	15.13	13.78
6a	Fully loaded ECL accounting model tier 1 ratio (%)	15.44	15.41	15.31	15.13	13.78
7	Total capital ratio (%)	15.44	15.41	15.31	15.13	13.78
7a	Fully loaded ECL accounting model total capital ratio (%)	15.44	15.41	15.31	15.13	13.78
Additional CET1 buffer
requirements as a percentage of RWA 3
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.50	2.50	2.50	1.88	1.88
9	Countercyclical buffer requirement (%)	0.01	0.01	0.01	0.01	0.00
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.57	0.57	0.58	0.56	0.56
10	Bank G-SIB and / or D-SIB additional requirements (%) 4
11	Total of bank CET1 specific buffer requirements (%) 1	2.51	2.51	2.51	1.88	1.88
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 1	6.60	6.52	6.39	6.19	6.14
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	309,750	311,212	310,545	306,487	303,257
14	Basel III leverage ratio (%) 1	4.88	4.79	4.74	4.72	4.34
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	4.88	4.78	4.74	4.72	4.34
Liquidity coverage ratio
15	Total HQLA	64,835	67,160	71,392	67,427	66,174
16	Total net cash outflow	49,242	48,761	51,945	52,846	53,130
17	LCR ratio (%)	132	138	137	128	125
1 Based on BCBS Basel III phase-in rules. 2 Calculated as 8%
of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements. 3 As Annex 8 of Swiss Capital Adequacy Ordinance
(CAO) does not apply to the systemically relevant banks, UBS can abstain from
disclosing the information required in lines 12a–12e. In the event of a waiver,
UBS nevertheless provides information about the Swiss sector-specific
countercyclical buffer in row 9a pursuant to Art. 44 CAO. 4 Swiss SRB
going concern requirements and information for UBS Switzerland AG are
provided on the next page.

Swiss SRB going and gone concern requirements and information

UBS Switzerland AG is considered a systemically relevant bank (SRB) under Swiss banking law and is subject to capital regulations on a standalone basis . As of 30 September 2019, the transitional going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 14.16% and 4.5%, respectively. The gone concern requirements under transitional arrangements were 9.63% for the RWA-based requirement and 3.32% for the LRD-based requirement.

| Swiss SRB going and gone
concern requirements and information | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Swiss SRB, including transitional arrangements | | | | Swiss SRB as of 1.1.20 | | | |
| As of 30.9.19 | RWA | | LRD | | RWA | | LRD | |
| CHF million, except where
indicated | in % 1 | | in % | | in % | | in % | |
| Required going concern
capital | | | | | | | | |
| Total going concern capital | 14.16 | 13,866 | 4.50 | 13,939 | 14.88 2 | 14,571 | 5.00 2 | 15,488 |
| Common equity tier 1 capital | 10.26 | 10,047 | 3.20 | 9,912 | 10.58 | 10,361 | 3.50 | 10,841 |
| of which: minimum capital | 4.90 | 4,798 | 1.70 | 5,266 | 4.50 | 4,407 | 1.50 | 4,646 |
| of which: buffer capital | 4.78 | 4,681 | 1.50 | 4,646 | 5.50 | 5,386 | 2.00 | 6,195 |
| of which: countercyclical
buffer | 0.58 | 568 | | | 0.58 | 568 | | |
| Maximum additional tier 1
capital | 3.90 | 3,819 | 1.30 | 4,027 | 4.30 | 4,211 | 1.50 | 4,646 |
| of which: additional tier 1
capital | 3.10 | 3,036 | 1.30 | 4,027 | 3.50 | 3,427 | 1.50 | 4,646 |
| of which: additional tier 1
buffer capital | 0.80 | 783 | | | 0.80 | 783 | | |
| Eligible going concern
capital | | | | | | | | |
| Total going concern capital | 15.44 | 15,124 | 4.88 | 15,124 | 15.44 | 15,124 | 4.88 | 15,124 |
| Common equity tier 1 capital | 11.10 | 10,875 | 3.51 | 10,875 | 11.10 | 10,875 | 3.51 | 10,875 |
| Total loss-absorbing
additional tier 1 capital | 4.34 | 4,249 | 1.37 | 4,249 | 4.34 | 4,249 | 1.37 | 4,249 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 4.34 | 4,249 | 1.37 | 4,249 | 4.34 | 4,249 | 1.37 | 4,249 |
| Required gone concern
capital | | | | | | | | |
| Total gone concern loss-absorbing
capacity | 9.63 | 9,428 | 3.32 | 10,284 | 11.87 | 11,623 | 4.15 | 12,855 |
| of which: base requirement | 10.52 | 10,302 | 3.63 | 11,228 | 12.86 | 12,593 | 4.50 | 13,939 |
| of which: additional
requirement for market share and LRD | 1.08 | 1,058 | 0.38 | 1,162 | 1.44 | 1,410 | 0.50 | 1,549 |
| of which: applicable
reduction on requirements | (1.97) | (1,931) | (0.68) | (2,106) | (2.43) | (2,381) | (0.85) | (2,633) |
| of which: rebate granted
(equivalent to 42.5% of maximum rebate) 3 | (1.97) | (1,931) | (0.68) | (2,106) | (2.43) | (2,381) | (0.85) | (2,633) |
| Eligible gone concern
capital | | | | | | | | |
| Total gone concern
loss-absorbing capacity | 11.18 | 10,948 | 3.53 | 10,948 | 11.18 | 10,948 | 3.53 | 10,948 |
| TLAC-eligible debt | 11.18 | 10,948 | 3.53 | 10,948 | 11.18 | 10,948 | 3.53 | 10,948 |
| Total loss-absorbing
capacity | | | | | | | | |
| Required total
loss-absorbing capacity | 23.79 | 23,295 | 7.82 | 24,222 | 26.75 | 26,194 | 9.15 | 28,342 |
| Eligible total
loss-absorbing capacity | 26.62 | 26,072 | 8.42 | 26,072 | 26.62 | 26,072 | 8.42 | 26,072 |
| Risk-weighted assets /
leverage ratio denominator | | | | | | | | |
| Risk-weighted assets | 97,927 | | | | 97,927 | | | |
| Leverage ratio denominator | | | 309,750 | | | | 309,750 | |
| 1 The total loss-absorbing capacity ratio requirement of 23.79%
is the current requirement based on the transitional rules of the Swiss
Capital Adequacy Ordinance including the aforementioned rebate on the gone
concern requirements. In addition, FINMA has defined a total capital ratio
requirement, which is the sum of 14.4% and the effect of countercyclical
buffer (CCyB) requirements of 0.58%, of which 10% plus the effect of CCyB
requirements must be satisfied with CET1 capital. These FINMA requirements
will be effective until they are exceeded by the Swiss SRB requirements based
on the transitional rules. 2 Includes applicable add-ons of 1.44% for RWA
and 0.5% for LRD. 3 Based on the actions we completed up to December 2018
to improve resolvability, FINMA granted a rebate on the gone concern
requirement of 42.5% of the maximum rebate in the third quarter of 2019 as
compared with 40% in the previous quarter. | | | | | | | | |

Significant regulated subsidiaries and sub-groups

Swiss SRB loss-absorbing capacity

| Swiss SRB going and gone
concern information 1 — CHF million, except where
indicated | 30.9.19 | 30.6.19 | 31.12.18 |
| --- | --- | --- | --- |
| Eligible going concern
capital | | | |
| Total going concern capital | 15,124 | 14,894 | 14,468 |
| Total tier 1 capital | 15,124 | 14,894 | 14,468 |
| Common equity tier 1 capital | 10,875 | 10,654 | 10,225 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 4,249 | 4,240 | 4,243 |
| Eligible gone concern
capital | | | |
| Total gone concern
loss-absorbing capacity | 10,948 | 10,924 | 10,932 |
| TLAC-eligible debt | 10,948 | 10,924 | 10,932 |
| Total loss-absorbing
capacity | | | |
| Total loss-absorbing
capacity | 26,072 | 25,818 | 25,400 |
| Risk-weighted assets /
leverage ratio denominator | | | |
| Risk-weighted assets | 97,927 | 96,640 | 95,646 |
| Leverage ratio denominator | 309,750 | 311,212 | 306,487 |
| Capital and loss-absorbing
capacity ratios (%) | | | |
| Going concern capital ratio | 15.4 | 15.4 | 15.1 |
| of which: common equity tier
1 capital ratio | 11.1 | 11.0 | 10.7 |
| Gone concern loss-absorbing capacity ratio | 11.2 | 11.3 | 11.4 |
| Total loss-absorbing
capacity ratio | 26.6 | 26.7 | 26.6 |
| Leverage ratios (%) | | | |
| Going concern leverage ratio | 4.9 | 4.8 | 4.7 |
| of which: common equity tier
1 leverage ratio | 3.5 | 3.4 | 3.3 |
| Gone concern leverage ratio | 3.5 | 3.5 | 3.6 |
| Total loss-absorbing
capacity leverage ratio | 8.4 | 8.3 | 8.3 |
| 1 The numbers disclosed in the table are identical for Swiss SRB
(including transitional arrangement) requirements and Swiss SRB requirements
applicable as of 1 January 2020. | | | |

Leverage ratio information

| Swiss SRB leverage ratio
denominator — CHF billion | 30.9.19 | 30.6.19 |
| --- | --- | --- |
| Leverage ratio denominator | | |
| Swiss GAAP total assets | 294.2 | 295.7 |
| Difference between Swiss GAAP and IFRS total assets | 5.3 | 3.6 |
| Less: derivative exposures and SFTs 1 | (31.9) | (39.2) |
| On-balance sheet exposures
(excluding derivative exposures and SFTs) | 267.6 | 260.1 |
| Derivative exposures | 5.1 | 5.0 |
| Securities financing transactions | 26.3 | 34.3 |
| Off-balance sheet items | 12.0 | 12.0 |
| Items deducted from Swiss SRB tier 1 capital | (1.3) | (0.2) |
| Total exposures (leverage
ratio denominator) | 309.8 | 311.2 |
| 1 Consists of derivative financial instruments, cash collateral
receivables on derivative instruments, receivables from securities financing
transactions, and margin loans as well as prime brokerage receivables and
financial assets at fair value not held for trading, both related to
securities financing transactions, in accordance with the regulatory scope of
consolidation, which are presented separately under Derivative exposures and
Securities financing transactions in this table. | | |

| BCBS Basel III leverage ratio — CHF million, except where
indicated | 30.9.19 | 30.6.19 | 31.3.19 | 31.12.18 |
| --- | --- | --- | --- | --- |
| Total tier 1 capital | 15,124 | 14,894 | 14,712 | 14,468 |
| Total exposures (leverage ratio denominator) | 309,750 | 311,212 | 310,545 | 306,487 |
| BCBS Basel III leverage ratio
(%) | 4.9 | 4.8 | 4.7 | 4.7 |

Liquidity coverage ratio

UBS Switzerland AG, as a Swiss SRB, is required to maintain a minimum liquidity coverage ratio of 100%.

Liquidity coverage ratio
	Weighted value 1
CHF billion, except where
indicated	Average 3Q19 2	Average 2Q19 2
High-quality liquid assets	65	67
Total net cash outflows	49	49
of which: cash outflows	84	85
of which: cash inflows	35	36
Liquidity coverage ratio (%)	132	138
1 Calculated after the application of haircuts and inflow and
outflow rates. 2 Calculated based on an average of 66 data points in the
third quarter of 2019 and 65 data points in the second quarter of 2019.

Significant regulated subsidiaries and sub-groups

Capital instruments

| Capital instruments of UBS
Switzerland AG – key features | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Presented according to issuance date. | | | | | | | |
| | | Share capital | Additional tier 1 capital | | | | |
| 1 | Issuer | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | | | | |
| 1a | Instrument number | 1 | 2 | 3 | 4 | 5 | 6 |
| 2 | Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for
private placement) | n/a | n/a | | | | |
| 3 | Governing law(s) of the instrument | Swiss | Swiss | | | | |
| 3a | Means by which enforceability requirement of Section 13 of the
TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by
foreign law) | n/a | n/a | | | | |
| | Regulatory treatment | | | | | | |
| 4 | Transitional Basel III rules 1 | CET1 – Going concern capital | Additional tier 1 capital | | | | |
| 5 | Post-transitional Basel III rules 2 | CET1 – Going concern capital | Additional tier 1 capital | | | | |
| 6 | Eligible at solo / group / group and solo | UBS Switzerland AG consolidated and standalone | UBS Switzerland AG consolidated and standalone | | | | |
| 7 | Instrument type (types to be specified by each jurisdiction) | Ordinary shares | Loan 4 | Loan 4 | Loan 4 | Loan | Loan |
| 8 | Amount recognized in regulatory capital (currency in millions,
as of most recent reporting date) 1 | CHF 10.0 | CHF 1,500 | CHF 500 | CHF 1,000 | CHF 825 | USD 425 |
| 9 | Par value of instrument | CHF 10.0 | CHF 1,500 | CHF 500 | CHF 1,000 | CHF 825 | USD 425 |
| 10 | Accounting classification 3 | Equity attributable to UBS Switzerland AG shareholders | Due to banks held at amortized cost | | | | |
| 11 | Original date of issuance | – | 1 April 2015 | 11 March 2016 | 18 December 2017 | 12 December 2018 | 12 December 2018 |
| 12 | Perpetual or dated | – | Perpetual | | | | |
| 13 | Original maturity date | – | – | | | | |
| 14 | Issuer call subject to prior supervisory approval | – | Yes | | | | |
| 15 | Optional call date, contingent call dates and redemption amount | – | First optional repayment date: 1 April 2020 | First optional repayment date: 11 March 2021 | First optional repayment date: 18 December 2022 | First optional repayment date: 12 December 2023 | First optional repayment date: 12 December 2023 |
| | | | Repayable at any time after the first optional repayment date. Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and unpaid interest thereon | | | | |
| 16 | Subsequent call dates, if applicable | – | Early repayment possible due to a tax or regulatory event.
Repayment due to tax event subject to FINMA approval. Repayment amount: principal amount, together with accrued and
unpaid interest | | | | |

| Capital instruments of UBS Switzerland AG – key features
(continued) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | Coupons | | | | | | |
| 17 | Fixed or floating dividend / coupon | – | Floating | | | | |
| 18 | Coupon rate and any related index | – | 6-month CHF Libor + 370 bps per annum semiannually | 3-month CHF Libor + 459 bps per annum quarterly | 3-month CHF Libor + 250 bps per annum quarterly | 3-month CHF Libor + 489 bps per annum quarterly | 3-month USD Libor + 547 bps per annum quarterly |
| 19 | Existence of a dividend stopper | – | No | | | | |
| 20 | Fully discretionary, partially discretionary or mandatory | Fully discretionary | Fully discretionary | | | | |
| 21 | Existence of step-up or other incentive to redeem | – | No | | | | |
| 22 | Non-cumulative or cumulative | Non-cumulative | Non-cumulative | | | | |
| 23 | Convertible or non-convertible | – | Non-convertible | | | | |
| 24 | If convertible, conversion trigger(s) | – | – | | | | |
| 25 | If convertible, fully or partially | – | – | | | | |
| 26 | If convertible, conversion rate | – | – | | | | |
| 27 | If convertible, mandatory or optional conversion | – | – | | | | |
| 28 | If convertible, specify instrument type convertible into | – | – | | | | |
| 29 | If convertible, specify issuer of instrument it converts into | – | – | | | | |
| 30 | Write-down feature | – | Yes | | | | |
| 31 | If write-down, write-down trigger(s) | – | Trigger: CET1 ratio is less than 7% | | | | |
| | | | FINMA determines a write-down necessary to ensure UBS
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of
governmental support that FINMA determines necessary to ensure UBS
Switzerland AG‘s viability. Subject to applicable conditions | | | | |
| 32 | If write-down, fully or partially | – | Fully | | | | |
| 33 | If write-down, permanent or temporary | – | Permanent | | | | |
| 34 | If temporary write-down, description of write-up mechanism | – | – | | | | |
| 34a | Type of subordination | Statutory | Contractual | | | | |
| 35 | Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the insolvency creditor hierarchy of the
legal entity concerned). | Unless otherwise stated in the articles of association, once
debts are paid back, the assets of the liquidated company are divided between
the shareholders pro rata based on their contributions and considering the
preferences attached to certain categories of shares (Art. 745, Swiss
Code of Obligations) | Subject to any obligations that are mandatorily preferred by law,
all obligations of UBS Switzerland AG that are unsubordinated or that are
subordinated and do not rank junior, such as all classes of share capital, or
at par, such as tier 1 instruments | | | | |
| 36 | Non-compliant transitioned features | – | – | | | | |
| 37 | If yes, specify non-compliant features | – | – | | | | |
| 1 Based on Swiss SRB (including transitional arrangement)
requirements. 2 Based on Swiss SRB requirements applicable as of 1 January
2020. 3 As applied in UBS Switzerland AG‘s financial statements under
Swiss GAAP. 4 Loans granted by UBS AG, Switzerland. | | | | | | | |

Significant regulated subsidiaries and sub-groups

Section 4 UBS Europe SE consolidated

The table below discloses information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on the Pillar 1 requirements.

During the third quarter of 2019, common equity tier 1 (CET1) capital was stable. Risk-weighted assets (RWA) increased by EUR 0.7 billion, mainly as a result of an increase in credit risk RWA. Leverage ratio exposure decreased by EUR 2.1 billion, reflecting a decrease in securities financing transactions, partly offset by an increase in high-quality liquid asset (HQLA)-eligible bonds. Net cash outflows increased by EUR 0.9 billion, mainly due to clearing and treasury activities.

Entities may also be subject to significant Pillar 2 requirements, which represent additional amounts of capital considered necessary and agreed with regulators based on the risk profile of the entities.

KM1: Key metrics 1,2,3
EUR million, except where
indicated
		30.9.19	30.6.19	31.3.19
Available capital (amounts)
1	Common equity tier 1 (CET1)	3,528	3,543	3,568
2	Tier 1	3,818	3,833	3,858
3	Total capital	3,818	3,833	3,858
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	14,407	13,725	14,432
4a	Minimum capital requirement 4	1,153	1,098	1,155
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	24.5	25.8	24.7
6	Tier 1 ratio (%)	26.5	27.9	26.7
7	Total capital ratio (%)	26.5	27.9	26.7
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.5	2.5	2.5
9	Countercyclical buffer requirement (%)	0.3	0.2	0.2
10	Bank G-SIB and / or D-SIB additional requirements (%)
11	Total of bank CET1 specific buffer requirements (%)	2.8	2.7	2.7
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 5	18.5	19.9	18.7
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	50,199	52,291	51,060
14	Basel III leverage ratio (%) 6	7.6	7.3	7.6
Liquidity coverage ratio 7
15	Total HQLA	14,309	14,367	14,770
16	Total net cash outflow	9,091	8,200	6,895
17	LCR ratio (%)	161	177	214
1 Based on applicable EU Basel III rules. 2 As a result of
the cross-border merger of UBS Limited into UBS Europe SE effective 1 March
2019, UBS Europe SE has become a significant regulated subsidiary of UBS
Group AG. The size, scope and business model of the merged entity is now
materially different. Comparatives for December 2018 have not been provided
in the table because data produced on the same basis is not available. For
more information about the cross-border merger of UBS Limited into UBS Europe
SE, refer to the “Recent developments” section in our first quarter 2019
report. 3 There is no local disclosure requirement for the net stable
funding ratio as at 30 September 2019. 4 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer
requirements. 5 This represents the CET1 ratio which is available for
meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%
and after considering, where applicable, CET1 capital which has been used to
meet tier 1 and / or total capital ratio requirements. Comparative figures
have been adjusted to adhere to this presentation. 6 On the basis of tier
1 capital. 7 Figures as of 30 September 2019 are based on a
seven-month average and as of 30 June 2019 on a four-month average,
rather than a twelve-month average, as data produced on the same basis is
only available for the period since the cross-border merger. For
31 March 2019, month-end reporting date values are disclosed.

Section 5 UBS Americas Holding LLC consolidated

The table below discloses information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated based on the Pillar 1 requirements (i.e., US Basel III standardized rules).

During the third quarter of 2019, common equity tier 1 (CET1) decreased by USD 1.0 billion to USD 11.9 billion, mainly as a result of purchases of common shares, partly offset by operating profit. Risk-weighted assets (RWA) decreased by USD 0.9 billion to USD 52.9 billion, mainly driven by a decrease in credit risk RWA. Leverage ratio exposure was stable during the quarter.

KM1: Key metrics 1,2
USD million, except where
indicated
		30.9.19	30.6.19	31.3.19	31.12.18 3	30.9.18 4
Available capital (amounts)
1	Common equity tier 1 (CET1)	11,868	12,900	12,028	11,746	11,068
2	Tier 1	14,923	15,055	14,170	13,887	13,209
3	Total capital	15,640	15,772	14,882	14,601	13,925
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	52,947	53,892	55,313	54,063	54,488
4a	Minimum capital requirement 5	4,236	4,311	4,425	4,325	4,359
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	22.4	23.9	21.7	21.7	20.3
6	Tier 1 ratio (%)	28.2	27.9	25.6	25.7	24.2
7	Total capital ratio (%)	29.5	29.3	26.9	27.0	25.6
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	2.5	2.5	2.5	1.9	1.9
9	Countercyclical buffer requirement (%) 6
10	Bank G-SIB and / or D-SIB additional requirements (%) 7
11	Total of bank CET1 specific buffer requirements (%)	2.5	2.5	2.5	1.9	1.9
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 8	17.9	19.4	17.2	17.2	15.8
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	123,632	123,008	124,981	122,829	124,982
14	Basel III leverage ratio (%) 9	12.1	12.2	11.3	11.3	10.6
1 For UBS Americas Holding LLC based on applicable US Basel III
rules. 2 There is no local disclosure requirement for liquidity coverage ratio
or net stable funding ratio for UBS Americas Holding LLC as of
30 September 2019. 3 Figures as of or for the quarter ended 31
December 2018 have been adjusted for consistency with the full-year audited
financial statements and / or local regulatory reporting, which were
finalized after the publication of our Annual Report 2018 and our 31 December
2018 Pillar 3 report on 15 March 2019. 4 Figures as of 30 September 2018
have been adjusted for consistency with the local regulatory reporting of the
entity. 5 Calculated as 8% of total RWA, based on total capital minimum
requirements, excluding CET1 buffer requirements. 6 Not applicable as the
countercyclical buffer requirement applies only to banking organizations
subject to the advanced approaches capital rules. 7 Not applicable as
requirements have not been proposed. 8 This represents the CET1 ratio
which is available for meeting buffer requirements. It is calculated as the
CET1 ratio minus 4.5% and after considering, where applicable, CET1 capital
which has been used to meet tier 1 and / or total capital ratio requirements.
Comparative figures have been adjusted to adhere to this presentation. 9
On the basis of tier 1 capital.

Appendix

Abbreviations frequently used in our financial reports

ABS asset-backed security

AEI automatic exchange of information

AGM annual general meeting of shareholders

A-IRB advanced internal ratings-based

AI artificial intelligence

AIV alternative investment vehicle

ALCO Asset and Liability Management Committee

AMA advanced measurement approach

AML anti-money laundering

AoA Articles of Association of UBS Group AG

ASF available stable funding

ASFA advanced supervisory formula approach

AT1 additional tier 1

AuM assets under management

BCBS Basel Committee on Banking Supervision

BD business division

BEAT base erosion and anti-abuse tax

BIS Bank for International Settlements

BoD Board of Directors

BSC Business Solutions Center

BVG Swiss occupational pension plan

CAO Capital Adequacy Ordinance

CC Corporate Center

CCAR Comprehensive Capital Analysis and Review

CCyB countercyclical buffer

CCF credit conversion factor

CCP central counterparty

CCR counterparty credit risk

CCRC Corporate Culture and Responsibility Committee

CDO collateralized debt obligation

CDR constant default rate

CDS credit default swap

CEA Commodity Exchange Act

CECL current expected credit loss

CEM current exposure method

CEO Chief Executive Officer

CET1 common equity tier 1

CFO Chief Financial Officer

CFTC US Commodity Futures Trading Commission

CHF Swiss franc

CIC Corporate Institutional Clients

CIO Chief Investment Office

CLN credit-linked note

CLO collateralized loan obligation

CLS continuous linked settlement

CMBS commercial mortgage-backed security

C&ORC Compliance & Operational Risk Control

CRD IV EU Capital Requirements Directive of 2013

CRM credit risk mitigation (credit risk) or comprehensive risk measure (market risk)

CSO Client Strategy Office

CVA credit valuation adjustment

DBO defined benefit obligation

DCCP Deferred Contingent Capital Plan

DJSI Dow Jones Sustainability Indices

DOJ US Department of Justice

DOL US Department of Labor

D-SIB domestic systemically important bank

DTA deferred tax asset

DVA debit valuation adjustment

EAD exposure at default

EBA European Banking Authority

EC European Commission

ECB European Central Bank

ECL expected credit loss(es)

EIR effective interest rate

EL expected loss

EMEA Europe, Middle East and Africa

EOP Equity Ownership Plan

EPE expected positive exposure

EPS earnings per share

ERISA Employee Retirement Income Security Act of 1974

ESG environmental, social and governance

ESMA European Securities and Markets Authority

ESR environmental and social risk

ETD exchange-traded derivative

ETF exchange-traded fund

EU European Union

EUR euro

EURIBOR Euro Interbank Offered Rate

FCA UK Financial Conduct Authority

FCT foreign currency translation

FINMA Swiss Financial Market Supervisory Authority

FINRA US Financial Industry Regulatory Authority

FMIA Swiss Financial Market Infrastructure Act

Abbreviations frequently used in our financial reports (continued)

FRA forward rate agreement

FSB Financial Stability Board

FTA Swiss Federal Tax Administration

FTD first to default

FTP funds transfer pricing

FVA funding valuation adjustment

FVOCI fair value through other comprehensive income

FVTPL fair value through profit or loss

FX foreign exchange

GAAP generally accepted accounting principles

GBP pound sterling

GEB Group Executive Board

GFA Group Franchise Awards

GHG greenhouse gas

GIA Group Internal Audit

GIIPS Greece, Italy, Ireland, Portugal and Spain

GMD Group Managing Director

GRI Global Reporting Initiative

Group ALM Group Asset and Liability Management

G-SIB global systemically important bank

HQLA high-quality liquid assets

HR human resources

IAA internal assessment approach

IAS International Accounting Standards

IASB International Accounting Standards Board

IBOR interbank offered rate

IFRIC International Financial Reporting Interpretations Committee

IFRS International Financial Reporting Standards

IHC intermediate holding company

IMA internal models approach

IMM internal model method

IPS Investment Platforms and Solutions

IRB internal ratings-based

IRC incremental risk charge

IRRBB interest rate risk in the banking book

ISDA International Swaps and Derivatives Association

KRT Key Risk Taker

LAC loss-absorbing capacity

LAS liquidity-adjusted stress

LCR liquidity coverage ratio

LGD loss given default

LIBOR London Interbank Offered Rate

LLC limited liability company

LRD leverage ratio denominator

LTV loan-to-value

MiFID II Markets in Financial Instruments Directive II

MiFIR Markets in Financial Instruments Regulation

MRT Material Risk Taker

MTN medium-term note

NAV net asset value

NII net interest income

NRV negative replacement value

NSFR net stable funding ratio

NYSE New York Stock Exchange

OCA own credit adjustment

OCI other comprehensive income

OECD Organisation for Economic Co-operation and Development

OIS overnight index swap

OTC over-the-counter

PD probability of default

PFE potential future exposure

PIT point in time

P&L profit or loss

POCI purchased or originated credit-impaired

PRA UK Prudential Regulation Authority

PRV positive replacement value

QRRE qualifying revolving retail exposures

RBA role-based allowances

RBC risk-based capital

RLN reference-linked note

RMBS residential mortgage-backed securities

RniV risks not in VaR

RoAE return on attributed equity

RoCET1 return on CET1

RoE return on equity

RoTE return on tangible equity

RoU right-of-use

RV replacement value

RW risk weight

RWA risk-weighted assets

Appendix

Abbreviations frequently used in our financial reports (continued)

SA standardized approach

SA-CCR standardized approach for counterparty credit risk

SAR stock appreciation right

SBC Swiss Bank Corporation

SCCL single-counterparty credit limit

SDGs Sustainable Development Goals

SE structured entity

SEC US Securities and Exchange Commission

SEEOP Senior Executive Equity Ownership Plan

SFTs securities financing transactions

SI sustainable investing

SICR significant increase in credit risk

SIX SIX Swiss Exchange

SMA standardized measurement approach

SME small and medium-sized enterprises

SMF Senior Management Function

SNB Swiss National Bank

SPPI solely payments of principal and interest

SRB systemically relevant bank

SRM specific risk measure

SVaR stressed value-at-risk

TBTF too big to fail

TCJA US Tax Cuts and Jobs Act

TLAC total loss-absorbing capacity

TRS total return swap

TTC through the cycle

UoM units of measure

USD US dollar

US IHC US intermediate holding company

VaR value-at-risk

This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.

Cautionary Statement | This report 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 report. Refer to UBS’s third quarter 2019 report and its Annual Report 2018, available at www.ubs.com/investors , for additional information.

Rounding | Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages, percent changes, and adjusted results are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and that can be derived from figures displayed in the tables, is calculated on a rounded basis.

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.

UBS Group AG

P.O. Box

CH-8098 Zurich

ubs.com

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.

UBS Group AG

By: _/s/ David Kelly_______

Name: David Kelly

Title: Managing Director

By: _/s/ Ella Campi _____

Name: Ella Campi

Title: Executive Director

UBS AG

By: _/s/ David Kelly_______

Name: David Kelly

Title: Managing Director

By: _/s/ Ella Campi _____

Name: Ella Campi

Title: Executive Director

Date: October 22, 2019

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