UBS Group AG - Interim / Quarterly Report 2021

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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: August 20, 2021

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 UBS Group AG Second Quarter 2021 Report, which appears immediately following this page.

30 June 2021 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,” “the Group,” “we,” “us”
and “our” | UBS Group AG and its consolidated
subsidiaries |
| --- | --- |
| “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
consolidated” | UBS Americas Holding LLC and its
consolidated subsidiaries |

Table of contents
Introduction and basis for
preparation
UBS Group
6	Section
1	Key metrics
9	Section
2	Overview of risk-weighted assets
11	Section
3	Credit risk
24	Section
4	Counterparty credit risk
32	Section
5	Securitizations
34	Section
6	Market risk
37	Section
7	Going and gone concern requirements and eligible capital
45	Section
8	Total loss-absorbing capacity
47	Section
9	Leverage ratio
50	Section
10	Liquidity coverage ratio
52	Section
11	Requirements for global systemically
important banks and related indicators
Significant regulated
subsidiaries and sub-groups
54	Section
1	Introduction
54	Section
2	UBS AG standalone
58	Section
3	UBS Switzerland AG standalone
65	Section
4	UBS Europe SE consolidated
66	Section
5	UBS Americas Holding LLC
consolidated
Appendix
68	Abbreviations frequently used in our
financial reports
70	Cautionary statement

Contacts

Switchboards

For all general inquiries. 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

Institutional, professional and retail investors are supported by UBS’s Investor Relations team.

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

ubs.com/investors

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

Media Relations

Global media and journalists are supported by UBS’s Media Relations team.

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 on 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]

Zurich +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]

Zurich +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: 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 | ubs.com Language: English

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (the 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 the 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 (an 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 June 2021 for UBS Group AG consolidated is provided in the “Capital management” section of our second quarter 2021 report and for UBS AG consolidated in the “Capital management” section of the UBS AG second quarter 2021 report, both available under “Quarterly reporting” at 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 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 Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”), as revised on 6 May 2021, 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.

Significant regulatory developments, and disclosure requirements and changes effective in the first half of 2021

COVID-19 temporary regulatory measures

The temporary exemption from FINMA for banks to exclude central bank sight deposits from the leverage ratio denominator (the LRD) for the purpose of calculating going concern ratios applied from 25 March 2020 until 1 January 2021 and was not extended thereafter.

FINMA’s assessment of the recovery and resolution planning

In March 2021, FINMA published its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. The report noted that FINMA had approved UBS’s group recovery plan and assessed its Swiss Emergency Plan as effective. It also highlighted that UBS has made further progress in improving its global resolvability by building up the necessary capabilities and removing obstacles to the implementation of the resolution strategy, while pointing out areas for further improvement.

Based on the actions we completed by December 2020 to improve resolvability, FINMA granted an increase of the maximum rebate, from 47.5% to 55.0%, on the Swiss SRB gone concern capital requirements for UBS Group AG consolidated and UBS AG consolidated, effective from 1 July 2021.

› Refer to the “Going and gone concern requirements and eligible capital” section of this report

Swiss Federal Council report on systemically important banks

In June 2021, the Swiss Federal Council issued the results of its bi-annual review of the Swiss too-big-to-fail regulatory framework. The report concludes that no fundamental changes to the framework are needed. Potential areas for adjustment identified include the further tightening of the liquidity requirements for systemically important banks and the alignment of incentive systems to support a bank’s resolvability.

Further details on potential changes to the regulatory framework are expected by the end of 2021.

Federal Reserve Board stress test results

In June 2021, the Federal Reserve Board (the FRB) released the results of the 2021 Dodd–Frank Act Stress Test (DFAST), which is complementary to the Federal Reserve’s Comprehensive Capital Analysis and Review (CCAR) process. UBS’s intermediate holding company, UBS Americas Holding LLC, exceeded minimum capital requirements under the severely adverse scenario. The FRB also lifted the temporary limitations on capital distributions imposed during the pandemic. As a result, UBS Americas Holding LLC is permitted to make capital distributions as long as it maintains compliance with its total capital requirements, including its stress capital buffer (SCB). The FRB assigned UBS Americas Holding LLC an SCB of 7.1% with effect as of 1 October 2021, which replaces the current SCB of 6.7%.

› Refer to the “UBS Americas Holding LLC consolidated” section of this report

Sale of our remaining investment in Clearstream Fund Centre

On 1 June 2021, we sold our remaining minority investment in Clearstream Fund Centre to Deutsche Börse AG for CHF 390 million. The transaction follows the sale of a majority investment and successful transfer of control of Fondcenter AG to Deutsche Börse AG in September 2020. The sale of our remaining 48.8% investment resulted in a post-tax gain of USD 37 million in Asset Management, with no associated net tax expense. The increase in UBS’s common equity tier 1 (CET1) capital of USD 412 million was significantly greater than the gain in IFRS equity, due to the effect of goodwill associated with the investment, which had been deducted from CET1 capital. Long-term commercial cooperation arrangements remain in place for the provision of services by Clearstream to UBS, including jointly servicing banks and insurance companies.

Material model updates

In the third quarter of 2020, we began to phase in risk-weighted assets (RWA) increases resulting from new probability of default (PD) and loss given default (LGD) models for the mortgage portfolio in the US. As agreed with FINMA, the effect on RWA is being phased in over six quarters, through the end of 2021, resulting in an increase of USD 0.5 billion in the first quarter of 2021 and an additional increase of USD 0.5 billion in the second quarter of 2021.

In addition, we have updated the LGD model for mortgages in Switzerland, which resulted in an RWA increase of USD 0.9 billion in the second quarter of 2021.

At the beginning of the second quarter of 2021, we also began to phase in an RWA increase related to a new model for structured margin loans and sophisticated lending. This RWA increase is being phased in over five quarters and the model will be fully implemented by the second quarter of 2022. RWA increased by USD 0.7 billion in the second quarter of 2021 due to the aforementioned model introduction.

Material regulatory add-ons

The second quarter of 2021 included an RWA increase of USD 0.5 billion related to a regulatory add-on in connection with the introduction of a new model for credit card exposures in Switzerland.

Material methodology changes

A methodology change related to credit valuation adjustment (CVA) risk for derivative exposures with Lombard clients resulted in an increase of USD 1.1 billion in RWA in the first quarter of 2021.

Additionally, the approach used for the covered bonds within the high-quality liquid asset (HQLA) portfolio has been changed from the advanced internal ratings-based (A-IRB) approach to the standardized approach, as requested by FINMA, resulting in an RWA increase of USD 1.0 billion in the second quarter of 2021.

Minimum haircut floors for securities financing transactions

On 1 July 2021, the BCBS set out two technical amendments to the standard on minimum haircut floors for securities financing transactions (SFTs); we do not expect the relevant Swiss regulations to come into effect until after the introduction of the revised BCBS standards, which will enter into force on 1 January 2023. The technical amendments address an interpretative issue relating to collateral upgrade transactions and correct for a misstatement in the formula used to calculate haircut floors for netted SFTs.

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the table on pages 7–9 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at 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 31 March 2021 for disclosures required on a quarterly basis and as of 31 December 2020 for disclosures required on a semi-annual basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

Where required, movement commentary is aligned with the corresponding disclosure frequency required by FINMA and always refers to the latest comparative period. Throughout this report, signposts are displayed at the beginning of a section, table or chart – Semi-annual | Quarterly | – indicating whether the disclosure is provided semi-annually or quarterly. A triangle symbol – p p – indicates the end of the signpost.

› Refer to our 31 March 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors , for more information about previously published quarterly movement commentary

› Refer to our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors , for more information about previously published semi-annual movement commentary

UBS Group

UBS Group AG consolidated

Section 1 Key metrics

Key metrics of the second quarter of 2021

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

Our capital and leverage ratios increased in the second quarter of 2021, primarily reflecting increases in capital. Our common equity tier 1 (CET1) capital increased by USD 2.2 billion to USD 42.6 billion, mainly reflecting operating profit before tax of USD 2.6 billion, a USD 0.4 billion lower deduction of goodwill resulting from the sale of our remaining minority investment in Clearstream Fund Centre, positive foreign currency translation effects of USD 0.3 billion and USD 0.2 billion higher eligible deferred tax assets on temporary differences, partly offset by compensation- and own share-related capital components of USD 0.4 billion, current tax expenses of USD 0.4 billion and accruals for capital returns to shareholders of USD 0.3 billion.

Our tier 1 capital increased by USD 2.9 billion to USD 59.2 billion, primarily reflecting the aforementioned increase in our CET1 capital and the issuance of an additional tier 1 (AT1) instrument with a nominal value of USD 750 million.

The TLAC available as of 30 June 2021 included CET1 capital, AT1 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 are measured at the lower of cost or market value. This amount was negligible as of 30 June 2021, but is included as available TLAC in the KM2 table in this section.

Our available TLAC increased by USD 3.6 billion to USD 104.3 billion in the second quarter of 2021, reflecting the aforementioned USD 2.9 billion increase in our tier 1 capital and a USD 0.7 billion increase in non-regulatory capital instruments, which mainly resulted from the issuance of USD 265 million of TLAC-eligible senior unsecured debt, as well as effects from interest rate risk hedges and foreign currency translation.

Risk-weighted assets (RWA) increased by USD 5.4 billion to USD 293.3 billion, including an increase of USD 1.8 billion related to currency effects, mainly due to credit risk RWA increasing by USD 8.7 billion, partly offset by decreases in market risk RWA of USD 2.5 billion and counterparty credit risk RWA of USD 1.6 billion.

The leverage ratio exposure increased by USD 2 billion to USD 1,040 billion, including currency effects of USD 9 billion, driven by on-balance sheet exposures (other than securities financing transactions (SFTs) and derivatives), partly offset by decreases in derivative exposures and SFTs.

The average high-quality liquid assets (HQLA) increased by USD 10.7 billion to USD 232.0 billion, driven by higher average cash balances, due to a decrease in assets subject to local transfer restrictions, lower funding consumption by the Investment Bank and net deposit growth. Average total net cash outflows increased by USD 2.9 billion to USD 149.2 billion, mainly due to decreases in inflows from secured financing transactions. p

Quarterly |

KM1: Key metrics
USD million, except where
indicated
		30.6.21	31.3.21	31.12.20	30.9.20	30.6.20
Available capital (amounts)
1	Common equity tier 1 (CET1)	42,583	40,426	39,890	38,197	38,114
1a	Fully loaded ECL accounting model CET1 1	42,561	40,403	39,856	38,162	38,070
2	Tier 1	59,188	56,288	56,178	54,396	53,505
2a	Fully loaded ECL accounting model Tier 1 1	59,166	56,264	56,144	54,360	53,460
3	Total capital	61,184	58,822	61,226	59,382	58,876
3a	Fully loaded ECL accounting model total capital 1	61,162	58,799	61,193	59,347	58,831
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	293,277	287,828	289,101	283,133	286,436
4a	Minimum capital requirement 2	23,462	23,026	23,128	22,651	22,915
4b	Total risk-weighted assets (pre-floor)	293,277	287,828	289,101	283,133	286,436
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	14.52	14.05	13.80	13.49	13.31
5a	Fully loaded ECL accounting model Common equity tier 1 ratio (%) 1	14.51	14.04	13.79	13.48	13.29
6	Tier 1 ratio (%)	20.18	19.56	19.43	19.21	18.68
6a	Fully loaded ECL accounting model Tier 1 ratio (%) 1	20.17	19.55	19.42	19.20	18.66
7	Total capital ratio (%)	20.86	20.44	21.18	20.97	20.55
7a	Fully loaded ECL accounting model total capital ratio (%) 1	20.85	20.43	21.17	20.96	20.54
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.50	2.50	2.50	2.50	2.50
9	Countercyclical buffer requirement (%)	0.02	0.02	0.02	0.02	0.02
9a	Additional countercyclical buffer for Swiss mortgage loans (%)
10	Bank G-SIB and / or D-SIB additional requirements (%)	1.00	1.00	1.00	1.00	1.00
11	Total of bank CET1-specific buffer requirements (%)	3.52	3.52	3.52	3.52	3.52
12	CET1 available after meeting the bank’s minimum capital
requirements (%)	10.02	9.55	9.30	8.99	8.81
Basel III leverage ratio 3
13	Total Basel III leverage ratio exposure measure	1,039,939	1,038,225	1,037,150	994,366	974,359
14	Basel III leverage ratio (%)	5.69	5.42	5.42	5.47	5.49
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	5.69	5.42	5.41	5.47	5.49
Liquidity coverage ratio 4
15	Total HQLA	232,026	221,371	214,276	211,185	206,693
16	Total net cash outflow	149,183	146,314	140,891	137,345	133,786
17	LCR (%)	156	151	152	154	155
1 The fully loaded ECL accounting model excludes the
transitional relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks.” 2 Calculated as 8% of total RWA, based on total capital
minimum requirements, excluding CET1 buffer requirements. 3 Leverage
ratio exposures and leverage ratios for the respective periods in 2020 do not
reflect the effects of the temporary exemption that applied from 25 March
2020 until 1 January 2021 and was granted by FINMA in connection with
COVID-19. Refer to the “Introduction and basis for preparation” section and
to “Application of the temporary COVID-19-related FINMA exemption of central
bank sight deposits” in the “Going and gone concern requirements and eligible
capital” section of our 31 December 2020 Pillar 3 report, available
under “Pillar 3 disclosures” at ubs.com/investors, for more information.
4 Calculated based on quarterly average. Refer to the “Liquidity
coverage ratio” section of this report for more information.

UBS Group AG consolidated

Quarterly |

| KM2: Key metrics – TLAC
requirements (at resolution group level) 1 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | | | | | | |
| | | 30.6.21 | 31.3.21 | 31.12.20 | 30.9.20 | 30.6.20 |
| 1 | Total loss-absorbing capacity (TLAC) available | 104,348 | 100,720 | 101,814 | 97,753 | 93,626 |
| 1a | Fully loaded ECL accounting model TLAC available 2 | 104,325 | 100,697 | 101,780 | 97,717 | 93,581 |
| 2 | Total RWA at the level of the resolution group | 293,277 | 287,828 | 289,101 | 283,133 | 286,436 |
| 3 | TLAC as a percentage of RWA (%) | 35.58 | 34.99 | 35.22 | 34.53 | 32.69 |
| 3a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model RWA (%) 2 | 35.57 | 34.98 | 35.21 | 34.51 | 32.67 |
| 4 | Leverage ratio exposure measure at the level of the resolution
group 3 | 1,039,939 | 1,038,225 | 1,037,150 | 994,366 | 974,359 |
| 5 | TLAC as a percentage of leverage ratio exposure measure (%) | 10.03 | 9.70 | 9.82 | 9.83 | 9.61 |
| 5a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model leverage exposure measure (%) 2,3 | 10.03 | 9.70 | 9.81 | 9.83 | 9.60 |
| 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 The fully loaded ECL accounting model excludes the
transitional relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks.” 3 Leverage ratio exposures and leverage ratios for the
respective periods in 2020 do not reflect the effects of the temporary exemption
that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA
in connection with COVID-19. Refer to the “Introduction and basis for
preparation” section and to “Application of the temporary COVID-19-related
FINMA exemption of central bank sight deposits” in the “Going and gone
concern requirements and eligible capital” section of our 31 December 2020
Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information. | | | | | | |

Section 2 Overview of risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Quarterly | Exposures are 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 (the 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 13–15 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors . p

Overview of RWA and capital requirements

Quarterly | The OV1 table on the following page provides an overview of our RWA and the related minimum capital requirements by risk type. The table presented is based on the respective FINMA template and empty rows indicate current non-applicability to UBS.

During the second quarter of 2021, RWA increased by USD 5.4 billion to USD 293.3 billion, including an increase related to currency effects of USD 1.8 billion, mainly due to credit risk RWA increasing by USD 8.7 billion, partly offset by decreases in market risk RWA of USD 2.5 billion and counterparty credit risk RWA of USD 1.6 billion.

Credit Risk RWA under the advanced internal ratings-based (A-IRB) approach and the standardized approach increased by USD 5.1 billion and USD 3.6 billion, respectively, primarily driven by asset size and other movements of USD 3.2 billion, mainly due to increases in Lombard and other loans in Global Wealth Management and increases in loans and loan commitments in Personal & Corporate Banking. The second quarter of 2021 also included model updates that resulted in an RWA increase of USD 2.5 billion, mainly due to the phase-in impacts related to a new model for structured margin loans and sophisticated lending, as well as new probability of default (PD) and loss given default (LGD) models for mortgages in the US , and due to updates to the LGD model for mortgages in Switzerland. In addition, credit risk RWA increased due to currency effects of USD 1.5 billion, as well as methodology and policy changes of USD 1.0 billion, primarily due to the application of the standardized approach to covered bonds in the high-quality liquid asset (HQLA) portfolio.

Market Risk RWA decreased by USD 2.5 billion, driven primarily by lower average value-at-risk (VaR) levels in the Investment Bank’s Global Markets business. Ongoing discussions regarding our regulatory VaR model with FINMA, which started prior to the COVID-19 pandemic, may lead to VaR model updates that would likely result in an increase in market risk RWA in the second half of 2021.

Counterparty credit risk RWA decreased by USD 1.6 billion, primarily driven by a reduction in derivatives exposures in the Investment Bank.

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 second quarter of 2021.

More information about capital management and RWA, including details regarding movements in RWA during the second quarter of 2021, is provided on pages 41–42 in the “Capital management” section of our second quarter 2021 report, available under ”Quarterly reporting” at ubs.com/investors . p

UBS Group AG consolidated

Quarterly |

OV1: Overview of RWA
					Section or table reference	Minimum capital requirements 1
USD million		30.6.21	31.3.21	31.12.20		30.6.21
1	Credit risk (excluding
counterparty credit risk)	146,162	137,485	139,846	3	11,693
2	of which: standardized
approach (SA)	34,895	31,299	31,565	CR4	2,792
2a	of which:
non-counterparty-related risk	12,921	12,922	13,393	CR4	1,034
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	111,267	106,186	108,281	CR6, CR7, CR8	8,901
6	Counterparty credit risk 2	39,058	40,691	40,354	4, CCR1, CCR8	3,125
7	of which: SA for
counterparty credit risk (SA-CCR)	7,406	7,193	6,006		592
8	of which: internal model
method (IMM)	17,232	19,352	19,380	CCR7	1,379
8a	of which: value-at-risk
(VaR)	7,909	7,353	8,386	CCR7	633
9	of which: other CCR	6,510	6,793	6,581		521
10	Credit valuation adjustment
(CVA)	3,938	4,080	2,945	4, CCR2	315
11	Equity positions under the
simple risk-weight approach	3,197	2,794	2,795	3, CR10	256
12	Equity investments in funds
– look-through approach	1,070	893	882		86
13	Equity investments in funds
– mandate-based approach	1,486	1,916	648		119
14	Equity investments in funds
– fallback approach	378	86	126		30
15	Settlement risk	341	341	372		27
16	Securitization exposures in
banking book	379	281	314	5	30
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)	305	265	301	5	24
19	of which: securitization
standardized approach (SEC-SA)	74	16	13	5	6
20	Market Risk	7,818	10,354	11,841	5,6	625
21	of which: standardized
approach (SA)	726	588	456	5	58
22	of which: internal models
approach (IMA)	7,093	9,767	11,385	MR2	567
23	Capital charge for switch
between trading book and banking book 3
24	Operational risk	75,775	75,775	75,775		6,062
25	Amounts below thresholds for
deduction (250% risk weight) 4	13,676	13,133	13,202		1,094
25a	of which: deferred tax
assets	10,392	9,906	9,981		831
26	Floor adjustment 5
27	Total	293,277	287,828	289,101		23,462
1 Calculated based on 8% of RWA. 2 Excludes settlement risk,
which is separately reported in line 15 “Settlement risk.” Includes RWA with
central counterparties. The split between the sub-components of counterparty
credit risk refers to the calculation of the exposure measure. 3 Not
applicable until the implementation of the final rules on the minimum capital
requirements for market risk (the Fundamental Review of the Trading Book).
4 Includes items subject to threshold deduction treatment that do not
exceed their respective threshold and are risk-weighted at 250%. Items
subject to threshold deduction treatment include significant investments in
common shares of non-consolidated financial institutions (banks, insurance
and other financial entities) and deferred tax assets arising from temporary
differences. 5 No floor effect, as 80% of our Basel I RWA, including
the RWA equivalent of the Basel I capital deductions, do not exceed our Basel
III RWA, including the RWA equivalent of the Basel III capital deductions.

Section 3 Credit risk

Introduction

Semi-annual | This section provides information about the exposures subject to the Basel III credit risk framework.

The tables in this section provide details regarding the exposures relevant for determining the firm’s credit risk-related regulatory capital requirement. The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the same methodologies, data and systems we use for credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section may thus differ from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from how it is defined under International Financial Reporting Standards (IFRS). p

Credit risk exposure categories

Semi-annual | The following definitions of the Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 credit risk exposure categories “Loans” and “Debt securities,” as referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section, provide a link to the IFRS balance sheet structure.

The Pillar 3 category “Loans” comprises financial instruments held with the intention of collecting the contractual payments and includes the following IFRS balances to the extent that they are subject to the credit risk framework:

– balances at central banks;

– Loans and advances to banks ;

– Loans and advances to customers ;

– Other financial assets measured at amortized cost , excluding money market instruments, checks and bills and other debt instruments;

– traded loans in the banking book that are included within Financial assets at fair value held for trading ;

– Brokerage receivables;

– loans including structured loans that are included within Financial assets at fair value not held for trading ; and

– Other non-financial assets.

The Pillar 3 category “Debt securities” includes the following IFRS balances to the extent that they are subject to the credit risk framework:

– money market instruments, checks and bills and other debt instruments that are included within Other financial assets measured at amortized cost ;

– Financial assets at fair value held for trading , excluding traded loans;

– Financial assets at fair value not held for trading , excluding loans; and

– Financial assets measured at fair value through other comprehensive income . p

UBS Group AG consolidated

Credit quality of assets

Introduction

Amounts shown in the following tables relate to on-balance sheet IFRS carrying amounts as well as off-balance sheet items according to the regulatory scope of consolidation that give rise to credit risk exposure under the Basel III framework.

Breakdown of credit quality of assets

Semi-annual | The CR1 table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. The table includes a split of expected credit loss (ECL) accounting provisions on exposures subject to the standardized approach (SA) and the A-IRB approach.

Increases in net carrying values of loans and decreases in net carrying values of debt securities, compared with 31 December 2020, are further discussed in the CR3 table of this report. The net carrying value of off-balance sheet exposures decreased by USD 1.3 billion, to USD 66.5 billion, compared with 31 December 2020, mainly due to decreased loan commitments in our Personal & Corporate banking business, mainly driven by currency effects. For information about the definitions of default and credit impairment, refer to page 122 of our Annual Report 2020, available under ”Annual reporting” at ubs.com/investors .

More information about the net value movements related to Loans and Debt securities, as shown in the table below, is provided on page 13 in the “CR3: Credit risk mitigation techniques – overview” table. p

Semi-annual |

| CR1: Credit quality of assets | | Gross carrying amounts of: | | Allowances / impairments | Of which: ECL accounting provisions for credit losses on SA
exposures | | Of which: ECL accounting provisions for credit losses on A-IRB exposures (stage 1, 2, 3) | Net values |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD million | | Defaulted exposures 1 | Non-defaulted exposures | | Allocated in regulatory category of Specific (stage 3 credit-impaired) | Allocated in regulatory category of General (stage 1 & 2) | | |
| 30.6.21 | | | | | | | | |
| 1 | Loans 2 | 2,979 | 577,556 | (1,079) 4 | (108) | (65) | (906) | 579,456 |
| 2 | Debt securities | | 58,041 | | | | | 58,041 |
| 3 | Off-balance sheet exposures 3 | 339 | 66,375 | (170) 4 | (1) | (3) | (166) | 66,544 |
| 4 | Total | 3,318 | 701,972 | (1,249) 4 | (110) | (68) | (1,072) | 704,041 |
| 31.12.20 | | | | | | | | |
| 1 | Loans 2 | 3,504 | 562,025 | (1,207) 4 | (115) | (73) | (1,019) | 564,322 |
| 2 | Debt securities | | 74,059 | | | | | 74,059 |
| 3 | Off-balance sheet exposures 3 | 273 | 67,794 | (205) 4 | (1) | (6) | (197) | 67,862 |
| 4 | Total | 3,778 | 703,878 | (1,412) 4 | (116) | (80) | (1,216) | 706,243 |
| 1 Defaulted exposures are in line with credit-impaired exposures
(stage 3) under IFRS 9. Refer to Note 20 “Expected credit loss measurement“
in our Annual Report 2020 for more information about IFRS 9, available under
”Annual reporting” at ubs.com/investors. 2 Loan exposure is reported
in line with the Pillar 3 definition. Refer to “Credit risk exposure
categories” in this section for more information about the classification of
Loans and Debt securities. 3 Off-balance sheet exposures include
unutilized credit facilities, guarantees provided and forward starting loan
commitments, but exclude prolongations of loans that do not increase the
initially committed loan amount. Unutilized credit facilities exclude
unconditionally revocable and uncommitted credit facilities, even if they are
subject to RWA. 4 Expected credit loss allowances and provisions amounted
to USD 1,294 million as of 30 June 2021, as disclosed in Note 7 of the UBS
Group AG second quarter 2021 report. This Pillar 3 table excludes ECL on
revocable off-balance sheet exposures (30 June 2021: USD 33 million; 31
December 2020: USD 50 million), ECL on exposures subject to counterparty
credit risk (30 June 2021: USD 6 million; 31 December 2020: USD 5
million) and ECL on irrevocable committed prolongation of loans that do not
give rise to additional credit exposures (30 June 2021: USD 4 million;
31 December 2020: USD 2 million). | | | | | | | | |

Semi-annual | The CR2 table below presents changes in stock of defaulted loans, debt securities and off-balance sheet exposures for the first half of 2021. The total amount of defaulted loans, debt securities and off-balance sheet exposures was USD 3.3 billion as of 30 June 2021. The net decrease of USD 0.5 billion compared with 31 December 2020 was mainly driven by the economic recovery and the resulting return to non-defaulted status and repayments. p

Semi-annual |

| CR2: Changes in stock of
defaulted loans, debt securities and off-balance sheet exposures — USD million | | For the half year ended 30.6.21 1 | For the half year ended 31.12.20 1 |
| --- | --- | --- | --- |
| 1 | Defaulted loans, debt
securities and off-balance sheet exposures as of the beginning of the half
year | 3,778 | 3,854 |
| 2 | Loans and debt securities that have defaulted since the last
reporting period | 378 | 1,180 |
| 3 | Returned to non-defaulted status | (390) | (993) |
| 4 | Amounts written off | (44) | (244) |
| 5 | Other changes | (404) | (19) |
| 6 | Defaulted loans, debt
securities and off-balance sheet exposures as of the end of the half year | 3,318 | 3,778 |
| 1 Off-balance sheet exposures include unutilized credit
facilities, guarantees provided and forward starting loan commitments, but
exclude prolongations of loans that do not increase the initially committed
loan amount. Unutilized credit facilities exclude unconditionally revocable
and uncommitted credit facilities, even if they attract RWA. | | | |

Credit risk mitigation

Semi-annual | The CR3 table below provides a breakdown of loans and debt securities into unsecured and partially or fully secured exposures, with additional information about the security type.

Compared with 31 December 2020, the carrying amount of unsecured loans increased by USD 4.1 billion, to USD 196.8 billion, mainly due to an increase in cash and balances with central banks. This was primarily driven by a shift within the high-quality liquid asset (HQLA) portfolio into cash and net new issuances of long-term debt measured at amortized cost, partly offset by currency effects. Debt securities, which are unsecured, decreased by USD 16.0 billion to USD 58.0 billion, mainly due to the aforementioned shift within the HQLA portfolio from securities into cash.

The carrying amount of partially or fully secured loans increased by USD 11.1 billion to USD 382.7 billion, of which the carrying amount of loans secured by collateral increased by USD 9.9 billion to USD 365.3 billion, mainly as a result of higher Lombard and mortgage lending. p

Semi-annual |

| CR3: Credit risk mitigation
techniques – overview 1 | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | Secured portion of exposures partially or fully secured: | | |
| USD million | | Exposures fully unsecured: carrying amount | Exposures partially or fully secured: carrying amount | Total: carrying amount | Exposures secured by collateral | Exposures secured by financial guarantees | Exposures secured by credit derivatives |
| 30.6.21 | | | | | | | |
| 1 | Loans 2 | 196,793 | 382,662 | 579,456 | 365,259 | 4,482 | 30 |
| 1a | of which: cash and balances
at central banks | 159,997 | | 159,997 | | | |
| 2 | Debt securities | 58,041 | | 58,041 | | | |
| 3 | Total | 254,835 | 382,662 | 637,497 | 365,259 | 4,482 | 30 |
| 4 | of which: defaulted | 114 | 2,110 | 2,224 | 1,368 | 195 | |
| 31.12.20 | | | | | | | |
| 1 | Loans 2 | 192,669 | 371,652 | 564,322 | 355,364 | 4,392 | 12 |
| 1a | of which: cash and balances
at central banks | 157,489 | | 157,489 | | | |
| 2 | Debt securities | 74,059 | | 74,059 | | | |
| 3 | Total | 266,729 | 371,652 | 638,381 | 355,364 | 4,392 | 12 |
| 4 | of which: defaulted | 250 | 2,461 | 2,711 | 1,662 | 218 | |
| 1 Exposures in this table represent carrying amounts in
accordance with the regulatory scope of consolidation. 2 Loan exposure is
reported in line with the Pillar 3 definition. Refer to “Credit risk exposure
categories” in this section for more information about the classification of
loans and debt securities. | | | | | | | |

UBS Group AG consolidated

Credit risk under the standardized approach

Introduction

The standardized approach is generally applied where using the A-IRB approach is not possible. The standardized approach requires banks to use risk assessments prepared by external credit assessment institutions (ECAIs) or export credit agencies to determine the risk weightings applied to rated counterparties.

Credit risk exposure and CRM effects

Semi-annual | The CR4 table below illustrates the credit risk exposure and effect of credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach. Compared with 31 December 2020, on-balance sheet exposures before credit conversion factors (CCF) and CRM increased by USD 13.5 billion, while on-balance sheet exposures post-CCF and post-CRM increased by USD 13.7 billion, primarily as the approach used for the covered bonds within the HQLA portfolio was changed from the A-IRB approach to the standardized approach. Off-balance sheet exposures before CCF and CRM in the Corporates asset class decreased by USD 3.8 billion, mainly due to decreases in margin loan commitments in the Investment Bank. p

Semi-annual |

| CR4: Standardized approach –
credit risk exposure and credit risk mitigation (CRM) effects | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Exposures before CCF and CRM 1 | | | Exposures post-CCF and post-CRM | | | RWA and RWA density | |
| USD million, except where
indicated | | On-balance sheet amount | Off-balance sheet amount | Total | On-balance sheet amount | Off-balance sheet amount | Total | RWA | RWA density in % |
| 30.6.21 | | | | | | | | | |
| Asset classes | | | | | | | | | |
| 1 | Central governments and central banks | 8,717 | | 8,717 | 8,724 | 1 | 8,724 | 720 | 8.3 |
| 2 | Banks and securities dealers | 10,696 | 1,241 | 11,937 | 10,696 | 533 | 11,229 | 2,527 | 22.5 |
| 3 | Public-sector entities and multi-lateral development banks | 3,156 | 910 | 4,066 | 3,152 | 342 | 3,494 | 810 | 23.2 |
| 4 | Corporates | 13,821 | 11,523 | 25,344 | 13,790 | 1,069 | 14,859 | 9,718 | 65.4 |
| 5 | Retail | 12,380 | 4,160 | 16,540 | 12,110 | 526 | 12,636 | 8,199 | 64.9 |
| 6 | Equity | | | | | | | | |
| 7 | Other assets 2 | 13,640 | | 13,640 | 13,640 | | 13,640 | 12,921 | 94.7 |
| 8 | Total | 62,410 | 17,834 | 80,243 | 62,111 | 2,472 | 64,583 | 34,895 | 54.0 |
| 31.12.20 | | | | | | | | | |
| Asset classes | | | | | | | | | |
| 1 | Central governments and central banks | 8,292 | | 8,292 | 8,296 | 123 | 8,420 | 876 | 10.4 |
| 2 | Banks and securities dealers | 5,404 | 1,162 | 6,566 | 5,404 | 530 | 5,934 | 1,327 | 22.4 |
| 3 | Public-sector entities and multi-lateral development banks | 212 | 731 | 943 | 211 | 148 | 359 | 144 | 40.1 |
| 4 | Corporates | 8,007 | 15,371 | 23,379 | 7,972 | 1,815 | 9,787 | 7,576 | 77.4 |
| 5 | Retail | 12,617 | 4,301 | 16,917 | 12,196 | 248 | 12,444 | 8,250 | 66.3 |
| 6 | Equity | | | | | | | | |
| 7 | Other assets 2 | 14,345 | | 14,345 | 14,345 | | 14,345 | 13,391 | 93.3 |
| 8 | Total | 48,878 | 21,565 | 70,443 | 48,424 | 2,865 | 51,289 | 31,564 | 61.5 |
| 1 Exposures in this table represent carrying amounts in
accordance with the regulatory scope of consolidation. 2 Includes
Non-counterparty-related assets. | | | | | | | | | |

Exposures by asset class and risk weight

Semi-annual | The CR5 table below provides an overview of exposures by asset classes and risk weights applied. p

Semi-annual |

| CR5: Standardized approach –
exposures by asset classes and risk weights | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD million | | | | | | | | | | | |
| Risk weight | | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post-CCF and post-CRM) |
| 30.6.21 | | | | | | | | | | | |
| Asset classes | | | | | | | | | | | |
| 1 | Central governments and central banks | 7,894 | | 104 | | 53 | | 673 | | | 8,724 |
| 2 | Banks and securities dealers | | | 10,302 | | 919 | | 7 | | | 11,229 |
| 3 | Public-sector entities and multi-lateral development banks | 3 | | 3,200 | | 244 | | 48 | | | 3,494 |
| 4 | Corporates | | | 5,837 | | 525 | 44 2 | 8,445 | 8 | | 14,859 |
| 5 | Retail | | | | 6,446 | | 1,236 | 4,833 | 122 | | 12,636 |
| 6 | Equity | | | | | | | | | | |
| 7 | Other assets | 720 | | | | | | 12,921 | | | 13,640 |
| 8 | Total | 8,616 | | 19,443 | 6,446 | 1,742 | 1,280 | 26,926 | 130 | | 64,583 |
| 9 | of which: mortgage loans | | | | 6,432 | | 182 | 557 | | | 7,172 |
| 10 | of which: past due 1 | | | 112 | 5 | 0 | 310 | 116 | | | 544 |
| 31.12.20 | | | | | | | | | | | |
| Asset classes | | | | | | | | | | | |
| 1 | Central governments and central banks | 7,423 | | 116 | | 56 | | 824 | | | 8,420 |
| 2 | Banks and securities dealers | | | 5,531 | | 363 | | 40 | | | 5,934 |
| 3 | Public-sector entities and multi-lateral development banks | 6 | | 208 | | 91 | | 54 | | | 359 |
| 4 | Corporates | | | 1,959 | | 512 | 1,037 2 | 6,275 | 4 | | 9,787 |
| 5 | Retail | | | | 6,052 | | 1,321 | 4,929 | 141 | | 12,444 |
| 6 | Equity | | | | | | | | | | |
| 7 | Other assets | 954 | | | | | | 13,391 | | | 14,345 |
| 8 | Total | 8,383 | | 7,815 | 6,052 | 1,022 | 2,359 | 25,513 | 145 | | 51,289 |
| 9 | of which: mortgage loans | | | | 6,052 | | 113 | 604 | | | 6,770 |
| 10 | of which: past due 1 | | | 104 | 7 | 4 | 428 | 133 | | | 676 |
| 1 Comparative periods for past-due exposures have been adjusted
to include loans to financial advisors. 2 Relates to structured margin
lending exposures based on the methodology agreed with FINMA. | | | | | | | | | | | |

UBS Group AG consolidated

Credit risk under the advanced internal ratings-based approaches

Introduction

Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed internally to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval.

Credit risk exposures by portfolio and PD range

Semi-annual | The CR6 table on the following pages provides information about credit risk exposures under the A-IRB approach, including a breakdown of the main parameters used in A-IRB models to calculate the capital requirements, presented by portfolio and PD range across FINMA-defined asset classes.

Compared with 31 December 2020, exposures before the application of CCFs increased by USD 1.3 billion, to USD 1,029.9 billion across various asset classes, along with an overall RWA increase of USD 3.0 billion.

In the Retail: other retail asset class, total exposures pre-CCF increased by USD 28.5 billion to USD 508.6 billion and RWA increased by USD 2.0 billion to USD 15.9 billion, mainly reflecting higher drawn and unutilized Lombard facilities as well as the phase-in impact related to a new model for structured margin loans and sophisticated lending in Global Wealth Management.

In the Central governments and central banks asset class, total exposures pre-CCF decreased by USD 12.4 billion to USD 186.6 billion and RWA decreased by USD 0.5 billion to USD 2.3 billion, primarily due to a reduction in HQLA in Group Functions.

In the Public-sector entities and multi-lateral development banks asset class, total exposures pre-CCF decreased by USD 5.5 billion to USD 8.0 billion and RWA decreased by USD 0.6 billion to USD 0.6 billion, primarily driven by methodology and policy changes, due to the application of the standardized approach to covered bonds, as well as a reduction in HQLA in Group Functions.

In the Corporates: other lending asset class, total exposures pre-CCF decreased by USD 2.9 billion to USD 105.4 billion, primarily driven by methodology and policy changes, due to the application of the standardized approach to covered bonds, as well as a decrease in loans and loan commitments in Personal & Corporate Banking. RWA increased by USD 1.2 billion to USD 38.0 billion, mainly driven by increased loans and loan commitments in the Investment Bank.

Information about credit risk RWA for the first quarter of 2021, including details regarding movements in RWA, is provided on pages 8–10 of our 31 March 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors . Further details about the movement of credit risk exposures under the A-IRB approach for the second quarter of 2021 are available in our CR8 disclosure on page 23 of this report. p

Credit risk exposures by portfolio and PD range

Semi-annual |

| CR6: IRB – Credit risk
exposures by portfolio and PD range — USD million, except where
indicated | Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF 1 | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM 1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions 2 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Central governments and
central banks as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 185,370 | 1 | 185,371 | 13.2 | 189,771 | 0.0 | <0.1 | 30.4 | 1.1 | 2,171 | 1.1 | 5 | |
| 0.15 to <0.25 | 567 | | 567 | | 475 | 0.2 | <0.1 | 46.7 | 1.0 | 136 | 28.7 | 0 | |
| 0.25 to <0.50 | 0 | 0 | 0 | 10.2 | 0 | 0.3 | <0.1 | 45.2 | 2.4 | 0 | 60.7 | 0 | |
| 0.50 to <0.75 | 82 | 3 | 86 | 55.0 | 5 | 0.6 | <0.1 | 54.4 | 2.8 | 5 | 85.4 | 0 | |
| 0.75 to <2.50 | 1 | 0 | 1 | 10.2 | 1 | 1.2 | <0.1 | 38.8 | 3.0 | 1 | 94.1 | 0 | |
| 2.50 to <10.00 | 127 | 465 | 592 | 36.6 | 20 | 3.8 | <0.1 | 42.5 | 2.0 | 24 | 120.3 | 0 | |
| 10.00 to <100.00 | 0 | | 0 | | 0 | 13.0 | <0.1 | 45.5 | 1.0 | 0 | 209.0 | 0 | |
| 100.00 (default) | 10 | 0 | 10 | 10.2 | 4 | 100.0 | <0.1 | 56.5 5 | 4.3 | 5 | 106.0 | 5 | |
| Subtotal | 186,158 | 469 | 186,627 | 36.6 | 190,277 | 0.0 | 0.1 | 30.5 | 1.1 | 2,342 | 1.2 | 11 | 6 |
| Central governments and
central banks as of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 198,605 | 1 | 198,606 | 13.1 | 203,051 | 0.0 | <0.1 | 30.6 | 1.1 | 2,792 | 1.4 | 4 | |
| 0.15 to <0.25 | 2 | 100 | 102 | 55.0 | 2 | 0.2 | <0.1 | 10.0 | 1.0 | 0 | 6.4 | 0 | |
| 0.25 to <0.50 | 0 | | 0 | | 0 | 0.3 | <0.1 | 55.0 | 1.0 | 0 | 54.2 | 0 | |
| 0.50 to <0.75 | 5 | | 5 | | 3 | 0.7 | <0.1 | 96.5 | 1.0 | 4 | 141.2 | 0 | |
| 0.75 to <2.50 | 1 | 0 | 1 | 9.7 | 3 | 1.2 | <0.1 | 22.3 | 4.4 | 2 | 62.5 | 0 | |
| 2.50 to <10.00 | 33 | 219 | 253 | 53.7 | 28 | 3.6 | <0.1 | 52.5 | 1.1 | 40 | 145.9 | 1 | |
| 10.00 to <100.00 | 0 | | 0 | | 0 | 13.2 | <0.1 | 48.9 | 1.0 | 0 | 226.0 | 0 | |
| 100.00 (default) | 92 | 6 | 98 | 55.0 | 7 | 100.0 | <0.1 | 39.8 5 | 4.2 | 7 | 106.0 | 5 | |
| Subtotal | 198,738 | 327 | 199,065 | 54.0 | 203,094 | 0.0 | 0.1 | 30.6 | 1.1 | 2,847 | 1.4 | 10 | 6 |
| Banks and securities
dealers as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 7,836 | 1,287 | 9,122 | 53.9 | 9,014 | 0.1 | 0.5 | 50.4 | 1.1 | 1,954 | 21.7 | 7 | |
| 0.15 to <0.25 | 736 | 441 | 1,177 | 41.8 | 834 | 0.2 | 0.3 | 56.6 | 1.8 | 503 | 60.3 | 2 | |
| 0.25 to <0.50 | 488 | 489 | 977 | 44.4 | 577 | 0.4 | 0.2 | 60.2 | 1.0 | 457 | 79.2 | 1 | |
| 0.50 to <0.75 | 214 | 203 | 417 | 43.6 | 252 | 0.6 | 0.1 | 63.2 | 1.1 | 293 | 116.2 | 1 | |
| 0.75 to <2.50 | 489 | 610 | 1,098 | 45.1 | 620 | 1.7 | 0.2 | 54.4 | 1.2 | 847 | 136.6 | 5 | |
| 2.50 to <10.00 | 502 | 700 | 1,202 | 46.8 | 523 | 4.0 | 0.2 | 64.9 | 1.0 | 1,164 | 222.7 | 14 | |
| 10.00 to <100.00 | 81 | 77 | 158 | 34.5 | 17 | 11.1 | <0.1 | 56.4 | 1.1 | 48 | 284.6 | 1 | |
| 100.00 (default) | | | | | | | | | | | | | |
| Subtotal | 10,347 | 3,805 | 14,152 | 47.6 | 11,837 | 0.3 | 1.5 | 52.5 | 1.1 | 5,266 | 44.5 | 31 | 17 |
| Banks and securities dealers
as of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 10,177 | 1,171 | 11,348 | 54.0 | 11,541 | 0.0 | 0.5 | 40.7 | 1.0 | 1,880 | 16.3 | 5 | |
| 0.15 to <0.25 | 1,001 | 333 | 1,334 | 39.7 | 969 | 0.2 | 0.3 | 52.3 | 1.7 | 531 | 54.8 | 1 | |
| 0.25 to <0.50 | 601 | 418 | 1,019 | 48.2 | 588 | 0.4 | 0.2 | 59.8 | 1.0 | 470 | 79.9 | 1 | |
| 0.50 to <0.75 | 186 | 303 | 489 | 45.0 | 305 | 0.7 | 0.1 | 63.1 | 1.1 | 354 | 116.2 | 2 | |
| 0.75 to <2.50 | 931 | 472 | 1,403 | 43.9 | 1,145 | 1.7 | 0.2 | 58.8 | 1.2 | 1,598 | 139.5 | 12 | |
| 2.50 to <10.00 | 422 | 412 | 835 | 43.2 | 385 | 4.6 | 0.2 | 67.0 | 1.1 | 925 | 240.4 | 12 | |
| 10.00 to <100.00 | 31 | 116 | 147 | 51.6 | 15 | 10.8 | <0.1 | 63.9 | 1.0 | 48 | 319.5 | 1 | |
| 100.00 (default) | | | | | | | | | | | | | |
| Subtotal | 13,348 | 3,225 | 16,574 | 48.0 | 14,948 | 0.3 | 1.5 | 44.8 | 1.1 | 5,806 | 38.8 | 33 | 20 |

UBS Group AG consolidated

| CR6: IRB – Credit risk exposures by portfolio and PD range
(continued) — USD million, except where
indicated | Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF 1 | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM 1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions 2 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Public-sector entities,
multi-lateral development banks as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 5,316 | 1,198 | 6,514 | 17.9 | 5,566 | 0.0 | 0.3 | 38.5 | 1.1 | 325 | 5.8 | 0 | |
| 0.15 to <0.25 | 284 | 183 | 467 | 12.6 | 306 | 0.2 | 0.2 | 31.5 | 2.6 | 80 | 26.1 | 0 | |
| 0.25 to <0.50 | 576 | 367 | 943 | 24.8 | 668 | 0.3 | 0.2 | 25.8 | 2.4 | 195 | 29.2 | 1 | |
| 0.50 to <0.75 | 36 | 16 | 52 | 26.4 | 39 | 0.6 | <0.1 | 31.3 | 2.7 | 20 | 50.0 | 0 | |
| 0.75 to <2.50 | 1 | 0 | 1 | 70.0 | 1 | 1.2 | <0.1 | 9.1 | 1.9 | 0 | 15.2 | 0 | |
| 2.50 to <10.00 | 60 | 0 | 60 | 0.0 | 1 | 2.9 | <0.1 | 17.1 | 5.0 | 0 | 49.9 | 0 | |
| 10.00 to <100.00 | | | | | | | | | | | | | |
| 100.00 (default) | 4 | | 4 | | 4 | 100.0 | <0.1 | 0.0 5 | 1.0 | 5 | 106.0 | | |
| Subtotal | 6,278 | 1,764 | 8,041 | 18.9 | 6,585 | 0.1 | 0.7 | 36.8 | 1.3 | 625 | 9.5 | 1 | 0 |
| Public-sector entities,
multi-lateral development banks as of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 9,792 | 1,293 | 11,085 | 17.8 | 10,059 | 0.0 | 0.3 | 38.6 | 1.1 | 819 | 8.1 | 1 | |
| 0.15 to <0.25 | 923 | 372 | 1,296 | 19.3 | 993 | 0.2 | 0.2 | 18.3 | 1.7 | 140 | 14.1 | 0 | |
| 0.25 to <0.50 | 649 | 356 | 1,005 | 23.8 | 737 | 0.3 | 0.2 | 23.9 | 2.5 | 202 | 27.4 | 1 | |
| 0.50 to <0.75 | 40 | 27 | 67 | 22.2 | 45 | 0.6 | <0.1 | 30.8 | 2.8 | 22 | 49.4 | 0 | |
| 0.75 to <2.50 | 1 | 0 | 1 | 81.4 | 2 | 1.0 | <0.1 | 17.2 | 2.6 | 1 | 33.7 | 0 | |
| 2.50 to <10.00 | 68 | 0 | 68 | 9.7 | 1 | 2.9 | <0.1 | 17.1 | 5.0 | 1 | 49.9 | 0 | |
| 10.00 to <100.00 | | | | | | | | | | | | | |
| 100.00 (default) | 5 | | 5 | | 5 | 100.0 | <0.1 | 0.2 5 | 1.0 | 5 | 106.0 | | |
| Subtotal | 11,478 | 2,048 | 13,526 | 19.2 | 11,841 | 0.1 | 0.7 | 35.9 | 1.2 | 1,190 | 10.0 | 2 | 0 |
| Corporates: specialized
lending as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,694 | 648 | 3,342 | 72.9 | 3,005 | 0.1 | 0.5 | 15.8 | 2.3 | 290 | 9.6 | 0 | |
| 0.15 to <0.25 | 1,664 | 474 | 2,139 | 70.2 | 1,997 | 0.2 | 0.3 | 15.4 | 2.2 | 285 | 14.3 | 1 | |
| 0.25 to <0.50 | 4,304 | 2,226 | 6,530 | 39.7 | 5,163 | 0.4 | 0.6 | 25.7 | 1.7 | 1,822 | 35.3 | 5 | |
| 0.50 to <0.75 | 5,112 | 2,650 | 7,762 | 39.7 | 6,099 | 0.6 | 0.6 | 27.6 | 2.0 | 3,123 | 51.2 | 11 | |
| 0.75 to <2.50 | 8,005 | 2,536 | 10,541 | 38.8 | 8,970 | 1.4 | 1.3 | 29.0 | 2.0 | 6,342 | 70.7 | 37 | |
| 2.50 to <10.00 | 1,781 | 413 | 2,194 | 50.2 | 1,968 | 3.4 | 0.4 | 35.7 | 2.1 | 2,192 | 111.4 | 24 | |
| 10.00 to <100.00 | 28 | | 28 | | 29 | 18.3 | <0.1 | 37.9 | 3.5 | 91 | 310.3 | 2 | |
| 100.00 (default) | 184 | 2 | 186 | 82.1 | 82 | 100.0 | <0.1 | 55.8 5 | 2.5 | 86 | 106.0 | 104 | |
| Subtotal | 23,771 | 8,950 | 32,721 | 44.0 | 27,313 | 1.2 | 3.7 | 26.2 | 2.0 | 14,231 | 52.1 | 183 | 117 |
| Corporates: specialized
lending as of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,082 | 684 | 3,767 | 71.9 | 3,372 | 0.1 | 0.5 | 13.8 | 2.0 | 229 | 6.8 | 0 | |
| 0.15 to <0.25 | 2,023 | 452 | 2,475 | 65.1 | 2,317 | 0.2 | 0.3 | 14.2 | 2.0 | 304 | 13.1 | 1 | |
| 0.25 to <0.50 | 5,025 | 2,361 | 7,386 | 34.8 | 5,745 | 0.4 | 0.6 | 24.8 | 1.8 | 1,954 | 34.0 | 5 | |
| 0.50 to <0.75 | 4,286 | 2,892 | 7,177 | 32.8 | 5,147 | 0.6 | 0.6 | 27.0 | 1.7 | 2,450 | 47.6 | 9 | |
| 0.75 to <2.50 | 8,141 | 2,715 | 10,856 | 39.3 | 9,189 | 1.4 | 1.4 | 29.2 | 1.8 | 6,275 | 68.3 | 38 | |
| 2.50 to <10.00 | 1,660 | 398 | 2,059 | 61.3 | 1,904 | 3.4 | 0.3 | 35.8 | 2.0 | 2,172 | 114.1 | 23 | |
| 10.00 to <100.00 | 18 | | 18 | | 18 | 22.0 | <0.1 | 33.0 | 5.0 | 72 | 398.0 | 1 | |
| 100.00 (default) | 209 | 8 | 218 | 75.0 | 106 | 100.0 | <0.1 | 50.2 5 | 2.4 | 113 | 106.0 | 108 | |
| Subtotal | 24,443 | 9,512 | 33,955 | 40.7 | 27,799 | 1.3 | 3.7 | 25.3 | 1.8 | 13,569 | 48.8 | 186 | 125 |

| CR6: IRB – Credit risk exposures by portfolio and PD range
(continued) — USD million, except where
indicated | Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF 1 | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM 1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions 2 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Corporates: other lending
as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,541 | 16,855 | 31,396 | 36.1 | 17,706 | 0.1 | 7.7 | 34.6 | 1.6 | 3,723 | 21.0 | 4 | |
| 0.15 to <0.25 | 5,764 | 7,927 | 13,691 | 35.3 | 8,180 | 0.2 | 2.4 | 36.5 | 2.2 | 3,275 | 40.0 | 7 | |
| 0.25 to <0.50 | 5,776 | 4,951 | 10,727 | 36.7 | 6,382 | 0.4 | 3.3 | 29.2 | 2.6 | 3,105 | 48.7 | 7 | |
| 0.50 to <0.75 | 3,877 | 2,879 | 6,757 | 42.9 | 4,946 | 0.6 | 3.0 | 27.2 | 2.2 | 2,580 | 52.2 | 9 | |
| 0.75 to <2.50 | 10,800 | 8,611 | 19,412 | 41.9 | 12,586 | 1.4 | 11.4 | 30.0 | 2.1 | 8,905 | 70.8 | 54 | |
| 2.50 to <10.00 | 5,177 | 15,677 | 20,854 | 35.5 | 9,636 | 4.4 | 5.4 | 33.8 | 2.3 | 14,657 | 152.1 | 146 | |
| 10.00 to <100.00 | 270 | 441 | 711 | 57.2 | 428 | 14.5 | 0.3 | 23.6 | 2.0 | 769 | 179.4 | 15 | |
| 100.00 (default) | 1,392 | 417 | 1,809 | 47.7 | 954 | 100.0 | 0.9 | 31.8 5 | 3.0 | 1,002 | 106.0 | 463 | |
| Subtotal | 47,597 | 57,758 | 105,355 | 37.3 | 60,818 | 2.8 | 34.3 | 32.5 | 2.1 | 38,016 | 62.5 | 703 | 739 |
| Corporates: other lending as
of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 18,411 | 20,390 | 38,801 | 34.3 | 22,251 | 0.1 | 4.7 | 33.0 | 1.5 | 4,486 | 20.2 | 4 | |
| 0.15 to <0.25 | 6,697 | 6,593 | 13,290 | 35.3 | 8,393 | 0.2 | 1.7 | 36.4 | 2.2 | 3,287 | 39.2 | 5 | |
| 0.25 to <0.50 | 4,536 | 4,490 | 9,026 | 38.5 | 5,311 | 0.4 | 2.7 | 33.2 | 2.2 | 2,620 | 49.3 | 6 | |
| 0.50 to <0.75 | 4,370 | 3,403 | 7,773 | 38.1 | 5,489 | 0.6 | 2.4 | 31.3 | 1.9 | 3,122 | 56.9 | 11 | |
| 0.75 to <2.50 | 11,515 | 8,534 | 20,049 | 44.4 | 13,078 | 1.4 | 10.8 | 30.1 | 2.1 | 9,441 | 72.2 | 57 | |
| 2.50 to <10.00 | 4,995 | 11,609 | 16,605 | 39.6 | 8,392 | 4.4 | 4.7 | 32.5 | 2.1 | 11,715 | 139.6 | 120 | |
| 10.00 to <100.00 | 319 | 443 | 762 | 57.3 | 470 | 14.8 | 0.3 | 29.1 | 2.0 | 1,040 | 221.1 | 20 | |
| 100.00 (default) | 1,576 | 358 | 1,934 | 53.2 | 1,079 | 100.0 | 0.6 | 31.6 5 | 3.0 | 1,144 | 106.0 | 487 | |
| Subtotal | 52,420 | 55,821 | 108,241 | 37.9 | 64,463 | 2.8 | 28.0 | 32.6 | 1.9 | 36,855 | 57.2 | 712 | 862 |
| Retail: residential
mortgages as of 30.6.21 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 74,438 | 1,618 | 76,056 | 61.0 | 75,427 | 0.1 | 138.2 | 18.4 | | 2,940 | 3.9 | 12 | |
| 0.15 to <0.25 | 17,957 | 312 | 18,269 | 76.7 | 18,199 | 0.2 | 22.2 | 25.6 | | 1,729 | 9.5 | 9 | |
| 0.25 to <0.50 | 24,379 | 617 | 24,996 | 82.2 | 24,887 | 0.4 | 28.8 | 27.9 | | 4,136 | 16.6 | 24 | |
| 0.50 to <0.75 | 14,322 | 541 | 14,863 | 88.5 | 14,801 | 0.6 | 14.0 | 30.3 | | 4,093 | 27.7 | 28 | |
| 0.75 to <2.50 | 21,597 | 1,603 | 23,200 | 80.7 | 22,895 | 1.3 | 25.3 | 34.1 | | 11,759 | 51.4 | 104 | |
| 2.50 to <10.00 | 6,711 | 440 | 7,151 | 84.8 | 7,085 | 4.3 | 7.5 | 33.6 | | 7,005 | 98.9 | 101 | |
| 10.00 to <100.00 | 1,015 | 21 | 1,036 | 90.9 | 1,034 | 15.6 | 0.9 | 32.0 | | 1,603 | 154.9 | 53 | |
| 100.00 (default) | 639 | 2 | 642 | 72.7 | 614 | 100.0 | 0.9 | 4.1 5 | | 651 | 106.0 | 26 | |
| Subtotal | 161,057 | 5,154 | 166,211 | 75.7 | 164,943 | 1.0 | 237.8 | 24.6 | | 33,917 | 20.6 | 358 | 161 |
| Retail: residential
mortgages as of 31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 74,826 | 1,790 | 76,616 | 67.1 | 75,989 | 0.1 | 136.1 | 18.3 | | 3,041 | 4.0 | 12 | |
| 0.15 to <0.25 | 18,179 | 477 | 18,656 | 71.2 | 18,522 | 0.2 | 22.3 | 25.2 | | 1,702 | 9.2 | 9 | |
| 0.25 to <0.50 | 24,542 | 750 | 25,292 | 73.9 | 25,097 | 0.4 | 28.7 | 26.8 | | 3,956 | 15.8 | 24 | |
| 0.50 to <0.75 | 14,554 | 652 | 15,206 | 73.0 | 15,034 | 0.6 | 13.8 | 29.2 | | 3,952 | 26.3 | 28 | |
| 0.75 to <2.50 | 21,785 | 1,838 | 23,623 | 73.3 | 23,132 | 1.3 | 26.3 | 32.4 | | 11,402 | 49.3 | 100 | |
| 2.50 to <10.00 | 7,174 | 548 | 7,722 | 78.5 | 7,612 | 4.5 | 8.5 | 30.9 | | 7,098 | 93.2 | 103 | |
| 10.00 to <100.00 | 982 | 59 | 1,041 | 70.5 | 1,025 | 15.2 | 0.9 | 31.7 | | 1,525 | 148.9 | 49 | |
| 100.00 (default) | 746 | 3 | 749 | 59.8 | 721 | 100.0 | 1.0 | 3.7 5 | | 764 | 106.0 | 27 | |
| Subtotal | 162,788 | 6,117 | 168,906 | 71.8 | 167,131 | 1.1 | 237.6 | 23.9 | | 33,439 | 20.0 | 352 | 177 |

UBS Group AG consolidated

| CR6: IRB – Credit risk exposures by portfolio and PD range
(continued) — USD million, except where
indicated | Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF 1 | Total exposures pre-CCF | Average CCF in % | EAD post-CCF and post-CRM 1 | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years | RWA | RWA density in % | EL | Provisions 2 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Retail: other retail as of
30.6.21 4 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 131,672 | 324,934 | 456,605 | 19.3 | 194,127 | 0.0 | 397.3 | 28.9 | | 8,541 | 4.4 | 23 | |
| 0.15 to <0.25 | 3,768 | 6,668 | 10,436 | 19.8 | 5,085 | 0.2 | 8.5 | 25.1 | | 547 | 10.8 | 2 | |
| 0.25 to <0.50 | 6,697 | 9,172 | 15,869 | 17.3 | 8,280 | 0.4 | 9.6 | 35.4 | | 2,007 | 24.2 | 10 | |
| 0.50 to <0.75 | 3,518 | 6,846 | 10,364 | 19.7 | 4,865 | 0.6 | 10.1 | 24.0 | | 1,122 | 23.1 | 7 | |
| 0.75 to <2.50 | 5,268 | 8,370 | 13,638 | 21.7 | 7,084 | 1.1 | 45.0 | 32.3 | | 2,844 | 40.1 | 26 | |
| 2.50 to <10.00 | 704 | 748 | 1,453 | 19.5 | 846 | 5.0 | 3.5 | 47.6 | | 711 | 84.1 | 25 | |
| 10.00 to <100.00 | 75 | 104 | 178 | 20.8 | 96 | 20.1 | 0.8 | 27.7 | | 71 | 74.2 | 5 | |
| 100.00 (default) | 45 | 1 | 46 | 27.7 | 20 | 100.0 | <0.1 | 55.9 5 | | 21 | 106.0 | 26 | |
| Subtotal | 151,746 | 356,843 | 508,589 | 19.3 | 220,404 | 0.1 | 474.9 | 29.1 | | 15,865 | 7.2 | 125 | 40 |
| Retail: other retail as of
31.12.20 | | | | | | | | | | | | | |
| 0.00 to <0.15 | 120,619 | 310,586 | 431,205 | 19.5 | 181,028 | 0.0 | 343.2 | 31.0 | | 7,337 | 4.1 | 23 | |
| 0.15 to <0.25 | 3,940 | 6,764 | 10,704 | 19.0 | 5,221 | 0.2 | 7.2 | 27.7 | | 556 | 10.7 | 2 | |
| 0.25 to <0.50 | 5,109 | 7,635 | 12,744 | 18.8 | 6,541 | 0.4 | 8.4 | 31.7 | | 1,281 | 19.6 | 7 | |
| 0.50 to <0.75 | 3,855 | 6,451 | 10,306 | 20.2 | 5,160 | 0.6 | 8.8 | 27.8 | | 1,240 | 24.0 | 9 | |
| 0.75 to <2.50 | 4,522 | 8,480 | 13,002 | 21.5 | 6,352 | 1.1 | 47.8 | 31.3 | | 2,276 | 35.8 | 23 | |
| 2.50 to <10.00 | 884 | 897 | 1,781 | 18.7 | 1,143 | 4.8 | 3.4 | 52.0 | | 1,004 | 87.8 | 35 | |
| 10.00 to <100.00 | 128 | 90 | 218 | 20.1 | 146 | 18.4 | 0.9 | 28.2 | | 93 | 63.6 | 8 | |
| 100.00 (default) | 77 | 28 | 105 | 27.9 | 56 | 100.0 | <0.1 | 28.0 5 | | 60 | 106.0 | 28 | |
| Subtotal | 139,134 | 340,930 | 480,064 | 19.5 | 205,647 | 0.2 | 419.6 | 31.0 | | 13,847 | 6.7 | 135 | 43 |
| Total 30.6.21 | 588,266 | 441,616 | 1,029,882 | 23.5 | 686,937 | 0.6 | 1,828.6 | 29.1 | 1.4 6 | 111,267 | 16.2 | 1,450 | 1,106 |
| Total 31.12.20 | 603,700 | 424,868 | 1,028,568 | 23.1 | 696,762 | 0.6 | 1,645.1 | 29.5 | 1.3 6 | 108,281 | 15.5 | 1,466 | 1,264 |
| 1 Figures as of 30 June 2021 and 31 December 2020 for
off-balance sheet exposures, as well as EAD post-CCF and post-CRM, include
uncommitted and fully unutilized Lombard loan limits for certain clients in
Switzerland. 2 In line with BCBS Pillar 3 disclosure requirements,
provisions are only provided for the sub-totals by asset class. 3 For the
calculation of the “EAD post-CCF and post-CRM” column for QRRE, a balance
factor approach was used instead of a CCF approach until 31 December 2020,
where the EAD was calculated by multiplying the on-balance sheet exposure by
a fixed factor of 1.4. A CCF approach has been applied from 2021 onward, due
to the introduction of a new model for credit card exposures in
Switzerland. 4 In the second quarter of 2021, we began to phase in a
quarterly RWA increase of USD 0.7 billion related to a new model for
structured margin loans and sophisticated lending in the “Retail: other
retail” asset class. The RWA increase is being phased in over five quarters.
The associated changes to PD and LGD, as well as a refinement to the asset
class allocation, primarily toward the corporate asset class, will only be
reflected with the introduction of the new model in the second quarter of
2022. 5 Average LGD for defaulted exposures disclosed in the table are not
used to calculate RWA. The disclosed number is derived using ECL accounting
provisions (stage 3) divided by total exposures pre-CCF. 6 Retail asset
classes are excluded from the average maturity as maturity is not relevant
for risk-weighting. | | | | | | | | | | | | | |

UBS Group AG consolidated

Credit derivatives used as CRM techniques

Semi-annual | Where credit derivatives are used for credit risk mitigation, the probability of default (PD) of the obligor is in general substituted with the PD of the hedge provider. In addition, default correlation between the obligor and the hedge provider is taken into account through the double default approach. Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section of this report for notional and fair value information about credit derivatives used as CRM techniques. p

Semi-annual |

| CR7: IRB – effect on RWA of
credit derivatives used as CRM techniques | | | | | |
| --- | --- | --- | --- | --- | --- |
| | | 30.6.21 | | 31.12.20 | |
| USD million | | Pre-credit derivatives RWA | Actual RWA | Pre-credit derivatives RWA | Actual RWA |
| 1 | Central governments and central banks – FIRB | | | | |
| 2 | Central governments and central banks – AIRB | 2,342 | 2,342 | 2,847 | 2,847 |
| 3 | Banks and securities dealers – FIRB | | | | |
| 4 | Banks and securities dealers – AIRB | 5,266 | 5,266 | 5,806 | 5,806 |
| 5 | Public-sector entities, multi-lateral development banks – FIRB | | | | |
| 6 | Public-sector entities, multi-lateral development banks – AIRB | 625 | 625 | 1,190 | 1,190 |
| 7 | Corporates: specialized lending – FIRB | | | | |
| 8 | Corporates: specialized lending – AIRB | 14,231 | 14,231 | 13,569 | 13,569 |
| 9 | Corporates: other lending – FIRB | | | | |
| 10 | Corporates: other lending – AIRB | 38,292 | 38,016 | 37,220 | 36,855 |
| 11 | Retail: mortgage loans | 33,917 | 33,917 | 33,439 | 33,439 |
| 12 | Retail exposures: qualifying revolving retail (QRRE) | 1,007 | 1,007 | 729 | 729 |
| 13 | Retail: other | 15,865 | 15,865 | 13,847 | 13,847 |
| 14 | Equity positions (PD / LGD approach) | | | | |
| 15 | Total | 111,544 | 111,267 | 108,646 | 108,281 |

RWA flow statements of credit risk exposures under IRB

Quarterly | The CR8 table below provides a breakdown of the credit risk RWA movements in the second quarter of 2021 across movement categories defined by the Basel Committee on Banking Supervision (BCBS). These categories are described on page 48 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors .

Credit risk RWA under the A-IRB approach increased by USD 5.1 billion to USD 111.3 billion during the second quarter of 2021.

The RWA increase from asset size movements of USD 1.4 billion was predominantly driven by increases in Lombard and other loans in Global Wealth Management and increases in loans and loan commitments to corporate clients in Personal & Corporate Banking. Model updates of USD 2.5 billion were mainly due to the phase-in impacts related to a new model for structured margin loans and sophisticated lending, new PD and LGD models for mortgages in the US, and updates to the LGD model for mortgages in Switzerland. Methodology and policy changes reduced RWA by USD 0.7 billion, primarily due to the application of the standardized approach to covered bonds, partly offset by a regulatory add-on for credit card exposures in Switzerland. Foreign exchange movements led to an RWA increase of USD 1.3 billion. p

Quarterly |

| CR8: RWA flow statements of
credit risk exposures under IRB — USD million | | For the quarter ended 30.6.21 | For the quarter ended 31.3.21 |
| --- | --- | --- | --- |
| 1 | RWA as of the beginning of
the quarter | 106,186 | 108,281 |
| 2 | Asset size | 1,449 | 2,762 |
| 3 | Asset quality | 15 | (1,456) |
| 4 | Model updates | 2,467 | 550 |
| 5 | Methodology and policy | (713) | |
| 5a | of which: regulatory add-ons | 497 | |
| 6 | Acquisitions and disposals | | |
| 7 | Foreign exchange movements | 1,260 | (3,951) |
| 8 | Other | 603 | |
| 9 | RWA as of the end of the
quarter | 111,267 | 106,186 |

Equity exposures

Semi-annual | The CR10 table below provides information about our equity exposures under the simple risk-weight method. p

Semi-annual |

| CR10: IRB (equities under the
simple risk-weight method) — USD million, except where
indicated | On-balance sheet amount | Risk weight in % 1 | Exposure amount 2 | RWA 1 |
| --- | --- | --- | --- | --- |
| 30.6.21 | | | | |
| Exchange-traded equity exposures | 72 | 300 | 72 | 230 |
| Other equity exposures | 700 | 400 | 700 | 2,967 |
| Total | 772 | | 772 | 3,197 |
| 31.12.20 | | | | |
| Exchange-traded equity exposures | 29 | 300 | 29 | 92 |
| Other equity exposures | 638 | 400 | 638 | 2,704 |
| Total | 667 | | 667 | 2,796 |
| 1 RWA are calculated post-application of the A-IRB multiplier of
6%, therefore the respective risk weight is higher than 300% and 400%. 2
The exposure amount for equities in the banking book is based on the net
position. | | | | |

UBS Group AG consolidated

Section 4 Counterparty credit risk

Introduction

Semi-annual I This section provides information about the exposures subject to the Basel III counterparty credit risk (CCR) framework. CCR arises from over-the-counter (OTC) and exchange-traded derivatives (ETDs), securities financing transactions (SFTs), and long settlement transactions. Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the effective expected positive exposure (EEPE) and stressed expected positive exposure (SEPE) as defined in the Basel III framework. For the rest of the portfolio, we apply the standardized approach for counterparty credit risk (SA-CCR). For the majority of SFTs (securities borrowing, securities lending, margin lending, repurchase agreements and reverse repurchase agreements), we determine the regulatory credit exposure using the close-out period (COP) approach. p

Counterparty credit exposure

Semi-annual I The CCR1 table below presents the methods used to calculate counterparty credit risk exposure.

Compared with 31 December 2020, exposure at default (EAD) post-credit risk mitigation (CRM) related to the internal model method (IMM) decreased by USD 2.1 billion to USD 47.0 billion, primarily due to lower levels of client activity in the Investment Bank and mark-to-market movements in Non-core and Legacy Portfolio. EAD post-CRM related to the VaR approach decreased by USD 6.2 billion to USD 42.6 billion, primarily in the Investment Bank’s Financing business, due to lower levels of client activity, and in Group Treasury, mainly due to collateral optimization . p

Semi-annual |

| CCR1: Analysis of counterparty
credit risk (CCR) exposure by approach — USD million, except where
indicated | | Replacement cost | Potential future exposure | EEPE | Alpha used for computing regulatory EAD | EAD post-CRM | RWA |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 30.6.21 | | | | | | | |
| 1 | SA-CCR (for derivatives) | 4,420 | 6,321 | | 1.4 | 15,039 | 5,223 |
| 2 | Internal model method (for derivatives) | | | 29,364 | 1.6 | 46,983 | 17,011 |
| 3 | Simple approach for credit risk mitigation (for SFTs) | | | | | | |
| 4 | Comprehensive approach for credit risk mitigation (for SFTs) | | | | | 23,906 | 6,471 |
| 5 | VaR (for SFTs) | | | | | 42,604 | 7,724 |
| 6 | Total | | | | | 128,532 | 36,429 |
| 31.12.20 | | | | | | | |
| 1 | SA-CCR (for derivatives) | 5,090 | 5,383 | | 1.4 | 14,663 | 4,353 |
| 2 | Internal model method (for derivatives) | | | 30,672 | 1.6 | 49,075 | 19,179 |
| 3 | Simple approach for credit risk mitigation (for SFTs) | | | | | | |
| 4 | Comprehensive approach for credit risk mitigation (for SFTs) | | | | | 23,464 | 6,544 |
| 5 | VaR (for SFTs) | | | | | 48,834 | 8,226 |
| 6 | Total | | | | | 136,036 | 38,301 |

Semi-annual | The CCR2 table below presents the credit valuation adjustment (CVA) capital charge with a breakdown by standardized and advanced approaches. In addition to the default risk capital requirements for CCR on derivatives, we are required to add a CVA capital charge to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality. The advanced CVA value-at-risk (VaR) approach has been used to calculate the CVA capital charge where we use the IMM. Where this is not the case, the standardized CVA approach has been used.

Compared with 31 December 2020, the CVA risk-weighted assets (RWA) increased by USD 1.0 billion to USD 3.9 billion, primarily due to a methodology change related to CVA risk for derivative exposure with Lombard clients. p

Semi-annual |

| CCR2: Credit valuation adjustment
(CVA) capital charge | | | | | |
| --- | --- | --- | --- | --- | --- |
| | | 30.6.21 | | 31.12.20 | |
| USD million | | EAD post-CRM | RWA | EAD post-CRM | RWA |
| | Total portfolios subject to the advanced CVA capital charge | 45,791 | 1,182 | 48,453 | 1,358 |
| 1 | (i) VaR component (including the 3× multiplier) | | 277 | | 371 |
| 2 | (ii) Stressed VaR component (including the 3× multiplier) | | 905 | | 987 |
| 3 | All portfolios subject to the standardized CVA capital charge | 14,733 | 2,756 | 5,470 | 1,586 |
| 4 | Total subject to the CVA
capital charge | 60,525 | 3,938 | 53,923 | 2,945 |

Semi-annual | The CCR3 table below provides information about our CCR exposures under the standardized approach. Compared with 31 December 2020, the total CCR exposures decreased by USD 0.5 billion to USD 5.8 billion, primarily due to lower margin lending exposures in the Investment Bank. p

Semi-annual |

| CCR3: Standardized approach –
CCR exposures by regulatory portfolio and risk weights | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD million | | | | | | | | | |
| Risk weight | 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | Total credit exposure |
| | Regulatory portfolio as of
30.6.21 | | | | | | | | |
| 1 | Central governments and central banks | | | | | | | | |
| 2 | Banks and securities dealers | | 218 | 48 | | 2 | | | 268 |
| 3 | Public-sector entities and multi-lateral development banks | | 131 | 99 | | 0 | | | 230 |
| 4 | Corporates | | 27 | 116 | 3,136 | 1,775 | | | 5,054 |
| 5 | Retail | | 0 | | 91 | 164 | | | 255 |
| 6 | Equity | | | | | | | | |
| 7 | Other assets | | | | | | | | |
| 8 | Total | | 376 | 263 | 3,227 | 1,941 | | | 5,807 |
| | Regulatory portfolio as of
31.12.20 | | | | | | | | |
| 1 | Central governments and central banks | | | | | | | | 0 |
| 2 | Banks and securities dealers | | 48 | 111 | | 0 | | | 159 |
| 3 | Public-sector entities and multi-lateral development banks | | 139 | 135 | | 0 | | | 274 |
| 4 | Corporates | | 77 | 123 | 3,712 | 1,758 | 2 | | 5,672 |
| 5 | Retail | | 0 | | 3 | 179 | | | 182 |
| 6 | Equity | | | | | | | | |
| 7 | Other assets | | | | | | | | |
| 8 | Total | | 263 | 369 | 3,715 | 1,938 | 2 | | 6,287 |

UBS Group AG consolidated

Semi-annual | The CCR4 table below and on the following pages provides a breakdown of the key parameters used for the calculation of capital requirements under the advanced internal ratings-based (A-IRB) approach across Swiss Financial Market Supervisory Authority (FINMA)-defined asset classes. Compared with 31 December 2020, EAD post-CRM decreased by USD 7.0 billion, to USD 122.7 billion across the various asset classes, resulting in an overall RWA decrease of USD 1.5 billion to USD 31.9 billion.

In the Central governments and central banks asset class, EAD post-CRM decreased by USD 4.8 billion to USD 10.7 billion and RWA decreased by USD 0.6 billion to USD 0.8 billion, mainly as a result of lower levels of activity in SFTs in the Investment Bank and Group Functions.

In the Banks and securities dealers asset class, EAD post-CRM decreased by USD 3.3 billion to USD 24.4 billion and RWA decreased by USD 1.2 billion to USD 6.3 billion, primarily driven by lower levels of activity, mainly in SFTs and, to a lesser extent, in derivatives in the Investment Bank and Group Functions.

In the Public-sector entities and multi-lateral development banks asset class, EAD post-CRM decreased by USD 0.8 billion to USD 1.0 billion, mainly due to mark-to-market movements in interest rate swap derivatives in Non-core and Legacy Portfolio.

In the Corporates: including specialized lending asset class, EAD post-CRM increased by USD 1.7 billion to USD 77.8 billion and RWA increased by USD 0.5 billion to USD 23.9 billion, due to exposure increases in SFTs and foreign exchange derivatives, as a result of increased levels of client activity, mainly in the Investment Bank.

Information about RWA, including details of movements in CCR RWA, is provided on pages 8–11 of our 31 March 2021 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors, and on page 30 of this report . p

Semi-annual |

| CCR4: IRB – CCR exposures by
portfolio and PD scale — USD million, except where
indicated | EAD post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years 1 | RWA | RWA density in % |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Central governments and
central banks as of 30.6.21 | | | | | | | |
| 0.00 to <0.15 | 10,385 | 0.0 | 0.1 | 39.3 | 0.6 | 599 | 5.8 |
| 0.15 to <0.25 | 111 | 0.2 | <0.1 | 40.9 | 0.7 | 30 | 26.8 |
| 0.25 to <0.50 | 225 | 0.3 | <0.1 | 93.8 | 0.7 | 210 | 93.4 |
| 0.50 to <0.75 | 0 | 0.7 | <0.1 | 100.0 | 1.0 | 1 | 146.2 |
| 0.75 to <2.50 | 4 | 1.3 | <0.1 | 70.0 | 1.0 | 6 | 136.6 |
| 2.50 to <10.00 | | | | | | | |
| 10.00 to <100.00 | | | | | | | |
| 100.00 (default) | | | | | | | |
| Subtotal | 10,726 | 0.0 | 0.1 | 40.5 | 0.6 | 846 | 7.9 |
| Central governments and
central banks as of 31.12.20 | | | | | | | |
| 0.00 to <0.15 | 14,751 | 0.0 | 0.1 | 38.6 | 0.5 | 787 | 5.3 |
| 0.15 to <0.25 | 199 | 0.2 | <0.1 | 38.2 | 0.9 | 53 | 26.4 |
| 0.25 to <0.50 | 494 | 0.3 | <0.1 | 96.3 | 0.9 | 469 | 94.9 |
| 0.50 to <0.75 | 128 | 0.7 | <0.1 | 99.6 | 1.0 | 186 | 145.7 |
| 0.75 to <2.50 | | | | | | | |
| 2.50 to <10.00 | 0 | 2.6 | <0.1 | 75.0 | 1.0 | 0 | 228.3 |
| 10.00 to <100.00 | | | | | | | |
| 100.00 (default) | | | | | | | |
| Subtotal | 15,572 | 0.0 | 0.1 | 40.9 | 0.5 | 1,495 | 9.6 |
| Banks and securities
dealers as of 30.6.21 | | | | | | | |
| 0.00 to <0.15 | 17,595 | 0.1 | 0.4 | 50.0 | 0.6 | 2,948 | 16.8 |
| 0.15 to <0.25 | 4,192 | 0.2 | 0.2 | 51.6 | 0.7 | 1,553 | 37.1 |
| 0.25 to <0.50 | 1,482 | 0.4 | 0.2 | 52.6 | 0.6 | 695 | 46.9 |
| 0.50 to <0.75 | 399 | 0.6 | <0.1 | 59.5 | 0.7 | 350 | 87.7 |
| 0.75 to <2.50 | 695 | 1.3 | 0.1 | 47.2 | 0.7 | 676 | 97.3 |
| 2.50 to <10.00 | 20 | 3.1 | <0.1 | 70.7 | 1.0 | 41 | 208.5 |
| 10.00 to <100.00 | 3 | 22.0 | <0.1 | 45.0 | 1.0 | 8 | 241.3 |
| 100.00 (default) | | | | | | | |
| Subtotal | 24,387 | 0.2 | 1.0 | 50.5 | 0.6 | 6,272 | 25.7 |
| Banks and securities dealers
as of 31.12.20 | | | | | | | |
| 0.00 to <0.15 | 18,474 | 0.1 | 0.4 | 50.0 | 0.6 | 3,150 | 17.1 |
| 0.15 to <0.25 | 5,913 | 0.2 | 0.2 | 49.7 | 0.5 | 1,964 | 33.2 |
| 0.25 to <0.50 | 1,894 | 0.4 | 0.2 | 48.5 | 0.7 | 904 | 47.7 |
| 0.50 to <0.75 | 633 | 0.7 | <0.1 | 60.4 | 0.6 | 582 | 91.9 |
| 0.75 to <2.50 | 738 | 1.3 | 0.1 | 52.4 | 1.0 | 827 | 112.1 |
| 2.50 to <10.00 | 29 | 3.9 | <0.1 | 77.8 | 1.0 | 67 | 231.7 |
| 10.00 to <100.00 | 0 | 22.0 | <0.1 | 45.0 | 1.0 | 0 | 241.8 |
| 100.00 (default) | | | | | | | |
| Subtotal | 27,681 | 0.2 | 1.0 | 50.1 | 0.6 | 7,494 | 27.1 |

| CCR4: IRB – CCR exposures by
portfolio and PD scale (continued) — USD million, except where
indicated | EAD post-CRM | Average PD in % | Number of obligors (in thousands) | Average LGD in % | Average maturity in years 1 | RWA | RWA density in % |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Public-sector entities and
multi-lateral development banks as of 30.6.21 | | | | | | | |
| 0.00 to <0.15 | 736 | 0.0 | <0.1 | 40.2 | 0.6 | 31 | 4.2 |
| 0.15 to <0.25 | 292 | 0.2 | <0.1 | 55.8 | 1.3 | 100 | 34.3 |
| 0.25 to <0.50 | 0 | 0.4 | <0.1 | 100.0 | 1.1 | 0 | 84.4 |
| 0.50 to <0.75 | | | | | | | |
| 0.75 to <2.50 | 0 | 1.0 | <0.1 | 34.9 | 1.0 | 0 | 60.2 |
| 2.50 to <10.00 | | | | | | | |
| 10.00 to <100.00 | | | | | | | |
| 100.00 (default) | | | | | | | |
| Subtotal | 1,029 | 0.1 | <0.1 | 44.7 | 0.8 | 131 | 12.7 |
| Public-sector entities and
multi-lateral development banks as of 31.12.20 | | | | | | | |
| 0.00 to <0.15 | 1,308 | 0.0 | <0.1 | 41.0 | 0.7 | 129 | 9.9 |
| 0.15 to <0.25 | 470 | 0.2 | <0.1 | 42.1 | 1.3 | 111 | 23.7 |
| 0.25 to <0.50 | | | | | | | |
| 0.50 to <0.75 | 0 | 0.6 | <0.1 | 100.0 | 1.4 | 0 | 121.3 |
| 0.75 to <2.50 | | | | | | | |
| 2.50 to <10.00 | | | | | | | |
| 10.00 to <100.00 | | | | | | | |
| 100.00 (default) | 26 | 100.0 | <0.1 | | 2.9 | 27 | 103.0 |
| Subtotal | 1,805 | 1.5 | <0.1 | 40.7 | 0.9 | 268 | 14.8 |
| Corporates: including specialized
lending as of 30.6.21 2 | | | | | | | |
| 0.00 to <0.15 | 52,198 | 0.0 | 11.3 | 34.4 | 0.5 | 6,427 | 12.3 |
| 0.15 to <0.25 | 9,975 | 0.2 | 2.0 | 50.8 | 0.6 | 5,438 | 54.5 |
| 0.25 to <0.50 | 3,088 | 0.3 | 0.7 | 71.8 | 0.6 | 3,669 | 118.8 |
| 0.50 to <0.75 | 2,753 | 0.6 | 0.7 | 32.0 | 0.5 | 1,836 | 66.7 |
| 0.75 to <2.50 | 7,951 | 1.2 | 1.2 | 22.8 | 0.4 | 5,062 | 63.7 |
| 2.50 to <10.00 | 1,847 | 2.9 | 0.1 | 17.3 | 0.4 | 1,403 | 75.9 |
| 10.00 to <100.00 | 9 | 13.0 | <0.1 | 30.0 | 1.0 | 13 | 137.8 |
| 100.00 (default) | 22 | 100.0 | <0.1 | | 2.6 | 23 | 102.6 |
| Subtotal | 77,843 | 0.3 | 16.1 | 36.3 | 0.5 | 23,870 | 30.7 |
| Corporates: including
specialized lending as of 31.12.20 2 | | | | | | | |
| 0.00 to <0.15 | 52,552 | 0.0 | 10.8 | 34.5 | 0.5 | 6,653 | 12.7 |
| 0.15 to <0.25 | 8,375 | 0.2 | 1.9 | 54.9 | 0.7 | 4,992 | 59.6 |
| 0.25 to <0.50 | 3,074 | 0.3 | 0.7 | 70.1 | 0.7 | 3,539 | 115.1 |
| 0.50 to <0.75 | 2,579 | 0.6 | 0.6 | 32.7 | 0.6 | 1,846 | 71.6 |
| 0.75 to <2.50 | 7,392 | 1.2 | 1.1 | 22.6 | 0.4 | 4,719 | 63.8 |
| 2.50 to <10.00 | 2,171 | 3.1 | 0.1 | 15.9 | 0.3 | 1,609 | 74.1 |
| 10.00 to <100.00 | 3 | 13.0 | <0.1 | 20.0 | 1.0 | 5 | 147.0 |
| 100.00 (default) | 0 | 100.0 | <0.1 | | 1.0 | 0 | 106.0 |
| Subtotal | 76,146 | 0.3 | 15.4 | 36.5 | 0.5 | 23,363 | 30.7 |

UBS Group AG consolidated

Semi -annual | The CCR5 table below presents a breakdown of collateral posted or received relating to counterparty credit risk exposures from derivative transactions or SFTs.

Compared with 31 December 2020, the fair value of collateral received for derivatives decreased by USD 3.4 billion to USD 66.9 billion, mainly due to lower collateral received on OTC derivatives in the Investment Bank as a result of lower levels of client activity. The fair value of posted collateral for derivatives decreased by USD 2.4 billion to USD 53.3 billion, mainly driven by a reduction in the Investment Bank based on a decrease in replacement values for foreign exchange and rates products during the first half of 2021.

The fair value of collateral received for SFTs increased by USD 12.8 billion to USD 681.5 billion, primarily reflecting higher collateral related to equity securities in the Investment Bank in line with equity market increases in the first half of 2021, partly offset by a balance sheet decrease related to sovereign debt collateral in Group Treasury. The fair value of posted collateral for SFTs increased by USD 2.7 billion to USD 490.0 billion, mainly driven by the Investment Bank, mainly due to higher collateral related to equity securities in line with equity market increases in the first half of 2021. This increase was also driven by higher cash collateral due to an increase in securities borrowing, partly offset by lower sovereign debt collateral in Group Treasury. p

Semi-annual |

| CCR5: Composition of collateral
for CCR exposure 1 | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Collateral used in derivative transactions | | | | | | Collateral used in SFTs | |
| | Fair value of collateral received | | | Fair value of posted collateral | | | Fair value of collateral received | Fair value of posted collateral |
| USD million | Segregated 2 | Unsegregated | Total | Segregated 3 | Unsegregated | Total | | |
| 30.6.21 | | | | | | | | |
| Cash – domestic currency 4 | 2,467 | 17,176 | 19,643 | 2,199 | 12,682 | 14,881 | 29,508 | 68,723 |
| Cash – other currencies 4 | 0 | 22,208 | 22,208 | 1,416 | 13,522 | 14,939 | 9,029 | 41,972 |
| Sovereign debt | 6,550 | 10,112 | 16,663 | 8,702 | 7,445 | 16,147 | 230,904 | 153,432 |
| Other debt securities | 0 | 2,499 | 2,499 | 324 | 482 | 806 | 87,268 | 32,946 |
| Equity securities | 5,642 | 284 | 5,926 | 2,609 | 3,889 | 6,499 | 324,774 | 192,955 |
| Total | 14,659 | 52,280 | 66,939 | 15,251 | 38,021 | 53,272 | 681,483 | 490,027 |
| 31.12.20 | | | | | | | | |
| Cash – domestic currency 4 | 2,375 | 20,252 | 22,627 | 1,955 | 11,094 | 13,049 | 27,309 | 70,886 |
| Cash – other currencies 4 | | 23,884 | 23,884 | 1,401 | 17,859 | 19,260 | 11,284 | 34,253 |
| Sovereign debt | 6,801 | 10,392 | 17,193 | 8,059 | 8,586 | 16,645 | 239,763 | 163,865 |
| Other debt securities | | 2,317 | 2,317 | 503 | 524 | 1,027 | 81,959 | 33,238 |
| Equity securities | 4,241 | 31 | 4,271 | 2,604 | 3,077 | 5,681 | 308,349 | 185,050 |
| Total | 13,417 | 56,876 | 70,293 | 14,523 | 41,139 | 55,662 | 668,664 | 487,292 |
| 1 This table includes collateral received and posted with and
without the right of rehypothecation, but excludes securities placed with
central banks related to undrawn credit lines and for payment, clearing and
settlement purposes for which there were no associated liabilities or
contingent liabilities. 2 Includes collateral received in derivative
transactions, primarily initial margins, that is placed with a third-party
custodian and to which UBS has access only in the event of counterparty
default. 3 Includes collateral posted to central counterparties, where we
apply a 0% risk weight for trades that we have entered into on behalf of a
client and where the client has signed a legally enforceable agreement
stipulating that the default risk of that central counterparty is carried by
the client. 4 Cash collateral received and posted for derivatives and SFTs
are subject to netting recognized on the IFRS balance sheet. | | | | | | | | |

Semi-annual | The CCR6 table below presents an overview of credit risk protection bought or sold through credit derivatives.

Compared with 31 December 2020, notionals for credit derivatives decreased by USD 11.7 billion to USD 84.8 billion for protection bought and by USD 13.4 billion to USD 74.4 billion for protection sold. This was primarily driven by single-name credit default swaps and index credit default swaps, mostly due to client-driven decreases in the Investment Bank’s Financing business, as well as compression activities and trade maturities in Group Treasury and the Investment Bank. p

Semi-annual |

| CCR6: Credit derivatives
exposures | 30.6.21 | | 31.12.20 | |
| --- | --- | --- | --- | --- |
| USD million | Protection bought | Protection sold | Protection bought | Protection sold |
| Notionals 1 | | | | |
| Single-name credit default swaps | 35,552 | 38,593 | 42,073 | 46,350 |
| Index credit default swaps | 41,854 | 33,629 | 49,311 | 40,022 |
| Total return swaps | 2,842 | 922 | 3,128 | 1,344 |
| Credit options | 4,570 | 1,250 | 2,045 | 61 |
| Total notionals | 84,818 | 74,394 | 96,556 | 87,777 |
| Fair values | | | | |
| Positive fair value (asset) | 485 | 1,569 | 535 | 1,839 |
| Negative fair value
(liability) | 1,840 | 563 | 2,256 | 682 |
| 1 Includes notional amounts for client-cleared transactions. | | | | |

UBS Group AG consolidated

Counterparty credit risk risk-weighted assets

Quarterly | The CCR7 table below presents a flow statement explaining changes in counterparty credit risk RWA determined under the internal model method (IMM) for derivatives and the value-at-risk (VaR) approach for SFTs.

CCR RWA on derivatives under the IMM decreased by USD 2.1 billion to USD 17.2 billion during the second quarter of 2021, primarily due to asset size movements in the Investment Bank mainly as a result of lower client activity levels. CCR RWA on SFTs under the VaR approach increased by USD 0.6 billion to USD 7.9 billion during the second quarter of 2021, primarily driven by asset size movements due to higher levels of client activity.

For definitions of CCR RWA movement table components, refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” on page 48 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors . p

Quarterly |

| CCR7: RWA flow statements of
CCR exposures under internal model method (IMM) and value-at-risk (VaR) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | | For the quarter ended 30.6.21 | | | For the quarter ended 31.3.21 | | |
| USD million | | Derivatives | SFTs | Total | Derivatives | SFTs | Total |
| | | Subject to IMM | Subject to VaR | | Subject to IMM | Subject to VaR | |
| 1 | RWA as of the beginning of the quarter | 19,352 | 7,353 | 26,705 | 19,380 | 8,386 | 27,767 |
| 2 | Asset size | (2,139) | 752 | (1,386) | 911 | (767) | 144 |
| 3 | Credit quality of counterparties | (73) | (69) | (141) | (338) | (37) | (376) |
| 4 | Model updates | 17 | | 17 | (211) | (90) | (301) |
| 5 | Methodology and policy | | (150) | (150) | | | |
| 5a | of which: regulatory add-ons | | (150) | (150) | | | |
| 6 | Acquisitions and disposals | | | | | | |
| 7 | Foreign exchange movements | 74 | 23 | 97 | (390) | (139) | (529) |
| 8 | Other | | | | | | |
| 9 | RWA as of the end of the
quarter | 17,232 | 7,909 | 25,141 | 19,352 | 7,353 | 26,705 |

Semi-annual | The CCR8 table below presents a breakdown of exposures to central counterparties and related RWA. Compared with 31 December 2020, exposures to qualifying central counterparties (QCCPs) increased by USD 2.2 billion to USD 56.7 billion, primarily due to exchange-traded derivatives in the Investment Bank and SFTs in Group Treasury. RWA relating to QCCPs increased by USD 0.3 billion to USD 1.8 billion and RWA relating to non-QCCPs increased by USD 0.3 billion to USD 0.9 billion, primarily due to higher default fund contributions. p

Semi-annual |

| CCR8: Exposures to central
counterparties | | | | | |
| --- | --- | --- | --- | --- | --- |
| | | 30.6.21 | | 31.12.20 | |
| USD million | | EAD (post-CRM) | RWA | EAD (post-CRM) | RWA |
| 1 | Exposures to QCCPs (total) 1 | 56,664 | 1,754 | 54,507 | 1,431 |
| 2 | Exposures for trades at QCCPs (excluding initial margin and
default fund contributions); of which | 27,964 | 320 | 24,531 | 258 |
| 3 | (i) OTC derivatives | 2,465 | 45 | 1,614 | 29 |
| 4 | (ii) Exchange-traded
derivatives | 18,557 | 137 | 17,126 | 113 |
| 5 | (iii) Securities financing
transactions | 6,943 | 139 | 5,792 | 116 |
| 6 | (iv) Netting sets where
cross-product netting has been approved | | | | |
| 7 | Segregated initial margin | | | | |
| 8 | Non-segregated initial margin 2 | 26,585 | 256 | 28,023 | 248 |
| 9 | Pre-funded default fund contributions | 2,115 | 1,177 | 1,953 | 925 |
| 10 | Unfunded default fund contributions | | | | |
| 11 | Exposures to non-QCCPs
(total) | 645 | 874 | 478 | 622 |
| 12 | Exposures for trades at non-QCCPs (excluding initial margin and
default fund contributions); of which | 199 | 199 | 143 | 143 |
| 13 | (i) OTC derivatives | 0 | 0 | 1 | 1 |
| 14 | (ii) Exchange-traded
derivatives | 121 | 121 | 65 | 65 |
| 15 | (iii) Securities financing
transactions | 78 | 78 | 77 | 77 |
| 16 | (iv) Netting sets where cross-product
netting has been approved | | | | |
| 17 | Segregated initial margin | | | | |
| 18 | Non-segregated initial margin 2 | 426 | 426 | 322 | 322 |
| 19 | Pre-funded default fund contributions | 9 | 113 | 6 | 73 |
| 20 | Unfunded default fund contributions | 11 | 136 | 7 | 84 |
| 1 Qualifying central counterparties (QCCPs) are entities
licensed by regulators to operate as CCPs. 2 Exposures associated with
initial margin, where the exposures are measured under the IMM or the VaR
approach, have been included within the exposures for trades (refer to line 2
for QCCPs and line 12 for non-QCCPs). The exposures for non-segregated
initial margin (refer to line 8 for QCCPs and line 18 for non-QCCPs), i.e.,
not bankruptcy-remote in accordance with FINMA Circular 2017/7, reflect the
replacement costs under SA-CCR multiplied by an alpha factor of 1.4. The RWA
reflect the exposure multiplied by the applied risk weight of derivatives.
Under SA-CCR, collateral posted to a segregated, bankruptcy-remote account
does not increase the value of replacement costs. | | | | | |

UBS Group AG consolidated

Section 5 Securitizations

Introduction

Semi-annual | This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the Basel III securitization framework.

In a traditional securitization, a pool of exposures (e.g., loans, commitments, equity securities and other types of exposures) is transferred to structured entities that have been established to own the loan pool and to issue tranched securities to third-party investors referencing this pool of exposures. In a synthetic securitization, legal ownership of securitized pools of assets is typically retained but associated credit risk is transferred to structured entities, commonly through guarantees, credit derivatives or credit-linked notes. Hybrid structures with a mix of traditional and synthetic features are disclosed as synthetic securitizations.

We act in different roles in securitization transactions. As originator, we create or purchase financial assets, which are then securitized in traditional or synthetic securitization transactions, enabling us to transfer significant risk to third-party investors. As sponsor, we manage, provide financing for or advise on securitization programs. In line with the Basel III framework, sponsoring includes underwriting activities. In all other cases we act as an investor, by taking securitization positions. p

Securitization exposures in the banking and trading book

Semi-annual | The ”Securitization exposures in the banking and trading book and associated regulatory capital requirements” table outlines the carrying values on the balance sheet in the banking and trading books as of 30 June 2021 and 31 December 2020, respectively. The table also shows the market risk RWA from securitization and the capital charge after application of the revised securitization framework caps. The semi-annual securitization disclosures (SEC1 – SEC4) have been condensed into the above-mentioned form based on materiality. Refer to our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors , for more information. p

Development of securitization exposures in the first half of 2021

Semi-annual | Compared with 31 December 2020, securitization exposures in the banking book increased by USD 438 million, primarily due to a wholesale investment. Securitization exposures in the trading book increased by USD 28 million, mainly related to secondary trading in commercial mortgage-backed securities in the Investment Bank. p

Semi-annual |

| Securitization exposures in the
banking and trading book and associated regulatory capital requirements — USD million | Carrying Value | RWA | Total Capital Charge after cap |
| --- | --- | --- | --- |
| 30.6.21 | | | |
| Asset Classes – Banking Book 1 | | | |
| Retail | 35 | 248 | 20 |
| Wholesale | 550 | 130 | 10 |
| Re-securitization | 0 | 0 | 0 |
| Total Banking Book | 586 | 379 | 30 |
| of which: UBS acts as
investor | 552 | 148 | 12 |
| of which: UBS acts as
originator and / or sponsor | 34 | 230 | 18 |
| Asset Classes – Trading Book | | | |
| Retail | 12 | 133 | 11 |
| Wholesale | 259 | 555 | 44 |
| Re-securitization | 14 | 38 | 3 |
| Total Trading Book | 285 | 726 | 58 |
| Total | 870 | 1,104 | 88 |
| 31.12.20 | | | |
| Asset Classes – Banking Book 1 | | | |
| Retail | 36 | 246 | 20 |
| Wholesale | 112 | 68 | 5 |
| Re-securitization | 0 | 0 | 0 |
| Total Banking Book | 148 | 314 | 25 |
| of which: UBS acts as
investor | 113 | 74 | 6 |
| of which: UBS acts as
originator and / or sponsor | 35 | 241 | 19 |
| Asset Classes – Trading Book | | | |
| Retail | 18 | 163 | 13 |
| Wholesale | 224 | 270 | 22 |
| Re-securitization | 14 | 23 | 2 |
| Total Trading Book | 257 | 456 | 37 |
| Total | 405 | 771 | 62 |
| 1 Of the securitization exposures in the banking book, 94%
carried a risk weighting of up to 100% as of 30 June 2021 (31 December 2020:
76%). | | | |

UBS Group AG consolidated

Section 6 Market risk

Overview

Semi-annual | The amount of capital required to underpin market risk in the regulatory trading book is calculated using a variety of methods approved by the Swiss Financial Market Supervisory Authority (FINMA). The components contributing to market risk risk-weighted assets (RWA) are value-at-risk (VaR), stressed value-at-risk (SVaR), an add-on for risks that are potentially not fully modeled in VaR (risks not in VaR, or RniV), the incremental risk charge (IRC) and the securitization framework for securitization positions in the trading book. Refer to pages 74–75, 82 and 84–86 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors , for more information about each of these components. p

Market risk risk-weighted assets

Market risk RWA development in the second quarter of 2021

Quarterly | The three main components that contribute to market risk RWA are VaR, SVaR and IRC. The VaR and SVaR components include the RWA charge for RniV.

The MR2 table below provides a breakdown of the movement in market risk RWA in the second quarter of 2021 under an internal models approach across those components, pursuant to the movement categories defined by the Basel Committee on Banking Supervision (the BCBS). These categories are described on page 78 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors .

Market risk RWA under an internal models approach decreased by USD 2.7 billion to USD 7.1 billion in the second quarter of 2021, driven primarily by lower average value-at-risk (VaR) levels in the Investment Bank’s Global Markets business.

The VaR multiplier remained unchanged compared with the prior quarter, at 3.0. p

Quarterly |

| 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 31.12.20 | 2,170 | 7,257 | 1,958 | 11,385 |
| 1a | Regulatory adjustment | (1,332) | (4,034) | | (5,366) |
| 1b | RWA at previous quarter-end (end of day) | 838 | 3,223 | 1,958 | 6,019 |
| 2 | Movement in risk levels | 2,033 | (1,950) | 102 | 185 |
| 3 | Model updates / changes | (102) | 98 | | (4) |
| 4 | Methodology and policy | | | | |
| 5 | Acquisitions and disposals | | | | |
| 6 | Foreign exchange movements | | | | |
| 7 | Other | (77) | (21) | | (98) |
| 8a | RWA at the end of the reporting period (end of day) | 2,692 | 1,350 | 2,060 | 6,102 |
| 8b | Regulatory adjustment | | 3,664 | | 3,664 |
| 8c | RWA as of 31.3.21 | 2,692 | 5,014 | 2,060 | 9,766 |
| 1 | RWA as of 31.3.21 | 2,692 | 5,014 | 2,060 | 9,766 |
| 1a | Regulatory adjustment | | (3,664) | | (3,664) |
| 1b | RWA at previous quarter-end (end of day) | 2,692 | 1,350 | 2,060 | 6,102 |
| 2 | Movement in risk levels | (2,380) | 226 | (6) | (2,160) |
| 3 | Model updates / changes | | (19) | 157 | 137 |
| 4 | Methodology and policy | | | | |
| 5 | Acquisitions and disposals | | | | |
| 6 | Foreign exchange movements | | | | |
| 7 | Other | (3) | 1 | | (2) |
| 8a | RWA at the end of the reporting period (end of day) | 309 | 1,558 | 2,211 | 4,078 |
| 8b | Regulatory adjustment | 727 | 2,288 | | 3,015 |
| 8c | RWA as of 30.6.21 | 1,036 | 3,846 | 2,211 | 7,093 |
| 1 Components that describe movements in RWA are presented in
italics. | | | | | |

Securitization positions in the trading book

Semi-annual | Our exposure to securitization positions in the trading book includes exposures arising from secondary trading in commercial mortgage-backed securities in the Investment Bank, and limited positions in Non-core and Legacy Portfolio within Group Functions that we continue to wind down.

Securitization exposures in the trading book is the only relevant disclosure component of market risk under the standardized approach. Our market risk RWA from securitization exposures in the trading book increased from USD 456 million as of 31 December 2020 to USD 726 million as of 30 June 2021. p

› Refer to the “Securitizations” section of this report for more information about the securitization exposures in the trading book

Regulatory calculation of market risk

Semi-annual | The MR3 table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the IRC and the comprehensive risk capital charge. Since the second quarter of 2019, we have not held eligible correlation trading positions. During the first half of 2021, 10-day 99% regulatory VaR and SVaR decreased, driven by less volatile markets observed during the period affecting the Investment Bank’s Global Markets business, as well as from the credit and equity trading business. p

Semi-annual |

| MR3: IMA values for trading
portfolios | | For the six-month period ended 30.6.21 | For the six-month period ended 31.12.20 |
| --- | --- | --- | --- |
| USD million | | | |
| | VaR (10-day 99%) | | |
| 1 | Maximum value | 124 | 76 |
| 2 | Average value | 26 | 34 |
| 3 | Minimum value | 3 | 15 |
| 4 | Period end | 14 | 37 |
| | Stressed VaR (10-day 99%) | | |
| 5 | Maximum value | 211 | 190 |
| 6 | Average value | 71 | 88 |
| 7 | Minimum value | 28 | 39 |
| 8 | Period end | 68 | 138 |
| | Incremental risk charge
(99.9%) | | |
| 9 | Maximum value | 191 | 158 |
| 10 | Average value | 143 | 126 |
| 11 | Minimum value | 92 | 100 |
| 12 | Period end | 177 | 157 |
| | Comprehensive risk capital
charge (99.9%) | | |
| 13 | Maximum value | | |
| 14 | Average value | | |
| 15 | Minimum value | | |
| 16 | Period end | | |
| 17 | Floor (standardized measurement method) | | |

UBS Group AG consolidated

MR4: Comparison of VaR estimates with gains / losses

Semi-annual | VaR backtesting is a performance measurement process in which the 1-day VaR prediction is compared with the realized 1-day profit or loss (P&L). We compute backtesting VaR using a 99% confidence level and 1-day holding period for the population included within regulatory VaR. Since 99% VaR at UBS is defined as a risk measure that operates on the lower tail of the P&L distribution, 99% backtesting VaR is a negative number. Backtesting revenues exclude non-trading revenues, such as valuation reserves, fees and commissions, and revenues from intraday trading, so as to provide a like-for-like comparison. A backtesting exception occurs when backtesting revenues are lower than the previous day’s backtesting VaR.

Statistically, given the confidence level of 99%, two or three backtesting exceptions per year can be expected. More than four exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a prolonged period of time. However, as noted under “VaR limitations” in the “Risk management and control” section of our Annual Report 2020, a sudden increase or decrease in market volatility relative to the five-year window could lead to a higher or lower number of exceptions, respectively. Accordingly, Group-level backtesting exceptions are investigated, as are exceptional positive backtesting revenues, with results being reported to senior business management, the Group Chief Risk Officer and the Group Chief Market & Treasury Risk Officer. Backtesting exceptions are also reported to internal and external auditors and to the relevant regulators.

The “Group: development of regulatory backtesting revenues and actual trading revenues against backtesting VaR” chart below shows the six-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for the first half of 2021. The chart shows both the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is a result of the long gamma risk profile that has been run historically in the Investment Bank.

The actual trading revenues include, in addition to backtesting revenues, intraday revenues.

There were three new Group VaR negative backtesting exceptions in the first half of 2021 and no further backtesting exceptions within the most recent 250-business-day window. The total number of backtesting exceptions within the most recent 250-business-day window remained at 3. The FINMA VaR multiplier derived from backtesting exceptions for market risk RWA therefore remained unchanged at 3.0 throughout the first half of 2021. p

Semi-annual |

Section 7 Going and gone concern requirements and eligible capital

Quarterly | The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided on pages 35–44 in the “Capital management” section of our second quarter 2021 report, available under ”Quarterly reporting” at ubs.com/investors. p

Quarterly |

| Swiss SRB going and gone
concern requirements and information — As of 30.6.21 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| USD million, except where
indicated | in % | | in % | |
| Required going concern
capital | | | | |
| Total going concern capital | 13.96 1 | 40,943 | 4.88 1 | 50,697 |
| Common equity tier 1 capital | 9.66 | 28,332 | 3.38 2 | 35,098 |
| of which: minimum capital | 4.50 | 13,197 | 1.50 | 15,599 |
| of which: buffer capital | 5.14 | 15,074 | 1.88 | 19,499 |
| of which: countercyclical
buffer | 0.02 | 61 | | |
| Maximum additional tier 1
capital | 4.30 | 12,611 | 1.50 | 15,599 |
| of which: additional tier 1
capital | 3.50 | 10,265 | 1.50 | 15,599 |
| of which: additional tier 1
buffer capital | 0.80 | 2,346 | | |
| Eligible going concern
capital | | | | |
| Total going concern capital | 20.18 | 59,188 | 5.69 | 59,188 |
| Common equity tier 1 capital | 14.52 | 42,583 | 4.09 | 42,583 |
| Total loss-absorbing
additional tier 1 capital | 5.66 | 16,605 | 1.60 | 16,605 |
| of which: high-trigger
loss-absorbing additional tier 1 capital 3 | 4.81 | 14,096 | 1.36 | 14,096 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 0.86 | 2,509 | 0.24 | 2,509 |
| Required gone concern
capital | | | | |
| Total gone concern loss-absorbing
capacity 4 | 10.60 | 31,101 | 3.76 | 39,092 |
| of which: base requirement 5 | 12.86 | 37,715 | 4.50 | 46,797 |
| of which: additional
requirement for market share and LRD | 1.08 | 3,167 | 0.38 | 3,900 |
| of which: applicable
reduction on requirements | (3.34) | (9,782) | (1.12) | (11,605) |
| of which: rebate granted
(equivalent to 47.5% of maximum rebate) 6 | (2.54) | (7,439) | (0.89) | (9,262) |
| of which: reduction for
usage of low-trigger tier 2 capital instruments | (0.80) | (2,343) | (0.23) | (2,343) |
| Eligible gone concern
capital | | | | |
| Total gone concern
loss-absorbing capacity | 15.38 | 45,110 | 4.34 | 45,110 |
| Total tier 2 capital | 1.78 | 5,232 | 0.50 | 5,232 |
| of which: low-trigger
loss-absorbing tier 2 capital | 1.60 | 4,686 | 0.45 | 4,686 |
| of which: non-Basel
III-compliant tier 2 capital | 0.19 | 547 | 0.05 | 547 |
| TLAC-eligible senior
unsecured debt | 13.60 | 39,878 | 3.83 | 39,878 |
| Total loss-absorbing
capacity | | | | |
| Required total
loss-absorbing capacity | 24.57 | 72,044 | 8.63 | 89,789 |
| Eligible total
loss-absorbing capacity | 35.56 | 104,298 | 10.03 | 104,298 |
| Risk-weighted assets /
leverage ratio denominator | | | | |
| Risk-weighted assets | | 293,277 | | |
| Leverage ratio denominator | | | | 1,039,939 |
| 1 Includes applicable add-ons of 1.08% for RWA and 0.375% for
LRD. 2 Our minimum CET1 leverage ratio requirement of 3.375% consists of a
1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD
add-on requirement and a 0.125% market share add-on requirement based on our
Swiss credit business. 3 Includes outstanding low-trigger loss-absorbing
additional tier 1 (AT1) capital instruments, which are available under the
Swiss SRB framework to meet the going concern requirements until their first
call date. As of their first call date, these instruments are eligible to
meet the gone concern requirements. 4 A maximum of 25% of the gone
concern requirements can be met with instruments that have a
remaining maturity of between one and two years. Once at least 75% of the
minimum gone concern requirement has been met with instruments that have a
remaining maturity of greater than two years, all instruments that have a
remaining maturity of between one and two years remain eligible to be
included in the total gone concern capital. 5 The gone concern requirement
after the application of the rebate for resolvability measures and the
reduction for the use of higher quality capital instruments is floored at
8.6% and 3% for the RWA- and LRD-based requirements, respectively. This means
that the combined reduction may not exceed 5.34 percentage points for the
RWA-based requirement of 13.94% and 1.875 percentage points for the
LRD-based requirement of 4.875%. 6 Based on the actions we completed by
December 2020 to improve resolvability, FINMA granted an increase of rebate
on the gone concern requirement from 47.5% to 55.0% of the maximum rebate,
effective from 1 July 2021. | | | | |

UBS Group AG consolidated

Explanation of the differences between the IFRS and regulatory scopes of consolidation

The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and are active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation. Subject to the regulatory auditor’s consent, a subsidiary fully consolidated under IFRS may be proportionately consolidated under the regulatory scope of consolidation on an exceptional basis provided that (i) the bank’s obligation to support the company subject to consolidation is limited to the bank’s own holding quota and (ii) the remaining shareholders or partners are obliged to provide support in proportion to their holding quota and are legally and financially able to fulfil their obligations. The key difference between the IFRS and regulatory scope of consolidation as of 30 June 2021 relates to investments in insurance, real estate and commercial companies, as well as investment vehicles, that are consolidated under IFRS but either proportionately consolidated or not consolidated for regulatory capital purposes, where they are subject to risk-weighting.

The table below provides a list of the most significant entities that were included in the IFRS scope of consolidation but not in the regulatory scope of consolidation. These entities account for most of the difference between the “Balance sheet in accordance with IFRS scope of consolidation” and the “Balance sheet in accordance with regulatory scope of consolidation” columns in the CC2 table. Such difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 30 June 2021 , entities consolidated under either IFRS or the regulatory scope of consolidation did not report any significant capital deficiencies.

In the banking book, certain equity investments are not consolidated under either the IFRS or under the regulatory scope. As of 30 June 2021 , these investments mainly consisted of infrastructure holdings and joint operations (e.g., settlement and clearing institutions, and stock and financial futures exchanges) and included our participation in SIX Group. These investments are risk-weighted based on applicable threshold rules.

More information about the legal structure of UBS Group and the IFRS scope of consolidation is provided on pages 14 and 288, respectively, of our Annual Report 2020, available under “Annual reporting” at ubs.com/investors .

| Main legal entities
consolidated under IFRS but not included in the regulatory scope of
consolidation | | | |
| --- | --- | --- | --- |
| | 30.6.21 | | |
| USD million | Total assets 1 | Total equity 1 | Purpose |
| UBS Asset Management Life Ltd | 22,262 | 44 | Life insurance |
| UBS Life Insurance Company USA | 143 | 43 | Life insurance |
| 1 Total assets and total equity on a standalone basis. | | | |

Semi-annual | The CCyB1 table below provides details of the underlying exposures and risk-weighted assets (RWA) used in the computation of the countercyclical capital buffer (CCyB) requirement applicable to UBS Group AG consolidated. Further information about the methodology of geographical allocation used is provided on page 133 of our Annual Report 2020, available under ”Annual reporting” at ubs.com/investors .

The CCyB for Luxembourg was increased from 0.25% to 0.50%, effective from 1 January 2021. p

Semi-annual |

| CCyB1: Geographical
distribution of credit exposures used in the countercyclical capital buffer | | | | | |
| --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | 30.6.21 | | | | |
| Geographical breakdown | Countercyclical capital buffer rate, % | Exposure values and / or risk-weighted assets used in the
computation of the countercyclical capital buffer | | Bank-specific countercyclical capital buffer rate, % | Countercyclical amount |
| | | Exposure values 1 | Risk-weighted assets | | |
| Hong Kong | 1.00 | 8,949 | 2,127 | | |
| Luxembourg | 0.50 2 | 22,100 | 3,720 | | |
| Sum | | 31,049 | 5,847 | | |
| Total | | 655,856 | 193,107 | 0.02 | 61 |
| 1 Includes private sector exposures in the countries that are
Basel Committee on Banking Supervision member jurisdictions under categories
“Credit risk,” “Counterparty credit risk,” “Equity positions in the banking
book,” “Settlement risk,” “Securitization exposures in the banking book” and
“Amounts below thresholds for deduction.” 2 The CCyB for Luxembourg was
increased from 0.25% to 0.50%, effective from 1 January 2021. | | | | | |

UBS Group AG consolidated

Semi-annual | The CC2 table below and on the following page provides a reconciliation of the IFRS balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (the BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “CC1: Composition of regulatory capital” table. Refer to the “Main legal entities consolidated under IFRS but not included in the regulatory scope of consolidation” table in this section for more information about the most significant entities consolidated under IFRS but not included in the regulatory scope of consolidation. p

Semi-annual |

| CC2: Reconciliation of
accounting balance sheet to balance sheet under the regulatory scope of
consolidation — As of 30.6.21 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of
consolidation | References 1 |
| --- | --- | --- | --- | --- |
| USD million | | | | |
| Assets | | | | |
| Cash and balances at central banks | 160,672 | 0 | 160,672 | |
| Loans and advances to banks | 16,500 | (189) | 16,311 | |
| Receivables from securities financing transactions | 83,494 | | 83,494 | |
| Cash collateral receivables on derivative instruments | 29,785 | | 29,785 | |
| Loans and advances to customers | 390,126 | 39 | 390,165 | |
| Other financial assets measured at amortized cost | 27,143 | (221) | 26,923 | |
| Total financial assets
measured at amortized cost | 707,720 | (371) | 707,350 | |
| Financial assets at fair value held for trading | 122,482 | 47 | 122,529 | |
| of which: assets pledged as
collateral that may be sold or repledged by counterparties | 44,333 | | 44,333 | |
| Derivative financial instruments | 121,622 | 11 | 121,633 | |
| Brokerage receivables | 23,010 | | 23,010 | |
| Financial assets at fair value not held for trading | 65,393 | (21,994) | 43,399 | |
| Total financial assets
measured at fair value through profit or loss | 332,507 | (21,936) | 310,571 | |
| Financial assets measured at
fair value through other comprehensive income | 7,775 | | 7,775 | |
| Investments in associates | 1,198 | 96 | 1,294 | |
| of which: goodwill | 23 | | 23 | 4 |
| Property, equipment and software | 12,895 | (42) | 12,852 | |
| Goodwill and intangible assets | 6,452 | (80) | 6,372 | |
| of which: goodwill | 6,168 | | 6,168 | 4 |
| of which: intangible assets | 284 | (80) | 204 | 5 |
| Deferred tax assets | 8,988 | (7) | 8,981 | |
| of which: deferred tax
assets recognized for tax loss carry-forwards | 5,000 | (7) | 4,993 | 6 |
| of which: deferred tax
assets on temporary differences | 3,989 | 0 | 3,988 | 10 |
| Other non-financial assets | 8,982 | (4) | 8,979 | |
| of which: net defined
benefit pension and other post-employment assets | 144 | | 144 | 8 |
| Total assets | 1,086,519 | (22,344) | 1,064,175 | |

CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)

| As of 30.6.21 | Balance sheet in accordance with IFRS scope of consolidation | Effect of deconsolidated entities for regulatory consolidation | Balance sheet in accordance with regulatory scope of
consolidation | References 1 |
| --- | --- | --- | --- | --- |
| USD million | | | | |
| Liabilities | | | | |
| Amounts due to banks | 14,615 | | 14,615 | |
| Payables from securities financing transactions | 5,972 | | 5,972 | |
| Cash collateral payables on derivative instruments | 32,193 | | 32,193 | |
| Customer deposits | 513,290 | 20 | 513,310 | |
| Debt issued measured at amortized cost | 139,911 | 0 | 139,910 | |
| of which: amount eligible
for high-trigger loss-absorbing additional tier 1 capital | 12,330 | | 12,330 | 9 |
| of which: amount eligible
for low-trigger loss-absorbing additional tier 1 capital | 2,509 | | 2,509 | 9 |
| of which: amount eligible
for low-trigger loss-absorbing tier 2 capital | 4,686 | | 4,686 | 11 |
| of which: amount eligible
for capital instruments subject to phase-out from tier 2 capital | 479 | | 479 | 12 |
| Other financial liabilities measured at amortized cost | 10,189 | (100) | 10,089 | |
| Total financial liabilities
measured at amortized cost | 716,169 | (81) | 716,089 | |
| Financial liabilities at fair value held for trading | 33,348 | | 33,348 | |
| Derivative financial instruments | 121,686 | 11 | 121,697 | |
| Brokerage payables designated at fair value | 39,129 | | 39,129 | |
| Debt issued designated at fair value | 75,065 | 47 | 75,112 | |
| Other financial liabilities designated at fair value | 30,642 | (22,217) | 8,425 | |
| Total financial liabilities
measured at fair value through profit or loss | 299,869 | (22,160) | 277,709 | |
| Provisions | 2,855 | (1) | 2,854 | |
| Other non-financial liabilities | 8,576 | (1) | 8,575 | |
| of which: amount eligible
for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan
(DCCP)) 2 | 1,335 | | 1,335 | 9 |
| of which: deferred tax
liabilities related to goodwill | 307 | | 307 | 4 |
| of which: deferred tax
liabilities related to other intangible assets | 4 | | 4 | 5 |
| Total liabilities | 1,027,469 | (22,242) | 1,005,227 | |
| Equity | | | | |
| Share capital | 322 | | 322 | 1 |
| Share premium | 15,531 | | 15,531 | 1 |
| Treasury shares | (3,322) | | (3,322) | 3 |
| Retained earnings | 40,143 | (29) | 40,114 | 2 |
| Other comprehensive income recognized directly in equity, net of
tax | 6,091 | 14 | 6,105 | 3 |
| of which: unrealized gains /
(losses) from cash flow hedges | 1,365 | | 1,365 | 7 |
| Equity attributable to
shareholders | 58,765 | (15) | 58,751 | |
| Equity attributable to non-controlling interests | 284 | (87) | 197 | |
| Total equity | 59,050 | (102) | 58,948 | |
| Total liabilities and equity | 1,086,519 | (22,344) | 1,064,175 | |
| 1 References link the lines of this table to the respective
reference numbers provided in the “References” column in the “CC1:
Composition of regulatory capital” table in this section. 2 IFRS carrying
amount of total DCCP liabilities was USD 1,500 million as of 30 June 2021.
Refer to the “Compensation” section of our Annual Report 2020 for more
information about the DCCP, available under ”Annual reporting” at
ubs.com/investors. | | | | |

UBS Group AG consolidated

Semi-annual | The CC1 table below and on the following pages provides the composition of capital in the format prescribed by the BCBS and FINMA, and is based on BCBS Basel III rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section.

Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt,” available under “Bondholder information” at ubs.com/investors, for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions. p

Semi-annual |

| CC1: Composition of regulatory
capital — As of 30.6.21 | | Amounts | References 1 |
| --- | --- | --- | --- |
| USD million, except where
indicated | | | |
| | Common Equity Tier 1
capital: instruments and reserves | | |
| 1 | Directly issued qualifying common share (and equivalent for
non-joint stock companies) capital plus related stock surplus | 15,853 | 1 |
| 2 | Retained earnings | 40,114 | 2 |
| 3 | Accumulated other comprehensive income (and other reserves) | 2,783 | 3 |
| 4 | Directly issued capital subject to phase-out from CET1 (only
applicable to non-joint stock companies) | | |
| 5 | Common share capital issued by subsidiaries and held by third
parties (amount allowed in group CET1) | | |
| 6 | Common Equity Tier 1 capital
before regulatory adjustments | 58,751 | |
| | Common Equity Tier 1
capital: regulatory adjustments | | |
| 7 | Prudent valuation adjustments | (146) | |
| 8 | Goodwill (net of related tax liability) | (5,883) | 4 |
| 9 | Other intangibles other than mortgage servicing rights (net of
related tax liability) | (200) | 5 |
| 10 | Deferred tax assets that rely on future profitability, excluding
those arising from temporary differences (net of related tax liability) 2 | (5,183) | 6 |
| 11 | Cash flow hedge reserve | (1,365) | 7 |
| 12 | Shortfall of provisions to expected losses | (463) | |
| 13 | Securitization gain on sale | | |
| 14 | Gains and losses due to changes in own credit risk on fair
valued liabilities | 228 | |
| 15 | Defined benefit pension fund net assets | (144) | 8 |
| 16 | Investments in own shares (if not already subtracted from
paid-in capital on reported balance sheet) | (1,645) 3 | 9 |
| 17 | Reciprocal cross-holdings in common equity | | |
| 17a | Qualified holdings where a significant influence is exercised
with other owners (CET1 instruments) | | |
| 17b | Immaterial investments (CET1 items) | | |
| 18 | Investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory consolidation, where the
bank does not own more than 10% of the issued share capital (amount above 10%
threshold) | | |
| 19 | Significant investments in the common stock of banking,
financial and insurance entities that are outside the scope of regulatory
consolidation (amount above 10% threshold) | | |
| 20 | Mortgage servicing rights (amount above 10% threshold) | | |
| 21 | Deferred tax assets arising from temporary differences (amount
above 10% threshold, net of related tax liability) | | 10 |
| 22 | Amount exceeding the 15% threshold | | |
| 23 | of which: significant
investments in the common stock of financials | | |
| 24 | of which: mortgage servicing
rights | | |
| 25 | of which: deferred tax
assets arising from temporary differences | | |
| 26 | Expected losses on equity investment under the PD / LGD approach | | |
| 26a | Further adjustments to financial statements in accordance with a
recognized international accounting standard | (89) | |
| 26b | Other adjustments | (1,277) 4 | |
| 27 | Regulatory adjustments applied to Common Equity Tier 1 due to
insufficient Additional Tier 1 and Tier 2 to cover deductions | | |
| 28 | Total regulatory adjustments
to Common Equity Tier 1 | (16,168) | |
| 29 | Common Equity Tier 1 capital
(CET1) | 42,583 | |

CC1: Composition of regulatory capital (continued) — As of 30.6.21		Amounts	References 1
USD million, except where
indicated
	Additional Tier 1 capital:
instruments
30	Directly issued qualifying additional Tier 1 instruments plus
related stock surplus	16,605
31	of which: classified as
equity under applicable accounting standards
32	of which: classified as
liabilities under applicable accounting standards	16,605
33	Directly issued capital instruments subject to phase-out from
additional Tier 1
34	Additional Tier 1 instruments (and CET1 instruments not included
in row 5) issued by subsidiaries and held by third parties (amount allowed in
group AT1)
35	of which: instruments issued
by subsidiaries subject to phase-out
36	Additional Tier 1 capital
before regulatory adjustments	16,605
	Additional Tier 1 capital:
regulatory adjustments
37	Investments in own additional Tier 1 instruments 5
38	Reciprocal cross-holdings in additional Tier 1 instruments
38a	Qualified holdings where a significant influence is exercised
with other owners (AT1 instruments)
38b	Immaterial investments (AT1 instruments)
39	Investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory consolidation, where the
bank does not own more than 10% of the issued common share capital of the
entity (amount above 10% threshold)
40	Significant investments in the capital of banking, financial and
insurance entities that are outside the scope of regulatory consolidation
41	Other adjustments
42	Regulatory adjustments applied to additional Tier 1 due to
insufficient Tier 2 to cover deductions
42a	Regulatory adjustments applied to CET1 capital due to insufficient
additional Tier 1 to cover deductions
43	Total regulatory adjustments
to additional Tier 1 capital
44	Additional Tier 1 capital
(AT1)	16,605	9
45	Tier 1 capital (T1 = CET1 +
AT1)	59,188
	Tier 2 capital: instruments
and provisions
46	Directly issued qualifying Tier 2 instruments plus related stock
surplus	1,517 6	11
47	Directly issued capital instruments subject to phase-out from
Tier 2	479	12
48	Tier 2 instruments (and CET1 and AT1 instruments not included in
rows 5 or 34) issued by subsidiaries and held by third parties (amount
allowed in group Tier 2)
49	of which: instruments issued
by subsidiaries subject to phase-out
50	Provisions
51	Tier 2 capital before
regulatory adjustments	1,996
	Tier 2 capital: regulatory
adjustments
52	Investments in own Tier 2 instruments 5		11, 12
53	Reciprocal cross-holdings in Tier 2 instruments and other TLAC
liabilities
53a	Qualified holdings where a significant influence is exercised
with other owners (T2 instruments and other TLAC instruments)
53b	Immaterial investments (T2 instruments and other TLAC
instruments)
54	Investments in the capital and other TLAC liabilities of
banking, financial and insurance entities that are outside the scope of regulatory
consolidation, where the bank does not own more than 10% of the issued common
share capital of the entity (amount above 10% threshold)
55	Significant investments in the capital and other TLAC
liabilities of banking, financial and insurance entities that are outside the
scope of regulatory consolidation (net of eligible short positions)
56	Other adjustments
56a	Excess of the adjustments, which are allocated to the AT1
capital
57	Total regulatory adjustments
to Tier 2 capital
58	Tier 2 capital (T2)	1,996
59	Total regulatory capital (TC
= T1 + T2)	61,184
60	Total risk-weighted assets	293,277

UBS Group AG consolidated

CC1: Composition of regulatory capital (continued) — As of 30.6.21		Amounts
USD million, except where
indicated
	Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of risk-weighted assets)	14.52
62	Tier 1 (as a percentage of risk-weighted assets)	20.18
63	Total capital (as a percentage of risk-weighted assets)	20.86
64	Institution-specific buffer requirement (capital conservation
buffer plus countercyclical buffer requirements plus higher loss absorbency
requirement, expressed as a percentage of risk-weighted assets) 7	3.52
65	of which: capital
conservation buffer requirement	2.50
66	of which: bank-specific
countercyclical buffer requirement	0.02
67	of which: higher loss
absorbency requirement	1.00
68	Common Equity Tier 1 (as a percentage of risk-weighted assets)
available after meeting the bank’s minimum capital requirements	10.02
	Amounts below the thresholds
for deduction (before risk weighting)
72	Non-significant investments in the capital and other TLAC
liabilities of other financial entities	2,823
73	Significant investments in the common stock of financial
entities	1,239
74	Mortgage servicing rights (net of related tax liability)
75	Deferred tax assets arising from temporary differences (net of
related tax liability)	4,157
	Applicable caps on the
inclusion of provisions in Tier 2
76	Provisions eligible for inclusion in Tier 2 in respect of
exposures subject to standardized approach (prior to application of cap)
77	Cap on inclusion of provisions in Tier 2 under standardized
approach
78	Provisions eligible for inclusion in Tier 2 in respect of
exposures subject to internal ratings-based approach (prior to application of
cap)
79	Cap for inclusion of provisions in Tier 2 under internal
ratings-based approach
	Capital instruments subject
to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)
according to CAO Art. 141
80	Current cap on CET1 instruments subject to phase-out
arrangements
81	Amount excluded from CET1 due to cap (excess over cap after
redemptions and maturities)
82	Current cap on AT1 instruments subject to phase-out arrangements
83	Amount excluded from AT1 due to cap (excess over cap after
redemptions and maturities)
84	Current cap on T2 instruments subject to phase-out arrangements	630
85	Amount excluded from T2 due to cap (excess over cap after
redemptions and maturities)
1 References link the lines of this table to the respective
reference numbers provided in the “References” column in the “CC2:
Reconciliation of accounting balance sheet to balance sheet under the
regulatory scope of consolidation” table in this section. 2 IFRS netting
for deferred tax assets and liabilities is reversed for items deducted from
CET1 capital. 3 Includes USD 587 million reserves for potential share
repurchases. 4 Includes USD 630 million in compensation-related charge for
regulatory capital purposes. 5 Under IFRS, debt issued and subsequently
repurchased is treated as extinguished. 6 Consists of instruments with an
IFRS carrying amount of USD 4.7 billion less amortization of instruments
where remaining maturity is between one and five years, own instruments held
and 45% of the gross unrealized gains on debt instruments measured at fair
value through other comprehensive income, which are measured at the lower of
cost or market value for regulatory capital purposes. 7 BCBS requirements
are exceeded by our Swiss SRB requirements. Refer to the “Capital management“
section of our second quarter 2021 report for more information about the
Swiss SRB requirements, available under ”Quarterly reporting” at
ubs.com/investors.

Section 8 Total loss-absorbing capacity

Resolution group – composition of total loss-absorbing capacity (TLAC)

Semi-annual | The TLAC1 table below is based on Basel Committee on Banking Supervision (BCBS) rules, and only applicable to UBS Group AG as the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g., a bail-in) are expected to be applied.

In the first half of 2021, we issued two high-trigger loss absorbing additional tier 1 (AT1) capital instruments with a nominal value of USD 1.5 billion and USD 0.8 billion respectively, and redeemed a USD 1.5 billion AT1 capital instrument. The aforementioned effects were partly offset by effects from foreign currency translation and interest rate risk hedges, resulting in a net increase of USD 0.3 billion in our eligible AT1 instruments.

Our eligible tier 2 (T2) instruments decreased by USD 2.6 billion to USD 5.3 billion as of 30 June 2021, mainly reflecting the call of an instrument with a nominal value of EUR 2 billion in February 2021.

Non-regulatory capital instruments increased by USD 2.1 billion to USD 39.9 billion as of 30 June 2021, mainly driven by eleven issuances amounting to a total of USD 6.1 billion denominated in US dollars, euro, Swiss francs and Australian dollars, partly offset by a decrease of eligibility of three external TLAC instruments amounting to USD 2.8 billion and USD 1.2 billion negative effects from foreign currency translation and interest rate risk hedges. p

Semi-annual |

| TLAC1: TLAC composition for
G-SIBs (at resolution group level) | | 30.6.21 | 31.12.20 |
| --- | --- | --- | --- |
| USD million, except where
indicated | | | |
| | Regulatory capital elements
of TLAC and adjustments | | |
| 1 | Common Equity Tier 1 capital
(CET1) | 42,583 | 39,890 |
| 2 | Additional Tier 1 capital (AT1) before TLAC adjustments | 16,605 | 16,288 |
| 3 | AT1 ineligible as TLAC as issued out of subsidiaries to third
parties | | |
| 4 | Other adjustments | | |
| 5 | Total AT1 instruments
eligible under the TLAC framework | 16,605 | 16,288 |
| 6 | Tier 2 capital (T2) before TLAC adjustments | 1,996 | 5,049 |
| 7 | Amortized portion of T2 instruments where remaining maturity

1 year | 3,286 | 2,787 |
| 8 | T2 capital ineligible as TLAC as issued out of subsidiaries to
third parties | | |
| 9 | Other adjustments | | |
| 10 | Total T2 instruments eligible
under the TLAC framework | 5,282 | 7,835 |
| 11 | TLAC arising from regulatory
capital | 64,470 | 64,013 |
| | Non-regulatory capital
elements of TLAC | | |
| 12 | External TLAC instruments issued directly by the bank and
subordinated to excluded liabilities | | |
| 13 | External TLAC instruments issued directly by the bank which are
not subordinated to excluded liabilities but meet all other TLAC term sheet
requirements | 39,878 | 37,801 |
| 14 | of which: amount eligible as
TLAC after application of the caps | | |
| 15 | External TLAC instruments issued by funding vehicles prior to 1
January 2022 | | |
| 16 | Eligible ex ante commitments to recapitalize a G-SIB in
resolution | | |
| 17 | TLAC arising from
non-regulatory capital instruments before adjustments | 39,878 | 37,801 |
| | Non-regulatory capital
elements of TLAC: adjustments | | |
| 18 | TLAC before deductions | 104,348 | 101,814 |
| 19 | Deductions of exposures between multiple-point-of-entry (MPE)
resolution groups that correspond to items eligible for TLAC (not applicable
to SPE G-SIBs) | | |
| 20 | Deduction of investments in own other TLAC liabilities | | |
| 21 | Other adjustments to TLAC | | |
| 22 | TLAC after deductions | 104,348 | 101,814 |
| | Risk-weighted assets and
leverage exposure measure for TLAC purposes | | |
| 23 | Total risk-weighted assets adjusted as permitted under the TLAC
regime | 293,277 | 289,101 |
| 24 | Leverage exposure measure 1 | 1,039,939 | 1,037,150 |
| | TLAC ratios and buffers | | |
| 25 | TLAC (as a percentage of risk-weighted assets adjusted as
permitted under the TLAC regime) | 35.58 | 35.22 |
| 26 | TLAC (as a percentage of leverage exposure) 1 | 10.03 | 9.82 |
| 27 | CET1 (as a percentage of risk-weighted assets) available after
meeting the resolution group’s minimum capital and TLAC requirements | 10.02 | 9.30 |
| 28 | Institution-specific buffer requirement (capital conservation
buffer plus countercyclical buffer requirements plus higher loss absorbency
requirement, expressed as a percentage of risk-weighted assets) | 3.52 | 3.52 |
| 29 | of which: capital
conservation buffer requirement | 2.50 | 2.50 |
| 30 | of which: bank-specific
countercyclical buffer requirement | 0.02 | 0.02 |
| 31 | of which: higher loss
absorbency requirement | 1.00 | 1.00 |
| 1 The leverage ratio exposure and leverage ratio for 31 December
2020 do not reflect the effects of the temporary exemption that applied from
25 March 2020 until 1 January 2021 and was granted by FINMA in connection
with COVID-19. Refer to the “Introduction and basis for preparation” section
and to “Application of the temporary COVID-19-related FINMA exemption of central
bank sight deposits” in the “Going and gone concern requirements and eligible
capital“ section of our 31 December 2020 Pillar 3 report, available under
“Pillar 3 disclosures” at ubs.com/investors, for more information. | | | |

UBS Group AG consolidated

Resolution entity – creditor ranking at legal entity level

Semi-annual | The TLAC3 table below provides an overview of the creditor ranking structure of the resolution entity, UBS Group AG, on a standalone basis.

UBS Group AG issues loss-absorbing additional tier 1 capital instruments and TLAC-eligible senior unsecured debt.

UBS Group AG grants Deferred Contingent Capital Plan (DCCP) awards to UBS Group employees. Awards granted since February 2015 qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,766 million as of 30 June 2021 (31 December 2020: USD 1,875 million). The related liabilities of UBS Group AG on a standalone basis of USD 1,325 million (31 December 2020: USD 1,613 million) are not included in the table below, as these do not give rise to any current claims until the awards are legally vested.

As of 30 June 2021, the TLAC available on a UBS Group AG consolidated basis amounted to USD 104,348 million (31 December 2020: USD 101,814 million).

› Refer to “Bondholder information” at ubs.com/investors, for more information

› Refer to the “TLAC1: TLAC composition for G-SIBs (at resolution group level)” table in this section for more information about TLAC for UBS Group AG consolidated

Financial information for UBS Group AG standalone for the six months ended 30 June 2021 is provided under “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors . p

Semi-annual |

| TLAC3 – creditor ranking at
legal entity level for the resolution entity, UBS Group AG — As of 30.6.21 | | Creditor ranking | | | Total |
| --- | --- | --- | --- | --- | --- |
| USD million | | 1 | 2 | 3 | |
| 1 | Description of creditor ranking | Common shares (most junior) 2 | Additional Tier 1 | Bail-in debt and pari passu liabilities (most senior) | |
| 2 | Total capital and liabilities net of credit risk mitigation 1 | 42,092 | 14,938 | 43,696 | 100,726 |
| 3 | Subset of row 2 that are excluded liabilities | | | | |
| 4 | Total capital and liabilities less excluded liabilities (row 2
minus row 3) | 42,092 | 14,938 3,4 | 43,696 6,7 | 100,726 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 42,092 | 14,512 | 39,601 8 | 96,205 |
| 6 | Subset of row 5 with 1 year ≤ residual maturity < 2
years | | | 6,558 | 6,558 |
| 7 | Subset of row 5 with 2 years ≤ residual maturity < 5
years | | | 17,474 | 17,474 |
| 8 | Subset of row 5 with 5 years ≤ residual maturity < 10
years | | | 9,816 | 9,816 |
| 9 | Subset of row 5 with residual maturity ≥ 10 years, but
excluding perpetual securities | | | 5,753 | 5,753 |
| 10 | Subset of row 5 that is perpetual securities | 42,092 | 14,512 5 | | 56,603 |
| 1 No credit risk mitigation is applied to capital and
liabilities for UBS Group AG standalone. 2 Common shares including the
associated reserves are equal to equity attributable to shareholders as
disclosed in the UBS Group AG standalone financial information for the six
months ended 30 June 2021, which was prepared in accordance with the
principles of the Swiss Law on Accounting and Financial Reporting (32nd title
of the Swiss Code of Obligations). 3 Includes interest expense accrued on
AT1 capital instruments, which is not eligible as TLAC. 4 An AT1
instrument in the amount of USD 1.5 billion was redeemed and AT1
instruments in the total amount of USD 2.3 billion were issued during
the six months ended 30 June 2021. 5 Includes an AT1 instrument in
the amount of USD 1.1 billion, the call of which was announced on
6 July 2021 (call date 10 August 2021). 6 Includes interest
expense accrued on bail-in debt, interest-bearing liabilities that comprise
loans from UBS AG and UBS Switzerland AG, negative replacement values, and
tax and other liabilities that are not excluded liabilities under Swiss law
and that rank pari passu to bail-in debt. 7 Bail-in debt of USD 2.9
billion was redeemed and bail-in debt of USD 6.1 billion was issued during
the six months ended 30 June 2021. 8 Bail-in debt of USD 2.8
billion has residual maturity of less than one year and is not eligible as
TLAC. | | | | | |

Section 9 Leverage ratio

Basel III leverage ratio

Quarterly | The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table in section 1 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio denominator (the LRD).

The LRD consists of International Financial Reporting Standards (IFRS) on-balance sheet assets and off-balance sheet items. Derivative exposures are adjusted for a number of items, including replacement values 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 below 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 in this section. The difference is due to the application of the regulatory scope of consolidation for the purpose of the BCBS calculation. In addition, carrying amounts 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. p

Difference between the Swiss SRB and BCBS leverage ratio

Quarterly | The LRD is the same under Swiss systemically relevant bank (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 and 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. p

Quarterly |

| Reconciliation of IFRS total
assets to BCBS Basel III total on-balance sheet exposures excluding derivatives
and securities financing transactions — USD million | 30.6.21 | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- |
| On-balance sheet exposures | | | |
| IFRS total assets | 1,086,519 | 1,107,712 | 1,125,765 |
| Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation | (22,344) | (21,535) | (21,166) |
| 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 | | | |
| Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure | | | |
| Less carrying amount of derivative financial instruments in IFRS
total assets 2 | (151,418) | (183,352) | (192,370) |
| Less carrying amount of securities financing transactions in
IFRS total assets 3 | (111,216) | (112,593) | (105,587) |
| Adjustments to accounting values | | | |
| On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral | 801,541 | 790,233 | 806,642 |
| Asset amounts deducted in determining BCBS Basel III tier 1
capital | (11,963) | (12,632) | (12,754) |
| Total on-balance sheet
exposures (excluding derivatives and securities financing transactions) | 789,578 | 777,601 | 793,888 |
| 1 The respective period shown ending on 31 December 2020 does
not reflect the effects of the temporary exemption that applied from 25 March
2020 until 1 January 2021 and was granted by FINMA in connection with
COVID-19. Refer to the “Introduction and basis for preparation” section and
to “Application of the temporary COVID-19-related FINMA exemption of central
bank sight deposits” in the “Going and gone concern requirements and eligible
capital” section of our 31 December 2020 Pillar 3 report, available under
“Pillar 3 disclosures” at ubs.com/investors, for more information.
2 Consists of derivative financial instruments and cash collateral receivables
on derivative instruments in accordance with the regulatory scope of
consolidation. 3 Consists of receivables from securities financing
transactions (SFTs), margin loans, prime brokerage receivables and financial
assets at fair value not held for trading related to SFTs in accordance with
the regulatory scope of consolidation. | | | |

UBS Group AG consolidated

Quarterly | During the second quarter of 2021, the LRD increased by USD 2 billion to USD 1,040 billion, including currency effects of USD 9 billion. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 12 billion, mainly driven by currency effects of USD 8 billion and an increase in lending assets largely in Global Wealth Management, partly offset by lower high-quality liquid asset (HQLA) securities. Derivative exposures decreased by USD 8 billion, mainly driven by foreign exchange contracts, as a result of trade roll-offs, and lower collateral placed with counterparties and exchanges. SFTs decreased by USD 2 billion, mainly reflecting lower brokerage receivables, trade roll-offs and a reduction in collateral sourcing requirements, partly offset by excess cash re-investment. p

› Refer to “Leverage ratio denominator” in the “Capital management” section of our second quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors , for more information

Quarterly |

| LR2: BCBS Basel III leverage
ratio common disclosure — USD million, except where
indicated | | 30.6.21 | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- | --- |
| | On-balance sheet exposures | | | |
| 1 | On-balance sheet items excluding derivatives and SFTs, but
including collateral | 801,541 | 790,233 | 806,642 |
| 2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (11,963) | (12,632) | (12,754) |
| 3 | Total on-balance sheet
exposures (excluding derivatives and SFTs) | 789,578 | 777,601 | 793,888 |
| | Derivative exposures | | | |
| 4 | Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin) | 49,315 | 59,145 | 54,049 |
| 5 | Add-on amounts for PFE associated with all derivatives
transactions | 84,187 | 84,270 | 79,901 |
| 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) | (19,910) | (23,146) | (21,420) |
| 8 | (Exempted CCP leg of client-cleared trade exposures) | (16,753) | (15,139) | (16,760) |
| 9 | Adjusted effective notional amount of all written credit
derivatives 2 | 72,949 | 80,570 | 85,274 |
| 10 | (Adjusted effective notional offsets and add-on deductions for
written credit derivatives) 3 | (72,063) | (79,504) | (84,451) |
| 11 | Total derivative exposures | 97,726 | 106,195 | 96,592 |
| | Securities financing
transaction exposures | | | |
| 12 | Gross SFT assets (with no recognition of netting), after
adjusting for sale accounting transactions | 191,453 | 197,482 | 198,077 |
| 13 | (Netted amounts of cash payables and cash receivables of gross
SFT assets) | (80,150) | (84,890) | (92,490) |
| 14 | CCR exposure for SFT assets | 10,204 | 10,648 | 9,759 |
| 15 | Agent transaction exposures | | | |
| 16 | Total securities financing
transaction exposures | 121,507 | 123,240 | 115,346 |
| | Other off-balance sheet
exposures | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 98,778 | 100,243 | 105,084 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (67,649) | (69,053) | (73,760) |
| 19 | Total off-balance sheet
items | 31,129 | 31,189 | 31,324 |
| | Total exposures (leverage
ratio denominator) | 1,039,939 | 1,038,225 | 1,037,150 |
| | Capital and total exposures
(leverage ratio denominator) | | | |
| 20 | Tier 1 capital | 59,188 | 56,288 | 56,178 |
| 21 | Total exposures (leverage
ratio denominator) | 1,039,939 | 1,038,225 | 1,037,150 |
| | Leverage ratio | | | |
| 22 | Basel III leverage ratio (%) | 5.7 | 5.4 | 5.4 |
| 1 The respective period shown ending on 31 December 2020 does
not reflect the effects of the temporary exemption that applied from 25 March
2020 until 1 January 2021 and was granted by FINMA in connection with
COVID-19. Refer to the “Introduction and basis for preparation” section and
to “Application of the temporary COVID-19-related FINMA exemption of central
bank sight deposits” in the “Going and gone concern requirements and eligible
capital” section of our 31 December 2020 Pillar 3 report, available under
“Pillar 3 disclosures” at ubs.com/investors, for more information.
2 Includes protection sold, including agency transactions.
3 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. | | | | |

Quarterly |

| LR1: BCBS Basel III leverage
ratio summary comparison — USD million | | 30.6.21 | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- | --- |
| 1 | Total consolidated assets as per published financial statements | 1,086,519 | 1,107,712 | 1,125,765 |
| 2 | Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation 2 | (34,307) | (34,167) | (33,919) |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet
pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure | | | |
| 4 | Adjustments for derivative financial instruments | (53,692) | (77,157) | (95,778) |
| 5 | Adjustment for securities financing transactions (i.e., repos
and similar secured lending) | 10,291 | 10,648 | 9,759 |
| 6 | Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures) | 31,129 | 31,189 | 31,324 |
| 7 | Other adjustments | | | |
| 8 | Leverage ratio exposure (leverage
ratio denominator) | 1,039,939 | 1,038,225 | 1,037,150 |
| 1 The respective period shown ending on 31 December 2020 does
not reflect the effects of the temporary exemption that applied from 25 March
2020 until 1 January 2021 and was granted by FINMA in connection with
COVID-19. Refer to the “Introduction and basis for preparation” section and
to “Application of the temporary COVID-19-related FINMA exemption of central
bank sight deposits” in the “Going and gone concern requirements and eligible
capital” section of our 31 December 2020 Pillar 3 report, available under
“Pillar 3 disclosures” at ubs.com/investors, for more information.
2 Includes assets that are deducted from tier 1 capital. | | | | |

UBS Group AG consolidated

Section 10 Liquidity coverage ratio

Liquidity coverage ratio

Quarterly | We monitor the liquidity coverage ratio (the 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. p

| Pillar 3 disclosure
requirement | Second quarter 2021 report
section | Disclosure | Second quarter 2021 report
page number |
| --- | --- | --- | --- |
| Concentration of funding sources | Balance sheet and off-balance sheet | Liabilities by product and currency | 49 |

High-quality liquid assets

Quarterly | 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 of the assets on a developed and recognized exchange, existence of an active and sizable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds. p

Quarterly |

High-quality liquid assets
	Average 2Q21 1			Average 1Q21 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	154		154	145		145
Securities (on- and off-balance sheet)	61	17	78	58	18	76
Total high-quality liquid
assets 4	215	17	232	203	18	221
1 Calculated based on an average of 64 data points in the second
quarter of 2021 and 63 data points in the first quarter of 2021. 2
Calculated after the application of haircuts and, where applicable, caps
on Level 2 assets. 3 Includes cash and balances with central
banks and other eligible balances as prescribed by FINMA. 4 Calculated in
accordance with FINMA requirements.

LCR development during the second quarter of 2021

Quarterly |

In the second quarter of 2021, the UBS Group quarterly average LCR increased 5 percentage points to 156%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).

The average LCR increase was driven by an USD 11 billion increase in average HQLA to USD 232 billion, driven by higher average cash balances, due to a decrease in assets subject to local transfer restrictions, lower funding consumption by the Investment Bank and net deposit growth. Average net cash outflows increased by USD 3 billion to USD 149 billion, mainly due to decreases in inflows from secured financing transactions. p

Quarterly |

LIQ1: Liquidity coverage ratio
		Average 2Q21 1		Average 1Q21 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	235	232	225	221
Cash outflows
2	Retail deposits and deposits from small business customers	296	33	299	34
3	of which: stable deposits	42	1	41	1
4	of which: less stable deposits	254	32	257	32
5	Unsecured wholesale funding	241	129	241	130
6	of which: operational
deposits (all counterparties)	53	13	53	13
7	of which: non-operational
deposits (all counterparties)	173	101	172	101
8	of which: unsecured debt	15	15	16	16
9	Secured wholesale funding		79		79
10	Additional requirements	96	27	90	26
11	of which: outflows related
to derivatives and other transactions	54	18	47	17
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	42	9	43	9
14	Other contractual funding obligations	11	9	12	10
15	Other contingent funding obligations	264	6	254	5
16	Total cash outflows		284		285
Cash inflows
17	Secured lending	269	84	321	85
18	Inflows from fully performing exposures	77	35	78	36
19	Other cash inflows	16	16	18	18
20	Total cash inflows	361	135	417	138
		Average 2Q21 1		Average 1Q21 1
USD billion, except where
indicated			Total adjusted value 4		Total adjusted value 4
Liquidity coverage ratio
21	High-quality liquid assets		232		221
22	Net cash outflows		149		146
23	Liquidity coverage ratio (%)		156		151
1 Calculated based on an average of 64 data points in the second
quarter of 2021 and 63 data points in the first quarter of 2021. 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.

UBS Group AG consolidated

Section 11 Requirements for global systemically important banks and related indicators

Semi-annual | The Financial Stability Board (the FSB) has determined that UBS is a global systemically important bank (a G-SIB), using an indicator-based methodology adopted by the Basel Committee on Banking Supervision (the BCBS). Banks that qualify as G-SIBs are required to disclose 12 indicators for assessing the systemic importance of G-SIBs as defined by the BCBS. These indicators are used for the G-SIB score calculation and cover five categories: size, cross-jurisdictional activity, interconnectedness, substitutability / financial institution infrastructure, and complexity.

Based on the published indicators, G-SIBs are subject to additional common equity tier 1 (CET1) capital buffer requirements in the range from 1.0% to 3.5%. In November 2020, the FSB confirmed that, based on the year-end 2019 indicators, the additional CET1 capital buffer requirement for UBS Group will remain at 1.0%. As our Swiss systemically relevant bank (SRB) Basel III capital requirements exceed the BCBS requirements, including the G-SIB buffer, we are not affected by these additional G-SIB requirements.

In July 2018, the BCBS published a revised version of its assessment methodology. This will come into effect in 2022, based on year-end 2021 data, with the corresponding capital buffer requirement applied as of January 2024. We do not expect these changes to increase our additional CET1 capital buffer requirement.

Our G-SIB indicators as of 31 December 2020 were published in July 2021 under “Pillar 3 disclosures” at ubs.com/investors . p

Significant regulated subsidiaries and sub-groups

Section 1 Introduction

Quarterly | The sections on the following pages include capital and other regulatory information as of 30 June 2021 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated. Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and are agreed with regulators based on the risk profile of the respective entity. p

Section 2 UBS AG standalone

Key metrics of the second quarter of 2021

Quarterly | The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the second quarter of 2021, common equity tier 1 (CET1) capital increased by USD 1.1 billion to USD 51.3 billion, mainly due to operating profit before tax, partly offset by additional accruals for capital returns to UBS Group AG. Tier 1 capital increased by USD 1.8 billion to USD 66.5 billion, primarily driven by the aforementioned increase in CET1 capital and an issuance of a USD 750 million additional tier 1 capital instrument. Total capital increased by USD 1.3 billion to USD 68.4 billion, reflecting the aforementioned increase in tier 1 capital and partly offset by a decrease in the eligibility of a USD 2.5 billion tier 2 capital instrument.

Risk-weighted assets (RWA) increased by USD 1.4 billion to USD 319.2 billion during the second quarter of 2021, primarily driven by increases in operational risk and participation RWA, partly offset by decreases in credit risk and market risk RWA. Leverage ratio exposure decreased by USD 4 billion to USD 607 billion, mainly driven by lower derivative exposures, partly offset by an increase in cash and balances at central banks.

Correspondingly, our CET1 capital ratio increased 0.3 percentage points to 16.1%, predominantly reflecting the increase in CET1 capital. Our Basel III leverage ratio increased 0.4 percentage points to 11.0%, due to the increase in tier 1 capital and lower leverage ratio exposure.

The average high-quality liquid assets (HQLA) increased by USD 6.9 billion to USD 89.0 billion, driven by higher average cash balances due to a reduction of funding consumption in the Investment Bank and a decrease in assets subject to local transfer restrictions. Average total net cash outflows increased b y USD 2.6 billion to USD 50.5 billion, due to lower inflows from Fixed Term Loans . p

Quarterly |

KM1: Key metrics
USD million, except where
indicated
		30.6.21	31.3.21	31.12.20	30.9.20	30.6.20
Available capital (amounts)
1	Common equity tier 1 (CET1)	51,279	50,223	50,269	51,793	51,810
1a	Fully loaded ECL accounting model CET1 1	51,255	50,189	50,266	51,791	51,808
2	Tier 1	66,487	64,652	64,699	66,145	65,361
2a	Fully loaded ECL accounting model tier 1 1	66,463	64,618	64,696	66,143	65,359
3	Total capital	68,421	67,126	69,639	71,020	70,612
3a	Fully loaded ECL accounting model total capital 1	68,398	67,091	69,636	71,018	70,610
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	319,195	317,824	305,575	309,019	310,752
4a	Minimum capital requirement 2	25,536	25,426	24,446	24,722	24,860
4b	Total risk-weighted assets (pre-floor)	319,195	317,824	305,575	309,019	310,752
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	16.06	15.80	16.45	16.76	16.67
5a	Fully loaded ECL accounting model CET1 ratio (%) 1	16.06	15.79	16.45	16.76	16.67
6	Tier 1 ratio (%)	20.83	20.34	21.17	21.40	21.03
6a	Fully loaded ECL accounting model tier 1 ratio (%) 1	20.82	20.33	21.17	21.40	21.03
7	Total capital ratio (%)	21.44	21.12	22.79	22.98	22.72
7a	Fully loaded ECL accounting model total capital ratio (%) 1	21.43	21.11	22.79	22.98	22.72
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.50	2.50	2.50	2.50	2.50
9	Countercyclical buffer requirement (%)	0.02	0.02	0.01	0.02	0.02
9a	Additional countercyclical buffer for Swiss mortgage loans (%)
10	Bank G-SIB and / or D-SIB additional requirements (%) 3
11	Total of bank CET1-specific buffer requirements (%)	2.52	2.52	2.51	2.52	2.52
12	CET1 available after meeting the bank’s minimum capital
requirements (%)	11.56	11.30	11.95	12.26	12.17
Basel III leverage ratio 4
13	Total Basel III leverage ratio exposure measure	606,536	611,022	595,017	588,204	573,741
14	Basel III leverage ratio (%)	10.96	10.58	10.87	11.25	11.39
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	10.96	10.58	10.87	11.24	11.39
Liquidity coverage ratio 5
15	Total HQLA	88,964	82,041	83,905	88,424	91,877
16	Total net cash outflow	50,537	47,927	52,851	52,463	52,209
17	LCR (%)	176	172	159	169	178
1 The fully loaded ECL accounting model excludes the
transitional relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks.” 2 Calculated as 8% of total RWA, based on total capital minimum
requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and
gone concern requirements and information for UBS AG standalone are provided
on the following pages in this section. 4 The temporary exemption
that applied from 25 March 2020 until 1 January 2021 and was granted by FINMA
in connection with COVID-19 had no net effect on UBS AG standalone in 2020.
Refer to the “Introduction and basis for preparation” section and to the “UBS
AG standalone” section of our 31 December 2020 Pillar 3 report, available
under “Pillar 3 disclosures” at ubs.com/investors, for more information.
5 Calculated based on quarterly average. Refer to “Liquidity coverage
ratio” in this section for more information.

Swiss SRB going and gone concern requirements and information

Quarterly | The tables below and on the next page provide details of the Swiss systemically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by the Swiss Financial Market Supervisory Authority (FINMA); details regarding eligible gone concern instruments are provided on the next page.

More information about the going and gone concern requirements and information is provided on page 112 of our 31 December 2020 Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors . p

Quarterly |

| Swiss SRB going and gone
concern requirements and information — As of 30.6.21 | RWA, phase-in | | RWA, fully applied as of 1.1.28 | | LRD | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | in % | | in % | | in % | |
| Required going concern
capital | | | | | | |
| Total going concern capital | 13.96 1 | 44,547 | 13.96 1 | 53,581 | 4.88 | 29,569 |
| Common equity tier 1 capital | 9.66 | 30,822 | 9.66 | 37,072 | 3.38 | 20,471 |
| of which: minimum capital | 4.50 | 14,364 | 4.50 | 17,277 | 1.50 | 9,098 |
| of which: buffer capital | 5.14 | 16,407 | 5.14 | 19,734 | 1.88 | 11,373 |
| of which: countercyclical
buffer | 0.02 | 51 | 0.02 | 62 | | |
| Maximum additional tier 1
capital | 4.30 | 13,725 | 4.30 | 16,509 | 1.50 | 9,098 |
| of which: additional tier 1
capital | 3.50 | 11,172 | 3.50 | 13,438 | 1.50 | 9,098 |
| of which: additional tier 1
buffer capital | 0.80 | 2,554 | 0.80 | 3,071 | | |
| Eligible going concern
capital | | | | | | |
| Total going concern capital | 20.83 | 66,487 | 17.32 | 66,487 | 10.96 | 66,487 |
| Common equity tier 1 capital | 16.06 | 51,279 | 13.36 | 51,279 | 8.45 | 51,279 |
| Total loss-absorbing
additional tier 1 capital | 4.76 | 15,208 | 3.96 | 15,208 | 2.51 | 15,208 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 3.98 | 12,702 | 3.31 | 12,702 | 2.09 | 12,702 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 0.79 | 2,506 | 0.65 | 2,506 | 0.41 | 2,506 |
| Risk-weighted assets / leverage
ratio denominator | | | | | | |
| Risk-weighted assets | | 319,195 | | 383,929 | | |
| Leverage ratio denominator | | | | | | 606,536 |
| Required gone concern
capital 2 | Higher of RWA- or LRD-based | | | | | |
| Total gone concern
loss-absorbing requirement | | 37,380 | | | | |
| Eligible gone concern
capital | | | | | | |
| Total gone concern
loss-absorbing capacity | | 45,091 | | | | |
| Gone concern coverage
capital ratio | 120.63 | | | | | |
| 1 Includes applicable add-ons of 1.08% for RWA and 0.375% for
LRD. 2 A maximum of 25% of the gone concern requirements can be
met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum gone concern requirement has been met
with instruments that have a remaining maturity of greater than two years,
all instruments that have a remaining maturity of between one and two years
remain eligible to be included in the total gone concern capital. | | | | | | |

Significant regulated subsidiaries and sub-groups

Quarterly |

| Swiss SRB going and gone
concern information — USD million, except where
indicated | 30.6.21 | 31.3.21 | 31.12.20 |
| --- | --- | --- | --- |
| Eligible going concern
capital | | | |
| Total going concern capital | 66,487 | 64,652 | 64,699 |
| Total tier 1 capital | 66,487 | 64,652 | 64,699 |
| Common equity tier 1 capital | 51,279 | 50,223 | 50,269 |
| Total loss-absorbing
additional tier 1 capital | 15,208 | 14,429 | 14,430 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 12,702 | 11,930 | 11,854 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 2,506 | 2,499 | 2,575 |
| Eligible gone concern
capital | | | |
| Total gone concern
loss-absorbing capacity | 45,091 | 44,365 | 45,520 |
| Total tier 2 capital | 5,214 | 5,236 | 7,719 |
| of which: low-trigger
loss-absorbing tier 2 capital | 4,678 | 4,700 | 7,184 |
| of which: non-Basel III-compliant
tier 2 capital | 536 | 536 | 535 |
| TLAC-eligible senior
unsecured debt | 39,878 | 39,129 | 37,801 |
| Total loss-absorbing
capacity | | | |
| Total loss-absorbing
capacity | 111,578 | 109,017 | 110,219 |
| Risk-weighted assets /
leverage ratio denominator | | | |
| Risk-weighted assets, phase-in | 319,195 | 317,824 | 305,575 |
| of which: direct and
indirect investments in Switzerland-domiciled subsidiaries 1 | 38,456 | 37,834 | 38,370 |
| of which: direct and
indirect investments in foreign-domiciled subsidiaries 1 | 108,593 | 107,648 | 99,635 |
| Risk-weighted assets, fully applied as of 1.1.28 | 383,929 | 381,948 | 379,307 |
| of which: direct and
indirect investments in Switzerland-domiciled subsidiaries 1 | 44,717 | 43,993 | 45,678 |
| of which: direct and indirect
investments in foreign-domiciled subsidiaries 1 | 167,066 | 165,612 | 166,058 |
| Leverage ratio denominator 2 | 606,536 | 611,022 | 595,017 |
| Capital and loss-absorbing
capacity ratios (%) | | | |
| Going concern capital ratio | 20.8 | 20.3 | 21.2 |
| of which: common equity tier
1 capital ratio | 16.1 | 15.8 | 16.5 |
| Going concern capital ratio, fully applied as of 1.1.28 | 17.3 | 16.9 | 17.1 |
| of which: common equity tier
1 capital ratio, fully applied as of 1.1.28 | 13.4 | 13.1 | 13.3 |
| Leverage ratios (%) 2 | | | |
| Going concern leverage ratio | 11.0 | 10.6 | 10.9 |
| of which: common equity tier
1 leverage ratio | 8.5 | 8.2 | 8.4 |
| Gone concern capital
coverage ratio (%) | | | |
| Gone concern capital coverage ratio | 120.6 | 118.1 | 135.7 |
| 1 Net exposure for direct and indirect investments including
holding of regulatory capital instruments in Switzerland-domiciled
subsidiaries (30 June 2021: USD 17,887 million; 31 March 2021:
USD 17,597 million; 31 December 2020: USD 18,271 million) and
for direct and indirect investments including holding of regulatory capital
instruments in foreign-domiciled subsidiaries (30 June 2021:
USD 41,767 million; 31 March 2021: USD 41,403 million;
31 December 2020: USD 41,515 million) are risk-weighted at 215% and
260%, respectively, for the current year (31 December 2020: 210% and
240%, respectively). 2 The leverage ratio denominator (LRD) and
leverage ratios for 31 December 2020 do not reflect the effects of the
temporary exemption that applied from 25 March 2020 until 1 January
2021 and was granted by FINMA in connection with COVID-19. Refer to the
“Introduction and basis for preparation” section and to the “UBS AG
standalone” section of our 31 December 2020 Pillar 3 report, available under
“Pillar 3 disclosures” at ubs.com/investors, for more information. | | | |

Leverage ratio information

Quarterly |

| Swiss SRB leverage ratio
denominator — USD billion | 30.6.21 | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- |
| Leverage ratio denominator | | | |
| Swiss GAAP total assets | 512.0 | 517.6 | 509.0 |
| Difference between Swiss GAAP and IFRS total assets | 120.8 | 146.1 | 160.0 |
| Less: derivative exposures and SFTs 2 | (232.5) | (266.5) | (271.8) |
| Less: funding provided to significant regulated subsidiaries
eligible as gone concern capital | (20.8) | (20.5) | (20.2) |
| On-balance sheet exposures
(excluding derivative exposures and SFTs) | 379.5 | 376.7 | 377.0 |
| Derivative exposures | 100.1 | 109.1 | 98.2 |
| Securities financing transactions | 105.7 | 104.3 | 99.4 |
| Off-balance sheet items | 22.7 | 22.2 | 21.6 |
| Items deducted from Swiss SRB tier 1 capital | (1.4) | (1.3) | (1.2) |
| Total exposures (leverage
ratio denominator) | 606.5 | 611.0 | 595.0 |
| 1 The temporary exemption granted by FINMA in connection with
COVID-19 had no net effect on UBS AG standalone. 2 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. | | | |

Liquidity coverage ratio

Quarterly | In the second quarter of 2021, the UBS AG liquidity coverage ratio (LCR) was 176%, remaining above the prudential requirements communicated by FINMA. p

Quarterly |

Liquidity coverage ratio
	Weighted value 1
USD billion, except where
indicated	Average 2Q21 2	Average 1Q21 2
High-quality liquid assets	89	82
Total net cash outflows	51	48
of which: cash outflows	171	172
of which: cash inflows	120	124
Liquidity coverage ratio (%)	176	172
1 Calculated after the application of haircuts and inflow and
outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.
2 Calculated based on an average of 64 data points in the second quarter of
2021 and 63 data points in the first quarter of 2021.

Significant regulated subsidiaries and sub-groups

Section 3 UBS Switzerland AG standalone

Key metrics of the second quarter of 2021

Quarterly | The table below is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the second quarter of 2021, common equity tier 1 (CET1) capital decreased slightly, by CHF 0.1 billion, to CHF 12.3 billion, mainly as operating profit was more than offset by additional accruals for dividends and higher deductions for expected losses on the advanced internal ratings-based portfolio less provisions. Risk-weighted assets (RWA) were largely stable at CHF 109.6 billion. Leverage ratio exposure decreased by CHF 3 billion to CHF 342 billion, mainly driven by lower cash and balances at central banks and high-quality liquid asset (HQLA) securities, partly offset by an increase in lending assets.

The average HQLA increased by CHF 1.4 billion to CHF 97.7 billion , driven by higher average cash balances due to net deposit growth. Average total net cash outflows decreased by CHF 0.7 billion to CHF 65.2 billion . p

Quarterly |

KM1: Key metrics
CHF million, except where
indicated
		30.6.21	31.3.21	31.12.20	30.9.20	30.6.20
Available capital (amounts)
1	Common equity tier 1 (CET1)	12,312	12,417	12,234	11,992	11,776
1a	Fully loaded ECL accounting model CET1 1	12,311	12,416	12,233	11,989	11,774
2	Tier 1	17,705	17,819	17,410	16,683	16,479
2a	Fully loaded ECL accounting model tier 1 1	17,704	17,818	17,409	16,680	16,476
3	Total capital	17,705	17,819	17,410	16,683	16,479
3a	Fully loaded ECL accounting model total capital 1	17,704	17,818	17,409	16,680	16,476
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	109,602	110,194	107,253	107,066	105,304
4a	Minimum capital requirement 2	8,768	8,816	8,580	8,565	8,424
4b	Total risk-weighted assets (pre-floor)	93,853	93,149	92,164	92,755	92,740
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	11.23	11.27	11.41	11.20	11.18
5a	Fully loaded ECL accounting model CET1 ratio (%) 1	11.23	11.27	11.41	11.20	11.18
6	Tier 1 ratio (%)	16.15	16.17	16.23	15.58	15.65
6a	Fully loaded ECL accounting model tier 1 ratio (%) 1	16.15	16.17	16.23	15.58	15.65
7	Total capital ratio (%)	16.15	16.17	16.23	15.58	15.65
7a	Fully loaded ECL accounting model total capital ratio (%) 1	16.15	16.17	16.23	15.58	15.65
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.50	2.50	2.50	2.50	2.50
9	Countercyclical buffer requirement (%)	0.02	0.02	0.01	0.01	0.01
9a	Additional countercyclical buffer for Swiss mortgage loans (%)
10	Bank G-SIB and / or D-SIB additional requirements (%) 3
11	Total of bank CET1-specific buffer requirements (%)	2.52	2.52	2.51	2.51	2.51
12	CET1 available after meeting the bank’s minimum capital
requirements (%)	6.73	6.77	6.91	6.70	6.68
Basel III leverage ratio 4
13	Total Basel III leverage ratio exposure measure	341,991	344,925	335,251	327,113	323,068
14	Basel III leverage ratio (%)	5.18	5.17	5.19	5.10	5.10
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	5.18	5.17	5.19	5.10	5.10
Liquidity coverage ratio 5
15	Total HQLA	97,744	96,366	91,909	87,254	85,180
16	Total net cash outflow	65,177	65,829	62,074	59,930	61,847
17	LCR (%)	150	146	148	146	138
1 The fully loaded ECL accounting model excludes the
transitional relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks.” 2 Calculated as 8% of total RWA, based on total capital
minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB
going and gone concern requirements and information for UBS Switzerland AG
are provided on the next page. 4 Leverage ratio exposures and
leverage ratios for the respective periods in 2020 do not reflect the effects
of the temporary exemption that applied from 25 March 2020 until
1 January 2021 and was granted by FINMA in connection with COVID-19.
Refer to the “Introduction and basis for preparation” section and to the “UBS
Switzerland AG standalone” section of our 31 December 2020 Pillar 3 report,
available under “Pillar 3 disclosures” at ubs.com/investors, for more
information. 5 Calculated based on quarterly average. Refer to
“Liquidity coverage ratio” in this section for more information.

Swiss SRB going and gone concern requirements and information

Quarterly | UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis . As of 30 June 2021, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 13.96%, including a countercyclical buffer of 0.02%, and 4.875%, respectively.

The gone concern requirements were 8.64% for the RWA-based requirement and 3.02% for the leverage ratio denominator (LRD)-based requirement.

The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone concern requirement, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions). p

Quarterly |

| Swiss SRB going and gone
concern requirements and information — As of 30.6.21 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| CHF million, except where
indicated | in % | | in % | |
| Required going concern
capital | | | | |
| Total going concern capital | 13.96 1 | 15,301 | 4.88 1 | 16,672 |
| Common equity tier 1 capital | 9.66 | 10,588 | 3.38 | 11,542 |
| of which: minimum capital | 4.50 | 4,932 | 1.50 | 5,130 |
| of which: buffer capital | 5.14 | 5,634 | 1.88 | 6,412 |
| of which: countercyclical
buffer | 0.02 | 23 | | |
| Maximum additional tier 1
capital | 4.30 | 4,713 | 1.50 | 5,130 |
| of which: additional tier 1
capital | 3.50 | 3,836 | 1.50 | 5,130 |
| of which: additional tier 1
buffer capital | 0.80 | 877 | | |
| Eligible going concern
capital | | | | |
| Total going concern capital | 16.15 | 17,705 | 5.18 | 17,705 |
| Common equity tier 1 capital | 11.23 | 12,312 | 3.60 | 12,312 |
| Total loss-absorbing
additional tier 1 capital | 4.92 | 5,393 | 1.58 | 5,393 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 4.92 | 5,393 | 1.58 | 5,393 |
| Required gone concern
capital 2 | | | | |
| Total gone concern
loss-absorbing capacity | 8.64 | 9,473 | 3.02 | 10,337 |
| of which: base requirement | 7.97 | 8,739 | 2.79 | 9,542 |
| of which: additional
requirement for market share and LRD | 0.67 | 734 | 0.23 | 795 |
| Eligible gone concern
capital | | | | |
| Total gone concern
loss-absorbing capacity | 9.92 | 10,868 | 3.18 | 10,868 |
| TLAC-eligible senior
unsecured debt | 9.92 | 10,868 | 3.18 | 10,868 |
| Total loss-absorbing
capacity | | | | |
| Required total
loss-absorbing capacity | 22.60 | 24,774 | 7.90 | 27,009 |
| Eligible total
loss-absorbing capacity | 26.07 | 28,572 | 8.35 | 28,572 |
| Risk-weighted assets /
leverage ratio denominator | | | | |
| Risk-weighted assets | | 109,602 | | |
| Leverage ratio denominator | | | | 341,991 |
| 1 Includes applicable add-ons of 1.08% for RWA and 0.375%
for LRD. 2 A maximum of 25% of the gone concern requirements can
be met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum gone concern requirement has been met
with instruments that have a remaining maturity of greater than two years,
all instruments that have a remaining maturity of between one and two years
remain eligible to be included in the total gone concern capital. | | | | |

Significant regulated subsidiaries and sub-groups

Swiss SRB loss-absorbing capacity

Quarterly |

| Swiss SRB going and gone
concern information — CHF million, except where
indicated | 30.6.21 | 31.3.21 | 31.12.20 |
| --- | --- | --- | --- |
| Eligible going concern
capital | | | |
| Total going concern capital | 17,705 | 17,819 | 17,410 |
| Total tier 1 capital | 17,705 | 17,819 | 17,410 |
| Common equity tier 1 capital | 12,312 | 12,417 | 12,234 |
| Total loss-absorbing
additional tier 1 capital | 5,393 | 5,402 | 5,176 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 5,393 | 5,402 | 5,176 |
| Eligible gone concern
capital | | | |
| Total gone concern loss-absorbing
capacity | 10,868 | 10,890 | 10,824 |
| TLAC-eligible senior
unsecured debt | 10,868 | 10,890 | 10,824 |
| Total loss-absorbing
capacity | | | |
| Total loss-absorbing
capacity | 28,572 | 28,709 | 28,234 |
| Risk-weighted assets /
leverage ratio denominator | | | |
| Risk-weighted assets | 109,602 | 110,194 | 107,253 |
| Leverage ratio denominator 1 | 341,991 | 344,925 | 335,251 |
| Capital and loss-absorbing
capacity ratios (%) | | | |
| Going concern capital ratio | 16.2 | 16.2 | 16.2 |
| of which: common equity tier
1 capital ratio | 11.2 | 11.3 | 11.4 |
| Gone concern loss-absorbing capacity ratio | 9.9 | 9.9 | 10.1 |
| Total loss-absorbing
capacity ratio | 26.1 | 26.1 | 26.3 |
| Leverage ratios (%) 1 | | | |
| Going concern leverage ratio | 5.2 | 5.2 | 5.2 |
| of which: common equity tier
1 leverage ratio | 3.6 | 3.6 | 3.6 |
| Gone concern leverage ratio | 3.2 | 3.2 | 3.2 |
| Total loss-absorbing
capacity leverage ratio | 8.4 | 8.3 | 8.4 |
| 1 The leverage ratio denominator (LRD) and leverage ratios for
31 December 2020 do not reflect the effects of the temporary exemption that
applied from 25 March 2020 until 1 January 2021 and was granted by FINMA in
connection with COVID-19. Refer to the “Introduction and basis for
preparation” section and to the “UBS Switzerland AG standalone” section of
our 31 December 2020 Pillar 3 report, available under “Pillar 3
disclosures” at ubs.com/investors, for more information. | | | |

Leverage ratio information

Quarterly |

| Swiss SRB leverage ratio
denominator — CHF billion | 30.6.21 | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- |
| Leverage ratio denominator | | | |
| Swiss GAAP total assets | 323.3 | 325.9 | 316.8 |
| Difference between Swiss GAAP and IFRS total assets | 3.6 | 4.5 | 4.5 |
| Less: derivative exposures and SFTs 2 | (13.8) | (14.9) | (10.6) |
| On-balance sheet exposures (excluding
derivative exposures and SFTs) | 313.1 | 315.5 | 310.7 |
| Derivative exposures | 5.2 | 5.8 | 5.7 |
| Securities financing transactions | 8.4 | 8.1 | 3.8 |
| Off-balance sheet items | 15.6 | 15.7 | 15.2 |
| Items deducted from Swiss SRB tier 1 capital | (0.2) | (0.2) | (0.2) |
| Total exposures (leverage
ratio denominator) | 342.0 | 344.9 | 335.3 |
| 1 The respective period shown ending on 31 December 2020 does
not reflect the effects of the temporary exemption that applied from 25 March
2020 until 1 January 2021 and was granted by FINMA in connection with
COVID-19. Refer to the “Introduction and basis for preparation” section and
to the “UBS Switzerland AG standalone” section of our 31 December 2020 Pillar
3 report, available under “Pillar 3 disclosures” at ubs.com/investors, for
more information. 2 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. | | | |

Liquidity coverage ratio

Quarterly | In the second quarter of 2021, the liquidity coverage ratio (LCR) of UBS Switzerland AG, which is a Swiss SRB, was 150%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA) in connection with the Swiss Emergency Plan. p

Quarterly |

Liquidity coverage ratio
	Weighted value 1
CHF billion, except where
indicated	Average 2Q21 2	Average 1Q21 2
High-quality liquid assets	98	96
Total net cash outflows	65	66
of which: cash outflows	93	94
of which: cash inflows	28	29
Liquidity coverage ratio (%)	150	146
1 Calculated after the application of haircuts and inflow and
outflow rates, as well as, where applicable, caps on Level 2 assets and cash
inflows. 2 Calculated based on an average of 64 data points in the second
quarter of 2021 and 63 data points in the first quarter of 2021.

Significant regulated subsidiaries and sub-groups

Capital instruments

Quarterly |

| 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 | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland |
| 1a | Instrument number | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
| 2 | Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for
private placement) | – | – | | | | | | | |
| 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 3 | | | | | | | |
| 8 | Amount recognized in regulatory capital (currency in millions,
as of most recent reporting date) 1 | CHF 10.0 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
| 9 | Par value of instrument (currency in millions) | CHF 10.0 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 | CHF 675 | CHF 825 |
| 10 | Accounting classification 4 | Equity attributable to UBS Switzerland AG shareholders | Due to banks held at amortized cost | | | | | | | |
| 11 | Original date of issuance | – | 18 December 2017 | 12 December 2018 | 12 December 2018 | 11 December 2019 | 29 October 2020 | 11 March 2021 | 2 June 2021 | 2 June 2021 |
| 12 | Perpetual or dated | – | Perpetual | | | | | | | |
| 13 | Original maturity date | – | – | | | | | | | |
| 14 | Issuer call subject to prior supervisory approval | – | Yes | | | | | | | |

| Capital instruments of UBS Switzerland AG – key features
(continued) | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Presented according to issuance date. | | | | | | | | | | |
| | | Share capital | Additional tier 1 capital | | | | | | | |
| 15 | Optional call date, contingent call dates and redemption amount | – | First optional repayment date: 18 December 2022 | First optional repayment date: 12 December 2023 | First optional repayment date: 12 December 2023 | First optional repayment date: 11 December 2024 | First optional repayment date: 29 October 2025 | First optional repayment date: 11 March 2026 | First optional repayment date: 2 June 2026 | First optional repayment date: 2 June 2028 |
| | | | 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. | 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. | 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. | 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. | 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. | 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. | Repayable on the first optional repayment date or at any of
every second interest payment date thereafter. Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and unpaid interest thereon. | 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 a tax event subject to FINMA approval. Repayment amount: principal amount, together with accrued and
unpaid interest. | | | | | | | |

Significant regulated subsidiaries and sub-groups

| Capital instruments of UBS Switzerland AG – key features
(continued) | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Coupons | | | | | | | | | |
| 17 | Fixed or floating dividend / coupon | – | Floating | | | | | | | |
| 18 | Coupon rate and any related index | – | 3-month SARON Compound + 250 bps per annum quarterly | 3-month SARON Compound + 489 bps per annum quarterly | 3-month SOFR Compound + 561 bps per annum quarterly | 3-month SARON Compound + 433 bps per annum quarterly | 3-month SARON Compound + 397 bps per annum quarterly | 3-month SARON Compound + 337 bps per annum quarterly | 3-month SARON Compound + 307 bps per annum quarterly | 3-month SARON Compound + 308 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, each obligation of USB Switzerland AG that is unsubordinated or is
subordinated and not ranked 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 Loans granted by UBS AG, Switzerland. 4 As applied in UBS
Switzerland AG‘s financial statements under Swiss GAAP. | | | | | | | | | | |

Section 4 UBS Europe SE consolidated

Quarterly | The table below provides 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 second quarter of 2021, common equity tier 1 (CET1) capital increased slightly, by EUR 0.2 billion, to EUR 3.9 billion, mainly as a result of net profit from the 2020 year-end audited financial statements. Risk-weighted assets decreased by EUR 0.9 billion to EUR 13.2 billion, driven by decreases in operational risk charge and in credit risk. Leverage ratio exposure increased by EUR 6.2 billion to EUR 49.8 billion, mainly reflecting an increase in derivative instruments due to a calculation methodology change as a result of Capital Requirements Regulation (CRR) II, as well as an increase in securities financing transactions.

The average liquidity coverage ratio increased by 4%, mainly due to a EUR 0.3 billion decrease in total net cash outflows.

The total gone concern loss-absorbing capacity amounted to EUR 2.2 billion as of 30 June 2021 and EUR 2.2 billion as of 31 March 2021, respectively. It consists of positions that meet the conditions laid down in Art. 72a b of the CRR II with regard to contractual, structural or legal subordination.

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

Quarterly |

KM1: Key metrics 1
EUR million, except where
indicated
		30.6.21	31.3.21 2	31.12.20	30.9.20	30.6.20 3
Available capital (amounts)
1	Common equity tier 1 (CET1)	3,921	3,721	3,703	3,728	3,736
2	Tier 1	4,211	4,011	3,993	4,018	4,026
3	Total capital	4,211	4,011	3,993	4,018	4,026
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	13,171	14,022	13,175	13,285	13,559
4a	Minimum capital requirement 4	1,054	1,122	1,054	1,063	1,085
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	29.8	26.5	28.1	28.1	27.6
6	Tier 1 ratio (%)	32.0	28.6	30.3	30.2	29.7
7	Total capital ratio (%)	32.0	28.6	30.3	30.2	29.7
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.5	2.5	2.5	2.5	2.5
9	Countercyclical buffer requirement (%)	0.1	0.1	0.0	0.0	0.0
10	Bank G-SIB and / or D-SIB additional requirements (%)
11	Total of bank CET1-specific buffer requirements (%)	2.6	2.6	2.5	2.5	2.5
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 5	24.0	20.7	22.3	22.2	21.7
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	49,797	43,620	41,376	43,371	42,172
14	Basel III leverage ratio (%) 6	8.5	9.2	9.7	9.3	9.6
Liquidity coverage ratio 7
15	Total HQLA	17,106	17,175	17,074	16,257	15,540
16	Total net cash outflow	10,684	11,003	11,334	11,276	11,062
17	LCR (%)	161	157	151	144	141
Net stable funding ratio 8
18	Total available stable funding	15,756
19	Total required stable funding	9,465
20	NSFR ratio	167
1 Based on applicable EU regulatory rules.
2 Comparative figures have been restated to align with the regulatory
reports as submitted to the European Central Bank (the ECB).
3 Comparative figures have been restated to align with the UBS
Europe SE Pillar 3 report and other regulatory reports as submitted
to the ECB, which reflect the ECB’s recommendation to EU financial
institutions to refrain from making capital distributions until the ECB
changes its guidance on dividend payments. 4 Calculated as 8% of
total RWA, based on total capital minimum requirements, excluding CET1 buffer
requirements. 5 This represents the CET1 ratio that is available for
meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%
and after considering, where applicable, CET1 capital that has been used to
meet tier 1 and / or total capital ratio requirements under Pillar 1.
6 On the basis of tier 1 capital. 7 Figures are calculated on a
twelve-month average. 8 The local disclosure requirement for the net
stable funding ratio came into force in June 2021.

Significant regulated subsidiaries and sub-groups

Section 5 UBS Americas Holding LLC consolidated

Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements and in accordance with US Basel III rules.

Effective 1 October 2020, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 6.7%, in addition to minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the 2020 Comprehensive Capital Analysis and Review (CCAR) based on supervisory stress test results and planned future dividends. Based on the results of the 2021 CCAR, the SCB has been adjusted to 7.1% effective 1 October 2021. The SCB will be adjusted annually in connection with CCAR or as otherwise determined by the Federal Reserve Board.

During the second quarter of 2021, common equity tier 1 (CET1) remained stable. Risk-weighted assets (RWA) decreased by USD 0.3 billion to USD 69.1 billion, mainly driven by a decrease in market risk RWA. Leverage ratio exposure, calculated on an average basis, increased by USD 1.6 billion to USD 171.0 billion driven by increased lending exposure.

Quarterly |

KM1: Key metrics 1
USD million, except where
indicated
		30.6.21	31.3.21	31.12.20	30.9.20	30.6.20 2
Available capital (amounts)
1	Common equity tier 1 (CET1)	14,477	14,716	14,384	13,840	13,535
2	Tier 1	17,523	17,763	17,431	16,883	16,578
3	Total capital	18,143	18,498	18,166	17,626	17,344
Risk-weighted assets
(amounts)
4	Total risk-weighted assets (RWA)	69,139	69,481	63,929	65,084	64,351
4a	Minimum capital requirement 3	5,531	5,558	5,114	5,207	5,148
Risk-based capital ratios as
a percentage of RWA
5	Common equity tier 1 ratio (%)	20.9	21.2	22.5	21.3	21.0
6	Tier 1 ratio (%)	25.3	25.6	27.3	25.9	25.8
7	Total capital ratio (%)	26.2	26.6	28.4	27.1	27.0
Additional CET1 buffer
requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.5	2.5	2.5	2.5	2.5
8a	Stress capital buffer requirement (%)	6.7	6.7	6.7
9	Countercyclical buffer requirement (%)
10	Bank G-SIB and / or D-SIB additional requirements (%)
11	Total of bank CET1-specific buffer requirements (%)	2.5	2.5	2.5	2.5	2.5
11a	Total bank specific capital requirements (%)	6.7	6.7	6.7
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 4	16.4	16.7	18.0	16.8	16.5
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	170,985	169,386	154,609	148,038	146,652
14	Basel III leverage ratio (%) 5	10.2	10.5	11.3	11.4	11.3
14a	Total Basel III supplementary leverage ratio exposure measure 6	195,617	159,587	150,019	150,609	147,683
14b	Basel III supplementary leverage ratio (%) 5,6	9.0	11.1	11.6	11.2	11.2
Liquidity coverage ratio 7
15	Total HQLA	29,029
16	Total net cash outflow	17,509
17	LCR (%)	166
1 The liquidity coverage ratio (LCR) requirement became
effective as of 1 January 2021 and the related disclosure requirement in
the second quarter of 2021. The net stable funding ratio (NSFR) requirement
became effective as of 1 July 2021 and related disclosures will come
into effect in the second quarter of 2023. 2 Refer to the
“Introduction and basis for preparation” section of the 31 December 2020
Pillar 3 report, available under “Pillar 3 disclosures” at ubs.com/investors,
for information about the restatement of comparative information, as
applicable. 3 Calculated as 8% of total RWA, based on total capital
minimum requirements, excluding CET1 buffer requirements. 4 This
represents the CET1 ratio that is available for meeting buffer requirements.
It is calculated as the CET1 ratio minus 4.5%. 5 On the basis of tier
1 capital. 6 US Regulatory authorities temporarily eased the
requirements for the SLR, permitting the exclusion of US Treasury securities
and deposits with the Federal Reserve Banks from the SLR denominator through
March 2021. This exclusion resulted in an increase in the SLR of 187 bps
on 31 March 2021, 170 bps on 31 December 2020, 136 bps on
30 September 2020 and 135 bps on 30 June 2020. 7 Figures
are calculated on a quarterly average.

Material sub-group entity – creditor ranking at legal entity level

Semi-annual | The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on a standalone basis.

As of 30 June 2021, UBS Americas Holding LLC had a total loss-absorbing capacity (TLAC) of USD 23,823 million after regulatory capital deductions and adjustments. This amount included tier 1 capital of USD 17,523 million and USD 6,300 million of internal long-term debt which is eligible as internal TLAC issued to UBS AG, a wholly owned subsidiary of the UBS Group AG resolution entity. p

Semi-annual |

| TLAC2 – Material sub-group
entity – creditor ranking at legal entity level — As of 30.6.21 | | Creditor ranking | | | | Total |
| --- | --- | --- | --- | --- | --- | --- |
| USD million | | 1 | 2 | 3 | 4 | |
| 1 | Is the resolution entity the creditor / investor? | No | No | No | No | |
| 2 | Description of creditor ranking | Common Equity (most junior) 1 | Preferred Shares (Additional tier 1) | Subordinated debt | Unsecured loans and other pari passu liabilities (most senior) | |
| 3 | Total capital and liabilities net of credit risk mitigation | 24,688 | 3,150 | 600 | 28,744 | 57,182 |
| 4 | Subset of row 3 that are excluded liabilities | | | | 709 | 709 |
| 5 | Total capital and liabilities less excluded liabilities (row 3
minus row 4) | 24,688 | 3,150 | 600 | 28,036 | 56,473 |
| 6 | Subset of row 5 that are eligible as TLAC | 24,688 | 3,150 | | 6,300 | 34,138 |
| 7 | Subset of row 6 with 1 year ≤ residual maturity < 2
years | | | | 0 | |
| 8 | Subset of row 6 with 2 years ≤ residual maturity < 5
years | | | | 5,500 | 5,500 |
| 9 | Subset of row 6 with 5 years ≤ residual maturity < 10
years | | | | 800 | 800 |
| 10 | Subset of row 6 with residual maturity ≥ 10 years, but
excluded perpetual securities | | | | 0 | |
| 11 | Subset of row 6 that is perpetual securities | 24,688 | 3,150 | | | 27,838 |
| 1 Equity attributable to shareholders, which includes share
premium and reserves. | | | | | | |

Abbreviations frequently used in our financial reports

ABS asset-backed securities

AEI automatic exchange of information

AGM Annual General Meeting of shareholders

A-IRB advanced internal ratings-based

AIV alternative investment vehicle

ALCO Asset and Liability Committee

AMA advanced measurement approach

AML anti-money laundering

AoA Articles of Association

APAC Asia Pacific

APM alternative performance measure

ARR alternative reference rate

ARS auction rate securities

ASF available stable funding

AT1 additional tier 1

AuM assets under management

BCBS Basel Committee on Banking Supervision

BEAT base erosion and anti-abuse tax

BIS Bank for International Settlements

BoD Board of Directors

BVG Swiss occupational pension plan

CAO Capital Adequacy Ordinance

CCAR Comprehensive Capital Analysis and Review

CCF credit conversion factor

CCP central counterparty

CCR counterparty credit risk

CCRC Corporate Culture and Responsibility Committee

CCyB countercyclical capital buffer

CDO collateralized debt obligation

CDS credit default swap

CEA Commodity Exchange Act

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

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)

CRR Capital Requirements Regulation

CST combined stress test

CVA credit valuation adjustment

DBO defined benefit obligation

DCCP Deferred Contingent Capital Plan

DJSI Dow Jones Sustainability Indices

DM discount margin

DOJ US Department of Justice

D-SIB domestic systemically important bank

DTA deferred tax asset

DVA debit valuation adjustment

EAD exposure at default

EB Executive Board

EBA European Banking Authority

EC European Commission

ECB European Central Bank

ECL expected credit loss

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

ESG environmental, social and governance

ETD exchange-traded derivatives

ETF exchange-traded fund

EU European Union

EUR euro

Euribor Euro Interbank Offered Rate

EVE economic value of equity

EY Ernst & Young (Ltd)

FA financial advisor

FCA UK Financial Conduct Authority

FCT foreign currency translation

FINMA Swiss Financial Market Supervisory Authority

FMIA Swiss Financial Market Infrastructure Act

FSB Financial Stability Board

FTA Swiss Federal Tax Administration

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

GDP gross domestic product

GEB Group Executive Board

GIA Group Internal Audit

GIIPS Greece, Italy, Ireland, Portugal and Spain

GMD Group Managing Director

GRI Global Reporting Initiative

GSE government sponsored entities

G-SIB global systemically important bank

HQLA high-quality liquid assets

HR human resources

Abbreviations frequently used in our financial reports (continued)

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

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

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

LTIP Long-Term Incentive Plan

LTV loan-to-value

M&A mergers and acquisitions

MiFID II Markets in Financial Instruments Directive II

MRT Material Risk Taker

NAV net asset value

NCL Non-core and Legacy Portfolio

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

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

QCCP qualifying central counterparty

QRRE qualifying revolving retail exposures

RBA role-based allowances

RBC risk-based capital

RbM risk-based monitoring

RMBS residential mortgage-backed securities

RniV risks not in VaR

RoAE return on attributed equity

RoCET1 return on CET1 capital

RoTE return on tangible equity

RoU right-of-use

RV replacement value

RW risk weight

RWA risk-weighted assets

SA standardized approach

SA-CCR standardized approach for counterparty credit risk

SAR stock appreciation right or Special Administrative Region

SBC Swiss Bank Corporation

SDG Sustainable Development Goal

SE structured entity

SEC US Securities and Exchange Commission

SEEOP Senior Executive Equity Ownership Plan

SFT securities financing transaction

SI sustainable investing

SICR significant increase in credit risk

SIX SIX Swiss Exchange

SME small and medium-sized entity

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

TTC through-the-cycle

UBS RESI UBS Real Estate Securities Inc.

UoM units of measure

USD US dollar

VaR value-at-risk

VAT value added tax

WEKO Swiss Competition Commission

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 Annual Report 2020 on Form 20-F, quarterly reports and other information furnished to or filed with the US Securities and Exchange Commission on Form 6-K, available at 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 and percent changes disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be derived from numbers presented in related tables, are calculated on a rounded basis.

Tables | Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be 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. Values that are zero on a rounded basis can be either negative or positive on an actual basis.

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: August 20, 2021

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