UBS Group AG - Interim / Quarterly Report 2021

6-K 1 EDGARq21ubsgroupagpil.htm EDGAR HTML document created by Certent CDM version: 20.11.1 ubsbaselIIIpillar36k1q21

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: April 27, 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 First Quarter 2021 Report, which appears immediately following this page.

31 March 2021 Pillar 3 report

UBS Group and significant regulated subsidiaries and sub-groups

Table of contents
Introduction and basis for
preparation
UBS Group
6	Section
1	Key metrics
8	Section
2	Risk-weighted assets
12	Section
3	Going and gone concern
requirements and eligible capital
13	Section
4	Leverage ratio
15	Section
5	Liquidity coverage ratio
Significant regulated
subsidiaries and sub-groups
18	Section
1	Introduction
18	Section
2	UBS AG standalone
23	Section
3	UBS Switzerland AG standalone
29	Section
4	UBS Europe SE consolidated
30	Section
5	UBS Americas Holding LLC
consolidated
Appendix
31	Abbreviations frequently used
in our financial reports
33	Cautionary statement

Contacts

Switchboards

For all general inquiries ubs.com/contact

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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]

+41-44-235 6652

Shareholder Services

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

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

[email protected]

+41-44-235 6652

US Transfer Agent

For global registered share-related inquiries in the US.

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

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

Shareholder website: 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

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 |

Introduction and basis for preparation

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 31 March 2021 for UBS Group AG consolidated is provided in the “Capital management” section of our first quarter 2021 report and for UBS AG consolidated in the “ Capital management ” section of the UBS AG first 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 31 October 2019, 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 this quarter

COVID-19 temporary regulatory measures

The program established by the Swiss Federal Council in March 2020 to support small and medium-sized entities (SMEs) by granting loans closed on 31 July 2020. As of that date, we had committed CHF 2.7 billion of loans up to CHF 0.5 million, which are 100% guaranteed by the Swiss government, and CHF 0.6 billion of loans between CHF 0.5 million and CHF 20 million, which are 85% government-guaranteed. The total amount drawn on our loan commitments under the program was CHF 1.8 billion on 31 March 2021.

We remain committed to donating any economic profits from the government-backed lending program to COVID-19 relief efforts. However, we did not make any profits from this program in the first quarter of 2021.

In addition, 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 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.

US measures on capital adequacy, capital distribution restrictions and leverage capital relief

In March 2021, US banking regulators decided to not extend the temporary exclusion of central bank deposits and US Treasury securities from the leverage exposure calculation for the supplementary leverage ratio beyond March 2021. The temporary exemption was applicable to UBS Americas Holding LLC (UBSAH) with respect to US regulatory capital requirements. In addition, the Federal Reserve announced that the limits on capital distributions imposed during the COVID-19 pandemic would be removed after 30 June 2021. As a result, capital distributions by UBSAH will generally be permitted for as long as it meets regulatory capital requirements, including the incremental stress capital buffer set by the Federal Reserve Board as part of its Comprehensive Capital Analysis and Review stress test (CCAR). UBSAH’s stress capital buffer requirement, currently 6.7%, will be assessed and may be revised in the 2021 CCAR process, the results of which are expected to be announced by the Federal Reserve Board in June 2021.

Methodology change for credit valuation adjustment risk related to Lombard derivative exposures

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 risk-weighted assets (RWA) in the first quarter of 2021.

Phase-in of RWA effects

Effective from the third quarter of 2020, we began to phase in RWA increases related to the fourth quarter of 2020 release of new probability of default (PD) and loss given default (LGD) parameters for mortgage portfolios in the US. As agreed with FINMA, the RWA effects of such model updates will be phased in over six quarters, until the end of 2021, with an estimated quarterly RWA increase of USD 0.5 billion.

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 December 2020 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

UBS Group

Section 1 Key metrics

Key metrics of the first quarter of 2021

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 .

During the first quarter of 2021, our common equity tier 1 (CET1) capital increased by USD 0.5 billion to USD 40.4 billion, mainly reflecting operating profit before tax of USD 2.3 billion, partly offset by negative foreign currency translation effects of USD 0.8 billion, current tax expenses of USD 0.4 billion, accruals for capital returns to shareholders of USD 0.3 billion and negative defined benefit plans effects of USD 0.2 billion.

Total capital decreased by USD 2.4 billion to USD 58.8 billion, mainly reflecting the call of a EUR 2 billion tier 2 capital instrument amounting to USD 2.4 billion.

The TLAC available as of 31 March 2021 included CET1 capital, additional tier 1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 March 2021, but is included as available TLAC in the KM2 table in this section.

Our available TLAC decreased by USD 1.1 billion to USD 100.7 billion, mainly reflecting the aforementioned call of a EUR 2 billion tier 2 capital instrument, partly offset by a net increase of USD 1.3 billion from non-regulatory capital elements of TLAC.

Risk-weighted assets (RWA) decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and counterparty credit risk RWA of USD 0.3 billion.

The leverage ratio exposure was stable at USD 1,038 billion as the increases in derivative and securities financing transactions (SFTs) exposures were largely offset by the decrease in on-balance sheet exposures (excluding derivatives and SFTs).

The average high-quality liquid assets (HQLA) increased by USD 7.1 billion to USD 221.4 billion, due to higher cash balances, partly offset by higher funding consumption in the business divisions. Average total net cash outflows increased by USD 5.4 billion to USD 146.3 billion, due to an increase in average customer deposit balances.

| KM1:
Key metrics | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | | | | | | |
| | | 31.3.21 | 31.12.20 | 30.9.20 | 30.6.20 | 31.3.20 |
| Available capital (amounts) | | | | | | |
| 1 | Common equity tier 1 (CET1) | 40,426 | 39,890 | 38,197 | 38,114 | 36,659 |
| 1a | Fully loaded ECL accounting model CET1 1 | 40,403 | 39,856 | 38,162 | 38,070 | 36,624 |
| 2 | Tier 1 | 56,288 | 56,178 | 54,396 | 53,505 | 51,884 |
| 2a | Fully loaded ECL accounting model Tier 1 1 | 56,264 | 56,144 | 54,360 | 53,460 | 51,850 |
| 3 | Total capital | 58,822 | 61,226 | 59,382 | 58,876 | 57,752 |
| 3a | Fully loaded ECL accounting model total capital 1 | 58,799 | 61,193 | 59,347 | 58,831 | 57,718 |
| Risk-weighted assets (amounts) | | | | | | |
| 4 | Total risk-weighted assets (RWA) | 287,828 | 289,101 | 283,133 | 286,436 | 286,256 |
| 4a | Minimum capital requirement 2 | 23,026 | 23,128 | 22,651 | 22,915 | 22,901 |
| 4b | Total risk-weighted assets (pre-floor) | 287,828 | 289,101 | 283,133 | 286,436 | 286,256 |
| Risk-based capital ratios as a
percentage of RWA | | | | | | |
| 5 | Common equity tier 1 ratio (%) | 14.05 | 13.80 | 13.49 | 13.31 | 12.81 |
| 5a | Fully loaded ECL accounting model Common equity tier 1 ratio (%) 1 | 14.04 | 13.79 | 13.48 | 13.29 | 12.79 |
| 6 | Tier 1 ratio (%) | 19.56 | 19.43 | 19.21 | 18.68 | 18.12 |
| 6a | Fully loaded ECL accounting model Tier 1 ratio (%) 1 | 19.55 | 19.42 | 19.20 | 18.66 | 18.11 |
| 7 | Total capital ratio (%) | 20.44 | 21.18 | 20.97 | 20.55 | 20.17 |
| 7a | Fully loaded ECL accounting model total capital ratio (%) 1 | 20.43 | 21.17 | 20.96 | 20.54 | 20.16 |
| 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 (%) | 9.55 | 9.30 | 8.99 | 8.81 | 8.31 |
| Basel III leverage ratio 3 | | | | | | |
| 13 | Total Basel III leverage ratio exposure measure | 1,038,225 | 1,037,150 | 994,366 | 974,359 | 955,943 |
| 14 | Basel III leverage ratio (%) | 5.42 | 5.42 | 5.47 | 5.49 | 5.43 |
| 14a | Fully loaded ECL accounting model Basel III leverage ratio (%) 1 | 5.42 | 5.41 | 5.47 | 5.49 | 5.42 |
| Liquidity coverage ratio 4 | | | | | | |
| 15 | Total HQLA | 221,371 | 214,276 | 211,185 | 206,693 | 170,630 |
| 16 | Total net cash outflow | 146,314 | 140,891 | 137,345 | 133,786 | 122,383 |
| 17 | LCR (%) | 151 | 152 | 154 | 155 | 139 |
| 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. | | | | | | |

| KM2: Key metrics – TLAC requirements
(at resolution group level) 1 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | | | | | | |
| | | 31.3.21 | 31.12.20 | 30.9.20 | 30.6.20 | 31.3.20 |
| 1 | Total loss-absorbing capacity (TLAC) available | 100,720 | 101,814 | 97,753 | 93,626 | 93,686 |
| 1a | Fully loaded ECL accounting model TLAC available 2 | 100,697 | 101,780 | 97,717 | 93,581 | 93,652 |
| 2 | Total RWA at the level of the resolution group | 287,828 | 289,101 | 283,133 | 286,436 | 286,256 |
| 3 | TLAC as a percentage of RWA (%) | 34.99 | 35.22 | 34.53 | 32.69 | 32.73 |
| 3a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model RWA (%) 2 | 34.98 | 35.21 | 34.51 | 32.67 | 32.72 |
| 4 | Leverage ratio exposure measure at the level of the resolution
group 3 | 1,038,225 | 1,037,150 | 994,366 | 974,359 | 955,943 |
| 5 | TLAC as a percentage of leverage ratio exposure measure (%) | 9.70 | 9.82 | 9.83 | 9.61 | 9.80 |
| 5a | Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model leverage exposure measure (%) 2,3 | 9.70 | 9.81 | 9.83 | 9.60 | 9.80 |
| 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. | | | | | | |

UBS Group

Section 2 Risk-weighted assets

Our approach to measuring risk exposure and risk-weighted assets

Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under International Financial Reporting Standards (IFRS), for deriving our regulatory capital requirements or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our risk-weighted assets (RWA) are calculated according to the Basel Committee on Banking Supervision (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 .

Overview of RWA and capital requirements

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 first quarter of 2021, RWA decreased by USD 1.3 billion to USD 287.8 billion, including a reduction related to currency effects of USD 5.6 billion, mainly reflecting decreases in credit risk RWA of USD 2.4 billion and market risk RWA of USD 1.5 billion, partially offset by increases in investment in funds RWA of USD 1.2 billion, credit valuation adjustment RWA of USD 1.1 billion and as counterparty credit risk RWA of USD 0.3 billion.

Credit risk RWA under the internal ratings-based approach and the standardized approach decreased by USD 2.4 billion, mainly driven by a reduction related to currency effects, partially offset by increases in loans and loan commitments in the Investment Bank and loans in Global Wealth Management. The RWA increase related to investments in funds of USD 1.2 billion was due to a business-driven investment in Asset Management. The increase in credit valuation adjustment RWA of USD 1.1 billion was primarily due to a methodology and policy change related to derivatives for Lombard clients in Global Wealth Management. Counterparty credit risk RWA increased by USD 0.3 billion, driven by higher derivatives RWA due to higher trading activity, partially offset by currency effects.

Market risk RWA d ecreased by USD 1.5 billion, driven by a decrease in asset size and other movements in the Investment Bank’s Global Markets business resulting from lower stressed value-at-risk (SVaR) levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.

The flow tables for credit risk, counterparty credit risk and market risk RWA in this section provide further details regarding the movements in RWA in the first quarter of 2021.

More information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2021, is provided on pages 39–40 of the “Capital management“ section of our first quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors .

| OV1:
Overview of RWA — USD million | | RWA | | Minimum capital requirements 1 |
| --- | --- | --- | --- | --- |
| | | 31.3.21 | 31.12.20 | 31.3.21 |
| 1 | Credit risk (excluding
counterparty credit risk) | 137,485 | 139,846 | 10,999 |
| 2 | of which: standardized
approach (SA) | 31,299 | 31,565 | 2,504 |
| 2a | of which:
non-counterparty-related risk | 12,922 | 13,393 | 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 | 106,186 | 108,281 | 8,495 |
| 6 | Counterparty credit risk 2 | 40,691 | 40,354 | 3,255 |
| 7 | of which: SA for counterparty
credit risk (SA-CCR) | 7,193 | 6,006 | 575 |
| 8 | of which: internal model
method (IMM) | 19,352 | 19,380 | 1,548 |
| 8a | of which: value-at-risk (VaR) | 7,353 | 8,386 | 588 |
| 9 | of which: other CCR | 6,793 | 6,581 | 543 |
| 10 | Credit valuation adjustment
(CVA) | 4,080 | 2,945 | 326 |
| 11 | Equity positions under the
simple risk-weight approach | 2,794 | 2,795 | 223 |
| 12 | Equity investments in funds –
look-through approach | 893 | 882 | 71 |
| 13 | Equity investments in funds –
mandate-based approach | 1,916 | 648 | 153 |
| 14 | Equity investments in funds –
fallback approach | 86 | 126 | 7 |
| 15 | Settlement risk | 341 | 372 | 27 |
| 16 | Securitization exposures in
banking book | 281 | 314 | 23 |
| 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) | 265 | 301 | 21 |
| 19 | of which: securitization
standardized approach (SEC-SA) | 16 | 13 | 1 |
| 20 | Market risk | 10,354 | 11,841 | 828 |
| 21 | of which: standardized
approach (SA) | 588 | 456 | 47 |
| 22 | of which: internal models
approach (IMA) | 9,767 | 11,385 | 781 |
| 23 | Capital charge for switch
between trading book and banking book 3 | | | |
| 24 | Operational risk | 75,775 | 75,775 | 6,062 |
| 25 | Amounts below thresholds for
deduction (250% risk weight) 4 | 13,133 | 13,202 | 1,051 |
| 25a | of which: deferred tax assets | 9,906 | 9,981 | 793 |
| 26 | Floor adjustment 5 | | | |
| 27 | Total | 287,828 | 289,101 | 23,026 |
| 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, does not exceed our
Basel III RWA, including the RWA equivalent of the Basel III capital
deductions. | | | | |

UBS Group

RWA flow statements of credit risk exposures under IRB

The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2021 across movement categories defined by the 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 advanced internal ratings-based (A-IRB) approach decreased by USD 2.1 billion to USD 106.2 billion during the first quarter of 2021.

The RWA increase from asset size movements of USD 2.8 billion was predominantly due to new loan commitments in the Investment Bank and an increase in Lombard loans in Global Wealth Management.

The RWA from asset quality decreased by USD 1.5 billion, mainly due to improvements in counterparty ratings and loss given default during the first quarter of 2021 in Global Wealth Management and Personal & Corporate Banking. Model updates of USD 0.6 billion were mainly driven by the recalibration of risk parameters for real estate and sovereign portfolios in Global Wealth Management and Group Functions. RWA decreased by USD 4 billion related to foreign exchange movements, mainly due to the strengthening of the US dollar against the Swiss franc, primarily in the Swiss mortgages portfolio in Personal & Corporate Banking and Global Wealth Management.

| CR8: RWA flow statements of credit
risk exposures under IRB — USD million | | RWA |
| --- | --- | --- |
| 1 | RWA as of 31.12.20 | 108,281 |
| 2 | Asset size | 2,762 |
| 3 | Asset quality | (1,456) |
| 4 | Model updates | 550 |
| 5 | Methodology and policy | |
| 5a | of which: regulatory add-ons | |
| 6 | Acquisitions and disposals | |
| 7 | Foreign exchange movements | (3,951) |
| 8 | Other | |
| 9 | RWA as of 31.3.21 | 106,186 |

RWA flow statements of counterparty credit risk exposures under the IMM and VaR

Counterparty credit risk (CCR) RWA on derivatives under the internal model method (IMM) was unchanged at USD 19.4 billion during the first quarter of 2021, primarily as an asset size increase in the Investment Bank, mainly as a result of higher trading activity, was offset by a decrease in RWA related to foreign exchange movements, credit quality, and model updates.

CCR RWA on securities financing transactions (SFTs) under the VaR approach decreased by USD 1 billion to USD 7.4 billion during the first quarter of 2021, mainly due to an asset size decrease primarily related to market volatility, as well as foreign exchange movements.

| CCR7: RWA flow statements of CCR
exposures under the internal model method (IMM) and value-at-risk (VaR) | | Derivatives | SFTs | Total |
| --- | --- | --- | --- | --- |
| USD million | | Subject to IMM | Subject to VaR | |
| 1 | RWA as of 31.12.20 | 19,380 | 8,386 | 27,767 |
| 2 | Asset size | 911 | (767) | 144 |
| 3 | Credit quality of counterparties | (338) | (37) | (376) |
| 4 | Model updates | (211) | (90) | (301) |
| 5 | Methodology and policy | | | |
| 5a | of which: regulatory add-ons | | | |
| 6 | Acquisitions and disposals | | | |
| 7 | Foreign exchange movements | (390) | (139) | (529) |
| 8 | Other | | | |
| 9 | RWA as of 31.3.21 | 19,352 | 7,353 | 26,705 |

RWA flow statements of market risk exposures under an IMA

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

The MR2 table below provides a breakdown of the movement in market risk RWA in the first quarter of 2021 under an internal models approach across those components, pursuant to the movement categories defined by 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 1.6 billion to USD 9.8 billion in the first quarter of 2021, driven primarily by a decrease in asset size and other movements in the Investment Bank’s Global Markets business resulting from lower stressed VaR levels, mainly due to its equities trading business. This was partially offset by an increase in regulatory VaR RWA.

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

| 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 Components that describe movements in RWA are presented in
italics. | | | | | |

UBS Group

Section 3 Going and gone concern requirements and eligible capital

The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital requirements as required by the Swiss Financial Market Supervisory Authority (FINMA). More information about capital management is provided on pages 33–42 in the “ Capital management ” section of our first quarter 2021 report, available under “Quarterly reporting” at ubs.com/investors .

| Swiss SRB going and gone concern
requirements and information — As of 31.3.21 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| USD million, except where
indicated | in % | | in % | |
| Required going concern
capital | | | | |
| Total going concern capital | 13.96 1 | 40,193 | 4.88 1 | 50,613 |
| Common equity tier 1 capital | 9.66 | 27,816 | 3.38 2 | 35,040 |
| of which: minimum capital | 4.50 | 12,952 | 1.50 | 15,573 |
| of which: buffer capital | 5.14 | 14,794 | 1.88 | 19,467 |
| of which: countercyclical
buffer | 0.02 | 70 | | |
| Maximum additional tier 1
capital | 4.30 | 12,377 | 1.50 | 15,573 |
| of which: additional tier 1
capital | 3.50 | 10,074 | 1.50 | 15,573 |
| of which: additional tier 1
buffer capital | 0.80 | 2,303 | | |
| Eligible going concern
capital | | | | |
| Total going concern capital | 19.56 | 56,288 | 5.42 | 56,288 |
| Common equity tier 1 capital | 14.05 | 40,426 | 3.89 | 40,426 |
| Total loss-absorbing
additional tier 1 capital 3 | 5.51 | 15,862 | 1.53 | 15,862 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 4.64 | 13,361 | 1.29 | 13,361 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 0.87 | 2,501 | 0.24 | 2,501 |
| Required gone concern
capital 4 | | | | |
| Total gone concern
loss-absorbing capacity 5 | 10.59 | 30,468 | 3.76 | 39,012 |
| of which: base requirement | 12.86 | 37,015 | 4.50 | 46,720 |
| of which: additional
requirement for market share and LRD | 1.08 | 3,109 | 0.38 | 3,893 |
| of which: applicable reduction
on requirements | (3.35) | (9,655) | (1.12) | (11,601) |
| of which: rebate granted
(equivalent to 47.5% of maximum rebate) | (2.54) | (7,301) | (0.89) | (9,247) |
| of which: reduction for usage
of low-trigger tier 2 capital instruments | (0.82) | (2,355) | (0.23) | (2,355) |
| Eligible gone concern
capital | | | | |
| Total gone concern
loss-absorbing capacity | 15.42 | 44,381 | 4.27 | 44,381 |
| Total tier 2 capital | 1.82 | 5,253 | 0.51 | 5,253 |
| of which: low-trigger
loss-absorbing tier 2 capital | 1.64 | 4,709 | 0.45 | 4,709 |
| of which: non-Basel
III-compliant tier 2 capital | 0.19 | 544 | 0.05 | 544 |
| TLAC-eligible senior unsecured
debt | 13.59 | 39,129 | 3.77 | 39,129 |
| Total loss-absorbing
capacity | | | | |
| Required total loss-absorbing
capacity | 24.55 | 70,661 | 8.63 | 89,626 |
| Eligible total loss-absorbing
capacity | 34.98 | 100,669 | 9.70 | 100,669 |
| Risk-weighted assets /
leverage ratio denominator | | | | |
| Risk-weighted assets | | 287,828 | | |
| Leverage ratio denominator | | | | 1,038,225 |
| 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%. | | | | |

Section 4 Leverage ratio

Basel III leverage ratio

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 (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.

Difference between the Swiss SRB and BCBS leverage ratio

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.

| Reconciliation of IFRS total
assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions — USD million | 31.3.21 | 31.12.20 1 |
| --- | --- | --- |
| On-balance sheet exposures | | |
| IFRS total assets | 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 | (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 | (183,352) | (192,370) |
| Less carrying amount of securities financing transactions in
IFRS total assets 3 | (112,593) | (105,587) |
| Adjustments to accounting values | | |
| On-balance sheet items
excluding derivatives and securities financing transactions, but including
collateral | 790,233 | 806,642 |
| Asset amounts deducted in determining BCBS Basel III tier 1
capital | (12,632) | (12,754) |
| Total on-balance sheet exposures
(excluding derivatives and securities financing transactions) | 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

During the first quarter of 2021, the LRD was stable at USD 1,038 billion. On-balance sheet exposures (excluding derivatives and SFTs) decreased by USD 16 billion, mainly driven by currency effects of USD 25 billion and lower high-quality liquid asset (HQLA) securities, partly offset by increases in lending assets and cash and balances at central banks. Derivative exposures increased by USD 10 billion, mainly reflecting higher potential future exposure and market-driven movements. SFTs increased by USD 8 billion, mainly driven by excess cash re-investment and an increase in securities borrowing activities.

| LR2: BCBS Basel III leverage
ratio common disclosure — USD million, except where
indicated | | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- |
| | On-balance sheet exposures | | |
| 1 | On-balance sheet items excluding derivatives and SFTs, but
including collateral | 790,233 | 806,642 |
| 2 | (Asset amounts deducted in determining Basel III tier 1 capital) | (12,632) | (12,754) |
| 3 | Total on-balance sheet
exposures (excluding derivatives and SFTs) | 777,601 | 793,888 |
| | Derivative exposures | | |
| 4 | Replacement cost associated with all derivatives transactions
(i.e., net of eligible cash variation margin) | 59,145 | 54,049 |
| 5 | Add-on amounts for PFE associated with all derivatives
transactions | 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) | (23,146) | (21,420) |
| 8 | (Exempted CCP leg of client-cleared trade exposures) | (15,139) | (16,760) |
| 9 | Adjusted effective notional amount of all written credit derivatives 2 | 80,570 | 85,274 |
| 10 | (Adjusted effective notional offsets and add-on deductions for
written credit derivatives) 3 | (79,504) | (84,451) |
| 11 | Total derivative exposures | 106,195 | 96,592 |
| | Securities financing
transaction exposures | | |
| 12 | Gross SFT assets (with no recognition of netting), after
adjusting for sale accounting transactions | 197,482 | 198,077 |
| 13 | (Netted amounts of cash payables and cash receivables of gross
SFT assets) | (84,890) | (92,490) |
| 14 | CCR exposure for SFT assets | 10,648 | 9,759 |
| 15 | Agent transaction exposures | | |
| 16 | Total securities financing
transaction exposures | 123,240 | 115,346 |
| | Other off-balance sheet
exposures | | |
| 17 | Off-balance sheet exposure at gross notional amount | 100,243 | 105,084 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (69,053) | (73,760) |
| 19 | Total off-balance sheet items | 31,189 | 31,324 |
| | Total exposures (leverage
ratio denominator) | 1,038,225 | 1,037,150 |
| | Capital and total exposures
(leverage ratio denominator) | | |
| 20 | Tier 1 capital | 56,288 | 56,178 |
| 21 | Total exposures (leverage
ratio denominator) | 1,038,225 | 1,037,150 |
| | Leverage ratio | | |
| 22 | Basel III leverage ratio (%) | 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. | | | |

| LR1: BCBS Basel III leverage
ratio summary comparison — USD million | | 31.3.21 | 31.12.20 1 |
| --- | --- | --- | --- |
| 1 | Total consolidated assets as per published financial statements | 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 | (34,167) | (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 | (77,157) | (95,778) |
| 5 | Adjustment for securities financing transactions (i.e., repos
and similar secured lending) | 10,648 | 9,759 |
| 6 | Adjustment for off-balance sheet items (i.e., conversion to
credit equivalent amounts of off-balance sheet exposures) | 31,189 | 31,324 |
| 7 | Other adjustments | | |
| 8 | Leverage ratio exposure
(leverage ratio denominator) | 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. | | | |

Section 5 Liquidity coverage ratio

Liquidity coverage ratio

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.

| Pillar 3 disclosure
requirement | First quarter 2021 report section | Disclosure | | First quarter 2021 report page
number |
| --- | --- | --- | --- | --- |
| Concentration of funding sources | Balance sheet and off-balance sheet | – | Liabilities by product and currency | 47 |

High-quality liquid assets

HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of an active and sizeable 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.

High-quality liquid assets
	Average 1Q21 1			Average 4Q20 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	145		145	133		133
Securities (on- and off-balance sheet)	58	18	76	63	18	81
Total high-quality liquid
assets 4	203	18	221	196	18	214
1 Calculated based on an average of 63 data points in the first
quarter of 2021 and 63 data points in the fourth quarter of 2020. 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.

UBS Group

LCR development during the first quarter of 2021

In the first quarter of 2021, the UBS Group LCR decreased 1 percentage point to 151%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The average LCR decrease was primarily driven by increased net cash outflows from higher customer deposit balances. These outflows were mostly offset by higher high-quality liquid assets (HQLA) due to higher cash balances, partly offset by higher funding consumption in the business divisions.

LIQ1: Liquidity coverage ratio
		Average 1Q21 1		Average 4Q20 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	225	221	218	214
Cash outflows
2	Retail deposits and deposits from small business customers	299	34	296	33
3	of which: stable deposits	41	1	41	1
4	of which: less stable deposits	257	32	255	32
5	Unsecured wholesale funding	241	130	224	119
6	of which: operational deposits
(all counterparties)	53	13	52	13
7	of which: non-operational
deposits (all counterparties)	172	101	157	92
8	of which: unsecured debt	16	16	14	14
9	Secured wholesale funding		79		73
10	Additional requirements	90	26	88	27
11	of which: outflows related to
derivatives and other transactions	47	17	45	18
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	43	9	43	9
14	Other contractual funding obligations	12	10	13	11
15	Other contingent funding obligations	254	5	256	6
16	Total cash outflows		285		269
Cash inflows
17	Secured lending	321	85	314	81
18	Inflows from fully performing exposures	78	36	71	33
19	Other cash inflows	18	18	15	15
20	Total cash inflows	417	138	400	128
			Average 1Q21 1		Average 4Q20 1
USD billion, except where
indicated			Total adjusted value 4		Total adjusted value 4
Liquidity coverage ratio
21	High-quality liquid assets		221		214
22	Net cash outflows		146		141
23	Liquidity coverage ratio (%)		151		152
1 Calculated based on an average of 63 data points in the first
quarter of 2021 and 63 data points in the fourth quarter of 2020. 2
Calculated after the application of haircuts and inflow and outflow rates.
3 Includes outflows related to loss of funding on asset-backed
securities, covered bonds, other structured financing instruments,
asset-backed commercial papers, structured entities (conduits), securities
investment vehicles and other such financing facilities. 4 Calculated
after the application of haircuts and inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows.

Significant regulated subsidiaries and sub-groups

Section 1 Introduction

The sections on the following pages include capital and other regulatory information as of 31 March 2021 for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated.

C apital 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 agreed with regulators based on the risk profile of the entities.

Section 2 UBS AG standalone

Key metrics of the first quarter of 2021

The table on the next page is based on the Basel Committee on Banking Supervision (the BCBS) Basel III rules.

During the first quarter of 2021, common equity tier 1 (CET1) capital was stable at USD 50.2 billion, as the operating profit before tax was offset by accruals for capital returns to UBS Group AG, current tax expenses and other items. Total capital decreased by USD 2.5 billion to USD 67.1 billion, mainly reflecting the call of a EUR 2 billion on-lend tier 2 capital instrument amounting to USD 2.4 billion.

Risk-weighted assets (RWA) increased by USD 12.2 billion to USD 317.8 billion during the first quarter of 2021, primarily driven by increases in credit and counterparty credit risk RWA, including the gradual increase of risk weights for investments in the Swiss and foreign-domiciled subsidiaries in accordance with the relevant FINMA decree.

The leverage ratio exposure increased by USD 16 billion to USD 611 billion, mainly driven by higher derivative exposures and higher exposures from securities financing transactions.

The average high-quality liquid assets (HQLA) decreased by USD 1.9 billion to USD 82.0 billion driven by a reduction of cash balances. Average total net cash outflows decreased by USD 4.9 billion to USD 47.9 billion due to higher inflows from interbank funding provided.

| KM1:
Key metrics | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD million, except where
indicated | | | | | | |
| | | 31.3.21 | 31.12.20 | 30.9.20 | 30.6.20 | 31.3.20 |
| Available capital (amounts) | | | | | | |
| 1 | Common equity tier 1 (CET1) | 50,223 | 50,269 | 51,793 | 51,810 | 48,998 |
| 1a | Fully loaded ECL accounting model CET1 1 | 50,189 | 50,266 | 51,791 | 51,808 | 48,994 |
| 2 | Tier 1 | 64,652 | 64,699 | 66,145 | 65,361 | 62,382 |
| 2a | Fully loaded ECL accounting model tier 1 1 | 64,618 | 64,696 | 66,143 | 65,359 | 62,379 |
| 3 | Total capital | 67,126 | 69,639 | 71,020 | 70,612 | 68,130 |
| 3a | Fully loaded ECL accounting model total capital 1 | 67,091 | 69,636 | 71,018 | 70,610 | 68,127 |
| Risk-weighted assets (amounts) | | | | | | |
| 4 | Total risk-weighted assets (RWA) | 317,824 | 305,575 | 309,019 | 310,752 | 317,621 |
| 4a | Minimum capital requirement 2 | 25,426 | 24,446 | 24,722 | 24,860 | 25,410 |
| 4b | Total risk-weighted assets (pre-floor) | 317,824 | 305,575 | 309,019 | 310,752 | 317,621 |
| Risk-based capital ratios as a
percentage of RWA | | | | | | |
| 5 | Common equity tier 1 ratio (%) | 15.80 | 16.45 | 16.76 | 16.67 | 15.43 |
| 5a | Fully loaded ECL accounting model CET1 ratio (%) 1 | 15.79 | 16.45 | 16.76 | 16.67 | 15.43 |
| 6 | Tier 1 ratio (%) | 20.34 | 21.17 | 21.40 | 21.03 | 19.64 |
| 6a | Fully loaded ECL accounting model tier 1 ratio (%) 1 | 20.33 | 21.17 | 21.40 | 21.03 | 19.64 |
| 7 | Total capital ratio (%) | 21.12 | 22.79 | 22.98 | 22.72 | 21.45 |
| 7a | Fully loaded ECL accounting model total capital ratio (%) 1 | 21.11 | 22.79 | 22.98 | 22.72 | 21.45 |
| 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 | 0.01 | 0.02 | 0.02 | 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 | 2.51 | 2.52 | 2.52 | 2.51 |
| 12 | CET1 available after meeting the bank’s minimum capital
requirements (%) | 11.30 | 11.95 | 12.26 | 12.17 | 10.93 |
| Basel III leverage ratio 4 | | | | | | |
| 13 | Total Basel III leverage ratio exposure measure | 611,022 | 595,017 | 588,204 | 573,741 | 574,692 |
| 14 | Basel III leverage ratio (%) | 10.58 | 10.87 | 11.25 | 11.39 | 10.85 |
| 14a | Fully loaded ECL accounting model Basel III leverage ratio (%) 1 | 10.58 | 10.87 | 11.24 | 11.39 | 10.85 |
| Liquidity coverage ratio 5 | | | | | | |
| 15 | Total HQLA | 82,041 | 83,905 | 88,424 | 91,877 | 67,963 |
| 16 | Total net cash outflow | 47,927 | 52,851 | 52,463 | 52,209 | 48,320 |
| 17 | LCR (%) | 172 | 159 | 169 | 178 | 141 |
| 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. | | | | | | |

Significant regulated subsidiaries and sub-groups

Swiss SRB going and gone concern requirements and information

The tables below and on the next page provide details of the Swiss systematically relevant bank (SRB) RWA- and leverage ratio denominator (LRD)-based going and gone concern requirements and information as required by 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 .

| Swiss SRB going and gone concern
requirements and information — As of 31.3.21 | 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 | 44,363 | 13.96 1 | 53,313 | 4.88 1 | 29,787 |
| Common equity tier 1 capital | 9.66 | 30,696 | 9.66 | 36,890 | 3.38 | 20,622 |
| of which: minimum capital | 4.50 | 14,302 | 4.50 | 17,188 | 1.50 | 9,165 |
| of which: buffer capital | 5.14 | 16,336 | 5.14 | 19,632 | 1.88 | 11,457 |
| of which: countercyclical
buffer | 0.02 | 58 | 0.02 | 70 | | |
| Maximum additional tier 1
capital | 4.30 | 13,666 | 4.30 | 16,424 | 1.50 | 9,165 |
| of which: additional tier 1
capital | 3.50 | 11,124 | 3.50 | 13,368 | 1.50 | 9,165 |
| of which: additional tier 1
buffer capital | 0.80 | 2,543 | 0.80 | 3,056 | | |
| Eligible going concern
capital | | | | | | |
| Total going concern capital | 20.34 | 64,652 | 16.93 | 64,652 | 10.58 | 64,652 |
| Common equity tier 1 capital | 15.80 | 50,223 | 13.15 | 50,223 | 8.22 | 50,223 |
| Total loss-absorbing
additional tier 1 capital | 4.54 | 14,429 | 3.78 | 14,429 | 2.36 | 14,429 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 3.75 | 11,930 | 3.12 | 11,930 | 1.95 | 11,930 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 0.79 | 2,499 | 0.65 | 2,499 | 0.41 | 2,499 |
| Risk-weighted assets /
leverage ratio denominator | | | | | | |
| Risk-weighted assets | | 317,824 | | 381,948 | | |
| Leverage ratio denominator | | | | | | 611,022 |
| Required gone concern
capital 2 | Higher of RWA- or LRD-based | | | | | |
| Total gone concern
loss-absorbing requirement | | 37,576 | | | | |
| Eligible gone concern
capital | | | | | | |
| Total gone concern
loss-absorbing capacity | | 44,365 | | | | |
| Gone concern coverage capital
ratio | 118.07 | | | | | |
| 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. | | | | | | |

| Swiss
SRB going and gone concern information — USD million, except where
indicated | 31.3.21 | 31.12.20 |
| --- | --- | --- |
| Eligible going concern
capital | | |
| Total going concern capital | 64,652 | 64,699 |
| Total tier 1 capital | 64,652 | 64,699 |
| Common equity tier 1 capital | 50,223 | 50,269 |
| Total loss-absorbing
additional tier 1 capital | 14,429 | 14,430 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 11,930 | 11,854 |
| of which: low-trigger
loss-absorbing additional tier 1 capital | 2,499 | 2,575 |
| Eligible gone concern
capital | | |
| Total gone concern
loss-absorbing capacity | 44,365 | 45,520 |
| Total tier 2 capital | 5,236 | 7,719 |
| of which: low-trigger
loss-absorbing tier 2 capital | 4,700 | 7,184 |
| of which: non-Basel
III-compliant tier 2 capital | 536 | 535 |
| TLAC-eligible senior unsecured
debt | 39,129 | 37,801 |
| Total loss-absorbing
capacity | | |
| Total loss-absorbing capacity | 109,017 | 110,219 |
| Risk-weighted assets /
leverage ratio denominator | | |
| Risk-weighted assets, phase-in | 317,824 | 305,575 |
| of which: direct and indirect
investments in Switzerland-domiciled subsidiaries 1 | 37,834 | 38,370 |
| of which: direct and indirect
investments in foreign-domiciled subsidiaries 1 | 107,648 | 99,635 |
| Risk-weighted assets, fully applied as of 1.1.28 | 381,948 | 379,307 |
| of which: direct and indirect investments
in Switzerland-domiciled subsidiaries 1 | 43,993 | 45,678 |
| of which: direct and indirect
investments in foreign-domiciled subsidiaries 1 | 165,612 | 166,058 |
| Leverage ratio denominator 2 | 611,022 | 595,017 |
| Capital and loss-absorbing
capacity ratios (%) | | |
| Going concern capital ratio, phase-in | 20.3 | 21.2 |
| of which: common equity tier 1
capital ratio, phase-in | 15.8 | 16.5 |
| Going concern capital ratio, fully applied as of 1.1.28 | 16.9 | 17.1 |
| of which: common equity tier 1
capital ratio, fully applied as of 1.1.28 | 13.1 | 13.3 |
| Leverage ratios (%) 2 | | |
| Going concern leverage ratio | 10.6 | 10.9 |
| of which: common equity tier 1
leverage ratio | 8.2 | 8.4 |
| Gone concern capital
coverage ratio (%) | | |
| Gone concern capital coverage ratio | 118.1 | 135.7 |
| 1 Carrying amounts for direct and indirect investments including
holding of regulatory capital instruments in Switzerland-domiciled
subsidiaries (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 (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. | | |

Significant regulated subsidiaries and sub-groups

Leverage ratio information

| Swiss SRB leverage ratio
denominator — USD billion | 31.3.21 | 31.12.20 1 |
| --- | --- | --- |
| Leverage ratio denominator | | |
| Swiss GAAP total assets | 517.6 | 509.0 |
| Difference between Swiss GAAP and IFRS total assets | 146.1 | 160.0 |
| Less: derivative exposures and SFTs 2 | (266.5) | (271.8) |
| Less: funding provided to significant regulated subsidiaries
eligible as gone concern capital | (20.5) | (20.2) |
| On-balance sheet exposures (excluding
derivative exposures and SFTs) | 376.7 | 377.0 |
| Derivative exposures | 109.1 | 98.2 |
| Securities financing transactions | 104.3 | 99.4 |
| Off-balance sheet items | 22.2 | 21.6 |
| Items deducted from Swiss SRB tier 1 capital | (1.3) | (1.2) |
| Total exposures (leverage
ratio denominator) | 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

In the first quarter of 2021, the UBS AG liquidity coverage ratio (LCR) was 172%, remaining above the prudential requirements communicated by FINMA.

Liquidity coverage ratio
	Weighted value 1
USD billion, except where
indicated	Average 1Q21 2	Average 4Q20 2
High-quality liquid assets	82	84
Total net cash outflows	48	53
of which: cash outflows	172	166
of which: cash inflows	124	113
Liquidity coverage ratio (%)	172	159
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 63 data points in the first
quarter of 2021 and 63 data points in the fourth quarter of 2020.

Section 3 UBS Switzerland AG standalone

Key metrics of the first quarter of 2021

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

During the first quarter of 2021, common equity tier 1 (CET1) capital increased by CHF 0.2 billion to CHF 12.4 billion, mainly as a result of net profit. Tier 1 capital and total capital increased by CHF 0.4 billion to CHF 17.8 billion, reflecting the aforementioned increase in CET1 capital and a new additional tier 1 (AT1) capital issuance of CHF 0.7 billion, partly offset by the call of a CHF 0.5 billion AT1 capital instrument.

Risk-weighted assets (RWA) increased by CHF 2.9 billion to CHF 110.2 billion, primarily due to increased exposures across Lombard loans and securities financing transactions.

The leverage ratio exposure increased by CHF 10 billion to CHF 345 billion, mainly driven by on-balance sheet exposures from lending assets, as well as securities financing transactions.

The average high-quality liquid assets (HQLA) increased by CHF 4.5 billion to CHF 96.4 billion driven by higher cash balances. Average total net cash outflows increased by CHF 3.8 billion to CHF 65.8 billion, due to higher customer deposit balances.

KM1: Key metrics
CHF million, except where
indicated
		31.3.21	31.12.20	30.9.20	30.6.20	31.3.20
Available capital (amounts)
1	Common equity tier 1 (CET1)	12,417	12,234	11,992	11,776	11,427
1a	Fully loaded ECL accounting model CET1 1	12,416	12,233	11,989	11,774	11,422
2	Tier 1	17,819	17,410	16,683	16,479	16,137
2a	Fully loaded ECL accounting model tier 1 1	17,818	17,409	16,680	16,476	16,132
3	Total capital	17,819	17,410	16,683	16,479	16,137
3a	Fully loaded ECL accounting model total capital 1	17,818	17,409	16,680	16,476	16,132
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	110,194	107,253	107,066	105,304	104,489
4a	Minimum capital requirement 2	8,816	8,580	8,565	8,424	8,359
4b	Total risk-weighted assets (pre-floor)	93,149	92,164	92,755	92,740	92,981
Risk-based capital ratios as a
percentage of RWA
5	Common equity tier 1 ratio (%)	11.27	11.41	11.20	11.18	10.94
5a	Fully loaded ECL accounting model CET1 ratio (%) 1	11.27	11.41	11.20	11.18	10.93
6	Tier 1 ratio (%)	16.17	16.23	15.58	15.65	15.44
6a	Fully loaded ECL accounting model tier 1 ratio (%) 1	16.17	16.23	15.58	15.65	15.44
7	Total capital ratio (%)	16.17	16.23	15.58	15.65	15.44
7a	Fully loaded ECL accounting model total capital ratio (%) 1	16.17	16.23	15.58	15.65	15.44
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	0.01	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	2.51	2.51	2.51	2.51
12	CET1 available after meeting the bank’s minimum capital
requirements (%)	6.77	6.91	6.70	6.68	6.44
Basel III leverage ratio 4
13	Total Basel III leverage ratio exposure measure	344,925	335,251	327,113	323,068	317,071
14	Basel III leverage ratio (%)	5.17	5.19	5.10	5.10	5.09
14a	Fully loaded ECL accounting model Basel III leverage ratio (%) 1	5.17	5.19	5.10	5.10	5.09
Liquidity coverage ratio 5
15	Total HQLA	96,366	91,909	87,254	85,180	74,602
16	Total net cash outflow	65,829	62,074	59,930	61,847	53,059
17	LCR (%)	146	148	146	138	141
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.

Significant regulated subsidiaries and sub-groups

Swiss SRB going and gone concern requirements and information

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 31 March 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 effective from 1 January 2020, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions).

| Swiss SRB going and gone concern
requirements and information — As of 31.3.21 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| CHF million, except where
indicated | in % | | in % | |
| Required going concern
capital | | | | |
| Total going concern capital | 13.96 1 | 15,381 | 4.88 1 | 16,815 |
| Common equity tier 1 capital | 9.66 | 10,643 | 3.38 | 11,641 |
| of which: minimum capital | 4.50 | 4,959 | 1.50 | 5,174 |
| of which: buffer capital | 5.14 | 5,664 | 1.88 | 6,467 |
| of which: countercyclical
buffer | 0.02 | 20 | | |
| Maximum additional tier 1
capital | 4.30 | 4,738 | 1.50 | 5,174 |
| of which: additional tier 1
capital | 3.50 | 3,857 | 1.50 | 5,174 |
| of which: additional tier 1
buffer capital | 0.80 | 882 | | |
| Eligible going concern
capital | | | | |
| Total going concern capital | 16.17 | 17,819 | 5.17 | 17,819 |
| Common equity tier 1 capital | 11.27 | 12,417 | 3.60 | 12,417 |
| Total loss-absorbing
additional tier 1 capital | 4.90 | 5,402 | 1.57 | 5,402 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 4.90 | 5,402 | 1.57 | 5,402 |
| Required gone concern
capital 2 | | | | |
| Total gone concern loss-absorbing
capacity | 8.64 | 9,524 | 3.02 | 10,425 |
| of which: base requirement | 7.97 | 8,786 | 2.79 | 9,623 |
| of which: additional
requirement for market share and LRD | 0.67 | 738 | 0.23 | 802 |
| Eligible gone concern
capital | | | | |
| Total gone concern
loss-absorbing capacity | 9.88 | 10,890 | 3.16 | 10,890 |
| TLAC-eligible senior unsecured
debt | 9.88 | 10,890 | 3.16 | 10,890 |
| Total loss-absorbing
capacity | | | | |
| Required total loss-absorbing
capacity | 22.60 | 24,905 | 7.90 | 27,240 |
| Eligible total loss-absorbing
capacity | 26.05 | 28,709 | 8.32 | 28,709 |
| Risk-weighted assets /
leverage ratio denominator | | | | |
| Risk-weighted assets | | 110,194 | | |
| Leverage ratio denominator | | | | 344,925 |
| 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. | | | | |

Swiss SRB loss-absorbing capacity

| Swiss SRB going and gone concern
information — CHF million, except where
indicated | 31.3.21 | 31.12.20 |
| --- | --- | --- |
| Eligible going concern
capital | | |
| Total going concern capital | 17,819 | 17,410 |
| Total tier 1 capital | 17,819 | 17,410 |
| Common equity tier 1 capital | 12,417 | 12,234 |
| Total loss-absorbing
additional tier 1 capital | 5,402 | 5,176 |
| of which: high-trigger
loss-absorbing additional tier 1 capital | 5,402 | 5,176 |
| Eligible gone concern
capital | | |
| Total gone concern
loss-absorbing capacity | 10,890 | 10,824 |
| TLAC-eligible senior unsecured
debt | 10,890 | 10,824 |
| Total loss-absorbing
capacity | | |
| Total loss-absorbing capacity | 28,709 | 28,234 |
| Risk-weighted assets /
leverage ratio denominator | | |
| Risk-weighted assets | 110,194 | 107,253 |
| Leverage ratio denominator 1 | 344,925 | 335,251 |
| Capital and loss-absorbing
capacity ratios (%) | | |
| Going concern capital ratio | 16.2 | 16.2 |
| of which: common equity tier 1
capital ratio | 11.3 | 11.4 |
| Gone concern loss-absorbing capacity ratio | 9.9 | 10.1 |
| Total loss-absorbing capacity
ratio | 26.1 | 26.3 |
| Leverage ratios (%) 1 | | |
| Going concern leverage ratio | 5.2 | 5.2 |
| of which: common equity tier 1
leverage ratio | 3.6 | 3.6 |
| Gone concern leverage ratio | 3.2 | 3.2 |
| Total loss-absorbing capacity
leverage ratio | 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. | | |

Significant regulated subsidiaries and sub-groups

Leverage ratio information

| Swiss SRB leverage ratio
denominator — CHF billion | 31.3.21 | 31.12.20 1 |
| --- | --- | --- |
| Leverage ratio denominator | | |
| Swiss GAAP total assets | 325.9 | 316.8 |
| Difference between Swiss GAAP and IFRS total assets | 4.5 | 4.5 |
| Less: derivative exposures and SFTs 2 | (14.9) | (10.6) |
| On-balance sheet exposures
(excluding derivative exposures and SFTs) | 315.5 | 310.7 |
| Derivative exposures | 5.8 | 5.7 |
| Securities financing transactions | 8.1 | 3.8 |
| Off-balance sheet items | 15.7 | 15.2 |
| Items deducted from Swiss SRB tier 1 capital | (0.2) | (0.2) |
| Total exposures (leverage
ratio denominator) | 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

In the first quarter of 2021, the liquidity coverage ratio (LCR) of UBS Switzerland AG, which is a Swiss SRB, was 146%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA) in connection with the Swiss Emergency Plan.

Liquidity coverage ratio
	Weighted value 1
CHF billion, except where
indicated	Average 1Q21 2	Average 4Q20 2
High-quality liquid assets	96	92
Total net cash outflows	66	62
of which: cash outflows	94	89
of which: cash inflows	29	27
Liquidity coverage ratio (%)	146	148
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 63 data points in the first
quarter of 2021 and 63 data points in the fourth quarter of 2020.

Capital instruments

| Capital instruments of UBS
Switzerland AG – key features | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Presented according to issuance date. | | | | | | | | | |
| | | Share capital | Additional tier 1 capital | | | | | | |
| 1 | Issuer | UBS Switzerland AG, Switzerland | UBS Switzerland AG, Switzerland | 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 |
| 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 1,500 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 |
| 9 | Par value of instrument | CHF 10.0 | CHF 1,500 | CHF 1,000 | CHF 825 | USD 425 | CHF 475 | CHF 500 | CHF 700 |
| 10 | Accounting classification 4 | Equity attributable to UBS Switzerland AG shareholders | Due to banks held at amortized cost | | | | | | |
| 11 | Original date of issuance | – | 1 April 2015 | 18 December 2017 | 12 December 2018 | 12 December 2018 | 11 December 2019 | 29 October 2020 | 11 March 2021 |
| 12 | Perpetual or dated | – | Perpetual | | | | | | |
| 13 | Original maturity date | – | – | | | | | | |
| 14 | Issuer call subject to prior supervisory approval | – | Yes | | | | | | |
| 15 | Optional call date, contingent call dates and redemption amount | – | First optional repayment date: 1 April 2020 | First optional repayment date: 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 |
| | | | Repayable at any time after the first optional repayment date. Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and unpaid interest thereon | | | | | | |
| 16 | Subsequent call dates, if applicable | – | Early repayment possible due to a tax or regulatory event.
Repayment due to tax event subject to FINMA approval. Repayment amount: principal amount, together with accrued and
unpaid interest | | | | | | |

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 | – | 6-month CHF LIBOR + 370 bps per annum semi-annually | 3-month CHF LIBOR + 250 bps per annum quarterly | 3-month CHF LIBOR + 489 bps per annum quarterly | 3-month USD LIBOR + 547 bps per annum quarterly | 3-month CHF LIBOR + 433 bps per annum quarterly | 3-month SARON Compound Rate + 397 bps | 3-month SARON Compound Rate + 337 bps |
| 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

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 first quarter of 2021, common equity tier 1 (CET1) capital remained stable. Risk-weighted assets increased by EUR 1 billion to EUR 14.1 billion, driven by increases in market risk due to a change in model permissions and credit risk. Leverage ratio exposure increased by EUR 2.2 billion to EUR 43.6 billion, mainly reflecting an increase in securities financing transactions, derivative instruments and other cash balances, partly offset by a decrease in high-quality liquid asset (HQLA)-eligible bonds.

The average liquidity coverage ratio increased by 6%, mainly due to a EUR 0.3 billion decrease in total net cash outflows.

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

KM1: Key metrics 1,2
EUR million, except where
indicated
		31.3.21	31.12.20	30.9.20	30.6.20 3	31.3.20 3
Available capital (amounts)
1	Common equity tier 1 (CET1)	3,721	3,703	3,728	3,736	3,603
2	Tier 1	4,011	3,993	4,018	4,026	3,893
3	Total capital	4,011	3,993	4,018	4,026	3,893
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	14,125	13,175	13,285	13,559	15,154
4a	Minimum capital requirement 4	1,130	1,054	1,063	1,085	1,212
Risk-based capital ratios as a
percentage of RWA
5	Common equity tier 1 ratio (%)	26.3	28.1	28.1	27.6	23.8
6	Tier 1 ratio (%)	28.4	30.3	30.2	29.7	25.7
7	Total capital ratio (%)	28.4	30.3	30.2	29.7	25.7
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	0.0	0.0	0.0	0.1
10	Bank G-SIB and / or D-SIB additional requirements (%)
11	Total of bank CET1-specific buffer requirements (%)	2.6	2.5	2.5	2.5	2.6
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 5	20.4	22.3	22.2	21.7	17.7
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	43,620	41,376	43,371	42,172	49,004
14	Basel III leverage ratio (%) 6	9.2	9.7	9.3	9.6	7.9
Liquidity coverage ratio 7
15	Total HQLA	17,175	17,074	16,257	15,540	14,839
16	Total net cash outflow	11,003	11,334	11,276	11,062	10,457
17	LCR (%)	157	151	144	141	142
1 Based on applicable EU regulatory rules. 2 There
is no local disclosure requirement for the net stable funding ratio as at 31
March 2021. 3 Comparative figures have been restated to align with
the UBS Europe SE Pillar 3 report and other regulatory reports as
submitted to the European Central Bank (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.

Significant regulated subsidiaries and sub-groups

Section 5 UBS Americas Holding LLC consolidated

The table below provides information about the regulatory capital components and capital ratios, as well as the leverage ratio, of UBS Americas Holding LLC consolidated, based on the Pillar 1 requirements 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 the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the annual Dodd–Frank Act Stress Testing (DFAST) and the Comprehensive Capital Analysis and Review (and based on DFAST results and planned future dividends). The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.

During the first quarter of 2021, the common equity tier 1 (CET1) ratio decreased from 22.5% to 21.2%, due to a USD 5.6 billion increase of risk-weighted assets (RWA), mainly driven by an increase in credit risk RWA. Leverage ratio exposure, calculated on an average basis, increased by USD 14.8 billion to USD 169.4 billion. The increase was due to a USD 14.7 billion increase in average assets, resulting from increases in cash held at Federal Reserve Banks and lending exposure.

KM1: Key metrics 1,2
USD million, except where
indicated
		31.3.21 3	31.12.20 3	30.9.20 3	30.6.20 3,4	31.3.20 4
Available capital (amounts)
1	Common equity tier 1 (CET1)	14,716	14,384	13,840	13,535	11,932
2	Tier 1	17,763	17,431	16,883	16,578	14,980
3	Total capital	18,498	18,166	17,626	17,344	15,735
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	69,481	63,929	65,084	64,351	53,812
4a	Minimum capital requirement 5	5,558	5,114	5,207	5,148	4,305
Risk-based capital ratios as a
percentage of RWA
5	Common equity tier 1 ratio (%)	21.2	22.5	21.3	21.0	22.2
6	Tier 1 ratio (%)	25.6	27.3	25.9	25.8	27.8
7	Total capital ratio (%)	26.6	28.4	27.1	27.0	29.2
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
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
12	CET1 available after meeting the bank’s minimum capital
requirements (%) 6	16.7	18.0	16.8	16.5	17.7
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	169,386	154,609	148,038	146,652	135,534
14	Basel III leverage ratio (%) 7	10.5	11.3	11.4	11.3	11.1
14a	Total Basel III supplementary leverage ratio exposure measure 8	159,587	150,019	150,609	147,683
14b	Basel III supplementary leverage ratio (%) 7,8	11.1	11.6	11.2	11.2
1 The adoption of ASU 2019-12 in the second quarter of 2020
resulted in a retrospective removal of cumulative tax expense and related
balances pertaining to UBS Americas Holding LLC within the IHC tax group for
financial reporting purposes. For the purpose of regulatory reporting, this
accounting change has been applied prospectively and the corresponding
comparative regulatory key figures have not been restated. 2 There is
no local disclosure requirement for liquidity coverage ratio or net stable
funding ratio for UBS Americas Holding LLC. 3 UBS Americas Holding
LLC, as a designated category III bank, has been subject to a simplification
of regulatory capital rules since 1 April 2020. The revisions simplify
the framework for regulatory capital deductions and increase risk weights for
certain assets, impacting the CET1 ratio by 0.3% as of 31 March 2021, 31
December 2020, 30 September 2020 and 30 June 2020. 4 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 on the restatement of comparative
information, as applicable. 5 Calculated as 8% of total RWA, based on
total capital minimum requirements, excluding CET1 buffer requirements.
6 This represents the CET1 ratio that is available for meeting buffer
requirements. It is calculated as the CET1 ratio minus 4.5%. 7 On the
basis of tier 1 capital. 8 UBS Americas Holding LLC, as a designated
category III bank, has been subject to supplementary leverage ratio (SLR)
reporting since 1 April 2020. US Regulatory authorities temporarily
eased the requirements for the SLR, allowing for the exclusion of US Treasury
securities and deposits at 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.

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 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

Appendix

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 first quarter 2021 report and its Annual Report 2020, 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 are calculated on the basis of unrounded figures. Information about absolute changes between reporting periods, which is provided in text and which can be derived from figures displayed in the tables, is calculated on a rounded basis.

Tables | Within tables, blank fields generally indicate that the field is not applicable or not meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Percentage changes are presented as a mathematical calculation of the change between periods.

UBS Group AG

P.O. Box

CH-8098 Zurich

ubs.com

SIGNATURES

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

UBS Group AG

By: _/s/ David Kelly_______

Name: David Kelly

Title: Managing Director

By: _/s/ Ella Campi _____

Name: Ella Campi

Title: Executive Director

UBS AG

By: _/s/ David Kelly_______

Name: David Kelly

Title: Managing Director

By: _/s/ Ella Campi _____

Name: Ella Campi

Title: Executive Director

Date: April 27, 2021

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