UBS (Irl) ETF plc - UBS MSCI EMU Universal UCITS ETF Accum-HCHF- CHF · SIX:EUESGC
UBS (Irl) ETF plc - UBS MSCI EMU Universal UCITS ETF Accum-HCHF- CHF — UBS — Investor Day (November 2010)
17 slides from UBS (Irl) ETF plc - UBS MSCI EMU Universal UCITS ETF Accum-HCHF- CHF's investor day presentation, Nov 16, 2010
Slide 1: Risk control
Investor Day 2010 Risk control Philip Lofts Group Chief Risk Officer November 16, 2010
Slide 2: Cautionary statement regarding forward-looking statements
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Cautionary statement regarding forward-looking statements This presentation contains statements that constitute “forward-looking statements,” including but not limited to management’s outlook for UBS’s financial performance and statements rel
Slide 3: Key messages
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Key messages Our risk profile today is low. It will increase in line with growth in our businesses RWAs will be more volatile as reported under Basel 2.5 Disciplined risk management is at the core of UBS 2
Slide 4: UBS risk-weighted assets
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot UBS risk-weighted assets Development by risk category 302 278 45 7 46 248 28 8 46 211 207 209 205 208 28 8 22 45 46 49 49 52 7 7 7 16 13 16 7 6 11 21 222 195 (CHF billion) 172 143 141 137 138 129 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 Credit
Slide 5: Market risk: Investment Bank VaR
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Market risk: Investment Bank VaR 1-day 95% management VaR to 30.9.10 (80) (75) (70) (65) 1-year timeseries 5-year timeseries (60) (55) (50) (45) (CHF million) (40) (35) Jan Feb Mar Apr May Jun Jul Aug Sep Reflects active risk management O
Slide 6: Credit risk: Investment Bank - Banking products portfolio
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Credit risk: Investment Bank Banking products portfolio Sub-investment grade exposure Sub-investment grade exposure by rating bucket and by LGD (30.9.10) 19.2 3.9 16.2 16.0 15.8 15.0 14.9 14.4 2.1 1.0 3.3 0.9 2.7 13.6 3.0 0.8 6.3 5.3 7.0 6.8
Slide 7: Credit risk: Investment Bank - Traded products portfolio
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Credit risk: Investment Bank Traded products portfolio Investment grade vs. by counterparty type sub-investment grade 53.8 51.8 47.9 47.3 5.0 4.6 18% 5.0 5.6 Regulated financial institutions & funds Sovereigns & supranationals 4% 44% Clearing
Slide 8: Credit risk: Wealth Management & Swiss Bank
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Credit risk: Wealth Management & Swiss Bank Banking products exposure WM&SB banking products portfolio of which: unsecured loans by (total CHF 205 billion) industry sector 10% 21% 2% 2% 6% Construction 1% 20% Financial institutions 17% Hotels
Slide 9: Risk profile: expected developments
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Risk profile Expected developments RWA Market risk Credit risk Overall stable though some Basel 2.5 / Basel 3 growth due to increased requirements Growth plan execution loan under writing and and growth plan execution Lombard loans 8
Slide 10: Key messages
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Key messages Our risk profile today is low. It will increase in line with growth in our businesses RWAs will be more volatile as reported under Basel 2.5 Disciplined risk management is at the core of UBS 9
Slide 11: Basel 2.5
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Basel 2.5 Introduction of four new measures to supplement the current market risk capital • 10-day 99% VaR with model inputs calibrated to historical data from a Stressed VaR period of significant financial stress relevant to the firm’s portf
Slide 12: Basel 2.5 increases RWA volatility
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Basel 2.5 Basel 2.5 will result in an increase of the volatility of RWAs ~300 Securitization 273 CRM 243 IRC 208 Stressed 208 VaR At UBS, Stressed CHF billion VaR and IRC measures will be the more volatile components Basel 2 Basel 2.5 30.9.10
Slide 13: Key messages
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Key messages Our risk profile today is low. It will increase in line with growth in our businesses RWAs will be more volatile as reported under Basel 2.5 Disciplined risk management is at the core of UBS 12
Slide 14: Risk management and control principles
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Risk management and control principles 1 Protection of financial strength 2 Protection of reputation 3 Business management accountability 4 Independent controls 5 Risk disclosure Five key principles underpin UBS's risk management and control
Slide 15: How do we control risk?
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot How do we control risk? One single measure is not sufficient Firm-wide risk aggregation Firm-wide risk exposure metrics framework are complemented with a granular limit framework with Portfolio specific portfolio and position limits at scen
Slide 16: How do we control the entry / re-entry into new business?
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot How do we control the entry / re-entry into new business? Disciplined process in place Evaluation Tracking of Control / logistic New business of metrics / approval review strategic fit conditions Review and approval process in place Ensur
Slide 17: Key messages
C:\Program Files\UBS\Pres\Templates\PresPrintOnScreen.pot Key messages Our risk profile today is low. It will increase in line with growth in our businesses RWAs will be more volatile as reported under Basel 2.5 Disciplined risk management is at the core of UBS 16