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UBS AG 8/13/2010 / 7:27 PM
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UBS: Value at Risk (10-day, 99% confidence, 5 years of historical data) 1
Quarter ended 30.9.08 2 Quarter ended 30.6.08 Quarter ended 31.3.08 Quarter ended 31.12.07 Quarter ended 30.9.07 Quarter ended 30.6.07 Quarter ended 31.3.07
CHF million Min. Max. Average 30.9.08 Min. Max. Average 30.6.08 Min. Max. Average 31.3.08 Min. Max. Average 31.12.07 Min. Max. Average 30.9.07 Min. Max. Average 30.6.07 Min. Max. Average 31.3.07
Divisions
Investment Bank 3 342 601 461 519 249 443 313 388 253 373 306 299 468 836 665 614 291 766 447 676 345 718 520 454 416 674 517 582
Global Asset Management 1 5 2 4 1 3 2 3 1 3 2 2 2 4 3 3 3 4 3 4 2 5 3 3 3 10 7 3
Global Wealth Management & Business Banking 1 6 3 3 2 4 3 3 2 8 4 2 3 4 3 3 2 4 3 3 2 3 3 3 3 5 4 3
Corporate Center 4 60 14 11 17 97 42 19 12 57 30 30 11 92 29 61 10 60 21 21 11 34 21 11 20 41 32 24
Diversification effect 4 4
(20) (17) 4 4
(44) (31) 4 4
(32) (29) 4 4 (34) (93) 4 4 (30) (40) 4 4 (29) (16) 4 4 (45) (48)
Total 0 341 609 460 520 0 246 443 316 382 0 258 373 310 304 461 833 666 588 288 772 444 664 342 728 518 455 407 686 516 564
Diversification effect (%) (4) (3) (9) (9) (5) (14) (6) (6) (5) (3) (8) (8)
Quarter ended 31.12.06 Quarter ended 30.9.06 Quarter ended 30.6.06 Quarter ended 31.3.06
CHF million Min. Max. Average 31.12.06 Min. Max. Average 30.9.06 Min. Max. Average 30.6.06 Min. Max. Average 31.3.06
Divisions
Investment Bank 331 493 391 473 350 529 453 398 347 559 408 390 333 545 429 435
Global Asset Management 9 13 10 10 8 16 11 11 4 10 7 10 7 13 9 9
Global Wealth Management & Business Banking 4 10 7 5 7 9 8 8 7 14 11 8 11 14 12 12
Corporate Center 25 43 34 27 35 49 42 42 34 54 41 40 43 69 56 43
Diversification effect 4 4 (47) (52) 4 4 (49) (60) 4 4 (54) (51) 4 4 (64) (58)
Total 336 491 395 464 356 545 464 398 348 565 414 396 338 558 442 443
Diversification effect (%) (11) (10) (10) (13) (12) (11) (13) (12)
1 Includes all positions subject to Value at Risk (VaR) limits. 2 In Q3 UBS changed from internal management VaR to regulatory VaR as the basis for external disclosure. UBS increased the scope of its internal management Value at Risk (VaR) to more accurately represent risk exposures and related hedges. Before these changes, credit hedges were included in VaR but the underlying credit
exposures were not, resulting in an inconsistent treatment for risk monitoring and control. With the continued deterioration in credit markets, UBS has increased hedging activity against credit exposures in its over-the-counter (OTC) derivatives portfolio and therefore incorporated into its internal management VaR the impact of changes in credit spread sensitivities relating to these counterparty
exposures. However, when computing the regulatory capital that is required to underpin market risks, these credit spread sensitivities currently need to be excluded. This has resulted in a material difference between UBS’s internal management VaR and the VaR used for regulatory capital purposes. Prior to Q3 regulatory and internal management
VaR were materially the same. UBS has therefore changed its VaR disclosure to reflect the regulatory measure, but continues to provide details of its internal management VaR, which it believes is a more appropriate representation of the underlying market risk exposures. Further information about this change can be found in the sidebar "Value at Risk developments – treatment of CVA" on page
26 of the third quarter financial report. 3 From 1 January 2008, excludes US residential sub-prime and Alt-A mortgage-related exposures, super senior RMBS CDOs and the US reference-linked note program. 4 As the minimum and maximum occur on different days for different business groups, it is not meaningful to calculate a portfolio diversification effect.
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UBS AG 8/13/2010 / 7:27 PM
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1
Investment Bank: Value at Risk (10-day, 99% confidence, 5 years of historical data)
Quarter ended 30.9.08 2 Quarter ended 30.6.08 Quarter ended 31.3.08 Quarter ended 31.12.07 Quarter ended 30.9.07 Quarter ended 30.6.07 Quarter ended 31.3.07
CHF million Min. Max. Average 30.9.08 Min. Max. Average 30.6.08 Min. Max. Average 31.3.08 Min. Max. Average 31.12.07 Min. Max. Average 30.9.07 Min. Max. Average 30.6.07 Min. Max. Average 31.3.07
Risk type
Equities (including credit spreads) 104 137 119 121 117 150 128 126 141 244 167 146 148 262 168 242 147 415 227 169 163 313 228 272 154 306 218 216
Interest rates 362 659 511 575 264 462 318 408 224 368 281 294 489 877 668 576 269 758 387 690 281 630 405 327 367 574 443 474
Foreign exchange 17 58 30 29 16 51 34 32 12 46 22 40 13 49 27 21 9 57 28 27 11 48 26 12 15 73 33 39
Energy, metals and commodities 18 33 25 24 20 60 37 21 25 57 37 48 27 62 47 41 37 90 62 52 24 67 47 54 32 83 49 43
Diversification effect 3 3
(223) (231) 3 3
(204) (199) 3 3
(201) (229) 3 3 (245) (266) 3 3 (257) (262) 3 3 (186) (211) 3 3 (225) (191)
Total 342 601 461 519 249 443 313 388 253 373 306 299 468 836 665 614 291 766 447 676 345 718 520 454 416 674 517 582
Diversification effect (%) (33) (31) (39) (34) (40) (43) (27) (30) (37) (28) (26) (32) (30) (25)
Quarter ended 31.12.06 Quarter ended 30.9.06 Quarter ended 30.6.06 Quarter ended 31.3.06
CHF million Min. Max. Average 31.12.06 Min. Max. Average 30.9.06 Min. Max. Average 30.6.06 Min. Max. Average 31.3.06
Risk type
Equities (including credit spreads) 154 234 176 232 144 178 162 161 159 360 208 159 230 318 267 294
Interest rates 323 516 406 405 355 607 523 484 261 541 394 402 237 424 344 288
Foreign exchange 19 64 31 40 16 39 27 29 16 65 32 18 19 57 34 33
Energy, metals and commodities 28 59 40 44 26 75 42 42 28 102 53 48 38 100 63 67
Diversification effect 3 3 (262) (248) 3 3 (301) (318) 3 3 (279) (237) 3 3 (279) (246)
Total 331 493 391 473 350 529 453 398 347 559 408 390 333 545 429 436
Diversification effect (%) (40) (34) (40) (44) (41) (38) (39) (36)
1 Includes all positions subject to Value at Risk (VaR) limits. From 1 January 2008, excludes US residential sub-prime and Alt-A mortgage-related exposures, super senior RMBS CDOs and the US reference linked note program. 2 In Q3 UBS changed from internal management VaR to regulatory VaR as the basis for external disclosure. UBS increased the scope of its internal
management Value at Risk (VaR) to more accurately represent risk exposures and related hedges. Before these changes, credit hedges were included in VaR but the underlying credit exposures were not, resulting in an inconsistent treatment for risk monitoring and control. With the continued deterioration in credit markets, UBS has increased hedging activity against credit exposures
in its over-the-counter (OTC) derivatives portfolio and therefore incorporated into its internal management VaR the impact of changes in credit spread sensitivities relating to these counterparty exposures. However, when computing the regulatory capital that is required to underpin market risks, these credit spread
sensitivities currently need to be excluded. This has resulted in a material difference between UBS’s internal management VaR and the VaR used for regulatory capital purposes. Prior to Q3 regulatory and internal management VaR were materially the same. UBS has therefore changed its VaR disclosure to reflect the regulatory measure, but continues to provide details of its internal
management VaR, which it believes is a more appropriate representation of the underlying market risk exposures. Further information about this change can be found in the sidebar "Value at Risk developments – treatment of CVA" on page 26 of the third quarter financial report. 3 As the minimum and maximum occur on different days for different risk types, it is not meaningful to
calculate a portfolio diversification effect.
Page 2 of 3
UBS AG 8/13/2010 / 7:27 PM
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1,2
UBS: Value at Risk (1-day, 99% confidence, 5 years of historical data)
Quarter ended 30.9.08 3 Quarter ended 30.6.08 Quarter ended 31.3.08 Quarter ended 31.12.07 Quarter ended 30.9.07 Quarter ended 30.6.07 Quarter ended 31.3.07
CHF million Min. Max. Average 30.9.08 Min. Max. Average 30.6.08 Min. Max. Average 31.3.08 Min. Max. Average 31.12.07 Min. Max. Average 30.9.07 Min. Max. Average 30.6.07 Min. Max. Average 31.3.07
Investment Bank 4 111 210 157 184 102 150 117 135 107 137 119 108 124 170 149 149 130 217 159 156 128 201 167 192 141 253 183 206
UBS 111 207 158 186 101 152 117 135 106 141 120 111 126 170 149 152 128 216 159 154 130 201 167 193 145 254 184 206
Quarter ended 31.12.06 Quarter ended 30.9.06 Quarter ended 30.6.06 Quarter ended 31.3.06
CHF million Min. Max. Average 31.12.06 Min. Max. Average 30.6.06 Min. Max. Average 30.6.06 Min. Max. Average 31.3.06
4
Investment Bank 129 185 150 160 140 199 176 140 144 205 172 164 139 230 189 210
UBS 131 191 151 162 141 197 176 141 145 205 172 168 137 233 192 207
1 10-day and 1-day Value at Risk (VaR) results are separately calculated from underlying positions and historical market moves. They cannot be inferred from each other. 2 Includes all positions subject to VaR limits. 3 In Q3 UBS changed from internal management VaR to regulatory VaR as the basis for external disclosure. UBS increased the scope of its internal management Value at Risk
(VaR) to more accurately represent risk exposures and related hedges. Before these changes, credit hedges were included in VaR but the underlying credit exposures were not, resulting in an inconsistent treatment for risk monitoring and control. With the continued deterioration in credit markets, UBS has increased hedging activity against credit exposures in its over-the-counter (OTC) derivatives
portfolio and therefore incorporated into its internal management VaR the impact of changes in credit spread sensitivities relating to these counterparty exposures. However, when computing the regulatory capital that is required to underpin market risks, these credit spread sensitivities currently need to be excluded. This
has resulted in a material difference between UBS’s internal management VaR and the VaR used for regulatory capital purposes. Prior to Q3 regulatory and internal management VaR were materially the same. UBS has therefore changed its VaR disclosure to reflect the regulatory measure, but continues to provide details of its internal management VaR, which it believes is a more appropriate
representation of the underlying market risk exposures. Further information about this change can be found in the sidebar "Value at Risk developments – treatment of CVA" on page 26 of the third quarter financial report. 4 From 1 January 2008, excludes US residential sub-prime and Alt-A mortgage-related exposures, super senior RMBS CDOs and the US reference-linked note program. Positions in
the Investment Bank subject to market risk regulatory capital contributed average VaR of CHF 115 million in second quarter and CHF 116 million in first quarter 2008.
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