Pillar III Disclosures Calendar Year 2008
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1 21 Lombard Street London EC3V 9AH Tel (No. 2) Ltd and Subsidiary Undertakings
2 Table of Contents 1. Background Disclosures BIPRU Disclosure: Scope of application of directive requirements BIPRU Disclosure: Capital Resources BIPRU Disclosure: Compliance with BIPRU 3, BIPRU 4, BIPRU 6, BIPRU 7, BIPRU 10, and the overall Pillar 2 rule BIPRU Retail Exposures BIPRU Equity exposures BIPRU Counterparty credit risk exposures and BIPRU Credit risk and dilution risk BIPRU Value adjustments and provisions BIPRU Company s calculating risk weighted exposure amounts in accordance with the standardised approach BIPRU Company s calculating risk weighted exposure amounts in accordance with the IRB approach BIPRU Market risk BIPRU Disclosure: Use of VaR model for calculation of market risk capital requirement BIPRU Operational risk BIPRU Disclosure: Non-trading book exposures in equities BIPRU Disclosures: Exposures to interest rate risk in the non-trading book BIPRU Securitisation... 6 Page 2 of 6
3 1. Background The Capital Requirements Directive sets out the new disclosure requirements for financial institutions operating under the Basel II framework. The Pillar 3 disclosures are designed to complement the minimum capital requirements in Pillar 1 and the supervisory review process in Pillar 2. The aim of Pillar 3 is to promote market discipline by allowing market participants to access information on risk exposures and risk management policies and processes adopted by UBS Global Asset Management Holding and its subsidiaries ( the Company ). The FSA regulations for the disclosures required under Pillar 3 are contained in the Prudential Sourcebook for Banks, Building Societies and Investment Firms ( BIPRU ). The following qualitative disclosures are made in conformance with BIPRU 11, unless the disclosure is regarded as immaterial or proprietary or confidential. Items of a quantitative nature required by BIPRU 11 will be made in the calendar year 2009 when data and comparatives thereof are available. Page 3 of 6
4 2. Disclosures 2.1 BIPRU Disclosure: Scope of application of directive requirements (No2) Ltd is a company registered in England and Wales. The Company, which is a subsidiary undertaking of UBS AG, a company registered in Switzerland, acts as a holding company for the UBS Global Asset Management group in the UK. The business of the Company and its FSA authorised subsidiaries is investment management. The risks to which the Companies are exposed are principally those of a fiduciary and operational nature and are managed according to UBS AG guidelines. As a wholly-owned subsidiary of UBS AG, the Company operates in line with UBS AG Group policies, including environmental and ethical standards. The following subsidiaries of the Company are incorporated into the consolidated assessment Subsidiary UBS Global Asset Management (UK) Ltd UBS Global Asset Management Funds Ltd UBS Global Asset Management Client Service Ltd BIPRU Classification BIPRU Euro 125k firm BIPRU Euro 50k firm BIPRU Euro 125k firm Registered Company No. FSA Registration No All the subsidiaries mentioned above are limited licence firms registered with the FSA and lodge their financial statements with Companies House. There is there no difference in the basis of consolidation for accounting and prudential purposes, other than the exclusion of UBS Global Asset Management Life Ltd as this company is separately considered for capital purposes. There are no current or foreseen material practical or legal impediments to the prompt transfer of capital resources or repayment of liabilities among the parent undertaking and its subsidiary undertakings There is no deficit of capital at a subsidiary level. 2.2 BIPRU Disclosure: Capital Resources The Capital resources of the Company are made up of the Ordinary Share Capital, Share Premium Account and the Profit and Loss reserve account. Where applicable current year losses are also taken into account. The capital therefore all qualifies as Tier 1 capital. 2.3 BIPRU Disclosure: Compliance with BIPRU 3, BIPRU 4, BIPRU 6, BIPRU 7, BIPRU 10, and the overall Pillar 2 rule Under Pillar II of the CRD, the Company is required to enact an Internal Capital Adequacy Assessment Process (ICAAP). This is an ongoing process. The ICAAP document is presented to the board of the Company for formal review and approval. The data and assumptions used in the assessment of risk and capital adequacy are continually assessed and updated. This includes stress testing of various scenarios. Page 4 of 6
5 Should new risks materialise or be identified by the Company, then these risks will be incorporated into the overall review process. As an investment manager the major risks we are exposed to are fiduciary and operational risk. There is also additional exposure to credit and reputation risk. 2.4 BIPRU Retail Exposures The Company does not have any retail exposures. 2.5 BIPRU Equity exposures The Company does not have any equity exposures. 2.6 BIPRU Counterparty credit risk exposures and BIPRU Credit risk and dilution risk The Company adopts the standardised approach to credit risk. The Company has the following exposures: to our clients not settling management and performance fees to our custodian as this service is provided by a third party. Specific procedures are in place to cover these exposures. The capital requirement of the Company is the fixed overhead requirement and not the sum of market and credit risk. For the purpose of this calculation the disclosures relating to credit and market risk are therefore considered to be immaterial in consideration in the assessment of the business. 2.7 BIPRU Value adjustments and provisions This section is not applicable for Calendar year 2008 as it requires purely quantitative disclosures to be made. 2.8 BIPRU Company s calculating risk weighted exposure amounts in accordance with the standardised approach This section is not applicable for Calendar year 2008 as it requires purely quantitative disclosures to be made. 2.9 BIPRU Company s calculating risk weighted exposure amounts in accordance with the IRB approach The Company does not have specialised lending exposures or equity exposures BIPRU Market risk The firm does not trade on its own account and therefore does not create any market risk requirements in respect of its own business. Page 5 of 6
6 Immaterial amounts of foreign exchange position risk requirement (PRR) are created in the course of the Company's non-trading book business BIPRU Disclosure: Use of VaR model for calculation of market risk capital requirement The Company does not use the VaR model for calculation of market risk BIPRU Operational risk Operational Risks within the Company are covered by UBS AG's Operational Risk Framework (ORF) which consists of various components including: Policies & Standards: The ORF is reliant on fundamental underlying control documentation to ensure that the Company's processes and controls operate correctly and effectively Operational Risk Assessment Process (ORAP): There are a number of stages to the ORAP, commencing with risk identification, which is performed by using a series of risk identifiers, including financial and non-financial events, metrics, internal and external audit reports and selfcertification as well as top down and specialist assessments Operational Risk Inventory (ORI): A tool used to record and track risks and action plans identified and defined in the ORAP process. The London Management Committee (LMC), chaired by Head of the UK business, which meets on a monthly basis. Monitoring operational risk is the responsibility of all employees and functions. A specific Operational Risk Control function is the central point of contact and administers the above BIPRU Disclosure: Non-trading book exposures in equities The Company does not have any non-trading book exposures in equities BIPRU Disclosures: Exposures to interest rate risk in the non-trading book The Company has minimal exposure to interest rate risk. The Company has no borrowings other than occasional short term overdrafts. Therefore interest rate fluctuations will not materially affect the Company in this respect BIPRU Securitisation The Company is not involved in the securitization of assets. Page 6 of 6
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