UBS Global Asset Management Holding (No. 2) Ltd and it s subsidiary undertakings

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1 March 2012 UBS Global Asset Management Holding (No. 2) Ltd and it s subsidiary undertakings Pillar 3 Disclosures for the year ending 31 December 2011

2 Table of contents 1. Background 1 2. Disclosures BIPRU Disclosure: Risk management objectives and policies 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 Firms calculating risk weighted exposure amounts in accordance with the standardised approach BIPRU Firms 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 BIPRU Remuneration 4

3 1. Background The Capital Requirements Directive (CRD) sets out the 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 (No.2) Ltd and its subsidiaries (the Group ). 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 and quantitative disclosures are made in conformance with BIPRU 11, unless the disclosure is regarded as immaterial, proprietary or confidential. 1

4 2. Disclosures 2.1 BIPRU Disclosure: Risk management objectives and policies As a wholly owned subsidiary of UBS AG, the Group operates in line with UBS AG Group principles and policies on risk and treasury management. Further details can be found at BIPRU Disclosure: Scope of application of directive requirements UBS Global Asset Management Holding (No.2) Ltd (the Company ) is 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 Group is investment management. The risks to which the Group is exposed are principally those of a fiduciary and operational nature and are managed according to UBS AG guidelines. The following subsidiaries of the Company are incorporated into the consolidated assessment: Subsidiary BIPRU Classification Registered Company No. FSA Registration No. UBS Global Asset Management (UK) Ltd BIPRU Euro 125k firm UBS Global Asset Management Funds Ltd BIPRU Euro 50k firm UBS Global Asset Management Client Services Ltd BIPRU Euro 125k firm 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 regulated separately. 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. 2.3 BIPRU Disclosure: Capital Resources The capital resources of the Group are made up of Ordinary Share Capital, Share Premium, Profit and Loss reserves, and where applicable current year losses are also taken into account. The capital therefore all qualifies as Tier 1 capital. The table below summarises the composition of capital resources as at 31 December Capital resources GBP (000s) Tier 1 Capital Permanent Share Capital 17 Share Premium 166,363 Retained Earnings -95,734 Tier 2 Capital None 0 Tier 3 Capital None 0 Total 70, BIPRU Disclosure: Compliance with BIPRU 3, BIPRU 4, BIPRU 6, BIPRU 7, BIPRU 10, and the overall Pillar 2 rule Under Pillar 2 of the CRD, the Group is required to enact an Internal Capital Adequacy Assessment Process (ICAAP). The ICAAP document is presented to the board of the Group 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. Should new risks materialise or be identified by the Group, 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

5 The minimum capital requirements are calculated in accordance with the Pillar 1 rules and are summarised below as at 31 December Capital Requirements Credit Risk (standardised approach): GBP (000s) Cash & Money Markets 1,429 Other debtors 3,281 Total Credit Risk (1) 4,710 Total Market Risk (2) 8% of net open positions 2,100 Fixed Overhead Requirement (3) 25% of non-variable audited expenditure 26,205 Total (Higher of & 3) 26, BIPRU Retail exposures The Group does not have any retail exposures. 2.6 BIPRU Equity exposures The Group does not have any equity exposures. 2.7 BIPRU Counterparty credit risk exposures and BIPRU Credit risk and dilution risk The Group adopts the standardised approach to credit risk. The Group 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 To the counterparties with whom we place cash on call Specific procedures are in place to cover these exposures. The capital requirement of the Group 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. 2.8 BIPRU Value adjustments and provisions Due to the limited nature of the credit risks taken on by the Group, no value adjustments or provisions were made during the year BIPRU Firms calculating risk weighted exposure amounts in accordance with the standardised approach The Group uses the simplified approach to calculating credit risk BIPRU Firms calculating risk weighted exposure amounts in accordance with the IRB approach The Group 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. There is foreign exchange position risk requirement (PRR) for accounts payable and management fees collectable in foreign currency. The is also a small amount of interest rate risk within the non-trading book business. 3

6 2.12 BIPRU Disclosure: Use of VaR model for calculation of market risk capital requirement The Group uses the VaR model for calculation of its Pillar 2 market risk. The methodology used is consistent with UBS AG policy, and is as follows: Identify the direct market risks that the Group faces; Measure the direct market risks using UBS VaR methodology. The UBS AG methodology is outlined in the UBS Value at Risk Policy. Market risk is calculated using VaR based on a 10-day holding period and 99% confidence level; Scale the VaR measure into a capital number using the Basel II approach. The VaR number is multiplied by a scalar of at least 3. FINMA has set this scalar to be 3.5 for UBS and we therefore apply the same methodology. The firm considers that the more detailed disclosures of the constituents of the VaR calculation required under BIPRU are immaterial and therefore, in accordance with BIPRU and , not required BIPRU Operational risk Operational Risks within the Group 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 Group s processes and controls operate correctly and effectively Internal Capital Adequacy Assessment Process (ICAAP): There are a number of stages to the ICAAP, 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 management assessment of operating effectiveness of controls as well as top down and specialist assessments Operational Risk Inventory (ORI): A tool used to record and track issues and action plans identified and defined in the ICAP. Operational Risk Control (ORC): Reporting to the Group Chief Risk Office, ORC provides independent assessment and oversight on management s assessment of operational risk. The UK Management Committee (UKMC): chaired by Head of the UK business, and meets on a monthly basis. Operational Risk Control are permanent guests on the UKMC and provide quarterly reporting. 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 Group does not have any non-trading book exposures in equities BIPRU Disclosures: Exposures to interest rate risk in the non-trading book The Group has minimal exposure to interest rate risk. The Group has no borrowings other than occasional short term overdrafts. Therefore interest rate fluctuations will not materially affect the Group in this respect BIPRU Securitisation The Group is not involved in the securitisation of assets BIPRU Remuneration The Group s regulated companies are limited licence firms and therefore fall under Proportionality tier four of the Remuneration Code, as detailed in the FSA policy statement PS10/21. The Group is therefore not required to provide any further disclosure. 4

7 5

8 Issued in March 2012 by UBS Global Asset Management (UK) Ltd, a subsidiary of UBS AG, 21 Lombard Street, London EC3V 9AH. Authorised and regulated by the Financial Services Authority. Telephone calls may be recorded. UBS The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved. UBS Global Asset Management (UK) Ltd 21 Lombard Street London EC3V 9AH Tel. +44 (0) Fax +44 (0)

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