Instalaciones Existentes

sufficient funds from assets to meet payment obligations when they fall due. Funding risk is the risk of being unable to borrow funds in the market on an ongoing basis at an acceptable price to fund actual or proposed commitments, thereby supporting our current business and strategic direction.

Liquidity and funding are critical for a financial institution. They must be managed continuously to ensure they can be adjusted to sudden changes in market conditions or the operating environ- ment, whether widespread or relatively small. An institution that is unable to meet its liabilities when they fall due may fail without becoming insolvent, because it is unable to borrow sufficient funds on an unsecured basis, has insufficient high-quality assets to borrow against or has insufficient liquid assets it can sell to raise the cash it needs immediately.

➔Refer to “Current market climate and industry drivers”

in the “Operating environment and strategy” section for more information

Liquidity and funding management

Our liquidity and funding strategy is proposed by Group Treasury, approved by Group ALCO and overseen by the BoD Risk Commit- tee. Liquidity and funding limits are set at Group and business division levels, and are reviewed and approved at least once a year by the BoD, the Group ALCO, the Group Chief Financial Officer (Group CFO) and the Group Treasurer. Group Treasury monitors and oversees the implementation and execution of our liquidity and funding strategy, and ensures adherence to our liquidity and funding policies including limits, and reports the bank’s overall li- quidity and funding position at least monthly to the Group ALCO and the BoD Risk Committee.

We aim to maintain a sound liquidity position to meet all our liabilities when due, whether under normal or stressed conditions, without incurring unacceptable losses or risking sustained dam- age to our various businesses. We employ an integrated liquidity and funding framework to govern the liquidity management of all our branches and subsidiaries.

We perform stress analysis to determine the asset / liability structure that allows us to maintain an appropriately balanced liquidity and funding position under various scenarios. Further- more, we manage our liquidity and funding risk with the overall objective of optimizing the value of our business franchise across a broad range of temporal market conditions.

We monitor both the contractual and behavioral maturity profile of the balance sheet (as described under “Liquidity model- ing“). In the behavioral maturity profile, we model the liquidity exposures of the firm under a variety of potential scenarios that encompass normal and stressed market conditions.

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Our major sources of liquidity are channeled through entities that are fully consolidated. We consider the possible impact on our access to markets from stress events affecting some or all parts of our business. The results of this analysis are factored into our overall contingency plans for a liquidity crisis, which are then incorporated into our wider crisis management process.

We continuously refine the assumptions used in our crisis sce- nario and maintain a robust, actionable and tested contingency plan. A key component of this framework is an assessment and regular testing of all material, known and expected cash flows as well as the level and availability of high-grade collateral that could be used to raise additional funding if required.

Liquidity management

We manage our liquidity position to provide adequate time and financial flexibility to respond to a UBS-specific liquidity crisis in a generally stressed market environment. Complementing this, our funding risk management aims for the optimal liability structure to finance our businesses reliably and cost-efficiently.

Our business activities generate asset and liability portfolios that are highly diversified with respect to market, product, tenor and cur- rency. This reduces our exposure to individual funding sources and provides a broad range of investment opportunities, reducing liquid- ity risk.

Our funding diversification and global scope help protect our liquidity position in the event of a crisis. The liquidity and funding process is undertaken jointly by Group Treasury and the treasury trading and the short term interest rate units in the Investment Bank’s fixed income, currencies and commodities (FICC) business. Group Treasury establishes a control framework, while the Invest- ment Bank manages operational cash and collateral within the established limits.

This permits close control of both our cash position and our stock of high-quality liquid securities. Our treasury processes also ensure that the firm’s general access to wholesale cash markets is concentrated in the Investment Bank’s FICC unit. Funds raised ex- ternally are largely channeled into FICC, including the proceeds of debt securities issued by UBS, an activity for which Group Treasury is responsible. FICC in turn meets the Investment Bank’s internal demands for funding by channeling funds from units generating surplus cash to those in need of financing.

Liquidity modeling

For the purpose of monitoring our liquidity situation, we employ the following main measures:

– An operational cash ladder which is used to monitor our fund- ing requirements on a daily basis within limits set by Group ALCO, the Group CFO and the Group Treasurer. This cumula- tive cash ladder shows the projected daily funding position –

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– A stressed version of the operational cash ladder which uses behavioral assumptions that model a severe liquidity crisis sce- nario in a generally stressed market environment. This stress scenario is run daily and used to project potential outflows over a one-month time horizon.

– A maturity gap analysis which is comprised of a contractual maturity gap analysis of our assets and liabilities over a one- year time horizon, and a behavioral maturity gap analysis un- der an assumed UBS-specific liquidity crisis in combination with a generally stressed market environment over a one-year time horizon.

– A cash capital model which measures the amount of long-term funding- or stable customer deposits, long term debt (over one year) and equity- available to fund illiquid assets. Cash capital consumption reflects the illiquid portion of the assets which could not be transformed into cash by secured funding. For a given asset, the illiquid portion is the difference (the haircut) between the carrying value of an asset on the balance sheet and its effective cash value when used as collateral in a secured funding transaction. Our cash capital supply consists of long- term sources of funds: unsecured funding with remaining time to maturity of at least one year; shareholders’ equity; and core deposits – the portion of our customer deposits that are deemed to have a behavioral maturity of at least one year. A breakdown of the contractual maturities of our assets and li- abilities serves as the starting point for stress testing analyses. This contractual view is adjusted to include behavioral components as well as a more detailed breakdown of asset and liability types.

The liquidity crisis scenario combines a UBS-specific crisis with market disruption and focuses on a time horizon of up to one year. This scenario assumes large drawdowns on otherwise stable client deposits mainly due on demand; inability to renew or re- place maturing unsecured wholesale funding; unusually large drawdowns on loan commitments; reduced capacity to generate liquidity from trading assets; liquidity outflows corresponding to a three-notch downgrade triggering contractual obligations to un- wind derivative positions or to deliver additional collateral; and additional collateral needs due to adverse movements in the mar- ket values of derivatives. All these models and their assumptions are reviewed regularly to incorporate the latest business and mar- ket developments.

Contingency planning

Liquidity crisis scenario analysis and contingency planning sup- port the liquidity management process, which ensures that im- mediate corrective measures to absorb potential sudden liquidity shortfalls can be put into effect. Since a liquidity crisis could have a myriad of causes, we focus on a scenario that encompasses potential stress effects across all markets, currencies and prod- ucts. The liquidity status indicators combine internal metrics from the liquidity stress models with market data to provide a dash-

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level to assess the overall global as well as regional situation. Our Group contingency funding plan is an integral part of our global crisis management concept, which covers various types of crisis events. The contingency funding plan contains an assess- ment of the contingent funding sources in a stressed environ- ment, liquidity status indicators and metrics and contingency pro- cedures. Should a crisis require contingency funding measures to be invoked, Group Treasury is responsible for coordinating liquid- ity generation with representatives of the relevant business areas. Our contingent funding sources include: a large multi-currency portfolio of high-quality, short-term unencumbered assets; avail- able and unutilized liquidity facilities at several major central banks; and contingent reductions of liquid trading portfolio as- sets.

Liquidity limits and controls

Liquidity and funding limits and targets are set by the BoD, the Group ALCO, the Group CFO, the Group Treasurer and the busi- ness divisions, taking into consideration current and projected business strategy and risk tolerance. The principles underlying our limit and target framework aim to maximize and sustain the value of our business franchise and maintain an appropriate balance in the asset/liability structure. Structural limits and targets focus on the structure and composition of the balance sheet, while supple- mentary limits and targets are designed to drive the utilization, diversification and allocation of funding resources. Together the limits and targets focus on liquidity and funding risk for periods out to one year, including stress testing. Group Treasury is respon- sible for the oversight of the liquidity and funding limits and tar- gets. Performance is monitored against limits and targets and regularly communicated to senior management. These limits and targets are, at least annually, reviewed and reconfirmed by the respective authorities.

To complement and support the limit framework, Group Trea- sury and members of our regional and divisional treasuries moni- tor the markets in which we operate for potential threats. Funds transfer pricing

Funding costs and benefits are allocated to our business divisions according to our liquidity and funding risk management frame- work. Our internal funds transfer pricing system is designed to provide the proper liability structure to support the assets and planned activities of each business division while minimizing cross-divisional subsidies. The funds transfer pricing mechanism aims to allocate funding and liquidity costs to the activities gen- erating the liquidity and funding risks and deals with the move- ment of funds from those businesses in surplus to those that have a shortfall. Funding is internally transferred or allocated among businesses at rates and tenors that reflect each business’ asset composition, liquidity and reliable external funding. We continue to review and improve our internal funds transfer pric- ing system.

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Liquidity Regulation

In December 2010, the Basel Committee on Banking Supervision published the “International framework for liquidity risk measure- ment, standards and monitoring” (Basel III Liquidity). The frame- work comprises two liquidity ratios: the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR). Both ratios are sub- ject to an observation period that began in 2011. Both LCR and NSFR will become established standards by 2015 and 2018, re- spectively. During the observation period, both standards are un- der review by the Basel Committee on Banking Supervision.

The Swiss liquidity regime that was introduced in 2010 by the Swiss Financial Market Supervisory Authority (FINMA) and the Swiss National Bank (SNB) for large banks is generally aligned with international proposals for liquidity regulations. The core ele- ment of the liquidity regime is a severe stress scenario that com- bines a general financial market crisis with creditors’ loss of trust in the bank. The new liquidity regulations require that banks hold high quality liquid assets sufficient to offset any projected out- flows under the stress scenario for a period of 30 days.

In 2011, FINMA issued a circular outlining the implementation plan of the new international liquidity standards. In 2012, a na- tional working group will consult and propose new draft legisla- tion, which is expected to become law by 2013. FINMA will intro- duce test reporting in 2012 for certain institutions, which will become a general reporting requirement for all banks and brokers in 2013. The results of the test reporting will be used to specify the detailed minimum requirements in 2013. The actual require- ments are expected to be effective in 2015 (LCR) and 2018 (NSFR), the same as the international timeline.

Our provisional NSFR and LCR ratios at year-end 2011 remained generally in line with the minimum Basel III requirements. Cur-

rently, banks employ a wide range of interpretations to calculate the LCR and the NSFR, given that the precise definition of these ratios is still to be finalized. We believe we have adopted a gener- ally conservative approach in estimating these ratios.

➔Refer to the “Regulatory developments“ section of this

report for more information

Funding management

Our funding activities are planned by analyzing the overall liquidity and funding profile of our balance sheet, taking into account the amount of stable funding that would be needed to support ongoing business activities through periods of difficult market conditions.

Our liability portfolio is broadly diversified by market, product and currency. Our wealth management businesses represent a significant, cost-efficient and reliable source of funding. In addi- tion, we have numerous short-, medium- and long-term funding programs that issue senior unsecured and structured notes. These programs allow institutional and private investors in Europe, the US and Asia Pacific to customize their investments in UBS’s debt securities. We also generate long-term funding by pledging a por- tion of our portfolio of Swiss residential mortgages as collateral for the Swiss Pfandbriefe and our own covered bond program. A short-term secured funding program sources funding globally, generally for the highest quality assets. Collectively, these broad product offerings, and the global scope of our business activities, contribute to our funding stability and financial flexibility.

Group Treasury regularly monitors our funding status including concentration risks to ensure we maintain a well-balanced and diversified liability structure and reports its findings on a monthly basis to the Group ALCO.

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represent valuable and cost-efficient sources of funding. At year- end 2011, these businesses contributed CHF 327 billion, or 95%, of the CHF 342 billion total customer deposits shown in  the “UBS asset funding” graph. Compared with the CHF 267  billion of net loans as of 31 December 2011, customer deposits provided 128% coverage compared with 126% on 31 December 2010.

In terms of secured funding (i.e. repurchase agreements and securities lent against cash collateral received), at year-end 2011, we borrowed less cash on a collateralized basis than we lent out, leading to a surplus of net securities sourced – shown as the CHF 162 billion collateral surplus in the “UBS asset funding” graph.

The overall composition of our funding sources at the end of 2011 is shown in the “UBS: funding by product and currency” table and the pie-charts illustrate the funding sources by curren- cy. These funding sources amounted to CHF 817 billion on the balance sheet, up from CHF 782 billion the year before, and comprise repurchase agreements, securities lending against cash collateral received, due to banks, money market paper issued, due to customers and long-term debt including financial liabili- ties at fair value, cash collateral payables on derivative instru- ments and prime brokerage payables. Despite the increase in customer deposits, the relative funding composition shifted from unsecured funding to secured funding during the year, as the percentage funding contribution of repurchase agreements and securities lending increased from 10.4% to 13.5% (as shown in the “UBS: funding by product and currency” table). The increase in secured funding mainly related to higher business activities in  our Investment Bank. Our overall customer deposits, which UBS: funding by product and currency

All currencies CHF EUR USD Others

In % 1 _{31.12.11 31.12.10 31.12.11 31.12.10 31.12.11 31.12.10 31.12.11 31.12.10 31.12.11 31.12.10}

Securities lending 1.0 0.9 0.0 0.0 0.2 0.2 0.6 0.6 0.2 0.1

Repurchase agreements 12.5 9.6 0.0 1.0 1.7 1.4 10.0 6.4 0.9 0.8

Interbank 3.7 5.3 0.7 1.1 0.5 0.6 0.9 1.3 1.7 2.3

Money market paper 8.7 7.2 0.2 0.2 1.4 0.7 6.0 5.7 1.0 0.6

Retail savings / deposits 14.0 13.4 9.7 9.3 0.7 0.8 3.5 3.3 0.0 0.0

Demand deposits 16.7 15.6 6.2 5.9 2.9 3.1 5.0 4.5 2.6 2.1

Fiduciary 3.5 3.9 0.1 0.2 1.0 1.1 1.9 2.1 0.5 0.6

Time deposits 7.8 9.6 0.3 0.5 1.4 1.2 3.5 5.3 2.7 2.6

Long-term debt 19.4 22.4 2.4 3.2 7.1 8.0 7.1 8.0 2.7 3.2

Cash collateral payables on derivative instruments 8.2 7.5 0.3 0.2 3.7 3.2 3.4 3.2 0.9 0.9

Prime brokerage payables 4.5 4.7 0.1 0.1 0.5 0.5 3.0 3.4 0.9 0.7

Total 100.0 100.0 20.1 21.5 21.1 20.7 44.8 43.9 14.0 13.9

1 Stated as a percent of the total funding sources of CHF 817 billion as of 31 December 2011, comprising repurchase agreements, securities lending against cash collateral received, due to banks, money market paper issued, due to customers, long-term debt (including financial liabilities at fair value) and cash collateral on derivative transactions and prime brokerage payables.

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Treasury management

include time, retail savings, demand and fiduciary deposits, in- creased by CHF 10 billion to CHF 342 billion, while remaining stable at 42% of our funding sources. Cash deposits in Wealth Management & Swiss Bank rose by CHF 20 billion to CHF 288 bil- lion, while Wealth Management Americas deposits were up CHF 3 billion to CHF 39 billion, partially offset by lower wholesale cli- ent deposits in the Investment Bank (CHF 11 billion). Wealth management and retail client deposits represented approximate- ly 95% of our total customer deposits, up from 92% at 31 De- cember 2010.

Our outstanding long-term debt, including financial liabilities at fair value, decreased by CHF 17 billion during the year to CHF 158 billion, mainly due to the lower valuation of equity-linked notes issued, and to a lesser extent, matured credit-linked notes issued as well as a decline in long-term debt issued. This resulted in long-term debt decreasing from 22.4% to 19.4% in relation to our funding sources. During 2011, we raised CHF 5.8 billion equivalent of public benchmark bonds with an average maturity of 3.5 years, including CHF 2.6 billion equivalent of covered bond issuance. The amount of public bond issuance roughly offset the CHF 6.0 billion equivalent of public benchmark bonds that ma-

In document Plan de expansión de la frontera eléctrica en el Departamento de Piura (página 59-74)