Statement of Financial Condition

Corporate debt Corporate bonds ABS Trade Claim 6. Fair Value Measurement (continued) Assets and liabilities measured at fair value on a recurring basis (continued) Valuation techniques and inputs used in the fair value measurement of Level 3 assets and liabilities measured at fair value on a recurring basis (continued) Equities and warrants APS Equities Equity contracts Mortgage-backed obligations RMBS and CMBS Total Financial liabilities designated at fair value Equity Contracts Total UBS Securities LLC Notes to the Statement of Financial Condition (continued) (In Thousands) Level 3 at fair value Securities owned $ 2,884 1,821 61 1,002 $ 1,788,843 1,584,777 63,705 140,361 $ 47,741 47,741 $ 1,839,468 Securities sold, not yet purchased Securities owned $ 20 20 $ 1,636 7 1,629 $ $ 1,656 Level 3 designed at fair value Securities sold, not yet purchased $ 137,941 137,941 $ 137,941 Valuation technique(s) Market Comparables Market Comparables Market Comparables Discounted Cash Flow Option model Option model Market Comparables and Cash Flow Analysis Valuation technique(s) Option model Option model Significant unobservable inputs / Sensitivity Price Price Price Credit Spread Volatility of equity stocks, equity and other indices Equity dividend yields Price CPR CDR 1 Severity / Recovery Yield Significant unobservable inputs ¹ / Sensitivity Volatility of equity stocks, equity and other indices Equity dividend yields Range of input values 98.0 - 98.0 0.85 1.50 10.00 - 65.00 115.00 197.31 13.83 - 58 0.0 1.87 75.00 100.63 2.78 16.68 0.50 -6.74 5.36 78.25 5.219.20 Range of input values 13.83 58 0.0 - 1.36 Cash Weighted ² 98.0 1.26 38.30 153.21 87.10 10.75 1.64 55.0 7.48 Cash Weighted ² 22

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