Capital adequacy disclosure

Disclosure obligations  

The Raiffeisen Group, in its capacity as the central organisation, is obligated to comply with capital adequacy rules and is thus subject to disclosure requirements under supervisory law. Information is published in line with the regulations laid down in the Capital Adequacy Ordinance (CAO) of 1 June 2012 and FINMA Circular 2016/1 entitled "Disclosure – banks: Capital adequacy and liquidity disclosure requirements".

On 16 June 2014, the Swiss National Bank (SNB) issued an order classifying the Raiffeisen Group as systemically important. Under FINMA Circular 2016/1, systemically important banks have special quarterly disclosure obligations. The corresponding information on risk-weighted capital adequacy and unweighted capital adequacy (leverage ratio) are available on Raiffeisen's website. As part of its capital adequacy reporting under supervisory law, the Raiffeisen Group submits half-yearly reports on its capital adequacy situation to the Swiss National Bank.

On the following pages, the annual report includes a selection of tables that have to be disclosed pursuant to the FINMA Circular 2016/1 for the first time on 31 December 2017 by Raiffeisen Group. Complete disclosure with the qualitative and quantitative information on risks, equity capital base and liquidity is available on the Raiffeisen homepage.

Quantitative information has been disclosed in accordance with the requirements laid down in the Capital Adequacy and Risk Diversification Ordinance. Some of this information cannot be directly compared with that provided in the consolidated accounts, which is reported in line with the accounting requirements for banks laid down in FINMA Circular 2015/1. Capital adequacy calculations are based on the same group of consolidated companies as the consolidated accounts.

Minimum disclosure requirements as at 31 December 2017 

 

 

Current year in 1,000 CHF

1

Minimum capital based on risk-based requirements

7,707,452

2

Eligible capital

16,744,156

3

of which “hard” core capital (CET1)

15,274,971

4

of which core capital (T1)

16,408,841

5

Risk-weighted positions (RWA)

96,343,148

6

CET1 ratio (Common Equity Tier 1 capital as % of RWA)

15.85

7

Core capital ratio (core capital as % of RWA)

17.03

8

Total capital ratio (as % of RWA)

17.38

9

Countercyclical capital buffer (as % of RWA)

1.16

10

CET1 target ratio (as %) pursuant to note 8 of the CAO plus countercyclical capital buffer 1

10.36

11

T1 target ratio (as %) pursuant to note 8 of the CAO plus countercyclical capital buffer 1

12.56

12

Total capital target ratio (as %) pursuant to note 8 of the CAO plus countercyclical capital buffer 1

15.56

13

Basel III leverage ratio (core capital as % of overall exposure)

7.08

14

Exposure

231,714,975

15

Short-term liquidity coverage ratio, LCR (as %) in Q4

130.50

16

Numerator of LCR: Total high-quality liquid assets

23,123,703

17

Denominator of LCR: Total net cash outflows

17,719,302

18

Short-term liquidity coverage ratio, LCR (as %) in Q3

126.78

19

Numerator of LCR: Total high-quality liquid assets

22,109,158

20

Denominator of LCR: Total net cash outflows

17,438,666

21

Short-term liquidity coverage ratio, LCR (as %) in Q2

124.27

22

Numerator of LCR: Total high-quality liquid assets

22,188,202

23

Denominator of LCR: Total net cash outflows

17,854,714

24

Short-term liquidity coverage ratio, LCR (as %) in Q1

120.63

25

Numerator of LCR: Total high-quality liquid assets

22,287,906

26

Denominator of LCR: Total net cash outflows

18,475,551

 

 

 

1 Derived from the FINMA decision of July 2015, the CET1 target ratio is 9.2%, the T1 target ratio is 11.4% and the total capital target ratio is 14.4%, plus a countercyclical buffer of 1.16% in each case.

Minimum capital requirement

 

Current year risk-weighted positions in 1,000 CHF

Current year required capital in 1,000 CHF

Previous year risk-weighted positions in 1,000 CHF

Previous year required capital in 1,000 CHF

Minimum capital requirement

 

 

 

 

Credit risk (standard approach BIS)

 

 

 

 

Amounts due from banks

455,534

36,443

354,962

28,397

Amounts due from customers

5,163,989

413,119

5,161,375

412,910

Mortgage loans

73,541,085

5,883,288

69,673,740

5,573,899

Positive replacement values of derivative financial instruments

72,745

5,820

62,004

4,960

Accrued income and prepaid expenses

101,474

8,118

107,417

8,593

Other assets

171,547

13,724

147,021

11,762

Net interest positions outside trading book

1,095,863

87,669

1,167,851

93,428

Net equity positions outside trading book 1

1,632,957

130,637

2,035,625

162,850

Contingent liabilities

313,947

25,116

255,296

20,424

Irrevocable commitments

1,609,252

128,740

1,448,360

115,869

Obligations to pay up shares and make further contributions

113,897

9,112

118,542

9,483

Add-ons for forward contracts and options purchased

251,533

20,123

188,647

15,092

Unsettled transactions

 

 

Guarantee obligations to central counterparties (CCPs)

 

2,883

 

1,660

CVA (standard approach)

 

12,386

 

8,764

Mandatory capital for credit risks and other credit risk positions

 

6,777,176

 

6,468,092

Non-counterparty-related risks

 

 

 

 

Real estate (including real estate in financial assets)

2,596,925

207,754

2,382,250

190,580

Other tangible fixed assets/other recognised assets subject to depreciation

244,263

19,541

251,038

20,083

Mandatory capital for non-counterparty-related risks

 

227,295

 

210,663

Market risks (standard approach)

 

 

 

 

Interest rate instruments – general market risk

 

112,683

 

108,417

Interest rate instruments – specific risk

 

48,082

 

35,744

Equity instruments

 

40,508

 

20,966

Foreign currencies and gold

 

10,703

 

7,524

Other precious metals

 

35,505

 

16,583

Options

 

1,319

 

59

Mandatory capital for market risks

 

248,800

 

189,293

Mandatory capital for operational risks (basic indicator method)

 

454,181

 

442,621

Total mandatory capital

 

7,707,452

 

7,310,669

1 Including equity securities, which have received a risk weighting of 250%

Composition of eligible capital – reconciliation 

 

Current year in 1,000 CHF

Reference 1

Previous year in 1,000 CHF

Reference 1

Balance sheet

 

 

 

 

Assets

 

 

 

 

Liquid assets

20,523,022

 

20,389,822

 

Amounts due from banks

8,331,689

 

7,083,612

 

Amounts due from securities financing transactions

231,672

 

338,260

 

Amounts due from customers

7,916,175

 

8,018,804

 

Mortgage loans

172,621,503

 

165,426,200

 

Trading portfolio assets

3,879,083

 

2,911,801

 

Positive replacement values of derivative financial instruments

1,676,852

 

1,743,165

 

Financial investments

7,593,388

 

7,951,965

 

Accrued income and prepaid expenses

277,805

 

246,797

 

Non-consolidated participations

650,117

 

787,634

 

Tangible fixed assets

2,802,620

 

2,599,512

 

Intangible assets

371,884

 

419,433

 

of which goodwill

365,231

(I)

401,288

(I)

of which other intangibles

6,653

(I)

18,145

(I)

Other assets

852,136

 

672,706

 

Total assets

227,727,946

 

218,589,711

 

Liabilities

 

 

 

 

Amounts due to banks

12,602,955

 

10,852,715

 

Liabilities from securities financing transactions

2,200,519

 

2,599,332

 

Amounts due in respect of customer deposits

164,084,825

 

158,254,449

 

of which subordinated time deposits, eligible as supplementary capital (T2)

67,815

(II)

75,349

(II)

Trading portfolio liabilities

133,799

 

138,207

 

Negative replacement values of derivative financial instruments

1,691,646

 

2,017,470

 

Liabilities from other financial instruments at fair value

2,580,306

 

1,633,944

 

Cash bonds

835,965

 

1,177,775

 

Bond issues and central mortgage institution loans

25,938,644

 

25,623,178

 

of which subordinated bond, eligible as additional core capital (AT1) 2

1,133,870

(III)

1,149,115

(III)

of which subordinated bond, eligible as supplementary capital (T2) – phase out

267,500

(IV)

321,000

(IV)

Accrued expenses and deferred income

850,574

 

828,695

 

Other liabilities

160,026

 

170,104

 

Provisions

948,633

 

903,476

 

of which deferred taxes for untaxed reserves

907,398

 

851,464

 

Reserves for general banking risks

80,000

(VI)

(VI)

Cooperative capital

1,957,396

 

1,594,753

 

of which eligible as “hard” core capital (CET1)

1,957,396

(V)

1,594,753

(V)

Retained earnings reserve

12,745,940

(VI)

12,036,214

(VI)

Currency translation reserve

7

(VI)

-4

(VI)

Group profit

917,068

(VII)

754,069

(VII)

Minority interests in equity

-357

 

5,334

 

of which eligible as “hard” core capital (CET1)

(VIII)

(VIII)

Total equity capital (with minority interests)

15,700,054

 

14,390,366

 

Total liabilities

227,727,946

 

218,589,711

 

1 The references refer to table «Composition and presentation of eligible regulatory capital».

2 Of which conversion capital with a high triggering rate amounting to CHF 590 million. Under the transitional provisions (CAO Art. 148b para. 1 letter b), the perpetual subordinated low-trigger bond from 2013 amounting to CHF 544 million qualifies as high-trigger conversion capital until the first capital call window opens (2 May 2018).

Composition and presentation of eligible regulatory capital

 

(in 1,000 CHF)

Reporting period

Reference 1

Prior period

Reference 1

 

Common equity (CET1)

 

 

 

 

1

Issued and paid-in capital, fully eligible

1,957,396

(V)

1,594,753

(V)

2

Retained earnings reserve (inclusion reserves for general banking risks)

12,825,947

(VI)

12,036,214

(VI)

2

Group profit 2

863,512

(VII)

710,131

(VII)

5

Minority interests

(VIII)

(VIII)

6

Total “hard” core capital (CET1) before adjustments

15,646,855

 

14,341,098

 

 

= Common Equity Tier 1 capital before regulatory adjustments

 

 

 

 

8

Goodwill

-365,231

(I)

-401,288

(I)

9

Other intangibles

-6,653

(I)

-18,145

(I)

28

= Total regulatory adjustments to CET1

-371,884

 

-419,433

 

29

= Common Equity Tier 1 capital (net CET1)

15,274,971

 

13,921,665

 

 

Additional Tier 1 capital (AT1)

 

 

 

 

30

Issued and paid in instruments, fully eligible 3

1,133,870

(III)

1,149,115

(III)

31

of which: classified as equity under applicable accounting standards

 

 

32

of which: classified as liabilities under applicable accounting standards

1,133,870

 

1,149,115

 

36

= Additional Tier 1 capital before regulatory adjustments

1,133,870

 

1,149,115

 

43

= Total regulatory adjustments to AT1

 

 

44

= Additional Tier 1 capital (net AT1)

1,133,870

 

1,149,115

 

45

= Tier 1 capital (net Tier 1)

16,408,841

 

15,070,780

 

 

Tier 2 capital (T2)

 

 

 

 

46

Issued and paid in instruments, fully eligible

67,815

(II)

75,349

(II)

47

Issued and paid in instruments, subject to phase-out

267,500

(IV)

321,000

(IV)

51

= Tier 2 capital before regulatory adjustments

335,315

 

396,349

 

57

= Total regulatory adjustments to T2

 

 

58

= Tier 2 capital (net T2)

335,315

 

396,349

 

59

= Regulatory capital (net T1 & T2)

16,744,156

 

15,467,129

 

60

Total risk-weighted assets

96,343,148

 

91,383,350

 

 

Capital ratios

 

 

 

 

61

CET1 ratio (item 29, as a percentage of risk-weighted assets)

15.9%

 

15.2%

 

62

T1 ratio (item 45, as a percentage of risk-weighted assets)

17.0%

 

16.5%

 

63

Regulatory capital ratio (item 59, as a percentage of risk-weighted assets)

17.4%

 

16.9%

 

64

CET1 requirements in accordance with the Basel minimum standards (minimum requirements + capital buffer + counter-cyclical buffer) plus the capital buffer for systemically important banks (as a percentage of risk-weighted assets) 4

7.0%

 

7.0%

 

65

of which, capital buffer in accordance with Basel minimum standards (as a percentage of risk-weighted assets)

2.5%

 

2.5%

 

66

of which, countercyclical buffer in accordance with the Basel minimum standards (as a percentage of risk-weighted assets)

0.0%

 

0.0%

 

67

of which, capital buffer for systemically important institutions in accordance with the Basel minimum standards (as a percentage of risk-weighted assets) 4

0.0%

 

0.0%

 

68

CET1 available to meet minimum and buffer requirements as per the Basel minimum standards, after deduction of the AT1 and T2 requirements met by CET1 (as a percentage of risk-weighted assets) 5

13.9%

 

13.4%

 

 

Amounts below the thresholds for deduction (before risk-weighting) 6

 

 

 

 

72

Non-qualified participation in the financial sector

195,701

 

317,245

 

73

Other qualified participations in the financial sector (CET1)

529,993

 

478,325

 

 

 

 

 

 

 

1 The references refer to table «Composition of eligible capital – reconciliation».

2 Excluding interest on cooperative capital

3 Of which conversion capital with a high triggering rate amounting to CHF 590 million. Under the transitional provisions (CAO Art. 148b para. 1 letter b), the perpetual subordinated low-trigger bond from 2013 amounting to CHF 544 million qualifies as high-trigger conversion capital until the first capital call window opens (2 May 2018)

4 Without taking into account the national countercyclical buffer.

5 The CET1 capital available according to this presentation (line 68) and the requirements (lines 64-67) are presented without consideration of transitional provisions.

6 The major participations pursuant to note 7.2 «Participations valued using the equity method» and note 7.3 «Other non-consolidated participations» of the Raiffeisen Group’s annual report are risk-weighted for calculating capital adequacy.