Information on the liquidity coverage ratio (LCR)

 

 

Q3 2017 1

Q4 2017 1

 

 

Unweighted values in 1,000 CHF

Weighted values in 1,000 CHF

Unweighted values in 1,000 CHF

Weighted values in 1,000 CHF

High-quality liquid assets (HQLA)

 

 

 

 

1

Total high-quality liquid assets (HQLA)

 

22,109,158

 

23,123,703

Cash outflows

 

 

 

 

2

Retail deposits

88,925,946

8,778,358

90,786,630

8,945,706

3

of which stable deposits

6,000,000

300,000

6,000,000

300,000

4

of which less stable deposits

82,925,946

8,478,358

84,786,630

8,645,706

5

Unsecured business-client or wholesale funding

12,084,816

7,121,039

12,585,452

7,291,558

6

of which operational deposits (all counterparties) and deposits with the central institution of a cooperative bank network

14,042

3,510

25,612

6,403

7

of which non-operational deposits (all counterparties)

11,912,609

6,959,364

12,337,602

7,062,917

8

of which unsecured debt securities

158,165

158,165

222,238

222,238

9

Secured business client or wholesale funding and collateral swaps

 

32,597

 

13,192

10

Other cash outflows

7,216,606

2,025,822

7,354,620

2,065,435

11

of which cash outflows related to derivative exposures and other transactions

849,712

849,712

783,454

783,454

12

of which cash outflows related to loss of funding on asset-backed securities, covered bonds, other structured finance, asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities

32,644

32,644

113,430

113,430

13

of which cash outflows from committed credit and liquidity facilities

6,334,250

1,143,466

6,457,736

1,168,551

14

Other contractual funding obligations

3,109,877

1,989,786

3,523,323

2,137,870

15

Other contingent funding obligations

1,966,145

98,307

2,013,093

100,655

16

Total cash outflows

 

20,045,910

 

20,554,416

Cash inflows

 

 

 

 

17

Secured funding transactions (e.g. reverse repo transactions)

163,808

2,111

91,026

2,679

18

Inflows from fully performing exposures

3,544,228

2,366,895

4,130,454

2,614,900

19

Other cash inflows

238,237

238,237

217,535

217,535

20

Total cash inflows

3,946,274

2,607,243

4,439,015

2,835,114

 

 

 

 

 

 

 

 

 

Adjusted value

 

Adjusted value

21

Total high-quality liquid assets (HQLA)

 

22,109,158

 

23,123,703

22

Total net cash outflows

 

17,438,666

 

17,719,302

23

Liquidity coverage ratio (LCR) (%)

 

126.78%

 

130.50%

1 Average daily closing averages of all business days in the reporting quarters (64 data points taken into account in the third quarter, 63 data points taken into account in the fourth quarter)

Notes on the liquidity coverage ratio (LCR)

Art. 12 of the Liquidity Ordinance requires the Raiffeisen Group to comply with the liquidity coverage ratio (LCR). The LCR is intended to ensure that banks hold sufficient high-quality liquid assets (HQLA) in order to cover, at all times, the net cash outflow that could be expected in a standard stress scenario for 30 days, as defined by outflow and inflow assumptions. The published LCR metrics are based on the daily closing averages of all business days in the corresponding reporting quarters.

Raiffeisen focuses on the domestic savings and mortgage market. Due to its low degree of dependence on major clients and broad diversification among private clients, its funding sources are minimally concentrated.

Loans to clients are funded largely by customer deposits (91%) and additionally through central mortgage institution loans and Raiffeisen bonds. The money market is used solely for tactical management of the liquidity buffer. This maximises the immunisation against risks on the money market.

Of the portfolio of high-quality liquid assets (HQLA), 80% consist of category 1 assets, 90% of which are held as liquid funds. The remaining category 1 assets are mainly public sector bonds with a minimum rating of AA-. Of the category 2 assets, which account for 20% of the HQLA portfolio, 86% consist of Swiss mortgage bonds. The remaining 14% are primarily public sector bonds and covered bonds rated at least A-.

Net cash outflows (no. 22) remained constant over the last reporting period. The HQLA portfolio (no. 1) was slightly increased, resulting in an increase in the short-term liquidity coverage ratio (no. 23). Cash outflows relating to the derivatives portfolio (no. 11) have declined because of lower market fluctuations in the last two years. The remaining positions have continuously developed within the scope of the growth in total assets.

The Raiffeisen Group does not have any significant foreign exchange operations resulting from its core business. Due to the low level of lending business in foreign currencies, foreign currency liabilities are transferred to Swiss francs using the matched-period method.

The Raiffeisen Group has centralised liquidity risk management, which is performed by Raiffeisen Switzerland's Treasury department. It manages the liquidity of the Raiffeisen Group based on regulatory requirements and internal target parameters. The individual Raiffeisen banks are required to deposit their portion of the liquidity requirements with Raiffeisen Switzerland. Raiffeisen Switzerland's Treasury department manages the liquidity reserve centrally and organises the liquidity transfer within the Group.