Capital adequacy and liquidity 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 by Raiffeisen Group. Complete disclosure with the qualitative and quantitative information on risks, equity capital base and liquidity is available on the Raiffeisen homepage (Über uns/Raiffeisen Schweiz Markets/Investor Information/Capital adequacy and liquidity disclosure).

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.

Key regulatory figures as of 31 December 2018

 

in CHF million

a

b

c

d

e

 

 

31.12.2018

30.09.2018

30.06.2018

31.03.2018

31.12.2017

 

Available capital (amounts)

 

 

 

 

 

1

Common Equity Tier 1 (CET1)

16,408

15,614

15,391

15,340

15,275

2

Tier 1

17,381

16,593

16,376

16,465

16,409

3

Total capital

17,650

16,866

16,651

16,742

16,744

 

Risk-weighted assets (amounts)

 

 

 

 

 

4

Total risk-weighted assets (RWA)

99,307

97,986

98,436

98,333

96,343

4a

Minimum capital requirement

7,945

7,839

7,875

7,867

7,707

 

Risk-based capital ratios as a percentage of RWA

 

 

 

 

 

5

Common Equity Tier 1 ratio (%)

16.5%

15.9%

15.6%

15.6%

15.9%

6

Tier 1 ratio (%)

17.5%

16.9%

16.6%

16.7%

17.0%

7

Total capital ratio (%)

17.8%

17.2%

16.9%

17.0%

17.4%

 

Additional CET1 buffer requirements as a percentage of RWA

 

 

 

 

 

8

Capital conservation buffer requirement (2.5% from 2019) (%)

2.5%

2.5%

2.5%

2.5%

2.5%

9

Countercyclical buffer requirement (%) 1

1.2%

1.2%

1.2%

1.2%

1.2%

10

Bank G-SIB and/or D-SIB additional requirements (%)

0.0%

0.0%

0.0%

0.0%

0.0%

11

Total of bank CET1 specific buffer requirements (%)

8.2%

8.2%

8.2%

8.2%

8.2%

12

CET1 available after meeting the bank’s minimum capital requirements (%)

13.4%

12.8%

12.5%

12.6%

13.0%

 

Target capital ratios in accordance with note 8 of the CAO 2

 

 

 

 

 

12b

Countercyclical buffer (Art. 44 and 44a of the CAO)

1.2%

1.2%

1.2%

1.2%

1.2%

 

Basel III Leverage Ratio

 

 

 

 

 

13

Total Basel III leverage ratio exposure measure

228,582

236,225

233,522

237,705

231,715

14

Basel III leverage ratio (%)

7.6%

7.0%

7.0%

6.9%

7.1%

 

Liquidity Coverage Ratio

 

 

 

 

 

15

Total HQLA

21,691

21,562

21,413

22,537

23,124

16

Total net cash outflow

17,608

17,217

18,564

18,160

17,719

17

LCR ratio (%)

123.2%

125.2%

115.4%

124.1%

130.5%

1 Includes national countercyclical buffer (Art. 45 of the CAO).

2 Systemically important banks can refrain from publishing rows 12a, 12c, 12d, 12e (note 8 of the CAO not applicable).

Overview of risk-weighted positions

 

in CHF million

12/31/2018

12/31/2017

12/31/2018

 

 

a

b

c

 

 

RWA

RWA

Minimum Capital Requirement 1

 

 

 

 

 

1

Credit risk (excluding counterparty credit risk) (CCR)

89,147

85,701

7,132

2

Of which: standardised approach (SA)

89,147

85,701

7,132

3

Of which: foundation internal ratings-based (F-IRB) approach

4

Of which: supervisory slotting approach

5

Of which: advanced internal ratings-based (A-IRB) approach

6

Counterparty credit risk (CCR)

611

529

49

7

Of which: standardised approach for counterparty credit risk 2

611

529

49

8

Of which: Internal Model Method (IMM)

 

 

 

9

Of which: other CCR

 

 

 

10

Credit valuation adjustment (CVA)

11

Equity positions under the simple risk weight approach

12

Equity investments in funds – look-through approach

13

Equity investments in funds – mandate-based approach

14

Equity investments in funds – fall-back approach

15

Settlement risk

16

Securitisation exposures in banking book

17

Of which: securitisation internal ratings-based approach (SEC-RBA)

18

Of which: securitisation external ratings-based approach (SEC-ERBA, including internal assessment approach (IAA)

19

Of which: securitisation standardises approach (SEC-SA)

20

Market risk 3

2,343

3,110

187

21

Of which: standardised approach (SA)

2,343

3,110

187

22

Of which: internal model approaches (IMA)

23

Capital charge for switch between trading book and banking book

24

Operational risk

5,721

5,677

458

25

Amounts below the thresholds for deduction (subject to 250% risk weight)

1,484

1,325

119

26

Floor adjustment

27

Total

99,307

96,343

7,945

1 The required capital for all items amounts to 8% of the risk-weighted assets (RWA).

2 The current exposure method is used to measure the counterparty credit risk of derivative transactions for the purposes of determining capital adequacy requirements.

3 In the reporting period the assets in the trading portfolio decreased, resulting in a strong reduction of market risk.

Presentation of regulatory eligible available capital

 

in CHF million

31.12.2018

31.12.2017

 

Common equity (CET1)

 

 

1

Issued and paid-in capital, fully eligible

2,172

1,957

2

Statutory reserves/retained earnings reserves/retained earnings (losses)/profit (loss) for the period

14,292

13,689

 

of which retained earnings reserves

13,611

12,826

 

of which foreign currency translation reserve

 

of which profit (loss) for the period 1

481

864

5

Minority interests

6

Total “hard” core capital (CET1) before regulatory adjustments

16,464

15,647

 

= Common Equity Tier 1 capital before regulatory adjustments

 

 

7

Prudential value adjustments

-3

8

Goodwill

-50

-365

9

Other intangibles

-4

-7

28

= Total regulatory adjustments to CET1

-57

-372

29

= Common Equity Tier 1 capital (net CET1)

16,408

15,275

 

Additional Tier 1 capital (AT1)

 

 

30

Issued and paid in instruments, fully eligible

973

1,134

31

of which: classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards

973

1,134

36

= Additional Tier 1 capital before regulatory adjustments

973

1,134

43

= Total regulatory adjustments to AT1

44

= Additional Tier 1 capital (net AT1)

973

1,134

45

= Tier 1 capital (net Tier 1 = net CET1 + net AT1)

17,381

16,409

 

Tier 2 capital (T2)

 

 

46

Issued and paid in instruments, fully eligible

76

68

47

Issued and paid in instruments, subject to phase-out

193

268

51

= Tier 2 capital before regulatory adjustments

269

335

57

= Total regulatory adjustments to T2

58

= Tier 2 capital (net T2)

269

335

59

= Regulatory capital (net T1 & T2)

17,650

16,744

60

Total risk-weighted assets

99,307

96,343

 

Capital ratios

 

 

61

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

16.5%

15.9%

62

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

17.5%

17.0%

63

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

17.8%

17.4%

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) 2

8.2%

8.2%

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)

1.2%

1.2%

67

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

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) 3

13.4%

13.0%

 

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

 

 

72

Non-qualified participation in the financial sector

96

196

73

Other qualified participations in the financial sector (CET1)

593

530

1 Excluding interest on cooperative capital

2 With considering the national countercyclical buffer

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