LIQ1: Qualitative disclosure of the liquidity coverage ratio
Art. 12 of the Liquidity Ordinance requires the Raiffeisen Group and Raiffeisen Switzerland 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.
Of the portfolio of high-quality liquid assets (HQLA), 77% consist of category 1 assets, 92% 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 23% of the HQLA portfolio, 87% consist of Swiss mortgage bonds. The remaining 13% largely consist of public sector bonds as well as covered bonds with a rating of at least A-.
Net cash outflows (no. 22) decreased slightly over the last two reporting periods. The HQLA portfolio (no. 21) has hardly changed, resulting in an increase of 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 carry out 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.