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.

 

 

Q3 2018 1

Q4 2018 1

 

 

Unweighted values in CHF millions

Weighted values in CHF millions

Unweighted values in CHF millions

Weighted values in CHF millions

A. High-quality liquid assets (HQLA)

 

 

 

 

1

Total high-quality liquid assets (HQLA)

 

21,562

 

21,691

B. Cash outflows

 

 

 

 

2

Retail deposits

91,431

8,985

93,016

9,141

3

of which stable deposits

6,000

300

6,000

300

4

of which less stable deposits

85,431

8,685

87,016

8,841

5

Unsecured business-client or wholesale funding

12,522

7,269

12,161

6,830

6

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

0

0

0

0

7

of which non-operational deposits (all counterparties)

11,518

6,265

11,310

5,979

8

of which unsecured debt securities

1,004

1,004

851

851

9

Secured business client or wholesale funding and collateral swaps

 

1

 

1

10

Other cash outflows

7,480

1,882

8,204

1,955

11

of which cash outflows related to derivative exposures and other transactions

675

675

595

595

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

117

117

143

143

13

of which cash outflows from committed credit and liquidity facilities

6,688

1,090

7,466

1,216

14

Other contractual funding obligations

2,904

1,825

3,643

1,991

15

Other contingent funding obligations

2,021

101

2,021

101

16

Total cash outflows

 

20,063

 

20,018

C. Cash inflows

 

 

 

 

17

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

26

0

8

2

18

Inflows from fully performing exposures

3,103

1,794

4,169

2,278

19

Other cash inflows

105

1,052

130

130

20

Total cash inflows

3,235

2,846

4,307

2,410

 

 

 

 

 

 

 

 

 

Adjusted value

 

Adjusted value

21

Total high-quality liquid assets (HQLA)

 

21,562

 

21,691

22

Total net cash outflows

 

17,217

 

17,608

23

Liquidity coverage ratio (LCR) (%)

 

125.24%

 

123.19%

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).

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.