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.

Information on the liquidity coverage ratio

Q3 20201

Q4 20201
in CHF million (unless stated otherwise)Unweighted valuesWeighted valuesUnweighted valuesWeighted values
A.High-quality liquid assets (HQLA)
1Total high-quality liquid assets (HQLA)42,47347,789
B.Cash outflows
2Retail deposits106,38410,532109,35110,836
3of which stable deposits6,0003006,000300
4of which less stable deposits100,38410,232103,35110,536
5Unsecured business-client or wholesale funding23,11214,53524,61315,014
6of which operational deposits (all counterparties) and deposits with the central institution of a cooperative bank network0000
7of which non-operational deposits (all counterparties)22,24213,66423,96714,367
8of which unsecured debt securities870870646646
9Secured business client or wholesale funding and collateral swaps01840144
10Other cash outflows12,7823,37113,2853,497
11of which cash outflows related to derivative exposures and other transactions2,1291,8762,1751,925
12of 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 facilities9797137137
13of which cash outflows from committed credit and liquidity facilities10,5561,39810,9721,435
14Other contractual funding obligations3,5732,0304,4752,554
15Other contingent funding obligations2,5081252,291115
16Total cash outflows30,77732,159
C. Cash inflows
17Secured funding transactions (e.g. reverse repo transactions)33905088
18Inflows from fully performing exposures3,3251,6304,2322,117
19Other cash inflows43435151
20Total cash inflows3,7061,6724,7902,175
Adjusted value
21Total high-quality liquid assets (HQLA)42,47347,789
22Total net cash outflows29,10529,983
23Liquidity coverage ratio (LCR) (%)145.9%159.4%
1 Average daily closing averages of all business days in the reporting quarters (65 data points taken into account in the first quarter, 67 data points taken into account in the second quarter).

Of the portfolio of high-quality liquid assets (HQLA), 84% consist of category 1 assets, 93% 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 16% of the HQLA portfolio, 90% consist of Swiss mortgage bonds. The remaining 10% are primarily public sector bonds and covered bonds rated at least A–.

Net cash outflows (no. 22) increased considerably compared to the last reporting period in the third quarter in particular. The HQLA portfolio (no. 21) has also increased sharply in comparison to the last reporting period. This led to an increase in the short-term liquidity coverage ratio (no. 23) in the third quarter to 146% and in the fourth quarter to 159%. This development is attributable to the strong growth in deposits by private clients (no. 2). In addition, due to favourable market conditions, the portfolio of deposits of business clients and key accounts (no. 5) underwent a further tactical increase. Cash outflows relating to the derivatives portfolio (no. 11) hardly changed following the strong rise in the last reporting period. 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.