Disclosure

Overview of risk-weighted assets

Overview of risk-weighted assets1
a b c
RWARWAMinimum Capital
Requirement2
in CHF million31.12.202031.12.201931.12.2020
1Credit risk (excluding counterparty credit risk) (CCR)76,09775,7076,088
2of which: standardised approach (SA)9,57810,687766
3of which: foundation internal ratings-based (F-IRB) approach 25,41724,1422,033
4of which: supervisory slotting approach---
5of which: advanced internal ratings-based (A-IRB) approach341,10240,8783,288
6Counterparty credit risk (CCR)99132479
7of which: standardised approach for counterparty credit risk31832425
8of which: Internal Model Method (IMM)---
9of which: other CCR673-54
10Credit valuation adjustment (CVA)20230616
11Equity positions under the simple risk weight approach334-27
12Equity investments in funds – look-through approach---
13Equity investments in funds – mandate-based approach-9-
14Equity investments in funds – fall-back approach571115
15Settlement risk---
16Securitisation exposures in banking book---
17of which: securitisation internal ratings-based approach (SEC-RBA)---
18of which: securitisation external ratings-based approach
(SEC-ERBA, including internal assessment approach (IAA)
---
19of which: securitisation standardised approach (SEC-SA)---
20Market risk42,5903,895207
21of which: standardised approach (SA)2,5903,895207
22of which: internal model approaches (IMA)---
23Capital charge for switch between trading book and banking book---
24Operational risk5,6975,707456
25Amounts below the thresholds for deduction (subject to 250% risk weight)1,4801,547118
26Floor adjustment56,09810,689488
27Total93,54598,2957,484
1 The figures in this statement are calculated according to the provisions of the Capital Adequacy Ordinance (CAO) for non-systemically important banks.
2 The required capital for all items amounts to 8% of the risk-weighted assets (RWA).
3 Raiffeisen uses the foundation IRB approach (F-IRB). As for the IRB segment retail only the advanced IRB approach (A-IRB) exists, the RWA and minimum capital requirements for the IRB segment retails are disclosed here.
4 The decrease in market risks is attributable to the reduction in exposures in the area of interest rate and currency instruments.
5 Under the IRB transitional provisions an IRB floor of 95% is used for the first year (reporting date 31.12.2019) and 90% for the second year (31.12.2020).