Regulatory disclosure

Liquidity coverage ratio (LCR)

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 always hold sufficient high-quality liquid assets (HQLA) to cover the net cash outflow that could be expected in a standard stress scenario for 30 days, as defined by outflow and inflow assumptions. The LCR metrics published are based on the daily closing averages of all business days in the corresponding reporting quarters.

Liquidity coverage ratio (LCR)

Q3 20211Q4 20211
in CHF million (unless stated otherwise)Unweighted valuesWeighted valuesUnweighted valuesWeighted values
A.High-quality liquid assets (HQLA)
1Total high-quality liquid assets (HQLA)58,92960,763
B.Cash outflows
2Retail deposits116,33411,580118,56411,759
3of which stable deposits6,0003006,000300
4of which less stable deposits110,33411,280112,56411,459
5Unsecured business-client or wholesale funding26,19715,61428,17216,670
6of which operational deposits (all counterparties) and deposits with the central institution of a cooperative bank network0000
7of which non-operational deposits (all counterparties)25,27814,69527,23415,732
8of which unsecured debt securities920920938938
9Secured business client or wholesale funding and collateral swaps12257
10Other cash outflows14,3813,55515,4093,592
11of which cash outflows related to derivative exposures and other transactions2,1561,9262,1711,941
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 facilities154154119119
13of which cash outflows from committed credit and liquidity facilities12,0721,47513,1201,532
14Other contractual funding obligations3,8612,2755,0192,931
15Other contingent funding obligations1,820911,87294
16Total cash outflows33,23635,102
C. Cash inflows
17Secured funding transactions (e.g. reverse repo transactions)2725622649
18Inflows from fully performing exposures3,4561,6734,4602,224
19Other cash inflows55556060
20Total cash inflows3,7821,7834,7462,334
Adjusted value
21Total high-quality liquid assets (HQLA)58,92960,763
22Total net cash outflows31,45332,769
23Liquidity coverage ratio (LCR) (%)187.4%185.4%
1 Average daily closing averages of all business days in the reporting quarters.
Of the portfolio of high-quality liquid assets (HQLA), 90% consist of category 1 assets, 96% 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 10% 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–.
The HQLA portfolio (No. 21) increased sharply in comparison to the last reporting period, especially in the third quarter. Net cash outflows (No. 22) rose only moderately. This led to an increase in the short-term liquidity coverage ratio (No. 23) to 187% in the third quarter and a slight decline to 185% in the fourth quarter. This development is attributable to the strong growth in deposits of private customers (No. 2). In addition, owing to favourable market conditions, the portfolio of deposits of business clients and key accounts (No. 5) underwent a further tactical increase. The remaining positions moved steadily in line with the growth in total assets.
The Raiffeisen Group does not have any significant foreign exchange operations resulting from its core business. Because of the low level of lending business in foreign currencies, foreign currency liabilities are mostly 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.