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 20211 | Q4 20211 | |||||||||||||||||
| in CHF million (unless stated otherwise) | Unweighted values | Weighted values | Unweighted values | Weighted values | ||||||||||||||
| A. | High-quality liquid assets (HQLA) | |||||||||||||||||
| 1 | Total high-quality liquid assets (HQLA) | 58,929 | 60,763 | |||||||||||||||
| B. | Cash outflows | |||||||||||||||||
| 2 | Retail deposits | 116,334 | 11,580 | 118,564 | 11,759 | |||||||||||||
| 3 | of which stable deposits | 6,000 | 300 | 6,000 | 300 | |||||||||||||
| 4 | of which less stable deposits | 110,334 | 11,280 | 112,564 | 11,459 | |||||||||||||
| 5 | Unsecured business-client or wholesale funding | 26,197 | 15,614 | 28,172 | 16,670 | |||||||||||||
| 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) | 25,278 | 14,695 | 27,234 | 15,732 | |||||||||||||
| 8 | of which unsecured debt securities | 920 | 920 | 938 | 938 | |||||||||||||
| 9 | Secured business client or wholesale funding and collateral swaps | 122 | 57 | |||||||||||||||
| 10 | Other cash outflows | 14,381 | 3,555 | 15,409 | 3,592 | |||||||||||||
| 11 | of which cash outflows related to derivative exposures and other transactions | 2,156 | 1,926 | 2,171 | 1,941 | |||||||||||||
| 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 | 154 | 154 | 119 | 119 | |||||||||||||
| 13 | of which cash outflows from committed credit and liquidity facilities | 12,072 | 1,475 | 13,120 | 1,532 | |||||||||||||
| 14 | Other contractual funding obligations | 3,861 | 2,275 | 5,019 | 2,931 | |||||||||||||
| 15 | Other contingent funding obligations | 1,820 | 91 | 1,872 | 94 | |||||||||||||
| 16 | Total cash outflows | 33,236 | 35,102 | |||||||||||||||
| C. | Cash inflows | |||||||||||||||||
| 17 | Secured funding transactions (e.g. reverse repo transactions) | 272 | 56 | 226 | 49 | |||||||||||||
| 18 | Inflows from fully performing exposures | 3,456 | 1,673 | 4,460 | 2,224 | |||||||||||||
| 19 | Other cash inflows | 55 | 55 | 60 | 60 | |||||||||||||
| 20 | Total cash inflows | 3,782 | 1,783 | 4,746 | 2,334 | |||||||||||||
| Adjusted value | ||||||||||||||||||
| 21 | Total high-quality liquid assets (HQLA) | 58,929 | 60,763 | |||||||||||||||
| 22 | Total net cash outflows | 31,453 | 32,769 | |||||||||||||||
| 23 | Liquidity 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.