Regulatory disclosure
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 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.
Inforamtion on the liquidity coverage ratio
| Q3 20221 | Q4 20221 | |||||||||||||||||
| 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) | 55,356 | 55,270 | |||||||||||||||
| B. | Cash outflows | |||||||||||||||||
| 2 | Retail deposits | 121,439 | 12,063 | 123,084 | 12,237 | |||||||||||||
| 3 | of which stable deposits | 6,000 | 300 | 6,000 | 300 | |||||||||||||
| 4 | of which less stable deposits | 115,439 | 11,763 | 117,084 | 11,937 | |||||||||||||
| 5 | Unsecured business-client or wholesale funding | 30,470 | 18,168 | 28,999 | 17,015 | |||||||||||||
| 6 | of which operational deposits (all counterparties) and deposits with the central institution of a cooperative bank network | - | - | - | - | |||||||||||||
| 7 | of which non-operational deposits (all counterparties) | 28,976 | 16,674 | 28,325 | 16,342 | |||||||||||||
| 8 | of which unsecured debt securities | 1,494 | 1,494 | 673 | 673 | |||||||||||||
| 9 | Secured business client or wholesale funding and collateral swaps | 260 | 263 | |||||||||||||||
| 10 | Other cash outflows | 15,180 | 3,395 | 15,111 | 3,328 | |||||||||||||
| 11 | of which cash outflows related to derivative exposures and other transactions | 1,940 | 1,738 | 1,879 | 1,687 | |||||||||||||
| 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 | 122 | 122 | 87 | 87 | |||||||||||||
| 13 | of which cash outflows from committed credit and liquidity facilities | 13,118 | 1,535 | 13,145 | 1,554 | |||||||||||||
| 14 | Other contractual funding obligations | 3,832 | 2,222 | 4,602 | 2,513 | |||||||||||||
| 15 | Other contingent funding obligations | 1,666 | 83 | 1,590 | 79 | |||||||||||||
| 16 | Total cash outflows | 36,192 | 35,437 | |||||||||||||||
| C. | Cash inflows | |||||||||||||||||
| 17 | Secured funding transactions (e.g. reverse repo transactions) | 418 | 89 | 416 | 115 | |||||||||||||
| 18 | Inflows from fully performing exposures | 3,472 | 1,697 | 4,495 | 2,231 | |||||||||||||
| 19 | Other cash inflows | 213 | 213 | 262 | 262 | |||||||||||||
| 20 | Total cash inflows | 4,102 | 1,998 | 5,172 | 2,609 | |||||||||||||
| Adjusted value | ||||||||||||||||||
| 21 | Total high-quality liquid assets (HQLA) | 55,356 | 55,270 | |||||||||||||||
| 22 | Total net cash outflows | 34,194 | 32,828 | |||||||||||||||
| 23 | Liquidity coverage ratio (LCR) (%) | 161.9% | 168.4% | |||||||||||||||
| 1 Average daily closing averages of all business days in the reporting quarters. | ||||||||||||||||||
Of the portfolio of high-quality liquid assets (HQLA), 87% consist of category 1 assets, 81% 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 13% of the HQLA portfolio, 89% consist of Swiss mortgage bonds. The remaining 11% are primarily public-sector bonds and covered bonds rated at least A–.
The HQLA portfolio (No. 21) decreased in comparison to the last reporting period, especially in the third quarter. Net cash outflows (No. 22) have also declined compared to the last reporting period. The result was a decrease in the short-term liquidity coverage ratio (No. 23) to 161.9% in the third quarter and an increase to 168.4% in the fourth. This change is mainly attributable to a reduction in the portfolio of deposits from business clients and key accounts (line 5) and the increase in inflows from fully recoverable receivables (line 18). The remaining positions moved steadily in line with the growth in total assets.