2 Liquidity risk

Liquidity risk is defined as a situation where present and future payment obligations cannot be fully met or met on time, or in the event of a liquidity crisis, refinancing funds may only be available at increased market rates (refinancing costs), or they can only be made liquid at markdowns to market rates (market liquidity risk).

2.1 Liquidity risk management

Processes and organizational structures ensure that liquidity risks are identified, uniformly valued, controlled and monitored, as well as being included in risk reporting. The regulations, on which liquidity risk management is based, including the risk tolerance of the LLB Group, are reviewed regularly by the Group Executive Management and approved by the Group Board of Directors. The liquidity risk limits to be applied by the LLB Group are specified in the regulations.

2.2 Objectives of liquidity risk management

The objectives of the LLB Group’s liquidity risk management encompass the following points:

  • the ability to meet financial obligations at all times
  • compliance with regulatory provisions
  • optimization of the refinancing structure
  • optimization of payment streams within the LLB Group

2.3 Valuation of liquidity risks

In our liquidity risk management concept, scenario analysis plays a central role. This includes the valuation of the liquidity of assets, i. e. the liquidity characteristics of our asset holdings in various stress scenarios.

2.4 Risk monitoring

Group Financial Risk Controlling monitors compliance with liquidity risk limits and is responsible for reporting on liquidity risks.

The following table shows the maturities according to contractual periods.

Enlarge table(XLS:) Download
Maturity of financial assets and liabilities (nominal including coupons) *

in CHF thousands

Sight deposits

Callable

Due within 3 months

Due between 3 months to 12 months

Due between 12 months to 5 Years

Due after 5 years

Total

*

Derivative financial instruments at replacement values

31.12.2015

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

Cash and balances with central banks

2'559'972

0

0

0

0

0

2'559'972

Due from banks

410'235

0

2'508'005

1'170'631

100'198

0

4'189'069

Due from customers

170'011

331'929

1'764'295

1'681'120

5'820'478

1'755'921

11'523'753

Trading portfolio assets

0

0

0

18

929

1'623

2'569

Derivative financial instruments

62'013

0

0

0

0

0

62'013

Financial investments at fair value

0

0

70'794

181'017

721'413

121'973

1'095'197

Total financial assets

3'202'230

331'929

4'343'093

3'032'785

6'643'018

1'879'517

19'432'572

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

Due to banks

155'567

0

273'042

194'928

50'017

0

673'553

Due to customers

10'076'253

4'854'338

105'657

374'523

145'275

0

15'556'046

Liabilities from insurance contracts

0

0

0

0

0

 

0

Financial liabilities at fair value

0

0

0

0

0

0

0

Derivative financial instruments

151'593

0

0

0

0

0

151'593

Debt issued

0

0

30'440

167'401

664'241

417'322

1'279'404

Total financial liabilities

10'383'413

4'854'338

409'138

736'852

859'532

417'322

17'660'596

 

 

 

 

 

 

 

 

Net liquidity exposure

–7'181'183

–4'522'410

3'933'955

2'295'933

5'783'486

1'462'195

1'771'975

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

344'203

 

 

 

 

 

344'203

Enlarge table(XLS:) Download

in CHF thousands

Sight deposits

Callable

Due within 3 months

Due between 3 months to 12 months

Due between 12 months to 5 Years

Due after 5 years

Total

*

The comparison period was adjusted on the basis of the restatement. See point 2.1 of the accounting principles.

31.12.2014 (restated) *

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

Cash and balances with central banks

1'362'755

0

0

0

0

0

1'362'755

Due from banks

689'426

74'704

3'780'917

1'017'909

130'710

0

5'693'665

Due from customers

347'712

533'537

1'454'138

1'585'520

5'467'345

1'888'374

11'276'626

Trading portfolio assets

0

0

0

3

560

19

582

Derivative financial instruments

87'781

0

0

0

0

0

87'781

Financial investments at fair value

0

1'078'042

99'442

164'516

593'432

178'613

2'114'045

Total financial assets

2'487'673

1'686'283

5'334'497

2'767'947

6'192'048

2'067'006

20'535'454

Financial liabilities

 

 

 

 

 

 

 

Due to banks

185'484

0

80'057

219'380

0

0

484'922

Due to customers

9'657'814

5'339'066

287'989

279'128

10'299

0

15'574'296

Liabilities from insurance contracts

0

75'649

0

0

0

 

75'649

Financial liabilities at fair value

0

1'193'396

0

0

0

0

1'193'396

Derivative financial instruments

165'809

0

0

0

0

0

165'809

Debt issued

0

0

41'525

133'016

625'662

430'222

1'230'425

Total financial liabilities

10'009'107

6'608'111

409'571

631'524

635'961

430'222

18'724'496

 

 

 

 

 

 

 

 

Net liquidity exposure

–7'521'434

–4'921'828

4'924'926

2'136'423

5'556'087

1'636'784

1'810'958

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

337'544

 

 

 

 

 

337'544