Risk management
Information checkedInformation geprüft Risk management
One of the core competences of a financial institute is to consciously accept risks and manage them profitably. In its risk policy, the LLB Group defines qualitative and quantitative standards of risk responsibility, risk management and risk control. Furthermore, the organisational and methodical parameters for the identification, measurement, control and monitoring of risks are specified. The proactive management of risk is an integral part of corporate policy and safeguards the LLB Group’s ability to bear and accept risk.
Group Board of Directors
The Board of Directors of the LLB Group is responsible for stipulating risk management principles, as well as for specifying responsibilities and procedures for approving business transactions entailing risk. In fulfilling its tasks and duties, the Group Board of Directors is supported by the Group Risk Committee.
Group Executive Board
The Group Executive Board is responsible for the overall management of risk readiness within the parameters defined by the Group Board of Directors and for the implementation of the risk management processes. It is supported in this task by various risk committees.
Group Credit & Risk Management
Group Credit & Risk Management identifies, assesses, monitors and reports on the principal risk exposure of the LLB Group and is functionally and organisationally independent of the operative units. It supports the Group Executive Board in the overall management of risk exposure.
The LLB Group is exposed to various types of risks. It differentiates between the following risk categories:
Market risk
The risk of losses arises from unfavourable changes in interest rates, exchange rates, security prices and other relevant market parameters.
Liquidity and refinancing risk
Represents the risk of not being able to fulfil payment obligations on time or not being able to obtain refinancing funds on the market at a reasonable price to fulfil current or future payment liabilities.
Credit risk
Credit or counterparty risk includes the danger that a client or a counterparty cannot or cannot completely fulfil their obligations vis à vis the LLB Group or an individual Group company. This can result in a financial loss for the LLB Group.
Operational risk
Is the danger of losses due to the unsuitability or failure of internal procedures, people or systems, or as a result of external events.
Strategic risk
Arises as a result of decisions taken by the Group Executive Board which have a negative influence on the survival, development ability or independence of the LLB Group.
Reputation risk
If risks are not recognized, reasonably controlled and monitored, this can lead to considerable financial losses and damage to the company's reputation.
The implementation of an efficient risk management process is essential to enable risks to be identified, assessed, controlled and monitored, and should create a culture of risk awareness at all levels of the LLB Group. The Group Board of Directors specifies the risk strategy, which provides the operative units with a framework for the treatment of risk exposure. Depending on the type of risk, not only the stipulation of upper limits for losses may be required, but also a detailed set of regulations which stipulate which risks may be accepted under what conditions, and when measures to control risks are to be implemented.
The following process diagram shows the control loop of the LLB Group’s risk management process.
For the purposes of ensuring a continual capital adequacy, the LLB Group has in place sound, effective and comprehensive strategies and processes. The bank’s internal capital adequacy process is an important instrument of risk management for the LLB Group. Its goal is to make a significant contribution to the continued existence of the LLB Group by measuring and safeguarding the bank’s capital adequacy from various perspectives.
From the normative internal perspective, an assessment is made of the extent to which the LLB Group is in a position over the medium term to fulfil its quantitative regulatory and supervisory capital requirements and targets, as well as other external financial constraints.
The normative internal perspective is supplemented by an economic internal perspective, within the scope of which all major risks are identified and quantified which, from an economic viewpoint, could cause losses and substantially reduce the amount of internal capital. In conformity with the economic perspective, the LLB Group ensures all its risks are adequately covered by the availability of internal capital.
The adequacy of the Group’s capital resources from the individual perspective has to be tested using internal methods. The quantified risks arising from the individual risk categories are aggregated in an overall risk potential and are compared with the capital available to cover these potential losses. It is then determined to what extent the LLB Group is in a position to bear potential losses.
The LLB Group’s financial strength should remain unimpaired by fluctuations on the capital markets. Scenario analyses and stress tests are employed to simulate external influences and assess their impact on equity capital. Where necessary, measures are implemented to mitigate risks.
The ICAAP is documented in internal regulations and guidelines and is reviewed and revised annually.
Market risk is the risk that arises from changes in interest rates, exchange rates and security prices in the financial and capital markets. A differentiation is made between market risks in the trading book and market risks in the banking book. The potential for losses exists primarily in the impairment of the value of an asset or the increase in the value of liabilities (market value perspective) as well as in secondary capacity in the diminution of current earnings or an increase in current expenditures (earnings perspective).
The LLB Group has in place a differentiated risk management and risk control system for market risks. The market risk control process comprises a sophisticated framework of rules involving the identification and the uniform valuation of market risk-relevant data as well as the control, monitoring and reporting of market risks.
Trading book
The trading book contains own positions in financial instruments which are held for short-term further sale or repurchase. These activities are closely associated with the needs of our clients for capital market products and are regarded as being supporting activities for our core business.
The LLB Group conducts relatively small-scale trading book activities in accordance with Article 94 (1) of the Capital Requirements Regulation (CRR). A limits system is in operation to ensure compliance and is monitored by Group Risk Management. Due to the lack of materiality, the trading book is no longer explained in detail.
Banking book
In general, the holdings in the banking book are employed to pursue long-term investment goals. These holdings include assets, liabilities, and off-balance sheet positions, which are the result, on the one hand, of classical banking business and, on the other, are held to earn revenue over their life.
Market risks with the banking book mainly involve interest rate fluctuation risk, exchange rate risk and equity price risk.
Exchange rate risk
This relates to the risks arising in connection with the uncertainties regarding future exchange rate trends. The calculation of these risks takes into consideration all the positions entered into by the bank.
Interest rate fluctuation risk
This is regarded as the adverse effects of changes in market interest rates on capital resources or current earnings. The different interest maturity periods of claims and liabilities from balance sheet transactions and derivatives represent the most important basis.
Equity price risk
This is understood to be the risk of losses due to adverse changes in the market prices of equities.
Sensitivity analysis
In sensitivity analysis a risk factor is altered. Subsequently, the effects of the alteration of the risk factor on the portfolio concerned are estimated.
Value at Risk
The value-at-risk concept measures the potential loss under normal market conditions over a given time interval.
Scenario analysis
While the value-at-risk concept supplies an indication of possible losses under normal market conditions, it cannot provide information about potential losses under extreme conditions. The aim of the scenario analyses of the LLB Group is to simulate the effects of normal and stress scenarios.
Within the specified limit parameters, the individual Group companies are at liberty to manage their interest rate risks as they wish. Interest rate swaps are employed mainly to control interest rate risks. Risks are restricted by means of value-at–risk models and sensitivity limits.
In client business, currency risks are basically controlled by making investments or obtaining refinancing in matching currencies. The residual currency risk is restricted by means of sensitivity limits.
Investments in equities are limited by the imposition of nominal limits.
Group Credit & Risk Management monitors the observance of market risk limits and is also responsible for reporting market risks.
Currency sensitivity affects both interest rate sensitive and non-interest rate sensitive instruments. The sensitivity of instruments in foreign currencies is determined by multiplying the CHF market value by the assumed exchange rate fluctuation of + / – 10 per cent.
Interest rate sensitivity measures the market change on interest rate-sensitive instruments for the LLB Group caused by a linear interest rate adjustment of + / – 100 basis points.
The equity price risks are measured assuming a price fluctuation of + / – 10 per cent on the equity market.
Exchange rate risk
The price gains resulting from the valuation of transactions and balances are booked to profit and loss. The price gains resulting from the transfer of the functional currency into the reporting currency are booked under other comprehensive income without affecting profit and loss.
Interest rate fluctuation risk
The LLB Group recognises client loans in the balance sheet at amortised cost. This means that a change in the interest rate does not cause any change in the recognised amount and therefore to no significant recognition affecting profit and loss of the effects of interest rate fluctuation. However, fluctuations in interest rates can lead to risks because the LLB Group largely finances long-term loans with client assets. Within the scope of financial risk management, these interest rate fluctuation risks in the balance sheet business of the LLB Group are hedged mainly by means of interest rate swaps. If the IFRS hedge accounting criteria for hedging instruments (interest rate swaps) and underlying transactions (loans) are met, the hedged part of the loans to clients is recognised in the balance sheet at fair value. Further information regarding recognition and measurement is provided in the chapter “Accounting principles”.
Equity price risk
The valuation is carried out at current market prices. The equity price risk resulting from the valuation at current market prices is reflected in the income statement and in other comprehensive income.
Sensitivities
|
31.12.2020 |
31.12.2019 |
in CHF thousands |
Sensitivity |
Sensitivity |
Currency risk |
26'343 |
30'798 |
of which affecting net income |
324 |
958 |
of which not affecting net income |
26'019 |
29'840 |
|
|
|
Interest rate risk |
72'066 |
83'843 |
of which affecting net income |
8'701 |
11'398 |
of which not affecting net income |
63'365 |
72'445 |
|
|
|
Equity price risk |
8'949 |
7'706 |
of which affecting net income |
230 |
252 |
of which not affecting net income |
8'719 |
7'454 |
Exchange rate risk by currency
|
31.12.2020 |
31.12.2019 |
in CHF thousands |
Sensitivity |
Sensitivity |
Currency risk |
26'343 |
30'798 |
of which USD |
312 |
934 |
of which EUR |
26'019 |
29'840 |
of which others |
12 |
23 |
Currency exposure as at 31 December 2019
in CHF thousands |
CHF |
USD |
EUR |
Others |
Total |
Assets |
|
|
|
|
|
Cash and balances with central banks |
4'287'978 |
279 |
1'159'125 |
259 |
5'447'642 |
Due from banks |
250'686 |
454'862 |
365'002 |
281'788 |
1'352'338 |
Loans |
11'840'858 |
354'199 |
693'028 |
72'440 |
12'960'524 |
Derivative financial instruments |
110'339 |
1'936 |
168 |
356 |
112'798 |
Financial investments |
822'071 |
723'191 |
623'113 |
0 |
2'168'375 |
Non-current assets held for sale |
12'624 |
0 |
6'376 |
0 |
19'000 |
Investment in associates and joint venture |
28 |
0 |
3 |
0 |
31 |
Property and equipment |
137'898 |
0 |
21'026 |
0 |
158'923 |
Investment property |
15'000 |
0 |
0 |
0 |
15'000 |
Goodwill and other intangible assets |
133'571 |
0 |
156'531 |
0 |
290'102 |
Current tax assets |
0 |
0 |
819 |
0 |
819 |
Deferred tax assets |
14'943 |
0 |
595 |
0 |
15'538 |
Accrued income and prepaid expenses |
42'114 |
7'295 |
11'585 |
806 |
61'800 |
Other assets |
11'334 |
128 |
1'681 |
45'856 |
58'999 |
Total assets reported in the balance sheet |
17'679'443 |
1'541'889 |
3'039'052 |
401'505 |
22'661'890 |
Delivery claims from forex spot, forex futures and forex options transactions |
3'648'743 |
5'556'047 |
5'733'944 |
2'025'925 |
16'964'660 |
Total assets |
21'328'187 |
7'097'937 |
8'772'997 |
2'427'430 |
39'626'549 |
|
|
|
|
|
|
Liabilities and equity |
|
|
|
|
|
Due to banks |
1'371'134 |
10'137 |
140'091 |
4'946 |
1'526'308 |
Due to customers |
10'778'176 |
2'253'521 |
3'296'012 |
636'408 |
16'964'118 |
Derivative financial instruments |
175'024 |
3'814 |
871 |
356 |
180'065 |
Debt issued |
1'582'991 |
0 |
0 |
0 |
1'582'991 |
Non-current liabilities available for sale |
2'261 |
0 |
0 |
0 |
2'261 |
Current tax liabilities |
13'752 |
0 |
0 |
0 |
13'752 |
Deferred tax liabilities |
16'245 |
0 |
14'701 |
0 |
30'946 |
Accrued expenses and deferred income |
35'211 |
6'274 |
18'839 |
1'431 |
61'754 |
Provisions |
10'011 |
133 |
4'760 |
3 |
14'907 |
Other liabilities |
182'259 |
1'987 |
40'317 |
130 |
224'692 |
Share capital |
154'000 |
0 |
0 |
0 |
154'000 |
Share premium |
– 22'432 |
0 |
0 |
0 |
– 22'432 |
Treasury shares |
– 23'574 |
0 |
0 |
0 |
– 23'574 |
Retained earnings |
1'866'121 |
0 |
0 |
0 |
1'866'121 |
Other reserves |
– 44'803 |
0 |
0 |
0 |
– 44'803 |
Non-controlling interests |
130'785 |
0 |
0 |
0 |
130'785 |
Liabilities and equity reported in the balance sheet |
16'227'160 |
2'275'865 |
3'515'591 |
643'273 |
22'661'890 |
Delivery liabilities from forex spot, forex futures and forex options transactions |
5'421'386 |
4'812'729 |
4'959'004 |
1'783'923 |
16'977'042 |
Total liabilities and equity |
21'648'546 |
7'088'594 |
8'474'595 |
2'427'195 |
39'638'931 |
|
|
|
|
|
|
Net position per currency |
– 320'359 |
9'342 |
298'401 |
234 |
– 12'382 |
Currency exposure as at 31 December 2020
in CHF thousands |
CHF |
USD |
EUR |
Others |
Total |
Assets |
|
|
|
|
|
Cash and balances with central banks |
5'184'989 |
107 |
1'530'514 |
1 |
6'715'610 |
Due from banks |
319'196 |
47'691 |
115'657 |
208'468 |
691'011 |
Loans |
12'211'414 |
218'606 |
685'288 |
114'622 |
13'229'931 |
Derivative financial instruments |
194'622 |
2'249 |
2'191 |
571 |
199'634 |
Financial investments |
877'053 |
685'779 |
629'479 |
0 |
2'192'312 |
Non-current assets held for sale |
1'750 |
0 |
5'063 |
0 |
6'813 |
Investment in associates and joint venture |
25 |
0 |
5 |
0 |
30 |
Property and equipment |
130'586 |
0 |
18'309 |
0 |
148'895 |
Investment property |
15'000 |
0 |
0 |
0 |
15'000 |
Goodwill and other intangible assets |
127'224 |
0 |
151'065 |
0 |
278'289 |
Current tax assets |
0 |
0 |
1'290 |
0 |
1'290 |
Deferred tax assets |
10'896 |
0 |
587 |
0 |
11'483 |
Accrued income and prepaid expenses |
36'863 |
16'163 |
6'615 |
960 |
60'601 |
Other assets |
3'243 |
320 |
5'516 |
15'009 |
24'087 |
Total assets reported in the balance sheet |
19'112'861 |
970'914 |
3'151'580 |
339'630 |
23'574'986 |
Delivery claims from forex spot, forex futures and forex options transactions |
4'439'307 |
7'302'542 |
6'459'225 |
1'993'412 |
20'194'486 |
Total assets |
23'552'169 |
8'273'456 |
9'610'805 |
2'333'042 |
43'769'472 |
|
|
|
|
|
|
Liabilities and equity |
|
|
|
|
|
Due to banks |
1'090'786 |
35'925 |
189'691 |
9'769 |
1'326'170 |
Due to customers |
11'132'309 |
2'469'147 |
3'385'035 |
765'708 |
17'752'199 |
Derivative financial instruments |
242'858 |
4'322 |
1'425 |
571 |
249'176 |
Debt issued |
1'794'317 |
0 |
0 |
0 |
1'794'317 |
Non-current liabilities available for sale |
2'250 |
0 |
0 |
0 |
2'250 |
Current tax liabilities |
10'090 |
0 |
3'435 |
0 |
13'525 |
Deferred tax liabilities |
13'927 |
0 |
15'065 |
0 |
28'992 |
Accrued expenses and deferred income |
28'232 |
17'871 |
16'226 |
1'068 |
63'398 |
Provisions |
8'342 |
0 |
2'856 |
0 |
11'199 |
Other liabilities |
145'652 |
5'957 |
44'329 |
229 |
196'167 |
Share capital |
154'000 |
0 |
0 |
0 |
154'000 |
Share premium |
– 13'177 |
0 |
0 |
0 |
– 13'177 |
Treasury shares |
– 18'663 |
0 |
0 |
0 |
– 18'663 |
Retained earnings |
1'902'316 |
0 |
0 |
0 |
1'902'316 |
Other reserves |
– 20'911 |
0 |
0 |
0 |
– 20'911 |
Non-controlling interests |
134'029 |
0 |
0 |
0 |
134'029 |
Liabilities and equity reported in the balance sheet |
16'606'357 |
2'533'222 |
3'658'062 |
777'345 |
23'574'986 |
Delivery liabilities from forex spot, forex futures and forex options transactions |
7'219'009 |
5'737'116 |
5'692'554 |
1'555'577 |
20'204'255 |
Total liabilities and equity |
23'825'366 |
8'270'338 |
9'350'616 |
2'332'922 |
43'779'241 |
|
|
|
|
|
|
Net position per currency |
– 273'197 |
3'119 |
260'189 |
120 |
– 9'769 |
In the fixed-interest-rate repricing balance sheet, asset and liability surpluses from fixed-interest rate positions as well as from interest- rate-sensitive derivative positions in the balance sheet are calculated and broken down into maturity ranges (cycle times). The positions with an unspecified duration of interest rate repricing are allocated to the corresponding maturity ranges (cycle times) on the basis of a replication.
Interest commitments of financial assets and liabilities (nominal)
in CHF thousands |
Within 1 month |
1 to 3 months |
4 to 12 months |
1 to 5 years |
Over 5 years |
Total |
31.12.2019 |
|
|
|
|
|
|
Financial assets |
|
|
|
|
|
|
Cash and balances with central banks |
5'380'402 |
0 |
0 |
0 |
0 |
5'380'402 |
Due from banks |
1'128'000 |
100'617 |
58'360 |
0 |
0 |
1'286'977 |
Loans |
2'501'721 |
1'761'725 |
1'626'978 |
5'161'514 |
1'897'657 |
12'949'595 |
Financial investments |
73'886 |
105'065 |
164'885 |
1'465'361 |
183'561 |
1'992'758 |
Total financial assets |
9'084'008 |
1'967'408 |
1'850'222 |
6'626'876 |
2'081'218 |
21'609'732 |
Derivative financial instruments |
90'854 |
495'000 |
970'000 |
325'854 |
0 |
1'881'708 |
Total |
9'174'862 |
2'462'408 |
2'820'222 |
6'952'730 |
2'081'218 |
23'491'440 |
|
|
|
|
|
|
|
Financial liabilities |
|
|
|
|
|
|
Due to banks |
920'091 |
247'376 |
294'959 |
65'006 |
0 |
1'527'433 |
Due to customers |
7'840'987 |
1'452'380 |
2'787'565 |
4'723'896 |
25'050 |
16'829'878 |
Debt issued |
3'505 |
53'235 |
87'466 |
533'390 |
900'703 |
1'578'299 |
Total financial liabilities |
8'764'584 |
1'752'990 |
3'169'991 |
5'322'292 |
925'753 |
19'935'610 |
Derivative financial instruments |
30'854 |
40'000 |
530'000 |
755'000 |
525'854 |
1'881'708 |
Total |
8'795'438 |
1'792'990 |
3'699'991 |
6'077'292 |
1'451'607 |
21'817'318 |
|
|
|
|
|
|
|
Interest rate repricing exposure |
379'425 |
669'417 |
– 879'769 |
875'437 |
629'611 |
1'674'122 |
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
|
|
Financial assets |
|
|
|
|
|
|
Cash and balances with central banks |
6'653'651 |
0 |
0 |
0 |
0 |
6'653'651 |
Due from banks |
548'492 |
30'439 |
0 |
0 |
0 |
578'930 |
Loans |
3'015'684 |
1'344'985 |
1'543'329 |
5'043'164 |
2'282'525 |
13'229'688 |
Financial investments |
52'032 |
159'230 |
317'452 |
1'274'822 |
208'106 |
2'011'641 |
Total financial assets |
10'269'858 |
1'534'654 |
1'860'781 |
6'317'986 |
2'490'631 |
22'473'910 |
Derivative financial instruments |
110'802 |
545'000 |
1'035'802 |
355'000 |
0 |
2'046'604 |
Total |
10'380'660 |
2'079'654 |
2'896'583 |
6'672'986 |
2'490'631 |
24'520'514 |
|
|
|
|
|
|
|
Financial liabilities |
|
|
|
|
|
|
Due to banks |
817'160 |
59'500 |
265'500 |
184'010 |
0 |
1'326'170 |
Due to customers |
7'964'308 |
1'467'578 |
2'998'198 |
5'108'648 |
14'150 |
17'552'882 |
Debt issued |
33'878 |
43'607 |
97'083 |
521'773 |
1'097'976 |
1'794'317 |
Total financial liabilities |
8'815'346 |
1'570'685 |
3'360'781 |
5'814'431 |
1'112'126 |
20'673'368 |
Derivative financial instruments |
50'802 |
120'000 |
565'000 |
660'000 |
650'802 |
2'046'604 |
Total |
8'866'148 |
1'690'685 |
3'925'781 |
6'474'431 |
1'762'928 |
22'719'972 |
|
|
|
|
|
|
|
Interest rate repricing exposure |
1'514'513 |
388'969 |
– 1'029'198 |
198'555 |
727'703 |
1'800'542 |
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 assets can only be made liquid at markdowns to market rates (market liquidity risk).
2.1 Internal Liquidity Adequacy Assessment Process (ILAAP)
For the purposes of continually evaluating and adequately ensuring a reasonable liquidity base, the LLB Group has in place sound, effective and comprehensive strategies and processes. The bank’s internal liquidity adequacy assessment process is an important instrument of risk management for the LLB Group. Its goal is to make a significant contribution to the continued existence of the LLB Group by measuring and safeguarding the bank’s liquidity adequacy from various perspectives.
The goal of liquidity risk management at the LLB Group encompasses the following points:
- Ensuring the ability to meet financial obligations at all times
- Compliance with regulatory provisions
- Optimising of refinancing structure
- Optimising of payment streams within the LLB Group
From the normative internal perspective, an assessment is made over a period of several years of the extent to which the LLB Group is in a position to fulfil its quantitative regulatory and supervisory liquidity requirements and targets, as well as other external financial constraints. All aspects are considered, which could affect the relevant supervisory quotas during the planning period.
Within the scope of the economic internal perspective it has to be ensured that internal liquidity is continually adequate to cover the risks and expected outflows, as well as to support the Group’s strategy. All the risks are taken into account, which could have a significant effect on the liquidity positions.
The LLB Group’s liquidity adequacy should remain unimpaired by fluctuations on the markets. Scenario analyses and stress tests are employed to simulate external influences and assess their impact on liquidity adequacy. Where necessary, measures are implemented to mitigate risks.
The ILAAP is documented in internal regulations and guidelines and is reviewed and revised annually.
2.2 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.
2.3 Contingency planning
The LLB Group’s liquidity risk management encompasses a contingency plan. The contingency plan includes an overview of emergency measures, sources of alternative financing and governance in stress situations.
2.4 Monitoring and reporting of liquidity risks
Group Credit & Risk Management monitors compliance with liquidity risk limits and is responsible for reporting on liquidity risks.
The following tables show the maturities according to contractual periods, separated according to derivative and non-derivative financial instruments as well as off-balance sheet transactions. The values of derivative financial instruments represent replacement values. All other values correspond to nominal values, i.e. possible interest and coupon payments are included.
Maturity structure of derivative financial instruments
|
|
|
|
|
|
|
|
|
|
|
|
Term to maturity within 3 months |
Term to maturity 4 to 12 months |
Term to maturity 1 to 5 years |
Term to maturity after 5 years |
Total |
|||||
in CHF thousands |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
31.12.2019 |
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments in the trading portfolio |
||||||||||
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
Swaps |
0 |
0 |
0 |
4'502 |
0 |
28'618 |
33 |
0 |
33 |
33'120 |
Forward contracts |
68 |
584 |
72 |
363 |
0 |
0 |
0 |
0 |
140 |
947 |
|
|
|
|
|
|
|
|
|
|
|
Foreign exchange contracts |
|
|
|
|
|
|
|
|
|
|
Forward contracts |
67'717 |
88'728 |
34'606 |
32'676 |
927 |
851 |
0 |
47 |
103'250 |
122'303 |
Options (OTC) |
57 |
61 |
2'266 |
2'266 |
2'656 |
2'656 |
0 |
0 |
4'978 |
4'983 |
|
|
|
|
|
|
|
|
|
|
|
Precious metals contracts |
|
|
|
|
|
|
|
|
|
|
Options (OTC) |
17 |
17 |
0 |
0 |
0 |
0 |
0 |
0 |
17 |
17 |
|
|
|
|
|
|
|
|
|
|
|
Equity instruments / Index contracts |
|
|
|
|
|
|
|
|
|
|
Options (OTC) |
345 |
345 |
0 |
0 |
0 |
0 |
0 |
0 |
345 |
345 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments in the trading portfolio |
68'204 |
89'735 |
36'944 |
39'807 |
3'582 |
32'125 |
33 |
47 |
108'764 |
161'714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments for hedging purposes |
||||||||||
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
Swaps (fair value hedge) |
0 |
0 |
43 |
0 |
2'462 |
2'278 |
1'529 |
16'073 |
4'034 |
18'350 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments for hedging purposes |
0 |
0 |
43 |
0 |
2'462 |
2'278 |
1'529 |
16'073 |
4'034 |
18'350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments |
68'204 |
89'735 |
36'988 |
39'807 |
6'044 |
34'402 |
1'562 |
16'120 |
112'798 |
180'065 |
* PRV: Positive replacement values; NRV: Negative replacement values
|
|
|
|
|
|
|
|
|
|
|
|
Term to maturity within 3 months |
Term to maturity 4 to 12 months |
Term to maturity 1 to 5 years |
Term to maturity after 5 years |
Total |
|||||
in CHF thousands |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
PRV * |
NRV * |
31.12.2020 |
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments in the trading portfolio |
||||||||||
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
Swaps |
0 |
519 |
0 |
1'655 |
0 |
18'125 |
0 |
0 |
0 |
20'299 |
Forward contracts |
175 |
172 |
71 |
83 |
17 |
0 |
0 |
0 |
263 |
255 |
|
|
|
|
|
|
|
|
|
|
|
Foreign exchange contracts |
|
|
|
|
|
|
|
|
|
|
Forward contracts |
139'510 |
151'017 |
48'463 |
47'982 |
715 |
699 |
0 |
62 |
188'688 |
199'761 |
Options (OTC) |
2'213 |
2'213 |
3'697 |
3'697 |
64 |
64 |
0 |
0 |
5'975 |
5'975 |
|
|
|
|
|
|
|
|
|
|
|
Precious metals contracts |
|
|
|
|
|
|
|
|
|
|
Options (OTC) |
9 |
9 |
0 |
0 |
37 |
37 |
0 |
0 |
46 |
46 |
|
|
|
|
|
|
|
|
|
|
|
Equity instruments / Index contracts |
|
|
|
|
|
|
|
|
|
|
Options (OTC) |
469 |
469 |
0 |
0 |
0 |
0 |
0 |
0 |
469 |
469 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments in the trading portfolio |
142'377 |
154'400 |
52'231 |
53'418 |
833 |
18'925 |
0 |
62 |
195'441 |
226'805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments for hedging purposes |
||||||||||
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
Swaps (fair value hedge) |
9 |
0 |
692 |
3 |
1'944 |
8'550 |
1'547 |
13'818 |
4'193 |
22'371 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments for hedging purposes |
9 |
0 |
692 |
3 |
1'944 |
8'550 |
1'547 |
13'818 |
4'193 |
22'371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments |
142'386 |
154'400 |
52'923 |
53'421 |
2'778 |
27'475 |
1'547 |
13'881 |
199'634 |
249'176 |
* PRV: Positive replacement values; NRV: Negative replacement values
Maturity structure of non-derivative financial instruments and off-balance sheet transactions
in CHF thousands |
Demand 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 |
31.12.2019 |
|
|
|
|
|
|
|
Financial assets |
|
|
|
|
|
|
|
Cash and balances with central banks |
5'379'925 |
0 |
0 |
0 |
0 |
0 |
5'379'925 |
Due from banks |
542'213 |
0 |
653'124 |
94'700 |
0 |
0 |
1'290'038 |
Loans |
483'843 |
211'714 |
2'429'318 |
2'110'783 |
6'099'997 |
2'030'896 |
13'366'551 |
Financial investments |
0 |
0 |
102'057 |
197'590 |
1'582'713 |
193'362 |
2'075'722 |
Accrued income and prepaid expenses |
0 |
0 |
61'800 |
0 |
0 |
0 |
61'800 |
Total financial assets |
6'405'981 |
211'714 |
3'246'299 |
2'403'073 |
7'682'710 |
2'224'258 |
22'174'036 |
|
|
|
|
|
|
|
|
Financial liabilities |
|
|
|
|
|
|
|
Due to banks |
299'811 |
0 |
866'604 |
294'160 |
65'108 |
0 |
1'525'684 |
Due to customers |
11'131'175 |
4'280'597 |
626'930 |
447'450 |
321'757 |
25'108 |
16'833'017 |
Lease liabilities |
0 |
0 |
747 |
3'624 |
16'772 |
20'161 |
41'304 |
Debt issued |
0 |
0 |
59'614 |
93'267 |
551'909 |
906'959 |
1'611'748 |
Accrued expenses and deferred income |
0 |
0 |
61'754 |
0 |
0 |
0 |
61'754 |
Total financial liabilities |
11'430'986 |
4'280'597 |
1'615'650 |
838'501 |
955'546 |
952'228 |
20'073'508 |
|
|
|
|
|
|
|
|
Net liquidity exposure |
– 5'025'005 |
– 4'068'883 |
1'630'650 |
1'564'572 |
6'727'164 |
1'272'030 |
2'100'528 |
|
|
|
|
|
|
|
|
Off-balance-sheet transactions |
593'859 |
0 |
0 |
0 |
0 |
0 |
593'859 |
Contingent liabilities |
66'944 |
0 |
0 |
0 |
0 |
0 |
66'944 |
Irrevocable commitments |
512'732 |
0 |
0 |
0 |
0 |
0 |
512'732 |
Deposit and call liabilities |
14'183 |
0 |
0 |
0 |
0 |
0 |
14'183 |
in CHF thousands |
Demand 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 |
31.12.2020 |
|
|
|
|
|
|
|
Financial assets |
|
|
|
|
|
|
|
Cash and balances with central banks |
6'653'651 |
0 |
0 |
0 |
0 |
0 |
6'653'651 |
Due from banks |
298'348 |
0 |
280'497 |
0 |
0 |
0 |
578'845 |
Loans |
513'834 |
170'059 |
3'350'914 |
2'124'626 |
5'086'275 |
2'382'251 |
13'627'958 |
Financial investments |
0 |
0 |
145'952 |
358'942 |
1'348'575 |
216'915 |
2'070'385 |
Accrued income and prepaid expenses |
0 |
0 |
60'601 |
0 |
0 |
0 |
60'601 |
Total financial assets |
7'465'833 |
170'059 |
3'837'964 |
2'483'568 |
6'434'850 |
2'599'166 |
22'991'440 |
|
|
|
|
|
|
|
|
Financial liabilities |
|
|
|
|
|
|
|
Due to banks |
250'424 |
0 |
625'876 |
265'083 |
184'105 |
0 |
1'325'489 |
Due to customers |
12'675'597 |
3'757'386 |
492'570 |
397'552 |
217'238 |
14'231 |
17'554'573 |
Lease liabilities |
0 |
0 |
726 |
3'545 |
15'651 |
17'176 |
37'097 |
Debt issued |
0 |
0 |
79'734 |
102'250 |
538'762 |
1'104'825 |
1'825'571 |
Accrued expenses and deferred income |
0 |
0 |
63'398 |
0 |
0 |
0 |
63'398 |
Total financial liabilities |
12'926'021 |
3'757'386 |
1'262'304 |
768'430 |
955'756 |
1'136'232 |
20'806'129 |
|
|
|
|
|
|
|
|
Net liquidity exposure |
– 5'460'188 |
– 3'587'327 |
2'575'660 |
1'715'138 |
5'479'093 |
1'462'934 |
2'185'311 |
|
|
|
|
|
|
|
|
Off-balance-sheet transactions |
774'368 |
0 |
0 |
0 |
0 |
0 |
774'368 |
Contingent liabilities |
62'416 |
0 |
0 |
0 |
0 |
0 |
62'416 |
Irrevocable commitments |
696'915 |
0 |
0 |
0 |
0 |
0 |
696'915 |
Deposit and call liabilities |
15'036 |
0 |
0 |
0 |
0 |
0 |
15'036 |
Within the scope of credit risk management, vital importance is attached to the avoidance of credit losses and the early identification of default risks. In addition to systematic risk / return management at the individual loan level, the LLB Group proactively manages its credit risks at the credit portfolio level. The primary objective is to reduce the overall level of risk through diversification and a stabilisation of expected returns.
Processes and organisational structures ensure that credit risks are identified, uniformly evaluated, controlled, monitored and included in risk reporting.
Basically, the LLB Group conducts its lending business for private and corporate clients on a secured basis. The process of granting a loan is based on a thorough evaluation of the borrower’s creditworthiness, the possible impairment and the legal existence of collateral, as well as risk classification in a rating process performed by experienced credit specialists. The granting of loans is subject to a specified assignment of authority. A major characteristic of the credit approval process is the separation between front and back office functions.
In addition, the LLB Group conducts lending business with banks on a secured and unsecured basis, whereby individual risk limits are approved for every counterparty.
The consistent evaluation of credit risks represents an essential prerequisite of successful risk management. The credit risk can be broken down into the components: probability of default, loss given default and the expected exposure at the time point of the default.
Probability of default
The LLB Group assesses the probability of default of individual counterparties by means of an internal rating system. The different rating procedures are adapted to suit the different characteristics of borrowers. The credit risk management ratings employed for banks and debt instruments are based on external ratings from recognised rating agencies.
The reconciliation of the internal rating with the external rating is carried out in accordance with the following master scale.
Loss given default
The loss given default is influenced by the amount of collateralisation and the costs of realising the collateral. It is expressed as a percentage of the individual commitment.
The potential loss at portfolio level is broken down as follows at the LLB Group:
Rating classes (master scale)
LLB rating |
Description |
External rating ** |
1 to 4 |
Investment grade |
AAA, Aa1, Aa2, Aa3, A1, A2, A3, Baa1, Baa2, Baa3 |
5 to 8, not rated * |
Standard monitoring |
Ba1, Ba2, Ba3, B1, B2 |
9 to 10 |
Special monitoring |
B3, Caa, Ca, C |
11 to 14 |
Sub-standard |
Default |
* Non-rated loans are covered and subject to limits.
** For the securitisation of credit risks in the standard approach, the LLB Group employs solely the external ratings of the recognised rating agency Moody's (for the segments: due from banks, finance companies and securities firms, due from companies and due from international organisations).
Expected loss
Expected loss is a future-related, statistical concept that permits the LLB Group to estimate the average annual costs. It is calculated on the basis of the default probability of a counterparty, the expected credit commitment made to this counterparty at the time of the default, and the magnitude of the loss given default. The concept of expected loss is also applied within the scope of IFRS 9 / ECL. See chapter “Accounting principles”.
Value-at-risk concept
The value-at-risk approach aims at computing the size of fluctuations in credit losses incurred by means of a statistical model and to show the change in the risk status of the credit portfolio.
Scenario analysis
The modelling of external credit losses is performed on the basis of stress scenarios, which enable us to evaluate the effects of fluctuations in the default rates of the assets pledged as collateral taking into consideration the existing risk concentration in every portfolio.
Credit risk management has the task of actively influencing the risk situation of the LLB Group. This is carried out using a limits system, risk-adjusted pricing, through the possibility of using risk hedging instruments and the specific repayment of credit commitments. Risk management is conducted both at the individual loan and at the portfolio level.
Risk restriction
The LLB Group has in place a comprehensive limits system to restrict credit risk exposure. In addition to the limitation of individual credit risks, to prevent risk concentrations, the LLB Group assigns limits for regions and sectors.
Risk mitigation
To mitigate credit risk exposure, the LLB Group takes security mainly in the form of pledged assets and financial collateral. In the case of financial collateral in the form of marketable securities, we determine their collateral value by applying a schedule of reductions, the size of which is based on the quality, liquidity, volatility and complexity of the separate instruments.
Derivatives
The LLB Group may employ credit derivatives to reduce risks. This possibility has not been utilised in recent years.
The organisational structure of the LLB Group ensures that departments which cause the risks (front office) and those that evaluate, manage and monitor them (back office) are completely separated.
Individual credit risks are monitored by means of a comprehensive limits system. Infringements are immediately reported to the senior officer responsible.
Overdue claims
A claim is deemed to be overdue if a substantial liability from a borrower to the bank is outstanding. The overdraft begins on the date when a borrower exceeds an approved limit, has not paid interest or amortisation, or has utilised an unauthorised credit facility.
For claims that are more than 90 days overdue, individual value allowances are made in the amount of the expected credit loss.
Default-endangered claims
Claims are regarded as being in danger of default if, on the basis of the client’s creditworthiness, a loan default can no longer be excluded in the near future.
Impairments
Basically, an impairment is calculated and a provision set aside for all positions which are subject to a credit risk. Essentially, the credit quality determines the scope of the impairment. If the credit risk has not risen significantly since initial recognition, the expected credit loss is calculated over a year (credit quality level 1). However, if a significant increase in the credit risk has occurred since initial recognition, the expected loss is calculated over the remaining term to maturity (credit quality level 2). In the case of defaulted credit positions – a default in accordance with the Capital Requirements Regulation (CRR) Art. 178 – a specific value allowance is determined and recognised by the Group Recovery Department. The expected credit loss is calculated over the loan’s remaining term to maturity (credit quality level 3).
A country risk arises if specific political or economic conditions in a country affect the value of a foreign position. Country risk is composed of transfer risk (e.g. restrictions on the free movement of money and capital) and other country risks (e.g. country-related liquidity, market and correlation risks).
Country risks are controlled on the basis of a limits system and are continually monitored. Ratings provided by a recognised rating agency are utilised for certain individual countries.
The largest credit risk for the LLB Group arises from loans made to banks and loans made to customers. In the case of loans to customers, the majority of loans are secured by mortgages, which are granted to clients having first-class creditworthiness within the scope of the LLB Group’s lending policy. Thanks to the diversified nature of the collateral portfolio, containing properties primarily in the Principality of Liechtenstein and in Switzerland, the risk of losses is reduced to a minimum. The LLB Group undertakes bank investments on both a secured and an unsecured basis. The risk of losses with loans to banks is restricted, on the one hand, through a broad distribution of risks and, on the other, by the strict minimum lending requirements applied to the counterparties.
Maximal credit risk by region without considering collateral
in CHF thousands |
Liechtenstein / Switzerland |
Europe excl. FL / CH |
North America |
Asia |
Others * |
Total |
31.12.2019 |
|
|
|
|
|
|
Credit risks from balance sheet transactions |
|
|
|
|
|
|
Due from banks |
886'193 |
365'293 |
68'212 |
22'507 |
10'264 |
1'352'469 |
Loans |
|
|
|
|
|
|
Mortgage loans |
11'204'421 |
73'422 |
1'882 |
13'043 |
6'092 |
11'298'860 |
Loans to public institutions |
76'406 |
0 |
0 |
0 |
0 |
76'406 |
Miscellaneous loans |
653'225 |
362'041 |
914 |
316'958 |
259'437 |
1'592'575 |
Derivative financial instruments |
47'860 |
64'426 |
0 |
36 |
477 |
112'798 |
Financial investments |
|
|
|
|
|
|
Debt instruments |
514'341 |
899'585 |
491'024 |
101'359 |
85'000 |
2'091'310 |
Total |
13'382'446 |
1'764'767 |
562'033 |
453'903 |
361'269 |
16'524'418 |
|
|
|
|
|
|
|
Credit risks from off-balance sheet transactions |
|
|
|
|
|
|
Contingent liabilities |
45'309 |
6'795 |
0 |
750 |
14'091 |
66'944 |
Irrevocable commitments |
275'654 |
133'153 |
589 |
770 |
102'566 |
512'732 |
Deposit and call liabilities |
14'183 |
0 |
0 |
0 |
0 |
14'183 |
Total |
335'145 |
139'947 |
589 |
1'520 |
116'657 |
593'859 |
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
|
|
Credit risks from balance sheet transactions |
|
|
|
|
|
|
Due from banks |
509'958 |
132'660 |
13'579 |
26'880 |
8'009 |
691'086 |
Loans |
|
|
|
|
|
|
Mortgage loans |
11'530'874 |
146'047 |
1'916 |
13'166 |
14'938 |
11'706'941 |
Loans to public institutions |
78'343 |
1 |
0 |
0 |
0 |
78'343 |
Miscellaneous loans |
722'797 |
314'520 |
302 |
179'895 |
231'384 |
1'448'898 |
Derivative financial instruments |
56'125 |
141'590 |
2 |
1'346 |
571 |
199'634 |
Financial investments |
|
|
|
|
|
|
Debt instruments |
520'162 |
907'544 |
518'190 |
97'230 |
59'692 |
2'102'817 |
Total |
13'418'258 |
1'642'361 |
533'990 |
318'516 |
314'594 |
16'227'718 |
|
|
|
|
|
|
|
Credit risks from off-balance sheet transactions |
|
|
|
|
|
|
Contingent liabilities |
41'305 |
7'575 |
0 |
332 |
13'204 |
62'416 |
Irrevocable commitments |
429'332 |
166'476 |
300 |
9'774 |
91'033 |
696'915 |
Deposit and call liabilities |
15'036 |
0 |
0 |
0 |
0 |
15'036 |
Total |
485'673 |
174'051 |
300 |
10'106 |
104'237 |
774'368 |
* CHF 8 million of the total volume of contingent liabilities relates to the Central America region. With all other positions under the item "Others", no individual region exceeds 10 per cent of the total volume.
Maximal credit risk by sector without considering collateral
in CHF thousands |
Financial services |
Real estate |
Private households |
Others * |
Total |
31.12.2019 |
|
|
|
|
|
Credit risks from balance sheet transactions |
|
|
|
|
|
Due from banks |
1'352'469 |
0 |
0 |
0 |
1'352'469 |
Loans |
|
|
|
|
|
Mortgage loans |
190'714 |
2'680'966 |
7'515'077 |
912'102 |
11'298'860 |
Loans to public institutions |
0 |
0 |
0 |
76'406 |
76'406 |
Miscellaneous loans |
483'498 |
141'868 |
683'395 |
283'815 |
1'592'575 |
Derivative financial instruments |
108'911 |
7 |
2'654 |
1'226 |
112'798 |
Financial investments |
|
|
|
|
|
Debt instruments |
1'932'290 |
5'754 |
0 |
153'266 |
2'091'310 |
Total |
4'067'882 |
2'828'595 |
8'201'127 |
1'426'815 |
16'524'418 |
|
|
|
|
|
|
Credit risks from off-balance sheet transactions |
|
|
|
|
|
Contingent liabilities |
14'639 |
8'525 |
21'137 |
22'643 |
66'944 |
Irrevocable commitments |
180'446 |
55'165 |
158'982 |
118'139 |
512'732 |
Deposit and call liabilities |
14'183 |
0 |
0 |
0 |
14'183 |
Total |
209'267 |
63'690 |
180'119 |
140'782 |
593'859 |
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
|
Credit risks from balance sheet transactions |
|
|
|
|
|
Due from banks |
691'086 |
0 |
0 |
0 |
691'086 |
Loans |
|
|
|
|
|
Mortgage loans |
209'966 |
2'920'692 |
7'621'079 |
955'204 |
11'706'941 |
Loans to public institutions |
0 |
0 |
0 |
78'343 |
78'343 |
Miscellaneous loans |
463'679 |
93'041 |
525'020 |
367'157 |
1'448'898 |
Derivative financial instruments |
190'170 |
5 |
8'126 |
1'333 |
199'634 |
Financial investments |
|
|
|
|
|
Debt instruments |
2'097'595 |
0 |
0 |
5'222 |
2'102'817 |
Total |
3'652'496 |
3'013'738 |
8'154'225 |
1'407'259 |
16'227'718 |
|
|
|
|
|
|
Credit risks from off-balance sheet transactions |
|
|
|
|
|
Contingent liabilities |
13'820 |
8'543 |
13'460 |
26'594 |
62'416 |
Irrevocable commitments |
229'573 |
157'455 |
196'794 |
113'092 |
696'915 |
Deposit and call liabilities |
15'036 |
0 |
0 |
0 |
15'036 |
Total |
258'429 |
165'998 |
210'254 |
139'686 |
774'368 |
* CHF 54 million of the total volume of loans to public institutions relates to the energy supply sector and CHF 13 million to public administration. With all other positions under the item "Others", no individual sector exceeds 10 per cent of the total volume.
The following tables show the creditworthiness of borrowers with financial instruments, which are measured at amortised cost or at fair value through other comprehensive income, as well as for credit commitments and financial guarantees.
The carrying value of financial instruments, which are measured at fair value through other comprehensive income, is not corrected by means of a value allowance because the impairment is charged directly to other comprehensive income. In the case of credit commitments and financial guarantees, a corresponding provision is set aside.
in CHF thousands |
Note |
Investment Grade |
Standard Monitoring |
Special Monitoring |
Sub- standard |
Total |
31.12.2019 |
|
|
|
|
|
|
Due from banks |
12 |
1'352'338 |
0 |
0 |
0 |
1'352'338 |
Loans |
13 |
2'167'925 |
10'282'030 |
345'906 |
164'663 |
12'960'524 |
Financial investments |
|
|
|
|
|
|
Debt instruments measured at fair value through other comprehensive income |
15 |
1'595'413 |
0 |
0 |
0 |
1'595'413 |
Credit risks from balance sheet transactions |
|
5'115'677 |
10'282'030 |
345'906 |
164'663 |
15'908'276 |
|
|
|
|
|
|
|
Financial guarantees |
|
351'758 |
217'224 |
5'577 |
808 |
575'367 |
Credit cards |
|
707 |
17'756 |
29 |
0 |
18'491 |
Credit risks from off-balance sheet transactions |
|
352'465 |
234'980 |
5'606 |
808 |
593'859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
|
|
Due from banks |
12 |
690'073 |
938 |
0 |
0 |
691'011 |
Loans |
13 |
2'801'901 |
10'038'910 |
274'762 |
114'359 |
13'229'931 |
Financial investments |
|
|
|
|
|
|
Debt instruments measured at fair value through other comprehensive income |
15 |
1'809'930 |
0 |
0 |
0 |
1'809'930 |
Credit risks from balance sheet transactions |
|
5'301'904 |
10'039'848 |
274'762 |
114'359 |
15'730'872 |
|
|
|
|
|
|
|
Financial guarantees |
|
364'407 |
378'298 |
6'214 |
5'037 |
753'956 |
Credit cards |
|
973 |
19'419 |
20 |
0 |
20'412 |
Credit risks from off-balance sheet transactions |
|
365'380 |
397'716 |
6'234 |
5'037 |
774'368 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
31.12.2019 |
|
|
|
|
Due from banks |
|
|
|
|
Investment grade |
1'352'469 |
0 |
0 |
1'352'469 |
Standard monitoring |
0 |
0 |
0 |
0 |
Special monitoring |
0 |
0 |
0 |
0 |
Sub-standard |
0 |
0 |
0 |
0 |
Total gross carrying value |
1'352'469 |
0 |
0 |
1'352'469 |
|
|
|
|
|
Total value allowances |
– 131 |
0 |
0 |
– 131 |
|
|
|
|
|
Total net carrying value |
1'352'338 |
0 |
0 |
1'352'338 |
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
Due from banks |
|
|
|
|
Investment grade |
690'147 |
0 |
0 |
690'147 |
Standard monitoring |
938 |
0 |
0 |
938 |
Special monitoring |
0 |
0 |
0 |
0 |
Sub-standard |
0 |
0 |
0 |
0 |
Total gross carrying value |
691'086 |
0 |
0 |
691'086 |
|
|
|
|
|
Total value allowances |
– 74 |
0 |
0 |
– 74 |
|
|
|
|
|
Total net carrying value |
691'011 |
0 |
0 |
691'011 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
31.12.2019 |
|
|
|
|
Loans |
|
|
|
|
Investment grade |
2'124'739 |
44'254 |
0 |
2'168'993 |
Standard monitoring |
9'870'249 |
417'541 |
0 |
10'287'791 |
Special monitoring |
244'363 |
102'032 |
0 |
346'395 |
Sub-standard |
0 |
0 |
236'257 |
236'257 |
Total gross carrying value |
12'239'351 |
563'827 |
236'257 |
13'039'435 |
|
|
|
|
|
Total value allowances |
– 5'191 |
– 2'126 |
– 71'594 |
– 78'911 |
|
|
|
|
|
Total net carrying value |
12'234'160 |
561'701 |
164'663 |
12'960'524 |
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
Loans |
|
|
|
|
Investment grade |
2'779'437 |
23'214 |
0 |
2'802'651 |
Standard monitoring |
9'708'845 |
333'349 |
0 |
10'042'194 |
Special monitoring |
212'832 |
62'146 |
0 |
274'978 |
Sub-standard |
0 |
0 |
189'554 |
189'554 |
Total gross carrying value |
12'701'114 |
418'709 |
189'554 |
13'309'377 |
|
|
|
|
|
Total value allowances |
– 3'149 |
– 1'102 |
– 75'195 |
– 79'446 |
|
|
|
|
|
Total net carrying value |
12'697'965 |
417'607 |
114'359 |
13'229'931 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
31.12.2019 |
|
|
|
|
Debt instruments measured at fair value through other comprehensive income |
|
|
|
|
Investment grade |
1'595'413 |
0 |
0 |
1'595'413 |
Standard monitoring |
0 |
0 |
0 |
0 |
Special monitoring |
0 |
0 |
0 |
0 |
Sub-standard |
0 |
0 |
0 |
0 |
Total carrying value |
1'595'413 |
0 |
0 |
1'595'413 |
|
|
|
|
|
Total value allowances |
– 113 |
0 |
0 |
– 113 |
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
Debt instruments measured at fair value through other comprehensive income |
|
|
|
|
Investment grade |
1'809'930 |
0 |
0 |
1'809'930 |
Standard monitoring |
0 |
0 |
0 |
0 |
Special monitoring |
0 |
0 |
0 |
0 |
Sub-standard |
0 |
0 |
0 |
0 |
Total carrying value |
1'809'930 |
0 |
0 |
1'809'930 |
|
|
|
|
|
Total value allowances |
– 172 |
0 |
0 |
– 172 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
31.12.2019 |
|
|
|
|
Financial guarantees |
|
|
|
|
Investment grade |
351'758 |
0 |
0 |
351'758 |
Standard monitoring |
210'338 |
6'886 |
0 |
217'224 |
Special monitoring |
3'706 |
1'871 |
0 |
5'577 |
Sub-standard |
0 |
0 |
808 |
808 |
Total credit risk |
565'802 |
8'757 |
808 |
575'367 |
|
|
|
|
|
Total provisions |
– 1'050 |
– 572 |
– 808 |
– 2'430 |
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
Financial guarantees |
|
|
|
|
Investment grade |
364'407 |
0 |
0 |
364'407 |
Standard monitoring |
372'833 |
5'464 |
0 |
378'298 |
Special monitoring |
5'843 |
371 |
0 |
6'214 |
Sub-standard |
0 |
0 |
5'037 |
5'037 |
Total credit risk |
743'083 |
5'835 |
5'037 |
753'956 |
|
|
|
|
|
Total provisions |
– 990 |
– 178 |
– 1'304 |
– 2'472 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
31.12.2019 |
|
|
|
|
Credit cards |
|
|
|
|
Investment grade |
707 |
0 |
0 |
707 |
Standard monitoring |
17'671 |
85 |
0 |
17'756 |
Special monitoring |
24 |
5 |
0 |
29 |
Sub-standard |
0 |
0 |
0 |
0 |
Total credit risk |
18'401 |
90 |
0 |
18'491 |
|
|
|
|
|
Total provisions |
– 7 |
0 |
0 |
– 7 |
|
|
|
|
|
|
|
|
|
|
31.12.2020 |
|
|
|
|
Credit cards |
|
|
|
|
Investment grade |
973 |
0 |
0 |
973 |
Standard monitoring |
19'354 |
65 |
0 |
19'419 |
Special monitoring |
20 |
0 |
0 |
20 |
Sub-standard |
0 |
0 |
0 |
0 |
Total credit risk |
20'347 |
65 |
0 |
20'412 |
|
|
|
|
|
Total provisions |
– 6 |
0 |
0 |
– 6 |
The development of expected credit loss and the value allowances made are shown in the following overview. The following table shows, on an aggregated basis, the values for all balance sheet and off-balance sheet positions for which a calculation of the expected credit loss was made, followed by a complete reconciliation for only the most important positions.
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Gross carrying value |
Value allowances |
||||||
31.12.2019 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Financial assets (balance sheet positions) |
|
|
|
|
|
|
|
|
|
Financial instruments measured at amortised cost |
|
|
|
|
|
|
|
|
|
Due from banks |
12 |
1'352'469 |
0 |
0 |
1'352'469 |
– 131 |
0 |
0 |
– 131 |
Loans |
13 |
12'239'351 |
563'827 |
236'257 |
13'039'435 |
– 5'191 |
– 2'126 |
– 71'594 |
– 78'911 |
Total |
|
13'591'820 |
563'827 |
236'257 |
14'391'904 |
– 5'322 |
– 2'126 |
– 71'594 |
– 79'042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Carrying value |
Value allowances |
||||||
31.12.2019 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Financial instruments measured at fair value through other income * |
|
|
|
|
|
|
|
|
|
Debt instruments |
15 |
1'595'413 |
0 |
0 |
1'595'413 |
– 113 |
0 |
0 |
– 113 |
Total |
|
1'595'413 |
0 |
0 |
1'595'413 |
– 113 |
0 |
0 |
– 113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Credit risk |
Value allowance provision |
||||||
31.12.2019 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Commitments and financial guarantees (off-balance sheet positions) ** |
|
|
|
|
|
|
|
|
|
Financial guarantees |
|
565'802 |
8'757 |
808 |
575'367 |
– 1'050 |
– 572 |
– 808 |
– 2'430 |
Credit cards |
|
18'401 |
90 |
0 |
18'491 |
– 7 |
0 |
0 |
– 7 |
Total |
|
584'203 |
8'847 |
808 |
593'859 |
– 1'058 |
– 572 |
– 808 |
– 2'437 |
* The carrying value corresponds to fair value, no value allowance can be made. The value allowance is made through other comprehensive income.
** The value corresponds to the maximum credit risk. Value allowances are recognised as provisions.
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Gross carrying value |
Value allowances |
||||||
31.12.2020 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Financial assets (balance sheet positions) |
|
|
|
|
|
|
|
|
|
Financial instruments measured at amortised cost |
|
|
|
|
|
|
|
|
|
Due from banks |
12 |
691'086 |
0 |
0 |
691'086 |
– 74 |
0 |
0 |
– 74 |
Loans |
13 |
12'701'114 |
418'709 |
189'554 |
13'309'377 |
– 3'149 |
– 1'102 |
– 75'195 |
– 79'446 |
Total |
|
13'392'200 |
418'709 |
189'554 |
14'000'463 |
– 3'223 |
– 1'102 |
– 75'195 |
– 79'521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Carrying value |
Value allowances |
||||||
31.12.2020 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Financial instruments measured at fair value through other income * |
|
|
|
|
|
|
|
|
|
Debt instruments |
15 |
1'809'930 |
0 |
0 |
1'809'930 |
– 172 |
0 |
0 |
– 172 |
Total |
|
1'809'930 |
0 |
0 |
1'809'930 |
– 172 |
0 |
0 |
– 172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in CHF thousands |
Note |
Credit risk |
Value allowance provision |
||||||
31.12.2020 |
|
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
Commitments and financial guarantees (off-balance sheet positions) ** |
|
|
|
|
|
|
|
|
|
Financial guarantees |
|
743'083 |
5'835 |
5'037 |
753'956 |
– 990 |
– 178 |
– 1'304 |
– 2'472 |
Credit cards |
|
20'347 |
65 |
0 |
20'412 |
– 6 |
0 |
0 |
– 6 |
Total |
|
763'430 |
5'900 |
5'037 |
774'368 |
– 996 |
– 178 |
– 1'304 |
– 2'478 |
* The carrying value corresponds to fair value, no value allowance can be made. The value allowance is made through other comprehensive income.
** The value corresponds to the maximum credit risk. Value allowances are recognised as provisions.
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Loans |
|
|
|
|
Gross carrying amount as at 1 January 2019 |
12'421'009 |
314'309 |
199'015 |
12'934'332 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
– 335'896 |
335'896 |
0 |
0 |
from Stage 2 to Stage 1 |
94'599 |
– 94'599 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
– 74'104 |
74'104 |
0 |
from Stage 3 to Stage 2 |
0 |
15'204 |
– 15'204 |
0 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Additions due to issuing loans and interest |
4'128'605 |
141'899 |
3'421 |
4'273'925 |
Disposals due to redemption of loans / waiving of claims |
– 4'065'862 |
– 74'778 |
– 24'654 |
– 4'165'294 |
Foreign currency influences |
– 3'103 |
0 |
– 425 |
– 3'528 |
Gross carrying amount as at 31 December 2019 |
12'239'351 |
563'827 |
236'257 |
13'039'435 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Loans |
|
|
|
|
Valuation allowance as at 1 January 2019 |
– 7'958 |
– 1'982 |
– 71'851 |
– 81'791 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
209 |
– 209 |
0 |
0 |
from Stage 2 to Stage 1 |
– 612 |
612 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
2 |
– 2 |
0 |
from Stage 3 to Stage 2 |
0 |
0 |
0 |
0 |
Net revaluation effect from transfers |
548 |
– 669 |
– 7'295 |
– 7'416 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition on account of new loans to customers / interest / reduction of existing collateral |
– 603 |
– 841 |
– 10'357 |
– 11'801 |
Disposals due to redemption of loans / waiving of claims |
2'207 |
886 |
17'372 |
20'466 |
Foreign currency influences |
2 |
0 |
425 |
427 |
Changes due to adjusted risk parameters and due to maturity effect |
1'014 |
75 |
115 |
1'205 |
Valuation allowance as at 31 December 2019 |
– 5'191 |
– 2'126 |
– 71'594 |
– 78'911 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Loans |
|
|
|
|
Gross carrying amount as at 1 January 2020 |
12'239'351 |
563'827 |
236'257 |
13'039'435 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
– 416'243 |
416'243 |
0 |
0 |
from Stage 2 to Stage 1 |
179'442 |
– 179'442 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
– 43'533 |
43'533 |
0 |
from Stage 3 to Stage 2 |
0 |
39'730 |
– 39'730 |
0 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Additions due to issuing loans and interest |
5'031'968 |
57'788 |
6'034 |
5'095'789 |
Disposals due to redemption of loans / waiving of claims |
– 4'331'803 |
– 435'903 |
– 56'481 |
– 4'824'187 |
Foreign currency influences |
– 1'601 |
0 |
– 59 |
– 1'660 |
Gross carrying amount as at 31 December 2020 |
12'701'114 |
418'709 |
189'554 |
13'309'377 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Loans |
|
|
|
|
Valuation allowance as at 1 January 2020 |
– 5'191 |
– 2'126 |
– 71'594 |
– 78'911 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
960 |
– 960 |
0 |
0 |
from Stage 2 to Stage 1 |
– 980 |
980 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
47 |
– 47 |
0 |
from Stage 3 to Stage 2 |
0 |
– 1'230 |
1'230 |
0 |
Net revaluation effect from transfers |
948 |
1'015 |
– 17'270 |
– 15'308 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition on account of new loans to customers / interest / reduction of existing collateral |
– 2'336 |
721 |
– 3'771 |
– 5'386 |
Disposals due to redemption of loans / waiving of claims |
1'646 |
276 |
15'318 |
17'240 |
Foreign currency influences |
0 |
0 |
1'229 |
1'229 |
Changes due to adjusted risk parameters and due to maturity effect |
1'804 |
174 |
– 289 |
1'689 |
Valuation allowance as at 31 December 2020 |
– 3'149 |
– 1'102 |
– 75'195 |
– 79'446 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Financial guarantees |
|
|
|
|
Credit risk as at 1 January 2019 |
559'347 |
3'196 |
1'701 |
564'244 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
– 3'114 |
3'114 |
0 |
0 |
from Stage 2 to Stage 1 |
159 |
– 159 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
0 |
0 |
0 |
from Stage 3 to Stage 2 |
0 |
51 |
– 51 |
0 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition due to granting of new financial guarantees |
150'094 |
3'752 |
448 |
154'294 |
Disposal due to withdrawal of financial guarantees |
– 140'004 |
– 1'197 |
– 1'290 |
– 142'492 |
Foreign currency influences |
– 679 |
0 |
0 |
– 679 |
Credit risk as at 31 December 2019 |
565'802 |
8'757 |
808 |
575'367 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Financial guarantees |
|
|
|
|
Provision on 1 January 2019 |
– 1'128 |
– 450 |
– 1'701 |
– 3'279 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
31 |
– 31 |
0 |
0 |
from Stage 2 to Stage 1 |
– 74 |
74 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
0 |
0 |
0 |
from Stage 3 to Stage 2 |
0 |
– 51 |
51 |
0 |
Net revaluation effect from transfers |
72 |
– 207 |
0 |
– 136 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition due to granting of new financial guarantees |
– 275 |
8 |
– 448 |
– 716 |
Disposal due to withdrawal of financial guarantees |
199 |
28 |
1'290 |
1'517 |
Foreign currency influences |
6 |
0 |
0 |
6 |
Changes due to adjusted risk parameters and due to maturity effect |
119 |
59 |
0 |
178 |
Provision as at 31 December 2019 |
– 1'050 |
– 572 |
– 808 |
– 2'430 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Financial guarantees |
|
|
|
|
Credit risk as at 1 January 2020 |
565'802 |
8'757 |
808 |
575'367 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
– 3'137 |
3'137 |
0 |
0 |
from Stage 2 to Stage 1 |
2'027 |
– 2'027 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
– 2'285 |
2'285 |
0 |
from Stage 3 to Stage 2 |
0 |
56 |
– 56 |
0 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition due to granting of new financial guarantees |
367'611 |
630 |
2'319 |
370'560 |
Disposal due to withdrawal of financial guarantees |
– 188'061 |
– 2'432 |
– 319 |
– 190'812 |
Foreign currency influences |
– 1'159 |
0 |
0 |
– 1'159 |
Credit risk as at 31 December 2020 |
743'083 |
5'835 |
5'037 |
753'956 |
|
Stage 1 |
Stage 2 |
Stage 3 |
|
in CHF thousands |
Expected 12-month credit loss |
Credit losses expected over the period without impairment of creditworthiness |
Credit losses expected over the period with impairment of creditworthiness |
Total |
Financial guarantees |
|
|
|
|
Provision on 1 January 2020 |
– 1'050 |
– 572 |
– 808 |
– 2'430 |
Transfers |
|
|
|
|
from Stage 1 to Stage 2 |
8 |
– 8 |
0 |
0 |
from Stage 2 to Stage 1 |
– 231 |
231 |
0 |
0 |
from Stage 2 to Stage 3 |
0 |
0 |
0 |
0 |
from Stage 3 to Stage 2 |
0 |
– 56 |
56 |
0 |
Net revaluation effect from transfers |
220 |
– 37 |
0 |
183 |
Additions from changes to scope of consolidation |
0 |
0 |
0 |
0 |
Addition due to granting of new financial guarantees |
– 694 |
– 6 |
– 871 |
– 1'572 |
Disposal due to withdrawal of financial guarantees |
307 |
24 |
320 |
650 |
Foreign currency influences |
11 |
0 |
0 |
11 |
Changes due to adjusted risk parameters and due to maturity effect |
440 |
245 |
0 |
686 |
Provision as at 31 December 2020 |
– 990 |
– 178 |
– 1'304 |
– 2'472 |
Chapter 3.7 “Risk concentration” shows the maximum credit risk without considering possible collateral. The LLB Group pursues the goal of reducing credit risks where possible. This is achieved by obtaining collateral from the borrower. The LLB Group predominantly holds collateral against loans to clients and banks.
The types of cover for loans to clients and due from banks are shown in the following tables.
Types of cover for loans
in CHF thousands |
31.12.2020 |
31.12.2019 |
+ / – % |