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.

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

31.12.2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

302'673

 

 

 

 

 

302'673

Cash and balances with central banks

2'075'560

0

0

0

0

0

2'075'560

Due from banks

1'109'105

139'212

3'766'564

974'962

0

0

5'989'843

Due from customers

303'254

528'641

1'612'394

1'477'524

5'150'642

1'713'243

10'785'698

Trading portfolio assets

0

0

43

35

1'107

4'748

5'933

Derivative financial instruments

86'951

0

0

0

0

0

86'951

Financial investments at fair value through profit and loss

0

922'860

86'724

103'807

420'137

114'711

1'648'239

Total financial assets

3'574'870

1'590'713

5'465'725

2'556'328

5'571'886

1'832'702

20'592'224

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

Due to banks

644'595

0

85'060

250'477

0

0

980'132

Due to customers

9'225'377

5'758'844

267'496

230'836

20'990

0

15'503'543

Liabilites from insurance contracts

0

266'151

0

0

0

0

266'151

Financial liabilities at fair value through profit and loss

0

811'778

0

0

0

0

811'778

Derivative financial instruments

108'929

0

0

0

0

0

108'929

Debt issued

0

0

63'764

122'227

569'397

458'737

1'214'125

Total financial liabilities

9'978'901

6'836'772

416'320

603'540

590'387

458'737

18'884'657

 

 

 

 

 

 

 

 

Net liquidity exposure

–6'404'031

–5'246'059

5'049'405

1'952'788

4'981'499

1'373'965

1'707'567

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

31.12.2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

Derivative financial instruments at replacement values

Cash and balances with central banks

2'164'647

0

0

0

0

0

2'164'647

Due from banks

897'218

0

3'171'719

1'400'366

72'574

0

5'541'877

Due from customers

323'376

636'415

2'418'921

1'372'911

4'926'576

1'527'951

11'206'150

Trading portfolio assets

0

0

5

81

2'200

1'980

4'266

Derivative financial instruments

73'009

0

0

0

0

0

73'009

Financial investments at fair value through profit and loss

0

0

58'943

144'977

347'305

115'755

666'980

Total financial assets

3'458'250

636'415

5'649'588

2'918'335

5'348'655

1'645'686

19'656'929

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

Due to banks

430'177

0

102'287

171'286

0

0

703'750

Due to customers

9'214'069

5'701'345

418'924

546'108

21'681

0

15'902'127

Derivative financial instruments

124'026

0

0

0

0

0

124'026

Debt issued

0

0

100'815

203'236

556'315

481'306

1'341'672

Total financial liabilities

9'768'272

5'701'345

622'026

920'630

577'996

481'306

18'071'575

 

 

 

 

 

 

 

 

Net liquidity exposure

–6'310'022

–5'064'930

5'027'562

1'997'705

4'770'659

1'164'380

1'585'354

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

246'146

 

 

 

 

 

246'146

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