BASEL III PILLAR 3 DISCLOSURES

Julius Baer Group Ltd.

According to FINMA circular 2016/1 'Disclosure Banks'

CONTENTS

BASEL III PILLAR 3

DISCLOSURES 2020

JULIUS BAER GROUP LTD.

  1. INTRODUCTION
  1. KEY METRICS
  2. RISK MANAGEMENT FRAMEWORK

10 LINKAGE BETWEEN FINANCIAL STATEMENTS AND REGULATORY EXPOSURES

  1. CAPITAL COMPONENTS
  1. LEVERAGE RATIO
  1. LIQUIDITY COVERAGE RATIO
  1. CREDIT RISK
  1. COUNTERPARTY CREDIT RISK
  1. SECURITISATIONS
  1. MARKET RISK
  1. INTEREST RATE RISK IN THE BANKING BOOK
  1. OPERATIONAL RISK

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Basel III Pillar 3 Disclosures 2020 JULIUS BAER GROUP LTD.

Introduction

INTRODUCTION

SCOPE OF PILLAR 3 DISCLOSURES

This report provides Pillar 3 disclosures for Julius Baer Group Ltd. (the Group) on a consolidated basis as at 31 December 2020. The disclosures in the report are based on the FINMA regulatory ­requirements as ­prescribed in the circular 2016/ 1 'Disclosure - banks' which includes the implementation­ of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision­ (BCBS) in March 2017. The Basel III capital adequacy framework consists of three complementary pillars:

  • Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-­related risks faced by banks.
  • Pillar 2 addresses the principles of the super-­ visory review process, emphasising the need for a qualitative approach to supervising banks.
  • Pillar 3 requires banks to publish a range of dis­ closures, mainly covering risk, capital, leverage­
    and liquidity.

The aim of the Pillar 3 standards is to improve com­ parability and consistency of disclosures through the introduction of harmonised templates. The Group is subject to the full disclosure requirements in accordance with the FINMA circular 2016/1 'Disclosure - banks'. Bank Julius Baer & Co. Ltd. is exempted from detailed Pillar 3 disclosures. It must nevertheless disclose its key figures on an annual

basis in its Annual Report with reference to the Group Pillar 3 information published in the Financial Reporting section of the Julius Baer website (www.juliusbaer.com/reporting).

Information provided in the Annual Report 2020 of the Group, published in the Financial Reporting section of the Julius Baer website (www.juliusbaer. com/reporting), or other publications may also serve to address Pillar 3 disclosure requirements. Where this is the case, a reference is provided in this report to the Group's publication where the information is available. The regulatory capital information as at 31 December­ 2020 for the Group is provided in the section 'Comment on capital management' of the Annual Report 2020 of the Group, pages 133-136.

The Group's Pillar 3 disclosures as at 31 December 2020, 30 June 2020 and 31 December 2019 are based on fully applied amounts, which means that no Basel III phase-in rules are applied anymore.

FREQUENCY OF PILLAR 3 DISCLOSURES

This report is published semi-annually. FINMA has specified the reporting frequency for each disclosure as either annual or semi-annual. The following list gives an overview of the tables to be disclosed according to the FINMA circular 2016/1. Tables not applicable to the Group are indicated therein.

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Basel III Pillar 3 Disclosures 2020 JULIUS BAER GROUP LTD.

Introduction

Pillar 3 table overview

Period1

Basel framework

Table name

reference code

HY

KM1

Key metrics (at consolidated Group level)

KM2

Key metrics - TLAC requirements (at resolution group level)2

Y

OVA

Bank risk management approach

HY

OV1

Overview of risk-weighted assets

Y

LI1

Differences between accounting and regulatory scopes of consolidation and mapping of

financial statement categories with regulatory risk categories

Y

LI2

Main sources of differences between regulatory exposure amounts and

carrying values in financial statements

Y

LIA

Explanations of differences between accounting and regulatory exposure amounts

Y

PV1

Prudent valuation adjustments (PVA)

Y

CC1

Composition of regulatory capital

Y

CC2

Reconciliation of regulatory capital to balance sheet

Y

CCA

Presentation of material features of regulatory capital instruments3

TLAC1

TLAC composition for G-SIBs (at resolution group level)2

TLAC2

Material subgroup entity - creditor ranking at legal entity level2

TLAC3

Resolution entity - creditor ranking at legal entity level2

GSIB1

Disclosure of G-SIB indicators2

Y

CCyB1

Geographical distribution of credit exposures used in the countercyclical buffer

Y

LR1

Summary comparison of accounting assets versus leverage ratio exposure measure

Y

LR2

Leverage ratio common disclosure

Y

LIQA

Management of liquidity risks

HY

LIQ1

Liquidity coverage ratio

HY

LIQ2

Net stable funding ratio4

Y

CRA

Credit risk: General information

Y

CR1

Credit risk: Credit quality of assets

Y

CR2

Credit risk: Changes in stock of defaulted loans and debt securities

Y

CRB

Credit risk: Additional disclosure related to the credit quality of assets

Y

CRC

Credit risk: Qualitative disclosure requirements related to mitigation techniques

Y

CR3

Credit risk: Overview of mitigation techniques

Y

CR4

Credit risk: Exposure and credit risk mitigation (CRM) effects under the standardised approach

Y

CRD

Credit risk: Qualitative disclosures of banks' use of external credit ratings

under the standardised approach

Y

CR5

Credit risk: Exposures by exposure category and risk weights under the standardised approach

CRE

IRB: Qualitative disclosures related to IRB models2

CR6

IRB: Credit risk exposures by portfolio and PD range2

CR7

IRB: Effect on risk-weighted assets (RWA) of credit derivatives used as CRM techniques2

CR8

IRB: RWA flow statements of credit risk exposures2

CR9

IRB: Backtesting of probability of default (PD) per portfolio2

CR10

IRB: Specialised lending and equities under the simple risk weight method2

Y

CCRA

Counterparty credit risk: Qualitative disclosure

  1. Period of publication according to the FINMA circular 2016/1, annex 1.
  2. Not applicable to the Group.
  3. Details of material features of regulatory capital instruments are published in the Financial Reporting section of the Julius Baer website (www.juliusbaer.com/reporting).
  4. Legally not yet entered into force, therefore no disclosure required.

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Julius Bär Gruppe AG published this content on 30 April 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 April 2021 07:03:00 UTC.