JULIUS BÄR GRUPPE AG BASEL III PILLAR 3 DISCLOSURES JUNE 2021
Julius Baer Group Ltd.
According to FINMA circular 2016/1 'Disclosure Banks'
CONTENTS
BASEL III PILLAR 3 DISCLOSURES JUNE 2021 JULIUS BAER GROUP LTD.
- INTRODUCTION
- KEY METRICS
- OVERVIEW OF RISK-WEIGHTED ASSETS
- LIQUIDITY COVERAGE RATIO
- MARKET RISK
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Basel III Pillar 3 Disclosures June 2021 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 30 June 2021. 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 Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision (BCBS) in March 2017.
The aim of the Pillar 3 standards is to improve comparability and consistency of disclosures through the introduction of harmonised templates. The Group is subject to disclosure requirements in accordance with the FINMA circular 2016/1 'Disclosure - banks'. Bank Julius Baer & Co. Ltd. is exempt 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).
The Group's Pillar 3 disclosures as at 30 June 2021, 31 December 2020 and 30 June 2020 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, in accordance with FINMA requirements for category 3 banks. FINMA has specified the reporting frequency for each disclosure as either annual or semi-annual. Comparative period information and commentaries on movements in the period must be provided in line with this frequency. More information regarding qualitative and quantitative Pillar 3 disclosures can be found in the document 'Basel III Pillar 3 Disclosures 2020', published in the Financial Reporting section of the Julius Baer website (www.juliusbaer.com/reporting).
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Basel III Pillar 3 Disclosures June 2021 JULIUS BAER GROUP LTD.
Key metrics
KEY METRICS
KM1: Key metrics at consolidated Group level
30.06.2021 | 31.12.2020 | 30.06.2020 | |||
No.1 | CHF m | CHF m | CHF m | ||
Available capital | |||||
1 | Common Equity Tier 1 (CET1) | 3,583.1 | 3,157.5 | 2,950.1 | |
2 | Tier 1 capital | 4,753.6 | 4,296.3 | 4,118.6 | |
3 | Total capital | 4,889.8 | 4,429.7 | 4,250.2 | |
Risk-weighted assets (RWA) | |||||
4 | RWA | 21,457.9 | 21,120.7 | 21,284.9 | |
4a | Minimum capital requirements | 1,716.6 | 1,689.7 | 1,702.8 | |
Risk-based capital ratios as a percentage of RWA | |||||
5 | Common Equity Tier 1 ratio | 16.7% | 14.9% | 13.9% | |
6 | Tier 1 ratio | 22.2% | 20.3% | 19.3% | |
7 | Total capital ratio | 22.8% | 21.0% | 20.0% | |
Additional CET1 buffer requirements as a percentage of RWA | |||||
8 | Capital conservation buffer requirement as per the Basel minimum | 2.5% | 2.5% | 2.5% | |
standards (2.5% from 2019) | |||||
9 | Countercyclical buffer requirement (art. 44a ERV) as per the | 0.1% | 0.1% | 0.1% | |
Basel minimum standards | |||||
11 | Total of bank CET1 specific buffer requirements as per the | 2.6% | 2.6% | 2.6% | |
Basel minimum standards | |||||
12 | CET1 available after meeting the bank's minimum capital | 12.2% | 10.4% | 9.4% | |
requirements as per the Basel minimum standards | |||||
Target capital ratios according to appendix 8 CAO (% of RWA) | |||||
12a | Capital buffer according to appendix 8 CAO | 4.0% | 4.0% | 4.0% | |
12b | Countercyclical capital buffer (art. 44 and 44a CAO) | 0.1% | 0.1% | 0.1% | |
12c | CET1 target ratio according to appendix 8 CAO in addition | 7.9% | 7.9% | 7.9% | |
to countercyclical capital buffer according to art. 44 and 44a CAO | |||||
12d | T1 target ratio according to appendix 8 CAO in addition | 9.7% | 9.7% | 9.7% | |
to countercyclical capital buffer according to art. 44 and 44a CAO | |||||
12e | Total capital target ratio according to appendix 8 CAO in addition | 12.1% | 12.1% | 12.1% | |
to countercyclical capital buffer according to art. 44 and 44a CAO | |||||
Basel III leverage ratio | |||||
13 | Total Basel III leverage ratio exposure measure | 116,729.2 | 107,193.8 | 106,077.6 | |
14 | Basel III leverage ratio (= no. 2/no. 13) | 4.1% | 4.0% | 3.9% | |
Liquidity coverage ratio (3-month average) | |||||
15 | Total HQLA | 23,536.6 | 23,446.5 | 24,531.2 | |
16 | Total net cash outflow | 12,459.7 | 13,637.3 | 12,333.8 | |
17 | LCR ratio | 188.9% | 171.9% | 198.9% |
1 Row nombers according to the sample table enclosed in the FINMA circular 2016/1, annex 2, table KM1.
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Julius Bär Gruppe AG published this content on 31 August 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 31 August 2021 05:11:03 UTC.
