disclosures of capital adequacy and liquidity valiant holding ag 30 june 2022
2 | Disclosures of capital adequacy and liquidity |
30 June 2022 / Valiant Holding AG |
valiant holding ag
Disclosures of capital adequacy and liquidity
- 3 Key regulatory figures
- 4 Overview of risk-weighted assets
- 4 Information on liquidity
- 10 Information on counterparty credit risk
3 | Disclosures of capital adequacy and liquidity |
30 June 2022 / Valiant Holding AG |
KM1: Key regulatory figures
a | c | e | |||||||||||||
Eligible capital (in CHF thousands) | |||||||||||||||
T | T-1 | T-2 | |||||||||||||
1 | Common Equity Tier1 capital (CET1) | 2,311,534 | 2,303,219 | 2,271,976 | |||||||||||
2 | Tier1 capital | 2,311,534 | 2,303,219 | 2,271,976 | |||||||||||
3 | Total capital | 2,313,750 | 2,307,811 | 2,276,322 | |||||||||||
Risk-weighted assets (RWA) (in CHF thousands) | |||||||||||||||
4 | RWA | 14,660,876 | 14,408,311 | 14,440,838 | |||||||||||
4a | Minimum equity | 1,172,870 | 1,152,665 | 1,155,267 | |||||||||||
Risk-based capital ratios (as a % of RWA) | |||||||||||||||
5 | CET1 ratio | 15.77 | 15.99 | 15.73 | |||||||||||
6 | Core capital ratio | 15.77 | 15.99 | 15.73 | |||||||||||
7 | Total capital ratio | 15.78 | 16.02 | 15.76 | |||||||||||
CET1 buffer requirements (as a % of RWA) | |||||||||||||||
8 | Capital buffer in accordance with the Basel minimum requirements (2.5 % from 2019) | 2.50 | 2.50 | 2.50 | |||||||||||
9 | Countercyclical buffer (Art. 44a CAO) in accordance with the Basel minimum requirements | 0.00 | 0.00 | 0.00 | |||||||||||
11 | Overall buffer in accordance with the Basel minimum CET1 requirements | 2.50 | 2.50 | 2.50 | |||||||||||
12 | CET1 available after meeting the Basel minimum requirements (after deduction of CET1 to cover | ||||||||||||||
the minimum requirements and, where necessary, to cover the TLAC requirements) | 7.78 | 8.02 | 7.76 | ||||||||||||
Target capital ratios in accordance with Annex 8 of CAO (as a % of RWA) | |||||||||||||||
12a | Capital buffer in accordance with Annex 8 of CAO | 4.00 | 4.00 | 4.00 | |||||||||||
12b | Countercyclical buffer (Art. 44 and 44a CAO) | 0.00 | 0.00 | 0.00 | |||||||||||
CET1 minimum requirement in accordance with Annex 8 of CAO plus the countercyclical capital | |||||||||||||||
12c | buffer in accordance with Art. 44 and 44a CAO | 7.80 | 7.80 | 7.80 | |||||||||||
T1 minimum requirement in accordance with Annex 8 of CAO plus the countercyclical capital buffer | |||||||||||||||
12d | in accordance with Art. 44 and 44a CAO | 9.60 | 9.60 | 9.60 | |||||||||||
12e | Total capital minimum requirement in accordance with Annex 8 of CAO plus | ||||||||||||||
the countercyclical capital buffer in accordance with Art. 44 and 44a CAO | 12.00 | 12.00 | 12.00 | ||||||||||||
Basel III leverage ratio | |||||||||||||||
13 | Total exposure (in CHF thousands) | 38,663,383 | 37,861,935 | 37,792,071 | |||||||||||
14 | Basel III leverage ratio (core capital as a % of the total exposure) | 5.98 | 6.08 | 6.01 | |||||||||||
T = Half year | |||||||||||||||
a | b | c | d | e | |||||||||||
Liquidity coverage ratio (LCR) | |||||||||||||||
T | T-1 | T-2 | T-3 | T-4 | |||||||||||
15 | LCR numerator: total high-quality liquid assets | ||||||||||||||
(in CHF thousands) | 7,654,379 | 7,713,206 | 7,722,898 | 7,945,253 | 7,415,341 | ||||||||||
16 | LCR denominator: total net cash outflow (in CHF thousands) | 5,327,935 | 5,090,309 | 5,093,739 | 4,929,390 | 4,746,760 | |||||||||
17 | Liquidity coverage ratio (LCR) (as a %) | 144 | 152 | 152 | 161 | 156 | |||||||||
T = Quarter琀 | |||||||||||||||
a | c | e | |||||||||||||
Net stable funding ratio (NSFR) | |||||||||||||||
T | T-1 | T-2 | |||||||||||||
18 | Available stable funding (in CHF thousands) | 27,790,877 | 27,575,196 | n.a. | |||||||||||
19 | Required stable funding (in CHF thousands) | 23,764,763 | 23,091,259 | n.a. | |||||||||||
20 | Net stable funding ratio (NSFR) (as a %) | 117 | 119 | n.a. | |||||||||||
T = Half year |
4 | Disclosures of capital adequacy and liquidity |
30 June 2022 / Valiant Holding AG |
OV1: Overview of risk-weighted assets
a | b | c | |||||
RWA | Minimum capital | ||||||
RWA | requirements | ||||||
30/06/2022 | 30/06/2022 | ||||||
Required group equity | 31/12/2021 | ||||||
in CHF thousands | in CHF thousands | in CHF thousands | |||||
1 | Credit risk (excluding CCR - counterparty credit risk) | 13,600,371 | 13,379,538 | 1,088,030 | |||
2 | of which standardised approach (SA) | 13,600,371 | 13,379,538 | 1,088,030 | |||
6 | Counterparty credit risk | 89,373 | 92,132 | 7,150 | |||
7 | of which standardised approach (SA-CCR) | 64,896 | 76,832 | 5,192 | |||
7b | of which determined using the market value method | 24,477 | 15,300 | 1,958 | |||
10 | Value adjustment risk of derivatives (CVA) | 46,122 | 34,975 | 3,690 | |||
20 | Market risk | 39,679 | 43,378 | 3,174 | |||
21 | of which standardised approach | 39,679 | 43,378 | 3,174 | |||
24 | Operational risk | 862,128 | 835,428 | 68,970 | |||
25 | Amounts below the thresholds for deduction (subject to 250 % risk weight) | 23,203 | 22,860 | 1,856 | |||
27 | Minimum capital requirements | 14,660,876 | 14,408,311 | 1,172,870 |
LIQ1: Liquidity - information on the liquidity ratio
Monthly average Q11 | Monthly average Q21 | ||
Unweighted values | Weighted values in | Unweighted values | Weighted values |
in CHF thousands | CHF thousands | in CHF thousands | in CHF thousands |
- High-qualityliquid assets (HQLA)
1 Sum of all eligible HQLAs | 7,713,206 | 7,654,379 |
B. | Outflows | ||||
2 | Retail deposits and deposits from small business customers | 14,211,348 | 1,203,825 | 14,481,838 | 1,233,321 |
3 | of which stable deposits | 5,117,103 | 255,855 | 5,119,997 | 256,000 |
4 | of which less stable deposits | 9,094,245 | 947,970 | 9,361,841 | 977,321 |
5 Unsecured wholesale funding, defined as those liabilities and general obligations from customers other than natural persons and small business customers that are
not collateralised | 4,569,060 | 3,487,409 | 4,948,909 | 3,788,229 | |
6 | of which operational deposits | ||||
7 | of which non-operational deposits | 4,567,096 | 3,485,445 | 4,948,365 | 3,787,685 |
8 | of which unsecured debt including all notes, bonds and other debt securities | 1,964 | 1,964 | 544 | 544 |
9 | Secured wholesale funding, defined as all collateralised liabilities | ||||
and general obligations | |||||
10 | Additional requirements | 1,004,660 | 706,038 | 1,164,713 | 849,895 |
11 | of which outflows related to derivative exposures and other collateral requirements | 575,201 | 575,201 | 706,173 | 706,173 |
12 | of which outflows of central mortgage institution loans | 42,800 | 42,800 | 54,833 | 54,833 |
13 | of which credit and liquidity facilities, including drawdowns on committed or | ||||
conditionally revocable credit and liquidity facilities | 386,659 | 88,036 | 403,707 | 88,889 | |
14 | Other contractual funding obligations to extend funds | 208,488 | 208,488 | 178,292 | 178,292 |
15 | Other contingent funding obligations | 2,923,814 | 7,056 | 2,927,339 | 7,026 |
16 | Total cash outflows | 5,612,815 | 6,056,762 |
C. | Inflows | ||||
17 | Secured lending | ||||
18 | Inflows from fully performing exposures | 224,477 | 15,487 | 315,773 | 33,282 |
19 | Other cash inflows | 507,018 | 507,018 | 695,545 | 695,545 |
20 | Total cash inflows | 522,505 | 728,827 |
LCR calculation
21 | Total HQLAs | 7,713,206 | 7,654,379 | |
22 | Total net cash outflows | 5,090,309 | 5,327,935 | |
23 | LCR (as %) | 152 | 144 | |
1Average month-end values
5 | Disclosures of capital adequacy and liquidity |
30 June 2022 / Valiant Holding AG |
Liquidity coverage ratio (LCR)
In accordance with the Bank Liquidity Ordinance (Liquidity Ordinance, LiqV) and FINMA Circular 2015/2, Valiant Bank AG is required to maintain appropriate holdings of unencumbered high-quality liquid assets (HQLAs). The purpose of these assets is to cover the bank's liquidity requirements in a significant liquidity stress scenario defined by the regulatory authority over a time horizon of 30 calendar days. The LCR is the ratio of the stock of HQLAs (numerator) to the net cash outflow expected over a 30-day horizon (denominator) based on the stress scenario. For the reporting period, the bank is deemed to have met the LCR requirement if the ratio, as stipulated in Article 13 LiqV, is at least 100%.
Valiant calculates and discloses all LCR figures for Valiant Bank AG. Other legal entities play only a minor role in liquidity management. FINMA has therefore ruled that they do not have to be included for LCR purposes.
Determinants
Valiant funds its activities primarily via the deposits of private clients and small and medium- sized firms. Amounts due to large clients account for a significantly smaller proportion but constitute the largest block of weighted outflows due to the higher liquidity requirements. The remaining outflows consist of irrevocable commitments, contingent liabilities and deriv- atives. Forward currency transactions account for the majority of derivatives. For further in- formation, see the section "Derivative positions and collateral requirements". Liquidity inflows come mainly from fully recoverable receivables (loans and interest payments from clients and banks due for payment plus interest payments), derivatives (see outflows from derivatives above) and cash inflows from external financing already agreed at the end of the month. Cash inflows from fully recoverable receivables consist mainly of operational deposits held with other banks, which, in light of their low weighting factor, translate into a comparatively small weighted liquidity inflow.
In the first half of 2022, holdings of HQLAs remained practically unchanged. As net cash outflows increased slightly towards the end of the second quarter, the LCR was somewhat lower in the second quarter of 2022 compared with previous quarters.
Composition of HQLAs
High-quality liquid assets (HQLAs) mainly consist of clearing balances held with the Swiss National Bank (SNB) and CHF-denominated financial investments eligible for SNB repos. In addition, EUR and USD-denominated financial investments eligible for repos as well as bank- notes and coins are held.
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Valiant Holding AG published this content on 30 August 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 31 August 2022 07:29:04 UTC.