2 Liquidity risk

Liquidity risk means that current and future payment obligations may not be completely fulfilled or not fulfilled on time or, in the case of a liquidity squeeze, refinancing funds may only be available at higher market rates (refinancing costs), or that assets may only be liquidated 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

The Group Financial Risk Controlling Department monitors the adherence to liquidity risk limits and is responsible for reporting in relation to liquidity risks.

The following table shows the maturities according to contractual periods.

Maturity of financial assets and liabilities (nominal including coupons)*

(XLS:)

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

 

 

 

 

 

 

 

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

Loans

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 assets 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

(XLS:)

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

*

Derivative financial instruments at replacement values.

31.12.2011

 

 

 

 

 

 

 

Cash and balances with central banks

896'749

0

0

0

0

0

896'749

Due from banks

1'337'878

0

3'526'361

1'856'906

147'471

0

6'868'616

Loans

314'292

807'969

1'980'561

1'654'681

5'021'613

1'140'851

10'919'968

Trading portfolio assets

0

0

5

109

2'325

2'190

4'630

Derivative financial instruments

125'988

0

0

0

0

0

125'988

Financial investments at fair value through profit and loss

0

0

72'980

119'049

397'721

139'288

729'038

Total financial assets

2'674'907

807'969

5'579'907

3'630'745

5'569'131

1'282'329

19'544'988

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

Due to banks

250'706

1'216

167'631

176'725

0

0

596'277

Due to customers

7'808'514

6'455'110

972'961

516'193

22'953

0

15'775'730

Derivative financial instruments

166'387

0

0

0

0

0

166'387

Debt issued

0

0

101'608

192'252

685'887

368'586

1'348'332

Total financial liabilities

8'225'607

6'456'326

1'242'199

885'169

708'839

368'586

17'886'727

 

 

 

 

 

 

 

 

Net liquidity exposure

–5'550'700

–5'648'357

4'337'707

2'745'576

4'860'291

913'743

1'658'261

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

262'111

 

 

 

 

 

262'111

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