9 Capital adequacy requirements (Pillar I)

Capital adequacy is monitored by the LLB Group and by the individual operative units in accordance with the equity regulations of the Principality of Liechtenstein, which are based on the standards of the Basel Committee on Banking Supervision.

In accordance with Basel II, the banks may choose from various approaches to calculate the capital requirements for credit, market and operational risks. The LLB Group applies the standard approach for credit risks, the basic indicator approach for operational risks and the de minimis approach for market risks. The determination of capital requirements and tier capital is carried out on the basis of the IFRS consolidated financial statement, whereby non-realised gains are deducted from core capital.

At the LLB Group, the scope of consolidation for determining capital requirements and for the financial accounts is identical. The relevant consolidation information can be found in the chapter Scope of consolidation.

Apart from the legal provisions, which prevent the transfer of funds or equity within the LLB Group, there are no other restrictions.

Capital adequacy requirements (Pillar I)

(XLS:)

in CHF thousands

31.12.2011

31.12.2010

Tier 1 ratio (in percent)

13.9

13.9

 

 

 

Eligible capital

 

 

Share capital

154'000

154'000

Capital reserve

49'458

49'479

Retained earnings

1'594'895

1'686'949

Other reserves

–51'666

–18'672

Non-controlling interests

101'156

99'690

Less distribution of profit

–8'525

–101'900

Non-realised gains after tax

–18'959

–14'841

Core capital (before adjustment)

1'820'359

1'854'705

Net long position in own shares

–206'179

–198'387

Other elements to be deducted from core capital

–294'156

–306'326

Eligible core capital (adjusted core capital)

1'320'024

1'349'992

Total eligible capital

1'320'024

1'349'992

 

 

 

Risk-weighted assets

 

 

Credit risks balance sheet transactions

8'335'513

8'355'737

Credit risks off-balance sheet transactions

106'991

97'150

Market risks

216'438

380'375

Operational risks

804'694

900'913

Total risk-weighted assets

9'463'636

9'734'175

 

 

 

Required capital

 

 

Credit risk

675'400

676'231

of which price risk related to shares in the banking book

42'768

48'857

Non-counterparty related risks

 

 

Market risk

17'315

30'430

of which forex and precious metals

12'465

23'784

of which commodities

4'850

6'646

Operational risks

64'376

72'073

Total required capital

757'091

778'734

Segmentation of credit risks

(XLS:)

in CHF thousands

Regulatory risk weighting

 

0 %

10 %

20 %

35 %

50 %

75 %

100 %

150 %

Total

31.12.2011

 

 

 

 

 

 

 

 

 

Central governments and banks

941'106

0

0

0

0

0

0

0

941'106

Public authorities

23'175

0

444

0

0

0

6'273

0

29'892

Administrative bodies

13'904

0

11

0

24'768

0

1'095

0

39'778

Multinational development banks

1'332

0

0

0

0

0

0

0

1'332

International organisations

0

0

1'187

0

0

0

0

0

1'187

Banks and securities firms

0

0

5'095'210

0

1'724'693

0

0

0

6'819'903

Companies

0

0

29'493

0

68'132

0

970'029

3'490

1'071'144

Retail

0

0

665

0

618

228'082

890'598

931

1'120'894

Secured by pledge

3'291

0

0

6'407'932

320'836

0

1'971'735

0

8'703'794

Overdue positions

0

0

0

0

0

0

47'855

90'934

138'789

Shares

0

0

0

0

0

0

44'244

64'946

109'190

Covered debentures

140'611

406'161

41'028

0

0

0

0

0

587'800

Units in equity funds

0

0

0

0

0

0

746

247'386

248'132

Other positions

0

0

0

0

0

0

4'315

0

4'315

Total

1'123'419

406'161

5'168'038

6'407'932

2'139'047

228'082

3'936'890

407'687

19'817'256

Total previous year

1'094'359

125'003

6'552'128

5'486'408

1'341'288

335'026

3'970'434

515'670

19'420'316

Mitigation of credit risk

(XLS:)

in CHF thousands

31.12.2011

31.12.2010

 

Covered by recognised financial collateral

Covered by guarantees

Other
credit
commit-
ments

Total

Covered by recognised financial collateral

Covered by guarantees

Other
credit
commit-
ments

Total

Balance sheet positions

0

400

0

400

0

750

0

750

Off-balance sheet positions

0

0

0

0

32'868

0

0

32'868

Derivatives

0

0

0

0

0

0

0

0

Total

0

400

0

400

32'868

750

0

33'618

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