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.

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

*

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

Due from customers

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

(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.

31.12.2010

 

 

 

 

 

 

 

Cash and balances with central banks

572'706

0

0

0

0

0

572'706

Money market instruments

0

0

287'000

0

0

0

287'000

Due from banks

1'014'601

105'347

4'158'910

1'443'451

164'480

951

6'887'740

Due from customers

324'943

1'121'822

2'292'348

1'367'308

4'372'241

940'450

10'419'112

Trading portfolio assets

0

0

14

1'118

2'777

4'955

8'864

Derivative financial instruments

168'796

0

0

0

0

0

168'796

Financial investments at fair value through profit and loss

0

2'764'370

49'797

146'403

384'374

106'022

3'450'966

Total financial assets

2'081'046

3'991'539

6'788'069

2'958'280

4'923'872

1'052'378

21'795'184

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

Due to banks

157'307

0

102'657

100'029

30'004

0

389'997

Due to customers

5'643'726

6'668'172

2'383'328

275'639

17'919

10'299

14'999'083

Liabilities from insurance contracts

0

99'524

0

0

0

0

99'524

Financial liabilities

0

2'857'146

0

0

0

0

2'857'146

Derivative financial instruments

162'361

0

0

0

0

0

162'361

Debt issued

0

0

155'213

615'817

627'537

325'978

1'724'545

Total financial liabilities

5'963'394

9'624'842

2'641'198

991'485

675'460

336'277

20'232'656

 

 

 

 

 

 

 

 

Net liquidity exposure

–3'882'348

–5'633'303

4'146'871

1'966'795

4'248'412

716'101

1'562'528

 

 

 

 

 

 

 

 

Off-balance-sheet transactions

320'478

 

 

 

 

 

320'478

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