9 Capital adequacy requirements (Pillar I)
The Banking Law and Banking Ordinance of the Principality of Liechtenstein form the legal basis of capital adequacy requirements, which in turn are based on the directives of the Basel Committee on Banking Supervision as adapted by the European Union.
In accordance with Basel III, 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 risk, the basic indicator approach for operational risks, and the standard approach for market risks (trading book activities of insignificant materiality in accordance with Article 94 (1) CRR). 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.
9.1 Segmentation of credit risks
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|
Regulatory risk weighted |
|||||||||||||||||||
in CHF thousands |
0 % |
10 % |
20 % |
35 % |
50 % |
75 % |
100 % |
150 % |
250 % |
Total |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
31.12.2016 |
|
|
|
|
|
|
|
|
|
|
||||||||||
Central governments and central banks |
3'528'032 |
0 |
10'472 |
0 |
0 |
0 |
0 |
0 |
0 |
3'538'504 |
||||||||||
Regional governments |
0 |
0 |
112'370 |
0 |
10'222 |
0 |
0 |
0 |
0 |
122'592 |
||||||||||
Public sector entities |
0 |
0 |
50'758 |
0 |
0 |
0 |
0 |
0 |
0 |
50'758 |
||||||||||
International organisations |
73'399 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
73'399 |
||||||||||
Banks and securities firms |
0 |
0 |
2'888'271 |
0 |
740'917 |
0 |
280 |
0 |
0 |
3'629'468 |
||||||||||
Corporates |
0 |
0 |
87'255 |
0 |
113'625 |
0 |
1'043'159 |
40'811 |
0 |
1'284'849 |
||||||||||
Retail |
0 |
0 |
0 |
0 |
0 |
263'921 |
520'703 |
0 |
0 |
784'624 |
||||||||||
Secured by real estate |
0 |
0 |
1'849 |
7'570'622 |
1'573'117 |
0 |
679'629 |
0 |
0 |
9'825'216 |
||||||||||
In default |
0 |
0 |
0 |
0 |
0 |
1'269 |
94'619 |
77'549 |
0 |
173'437 |
||||||||||
Equity |
0 |
0 |
0 |
0 |
0 |
0 |
27'448 |
0 |
47 |
27'495 |
||||||||||
Covered bonds |
0 |
175'030 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
175'030 |
||||||||||
Collective investments and others |
65'490 |
0 |
19'386 |
0 |
0 |
1 |
501'262 |
0 |
0 |
586'139 |
||||||||||
Total |
3'666'921 |
175'030 |
3'170'361 |
7'570'622 |
2'437'881 |
265'192 |
2'867'099 |
118'361 |
47 |
20'271'513 |
||||||||||
Total previous year |
2'831'199 |
95'501 |
4'594'176 |
7'298'124 |
2'012'106 |
236'711 |
2'821'944 |
84'528 |
0 |
19'974'289 |
9.2 Mitigation of credit risk
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|
31.12.2016 |
31.12.2015 |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
in CHF thousands |
Covered by recognised financial collateral |
Covered by guarantees |
Other credit commitments |
Total |
Covered by recognised financial collateral |
Covered by guarantees |
Other credit commitments |
Total |
||||||||
Balance sheet positions |
0 |
9'148 |
0 |
9'148 |
0 |
6'408 |
0 |
6'408 |
||||||||
Off-balance sheet positions |
0 |
352 |
0 |
352 |
0 |
50 |
0 |
50 |
||||||||
Derivatives |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||||||||
Total |
0 |
9'499 |
0 |
9'499 |
0 |
6'458 |
0 |
6'458 |
9.3 Leverage Ratio (LR)
A further integral part of the Basel III package is the leverage ratio which, with its comparison of unweighted on-balance sheet and off-balance sheet risk positions, on the one hand, and equity held, on the other, attempts to prevent the danger of financial institutes becoming excessively indebted. This reference ratio stands at 3.0 percent and is currently being monitored by the supervisory authority. It is not yet legally binding. At the end of the year 2016, the leverage ratio of LLB Group amounted to 7.8 percent.