Disclosure report
as of June 2020
We connect.
3 | · | Introduction |
4 | · | Key metrics |
5 | · | Capital adequacy |
10 | · | Capital adequacy requirements |
12 | · | Leverage |
14 | · | Liquidity risks |
16 | · | Credit risk adjustments |
"We connect. Learn more about what connects us."
Connectivity is the corporate megatrend of our time. The principle of unlimited networking continues to grow rapidly and touches all areas of our lives. Our specialists serve as the Bank's messengers to describe the areas and topics where VP Bank is forging new conceptual connections. We present six central themes in all, which include the following areas: digital
advisory, corporate responsibility, working environment, investment solutions, financial strength
and fund expertise. You can also watch more in-depth interviews at our online annual report at report.vpbank.com
report.vpbank.com
Introduction
VP Bank
VP Bank is an internationally active private bank and is one of the biggest banks in Liechtenstein. It has offices in Vaduz, Zurich, Luxembourg, Tortola / British Virgin Islands, Singapore and Hong Kong.
Since its foundation in the year 1956, VP Bank has focused on asset management and investment consultancy for private individuals and financial intermediaries. Today, 979 employees manage client assets of CHF 45.6 billion.
VP Bank is listed on the SIX Swiss Exchange. Its financial strength has been given an "A" rating by Standard & Poor's. The shareholder base with three anchor shareholders ensures stability, independence and sustainability.
Basis and purpose of the disclosure
The Disclosure Report is based upon Part 8 of the Regulation (EU) No. 575/2013 CRR, which has been directly applicable in Liechtenstein with amendments of the Banking Act Liechtenstein (BankA) and the Banking Ordinance Liechtenstein (BankO) since 1 February 2015.
The Disclosure Report provides a comprehensive picture of the bank's capital and liquidity adequacy, its risk profile and risk management.
Content and scope of application of the disclosure
The Disclosure Report contains all qualitative and quanti tative information specified in Part 8 Section II CRR that has not already been published in the semiannual report of VP Bank. The exemption rules set out under Art. 432 CRR for immaterial or confidential information as well as business secrets have not been applied.
VP Bank Ltd with registered domicile in Vaduz, Liechten- stein, is the parent company of VP Bank Group and fulfils the disclosure requirements pursuant to Art. 13 Para. 1 CRR on a consolidated level. The basis for this is the
prudential scope of consolidation pursuant to Art. 18 to 24 CRR. For this reason, all information in the Disclosure Report relate to VP Bank Group.
Frequency and means of disclosure
A comprehensive disclosure report is drawn up annually and published as a separate document on the VP Bank homepage (www.vpbank.com). Supplementary information is provided in the annual report. An additional disclosure is made every six months and is also published on VP Bank's homepage.
Preparation and assessment of the disclosure
VP Bank has implemented a process for preparing the Disclosure Report, and has defined the tasks and respon sibilities in writing. Within this context, the content and frequency of the disclosure is regularly reviewed in order to ascertain that this is reasonable. The Disclosure Report is not subject to any review by statutory banking auditors.
Changes since last year's Disclosure Report
Compared to the previous year the present disclosure includes full disclosure of credit risk adjustments in accordance with EBA Guideline 2018/10, similar to the Disclosure Report as of 31 December 2019.
Disclosure report as of June 2020 · Introduction | 3 |
Key metrics
Key metrics
in CHF 1,000 | 30.06.2020 | 31.12.2019 |
Own Funds | ||
Tier 1 Capital | 963,651 | 978,962 |
Tier 1 Ratio | 20.1% | 20.2% |
Risk weighted assets | 4,785,909 | 4,841,859 |
Combined capital buffer requirement | 217,159 | 242,093 |
Leverage | ||
Total exposure measure | 13,841,418 | 13,803,380 |
Leverage Ratio | 7.0% | 7.1% |
Liquidity | ||
Liquidity Coverage Ratio (LCR) | 176.7% | 213.1 % |
Own funds
The Tier 1 Ratio falls slightly in the first half of 2020 from 20.2 per cent to 20.1 per cent and thus remains well above the regulatory minimum requirement. The decline in loans and advances to customers leads to a decrease in risk weighted assets. The reduction in own funds is due to actuarial adjustments for pension funds and changes in the value of FVTOCI (at fair value through other comprehensive income) financial instruments. VP Bank Group generated comprehensive income of CHF -12.3 million in the first half of 2020 compared with CHF 42.1 million in the preceding year.
Leverage
The reduction of the leverage ratio in comparison to the position at 31 December 2019 is primarily attributed to a reduction in own funds.
Liquidity
In the first six months of 2020 the LCR decreased from 213 per cent to 177 per cent, thus continuing to be comfortably above the regulatory minimum requirement of 100 per cent. The reduction in the LCR results from the active management of the amounts due from banks and increased amounts due to customers.
COVID-19
Despite the effects of the COVID-19 crisis the disclosed key figures on capital and liquidity in the first half of 2020 were above the minimum regulatory requirements.
4 | Key metrics· Disclosure report as of June 2020 |
Capital adequacy
VP Bank's regulatory equity capital consists solely of core Tier 1 capital (common equity Tier 1 - CET1) and is comprised primarily of paid-in capital and retained earnings. The amounts to be deducted according to Article 36(1) of the CRR are deducted in full from core Tier 1 capital. Part 10, Title I of the CRR regarding transitional provisions is not applied.
Capital instruments
in CHF 1,000
Issuer | VP Bank Ltd, Vaduz | VP Bank Ltd, Vaduz |
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) | registered share A | registered share B |
Governing law(s) of the instrument | Liechtenstein law | Liechtenstein law |
Regulatory treatment | ||
Common equity tier 1 | Common equity tier 1 | |
Transitional CRR rules | (CET1) | (CET1) |
Common equity tier 1 | Common equity tier 1 | |
Post-transitional CRR rules | (CET1) | (CET1) |
Eligible at solo(sub-)consolidated/ solo & (sub-)consolidated | solo and consolidated | solo and consolidated |
Instrument type (types to be specified by each jurisdiction) | fully paid-up share capital | fully paid-up share capital |
Amount recognised in regulatory capital | 60,150 | 6,004 |
Nominal amount of instrument | 60,150 | 6,004 |
Issue price | 60,150 | 6,004 |
Redemption price | n.a | n.a |
Accounting classification | equity | equity |
Original date of issuance | n.a | n.a |
Perpetual or dated | perpetual | perpetual |
Original maturity date | n.a | n.a |
Issuer call subject to prior supervisory approval | no | no |
Optional call date, contingent call dates and redemption amount | n.a | n.a |
Subsequent call dates, if applicable | n.a | n.a |
Coupons / dividends | ||
Fixed or floating dividend/coupon | floating | floating |
Coupon rate and any related index | n.a | n.a |
Existence of a dividend stopper | n.a | n.a |
Fully discretionary, partially discretionary or mandatory | ||
(in terms of timing) | fully discretionary | fully discretionary |
Fully discretionary, partially discretionary or mandatory | ||
(in terms of amount) | fully discretionary | fully discretionary |
Existence of step up or other incentive to redeem | n.a | n.a |
Noncumulative or cumulative | n.a | n.a |
Convertible or non-convertible | non-convertible | non-convertible |
If convertible, conversion trigger(s) | n.a | n.a |
If convertible, fully or partially | n.a | n.a |
If convertible, conversion rate | n.a | n.a |
If convertible, mandatory or optional conversion | n.a | n.a |
If convertible, specify instrument type convertible into | n.a | n.a |
If convertible, specify issuer of instrument it converts into | n.a | n.a |
Write-down features | n.a | n.a |
If write-down,write-down trigger(s) | n.a | n.a |
If write-down, full or partial | n.a | n.a |
If write-down, permanent or temporary | n.a | n.a |
If temporary write-down, description of write-up mechanism | n.a | n.a |
Position in subordination hierarchy in liquidation | ||
(specify instrument type immediately senior to instrument) | n.a | n.a |
Irregular features of the converted instruments | n.a | n.a |
Description of any irregular features | n.a | n.a |
Disclosure report as of June 2020 · Capital adequacy | 5 |
Own funds
in CHF 1,000 | 30.06.2020 |
Common equity tier 1 (CET1) capital: instruments and reserves | |
Capital instruments and the related share premium accounts | 56,200 |
of which: shares | 56,200 |
Retained earnings | 1,070,843 |
Accumulated other comprehensive income (and other reserves) | -41,246 |
Funds for general banking risk | n.a |
Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1 | n.a |
Minority interests (amount allowed in consolidated CET1) | n.a |
Independently reviewed interim profits net of any foreseeable charge or dividend | n.a |
Common equity tier 1 (CET1) capital before regulatory adjustments | 1,085,797 |
Common equity tier 1 (CET1) capital: regulatory adjustments | |
Additional value adjustments (negative amount) | -389 |
Intangible assets (net of related tax liability) (negative amount) | -58,682 |
Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability | |
where the conditions in Article 38 (3) are met) (negative amount) | -1,482 |
Fair value reserves related to gains or losses on cash flow hedges | |
Negative amounts resulting from the calculation of expected loss amounts | |
Any increase in equity that results from securitised assets (negative amount) | |
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | |
Defined-benefit pension fund assets (negative amount) | |
Direct and indirect holdings by an institution of own CET1 instruments (negative amount) | -61,593 |
Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal | |
cross holdings with the institution designed to initiate artificially the own funds of the institution (negative amount) | n.a |
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution | |
does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative | |
amount) | n.a |
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution | |
has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount) | n.a |
Exposure amount of the following items which qualify for the RW of 1250 %, where the institution opts for the deduction alternative | n.a |
of which: qualifying holdings outside the financial sector (negative amount) | n.a |
of which: securitisation positions (negative amount) | n.a |
of which: free deliveries (negative amount) | n.a |
Deferred tax assets arising from temporary differences (amount above 10 % threshold, net of related tax liability where the | |
conditions in Article 38 (3) are met) (negative amount) | n.a |
Amount exceeding the 15 % threshold (negative amount) | n.a |
of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution | |
has a significant investment in those entities | n.a |
of which: deferred tax assets arising from temporary differences | n.a |
Losses for the current financial year (negative amount) | n.a |
Foreseeable tax charges relating to CET1 items (negative amount) | n.a |
Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount) | n.a |
Total regulatory adjustments to common equity tier 1 (CET1) | -122,146 |
Common equity tier 1 (CET1) capital | 963,651 |
Additional tier 1 (AT1) capital: instruments | |
Capital instruments and the related share premium accounts | n.a |
of which: classified as equity under applicable accounting standards | n.a |
of which: classified as liabilities under applicable accounting standards | n.a |
Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 | n.a |
6 | Capital adequacy· Disclosure report as of June 2020 |
Own funds (continued)
in CHF 1,000 | 30.06.2020 |
Qualifying tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties | n.a |
of which: classified as liabilities under applicable accounting standards | n.a |
Additional tier 1 (AT1) capital before regulatory adjustments | n.a |
Additional tier 1 (AT1) capital: regulatory adjustments | |
Direct and indirect holdings by an institution of own AT1 instruments (negative amount) | n.a |
Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross | |
holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) | n.a |
Direct, indirect and synthetic holding of the AT1 instruments of financial sector entities where the institution does not have a | |
significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount) | n.a |
Direct, indirect and synthetic holdings by the institution of the AT1 instrument of financial sector entities where the institution has a | |
significant investment in those entities (net of eligible short positions) (negative amount) | n.a |
Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount) | n.a |
Total regulatory adjustments in additional tier 1 (AT1) capital | n.a |
Additional tier 1 (AT1) capital | n.a |
Tier 1 capital (T1 = CET1 + AT1) | 963,651 |
Tier 2 (T2) capital: instruments and provisions | |
Capital instruments and the related share premium accounts | n.a |
Amount of qualifying items referred to in article 484 (5) and the related share premium account subject to phase out from T2 | n.a |
Qualifying own funds instruments included in consolidated T2 capital issued by subsidiaries and held by third parties | n.a |
of which: instruments issued by subsidiaries subject to phase out | n.a |
Credit risk adjustments | n.a |
Tier 2 (T2) capital before regulatory adjustments | n.a |
Tier 2 (T2) capital: regulatory adjustments | |
Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount) | n.a |
Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross | |
holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) | n.a |
Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not | |
have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount) | n.a |
Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the | |
institution has a significant investment in those entities (net of eligible short positions) (negative amount) | n.a |
Total regulatory adjustments of Tier 2 (T2) capital | n.a |
Tier 2 (T2) capital | n.a |
Total capital (TC = T1 + T2) | 963,651 |
Total risk weighted assets | 4,785,909 |
Capital ratios and buffers | |
Common equity tier 1 (as a percentage of total risk exposure amount) | 20.1% |
Tier 1 (as a percentage of total risk exposure amount) | 20.1% |
Total capital (as a percentage of total risk exposure amount) | 20.1% |
Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and | |
countercyclical buffer requirements, plus systemic risk buffer, plus systemically important institution buffer expressed as a | |
percentage of risk exposure amount) | 9.1% |
of which: capital conservation buffer requirement | 2.5% |
of which: countercyclical buffer requirement | 0.1% |
of which: systemic risk buffer requirement | 2.0% |
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer | 2.0%1 |
Common equity tier 1 available to meet buffers (as a percentage of risk exposure amount) | 12.1% |
Amount below the thresholds for deduction (before risk weighting) |
Disclosure report as of June 2020 · Capital adequacy | 7 |
Own funds (continued)
in CHF 1,000 | 30.06.2020 |
Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in | |
those entities (amount below 10 % threshold and net of eligible short positions) | n.a |
Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a | |
significant investment in those entities (amount below 10 % threshold and net of eligible short positions) | n.a |
Deferred tax assets arising from temporary differences (amount below 10 % threshold, net of related tax liability where the | |
conditions in Article 38 (3) are met) | n.a |
Applicable caps on the inclusion of provisions in tier 2 | |
Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the | |
cap) | n.a |
Cap on inclusion of credit risk adjustments in T2 under standardised approach | n.a |
Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application | |
of the cap) | n.a |
Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | n.a |
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) | |
Current cap on CET1 instruments subject to phase out arrangements | n.a |
Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n.a |
Current cap on AT1 instruments subject to phase out arrangements | n.a |
Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | n.a |
Current cap on T2 instruments subject to phase out arrangements | n.a |
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | n.a |
1 When both the SyRB and the other systemically institutions (O-SII) buffer applies to the same institution, only the higher of the two must be applied.
VP Bank met the minimum capital requirements at all times during the first half of 2020.
8 | Capital adequacy· Disclosure report as of June 2020 |
The full reconciliation of the core capital items with the consolidated balance sheet in accordance with Article 437
(1) a CRR is shown in the table below.
Reconciliation between balance sheet items used to calculate own funds and regulatory own funds
in CHF 1,000 | 30.06.2020 | 31.12.2019 |
Core capital | ||
Share capital | 66,154 | 66,154 |
Less: treasury shares | -61,593 | -68,004 |
Capital reserves | 23,297 | 26,772 |
Income reserves | 1,017,592 | 1,043,893 |
Group net income | 14,350 | 73,543 |
Unrealised gains/losses on Fair Value Through OCI (FVTOCI) financial instruments | -32,138 | -15,518 |
Foreign-currency translation differences | -23,825 | -21,252 |
Total shareholders' equity | 989,487 | 1,032,045 |
Group net income not eligible | -14,350 | 0 |
Deduction for dividends as per proposal of Board of Directors | 0 | -36,385 |
Deduction for goodwill and intangible assets | -61,781 | -62,189 |
Deduction for actuarial gains/losses from IAS19 | 68,640 | 61,151 |
Deduction for equity instruments as per art. 28 CRR | -9,954 | -8,341 |
Other regulatory adjustments (deferred tax, securisation positions, prudential filter) | -8,391 | -7,319 |
Total regulatory deduction | -25,836 | -53,083 |
Eligible core capital (tier 1) | 963,651 | 978,962 |
Eligible core capital (adjusted) | 963,651 | 978,962 |
No significant obstacles exist that limit the prompt transfer of equity capital or the repayment of liabilities between the parent company and fully-consolidated subsidiaries.
Disclosure report as of June 2020 · Capital adequacy | 9 |
Capital adequacy requirements
VP Bank calculates the equity requirement in accordance with the provisions of the CRR using the following approaches:
- Standardised approach for credit risk (under Part 3, Title II, Chapter 2 of the CRR)
- Basic-indicatorapproach for operational risk (under Part 3, Title III, Chapter 2 of the CRR)
- Standardised procedure for market risk (under Part 3, Title IV, Chapters 2 to 4 of the CRR)
- Standardised method for credit valuation adjustment (CVA) risk (under Article 384 of the CRR)
- Comprehensive method for taking into consideration financial collateral (under Article 223 of the CRR)
Overview of risk weighted assets (RWAs) (EU OV1)
The following overview shows the capital adequacy requirements specific to the various regulatory risk types in accordance with Article 438(c) to (f) of the CRR.
in CHF 1,000 | Minimum capital | ||||
Risk weighted assets | requirements | ||||
30.06.2020 | 31.12.2019 | 30.06.2020 | 31.12.2019 | ||
1 | Credit risk (excluding CCR) | 3,914,633 | 3,961,965 | 313,171 | 316,957 |
2 | of which the standardised approach | 3,914,633 | 3,961,965 | 313,171 | 316,957 |
6 | Counterparty credit risk (CCR) | 54,158 | 57,534 | 4,333 | 4,603 |
7 | of which mark to market | 39,135 | 43,406 | 3,131 | 3,472 |
12 | of which CVA | 15,023 | 14,128 | 1,202 | 1,130 |
19 | Market risk | 247,925 | 253,168 | 19,834 | 20,253 |
20 | of which the standardised approach | 247,925 | 253,168 | 19,834 | 20,253 |
23 | Operational risk | 569,192 | 569,192 | 45,535 | 45,535 |
24 | of which basic indicator approach | 569,192 | 569,192 | 45,535 | 45,535 |
29 | Total | 4,785,909 | 4,841,859 | 382,873 | 387,348 |
The reduction in risk weighted assets is mainly due to the decrease in loans and advances to customers.
10 | Capital adequacy requirements· Disclosure report as of June 2020 |
Standardised approach (EU CR5)
Ihe following overviews contain the respective total of the risk exposure values using the standardised approach in accordance with Article 444(e) of the CRR. The values for risk exposures are presented broken down by risk exposure classes before and after factoring in credit risk mitigation effects of collateral.
in CHF 1,000 | Risk weight | Of which | ||||||||||
0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | 250% | Total | unrated | ||
Exposure classes | ||||||||||||
Central governments or central | ||||||||||||
1 | banks | 3,144,206 | 0 | 2,045 | 0 | 0 | 0 | 474 | 0 | 0 | 3,146,724 | 159,566 |
2 | Regional governments or local | |||||||||||
authorities | 94 | 0 | 168,862 | 0 | 4,448 | 0 | 0 | 0 | 0 | 173,404 | 27,556 | |
3 | Public sector entities | 18,303 | 0 | 198,682 | 0 | 5,102 | 0 | 0 | 0 | 0 | 222,087 | 8,166 |
Multilateral development | ||||||||||||
4 | banks | 79,470 | 0 | 2,043 | 0 | 7,945 | 0 | 0 | 0 | 0 | 89,458 | 0 |
5 | International organisations | 4,955 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 4,955 | 0 | |
6 | Institutions | 147,386 | 0 | 1,785,994 | 0 | 20,693 | 0 | 0 | 0 | 0 | 1,954,073 | 397,556 |
7 | Corporates | 5,092 | 0 | 420,863 | 16,117 | 460,832 | 0 | 844,214 | 629 | 0 | 1,747,747 | 745,089 |
8 | Retail | 0 | 0 | 282,668 | 3,456 | 58,233 | 222,339 | 0 | 0 | 566,696 | 566,696 | |
9 | Secured by real estate | 0 | 0 | 0 | 2,192,014 | 832,750 | 282,941 | 0 | 0 | 3,307,705 | 3,307,705 | |
10 | Exposures in default | 0 | 0 | 0 | 0 | 0 | 0 | 14,899 | 80,515 | 0 | 95,414 | 95,414 |
Items associated with | ||||||||||||
11 | particularly high risk | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 31,441 | 0 | 31,441 | 31,441 |
12 | Covered bonds | 0 | 490,449 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 490,449 | 0 |
13 | Securitisation positions | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
14 Claims on institutions and corporates with a short-term
credit assessment | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
Collective investments | ||||||||||||
15 | undertakings | 0 | 0 | 0 | 0 | 0 | 0 | 30,059 | 0 | 0 | 30,059 | 30,059 |
16 | Equity exposures | 0 | 0 | 0 | 0 | 0 | 0 | 87,037 | 0 | 0 | 87,037 | 87,037 |
17 | Other items | 28,514 | 0 | 3,522 | 0 | 0 | 0 | 126,923 | 0 | 12,510 | 171,469 | 79,044 |
18 | Total | 3,428,020 | 490,449 | 2,864,679 | 2,211,587 | 1,331,769 | 58,233 | 1,608,886 | 112,585 | 12,510 | 12,118,718 | 5,535,328 |
Disclosure report as of June 2020 · Capital adequacy requirements | 11 |
Leverage
In addition to the risk-based capital adequacy requirements, a leverage ratio was introduced which sets equity in relation to the unweighted balance sheet and off-balance sheet risk positions.
Leverage ratio
in CHF 1,000 | 30.06.2020 | |
On-balance sheet exposures (excluding derivatives and SFTs | ||
1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 13,639,979 |
2 | Asset amounts deducted in determining tier 1 capital | -122,146 |
3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) | 13,517,833 |
Derivative exposures | ||
4 | Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 88,259 |
5 | ||
Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 95,640 | |
EU-5a | Exposure determined under original exposure method | n.a |
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable | |
accounting framework | n.a | |
7 | Deductions of receivables assets for cash variation margin provided in derivatives transactions | n.a |
8 | Exempted CCP leg of client-cleared trade exposures | n.a |
9 | Adjusted effective notional amount of written credit derivatives | n.a |
10 | Adjusted effective notional offsets and add-on deductions for written credit derivatives | n.a |
11 | Total derivatives exposures (sum of lines 4 to 10) | 183,899 |
SFT exposures | ||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | n.a |
13 | Netted amounts of cash payables and cash receivables of gross SFT assets | n.a |
14 | Counterparty credit risk exposure for SFT assets | n.a |
EU-14a | Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429b(4) and 222 of Regulation (EU) | |
No 575/2013 | n.a | |
15 | Agent transaction exposures | n.a |
EU-15a | Exempted CCP leg of client-cleared SFT exposure) | n.a |
16 | Total securities financing transaction exposures (sum of lines 12 to 15a) | 0 |
Other off-balance sheet exposures | ||
17 | Off-balance sheet exposures at gross notional amount | 583,219 |
18 | (Adjustments for conversion to credit equivalent amounts) | -443,533 |
19 | Other off-balance sheet exposures (sum of lines 17 and 18) | 139,686 |
Exempted exposures in accordance with Article 429(7) and (14) of Regulation (EU) No 575/2013 (on and off balance sheet) | ||
EU-19a | Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off | |
balance sheet) | n.a | |
EU-19b | ||
Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet) | n.a | |
Capital and total exposure measure | ||
20 | Tier 1 capital | 963,651 |
21 | Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) | 13,841,418 |
Leverage ratio | ||
22 | Leverage ratio | 7.0% |
Choice on transitional arrangements and amount of derecognised fiduciary items | ||
EU-23 | Choice on transitional arrangements for the definition of the capital measure | n.a |
EU-24 | Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) No 575/2013 | n.a |
The reduction in the leverage ratio in comparison to 31 December 2019 is due to the reduction in own funds. As of the end of 2019, the leverage ratio of VP Bank was 7.0 per cent. As at 30 June 2020 there is no regulatory minimum in place in Liechtenstein.
12 | Leverage· Disclosure report as of June 2020 |
Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
in CHF 1,000 | 30.06.2020 |
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures) | 13,639,979 |
of which Trading book exposures | 394 |
Banking book exposures | 13,639,585 |
of which Covered bonds | 490,449 |
Exposures treated as sovereigns | 3,407,359 |
Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 235,272 |
Institutions | 2,049,915 |
Secured by mortgages of immovable properties | 2,891,163 |
Retail exposures | 1,066,191 |
Corporate | 3,006,182 |
Exposures in default | 115,131 |
Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 377,923 |
Summary reconciliation of accounting assets and leverage ratio exposures
in CHF 1,000 | 30.06.2020 |
Total assets as per published financial statements | 13,610,979 |
Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | 0 |
Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded | |
from the leverage ratio total exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013 | 0 |
Adjustments for derivative financial instruments | 95,640 |
Adjustment for securities financing transactions (SFTs) | 0 |
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 139,686 |
Adjustment for intragroup exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(7) of | |
Regulation (EU) No 575/2013 | 0 |
Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(14) of | |
Regulation (EU) No 575/2013 | 0 |
Other adjustments | -4,887 |
Leverage ratio total exposure measure | 13,841,418 |
Risk of excessive indebtedness
In order to prevent excessive debt, VP Bank has defined a minimum level for the leverage ratio, and monitors adherence at least quarterly.
Disclosure report as of June 2020 · Leverage | 13 |
Liquidity risks
VP Bank has implemented a process, the Internal Liquidity Adequacy Assessment Process (ILAAP), to ensure risk- adequate liquidity. The ILAAP approach involves two complementary perspectives: the normative perspective is based on ensuring the continuous fulfilment of all legal and internal requirements, while the economic perspective ensures the institution's ability to survive.
Liquidity risk includes insolvency/maturity, refinancing, market liquidity, withdrawal and step-in risk. Liquidity risk includes, for example, the risk of current and future payment obligations not being able to be refinanced in full or on time, in the right currency or at the standard
market conditions, as well as cases where, due to insuf ficient market liquidity, it is not possible to liquidate
or collateralisehigh-risk items on time or to the extent necessary and on reasonable terms.
Liquidity risks - taking account of statutory liquidity standards and regulations - are monitored and controlled using internal criteria and limits for the interbank and lending activities. Liquidity management at VP Bank Group is performed centrally at head office in Liechtenstein.
Safeguarding liquidity within VP Bank Group at all times has absolute priority. This is ensured with a substantial holding of liquid assets and investments with high liquidity (high quality liquid assets / HQLA), which also represents the main source of liquidity. Around two thirds of the HQLA are held at central banks.
If necessary, VP Bank can access the Eurex repo market to procure covered liquidity at short notice.
Within the context of the national implementation of Basel III, the liquidity coverage ratio (LCR) has been reported to the Liechtenstein Financial Market Authority (FMA) since 2015. In terms of liquidity, a liquidity coverage requirement for a liquidity coverage ratio (LCR) of at least 100 per cent has been in place since 1 January 2018. With an LCR of 176.7per cent, VP Bank had a comfortable liquidity situation at the end of June 2020.
The LCR is actively managed and monitored in all significant currencies (main currencies: CHF, EUR and USD).
Continuous checks are carried out to ensure that liquid assets which do not qualify as liquid assets in a third
country are not factored into the LCR calculation at Group level either.
Short-term client deposits play a significant role in the Bank's refinancing with only a minor dependency on the capital markets.
Derivative transactions which might involve potential collateral requirements consist primarily of interest-rate swaps and currency swaps - the potential collateral requirements are small.
With the help of regular stress tests, the impact of extra ordinary (although plausible) events on liquidity is analy- sed. This enables VP Bank to take countermeasures during good times and set limits, where necessary.
A liquidity emergency plan is designed to ensure that
VP Bank continues to have sufficient liquidity, even in cases of bank-specific or market-triggered liquidity crises as well as combinations thereof. For this purpose, suitable early warning indicators are identified and regularly monitored. Possible measures are set out in the emergency liquidity plan.
Despite the fact that the net stable funding ratio will only be mandatory in future, VP Bank regularly monitors the net stable funding ratio.
Declaration of the Board of Directors
The Board of Directors bears overall responsibility for
liquidity management that is appropriate for the profile and strategy of VP Bank.
Safeguarding liquidity within VP Bank Group at all times has absolute priority. This is ensured with a substantial holding of liquid assets and investments with high liquidity (HQLA).
Key performance indicators in VP Bank's liquidity management include the LCR, the net stable funding ratio (NSFR), the liquidity reserve and distance to liquidity. To bring the liquidity risk profile into line with the defined risk tole- rance, the Bank sets itself minimum requirements that are above the statutory minimum in each case. As at 30 June 2020, the LCR was 176.7 per cent, the NSFR was in excess of 100 per cent. VP Bank complied with the liquidity coverage ratio (LCR) requirements at all times during the first half of 2020 despite COVID-19.
Liquidity Coverage Ratio
in CHF 1,000 | Weighted value | |||
(average) | ||||
Quarter ending | 30.09.2019 | 31.12.2019 | 31.03.2020 | 30.06.2020 |
Number of data points used | 12 | 12 | 12 | 12 |
Liquidity buffer | 4,909,202 | 4,956,298 | 4,903,367 | 4,804,585 |
Total net cash outflow | 3,248,424 | 3,071,129 | 2,704,382 | 2,414,806 |
Liqudity Coverage Ratio (LCR) | 154.84% | 167.50% | 186.64% | 201.16% |
14 | Liquidity risks· Disclosure report as of June 2020 |
Credit risk adjustments
The following tables «Credit quality of forborne exposures (template 1)», «Credit quality of performing and non-performing exposures by past due days (template 3)», «Performing and non-performing exposures and related provisions (tem- plate 4)» «Quality of non-performing exposures by geography (template 5)» and «Credit quality of loans and advances by industry (template 6)» must be disclosed in accordance with Directive (EBA/GL/2018/10) on the disclosure of non-performing and deferred risk positions. This Directive is applicable in Liechtenstein for the first time as of 31 December 2019.
The forbone exposures were created in connection with the COVID-19 crisis.
Credit quality of forborne exposures (template 1)
in CHF 1,000 | Gross carrying amount/nominal amount of exposures | Accumulated impairment1 | Collateral received2 | |||||
with forbearance measures | ||||||||
Performing | Non-performing forborne | On performing | On | Total | for | |||
forborne | forborne | nonperfor- | nonperfor- | |||||
exposures | ming | ming | ||||||
forborne | exposures3 | |||||||
exposure | ||||||||
Total | Of which | Of which | ||||||
defaulted | impaired | |||||||
Loans and advances | 154,286 | 1,580 | 1,580 | 1,580 | 29 | 340 | 151,658 | 1,580 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Credit institutions | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Other financial corporations | 10,247 | 0 | 0 | 0 | 0 | 0 | 10,247 | 0 |
Non-financial corporations | 133,159 | 0 | 0 | 0 | 28 | 0 | 130,536 | 0 |
Household | 10,880 | 1,580 | 1,580 | 1,580 | 1 | 340 | 10,875 | 1,580 |
Debt securities | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Loan commitments given | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Total | 154,286 | 1,580 | 1,580 | 1,580 | 29 | 340 | 151,658 | 1,580 |
- Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions.
- Collateral received and financial guarantees received on forborne exposures.
- Of which collateral and financial guarantees received on nonperforming exposures with forbearance measures.
Credit quality of performing and non-performing exposures by past due days (template 3)
in CHF 1,000 | Gross carrying amount/nominal amount | ||
Performing exposures | |||
Not past due or | Past due | ||
Total | past due ≤ 30 days | > 30 days ≤ 90 days | |
Loans and advances | 10,570,373 | 10,570,250 | 123 |
Central banks | 2,749,199 | 2,749,199 | 0 |
General governments | 568 | 568 | 0 |
Credit institutions | 1,823,486 | 1,823,486 | 0 |
Other financial corporations | 1,492,551 | 1,492,461 | 90 |
Non-financial corporations | 1,346,298 | 1,346,297 | 1 |
Households | 3,158,272 | 3,158,240 | 32 |
Debt securities | 2,570,910 | 2,570,910 | 0 |
Central banks | 6,789 | 6,789 | 0 |
General governments | 806,277 | 806,277 | 0 |
Credit institutions | 669,685 | 669,685 | 0 |
Other financial corporations | 49,013 | 49,013 | 0 |
Non-financial corporations | 1,039,146 | 1,039,146 | 0 |
Off-balance-sheet exposures | 583,219 | ||
Central banks | 0 | n.a. | n.a. |
General governments | 53 | n.a. | n.a. |
Credit institutions | 3,827 | n.a. | n.a. |
Other financial corporations | 238,564 | n.a. | n.a. |
Non-financial corporations | 140,338 | n.a. | n.a. |
Households | 200,437 | n.a. | n.a. |
Total | 13,724,502 | 13,141,160 | 123 |
Disclosure report as of June 2020 · Credit risk adjustments | 15 |
Template 3 (continued)
in CHF 1,000 | Non-performing exposures | ||||||||
Past due | Past due | Past due | Past due | Past due | |||||
past due | > 90 days | > 180 days | > 1 year | > 2 years | > 5 years | Past due | Of which | ||
Total | ≤ 90 days1 | ≤ 180 days | ≤ 1 year | ≤ 2 years | ≤ 5 year | ≤ 7 years | > 7 years | defaulted | |
Loans and advances | 113,502 | 48,483 | 41,885 | 2,006 | 4,020 | 11,037 | 0 | 6,071 | 113,502 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Credit institutions | 6,245 | 6,245 | 0 | 0 | 0 | 0 | 0 | 0 | 6,245 |
Other financial corporations | 69,923 | 26,758 | 37,094 | 0 | 0 | 0 | 0 | 6,071 | 69,923 |
Non-financial corporations | 11,081 | 6,125 | 216 | 2,006 | 0 | 2,734 | 0 | 0 | 11,081 |
Households | 26,253 | 9,355 | 4,575 | 0 | 4,020 | 8,303 | 0 | 0 | 26,253 |
Debt securities | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Credit institutions | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Other financial corporations | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Non-financial corporations | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Off-balance-sheet exposures | 0 | 0 | |||||||
Total | 113,502 | 48,483 | 41,885 | 2,006 | 4,020 | 11,037 | 0 | 6,071 | 113,502 |
1 Unlikely to pay that are not past due or are past due ≤ 90 days
Performing and non-performing exposures and related provisions (template 4)
in CHF 1,000 | Gross carrying amount/nominal amount | |||||
Performing exposures | Non-performing exposures | |||||
Total | Of which stage 1 | Of which stage 2 | Total | Of which stage 2 | Of which stage 3 | |
Loans and advances | 10,570,373 | 10,463,276 | 107,098 | 113,502 | 0 | 113,502 |
Central banks | 2,749,199 | 2,749,199 | 0 | 0 | 0 | 0 |
General governments | 568 | 568 | 0 | 0 | 0 | 0 |
Credit institutions | 1,823,486 | 1,822,323 | 1,163 | 6,245 | 0 | 6,245 |
Other financial corporations | 1,492,551 | 1,456,250 | 36,301 | 69,923 | 0 | 69,923 |
Non-financial corporations | 1,346,298 | 1,320,027 | 26,271 | 11,081 | 0 | 11,081 |
Households | 3,158,272 | 3,114,910 | 43,362 | 26,253 | 0 | 26,253 |
Debt securities | 2,570,910 | 2,552,062 | 18,848 | 0 | 0 | 0 |
Central banks | 6,789 | 6,789 | 0 | 0 | 0 | 0 |
General governments | 806,277 | 806,277 | 0 | 0 | 0 | 0 |
Credit institutions | 669,685 | 669,685 | 0 | 0 | 0 | 0 |
Other financial corporations | 49,013 | 44,951 | 4,062 | 0 | 0 | 0 |
Non-financial corporations | 1,039,146 | 1,024,360 | 14,786 | 0 | 0 | 0 |
Off-balance-sheet exposures | 583,219 | 583,219 | 0 | 0 | 0 | 0 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 53 | 53 | 0 | 0 | 0 | 0 |
Credit institutions | 3,827 | 3,827 | 0 | 0 | 0 | 0 |
Other financial corporations | 238,564 | 238,564 | 0 | 0 | 0 | 0 |
Non-financial corporations | 140,338 | 140,338 | 0 | 0 | 0 | 0 |
Households | 200,437 | 200,437 | 0 | 0 | 0 | 0 |
Total | 13,724,502 | 13,598,557 | 125,945 | 113,502 | 0 | 113,502 |
16 | Credit risk adjustments· Disclosure report as of June 2020 |
Template 4 (continued)
in CHF 1,000 | Accumulated impairment, accumulated negative | Accumula- Collateral and financial | |||||||
changes in fair value due to credit risk and | ted partial | guarantees received | |||||||
provisions | write-off | ||||||||
Performing exposures1 | Non-performing exposures2 | ||||||||
Of which | Of which | Of which | Of which | per- | non-per- | ||||
Total | stage 1 | stage 2 | Total | stage 2 | stage 3 | forming | forming | ||
Loans and advances | 2,615 | 2,141 | 474 | 50,996 | 0 | 50,996 | 0 | 5,569,545 | 29,215 |
Central banks | 131 | 131 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Credit institutions | 80 | 79 | 1 | 6,245 | 0 | 6,245 | 0 | 0 | 0 |
Other financial corporations | 1,160 | 1,138 | 22 | 31,049 | 0 | 31,049 | 0 | 1,129,785 | 0 |
Non-financial corporations | 653 | 502 | 151 | 2,451 | 0 | 2,451 | 0 | 1,384,941 | 22,874 |
Households | 592 | 291 | 301 | 11,251 | 0 | 11,251 | 0 | 3,054,819 | 6,341 |
Debt securities | 1,691 | 1,340 | 351 | 0 | 0 | 0 | 0 | 478,830 | 0 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
General governments | 388 | 388 | 0 | 0 | 0 | 0 | 0 | 19,775 | 0 |
Credit institutions | 342 | 342 | 0 | 0 | 0 | 0 | 0 | 453,938 | 0 |
Other financial corporations | 87 | 24 | 63 | 0 | 0 | 0 | 0 | 5,118 | 0 |
Non-financial corporations | 873 | 585 | 288 | 0 | 0 | 0 | 0 | 0 | 0 |
Off-balance-sheet exposures | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 474,370 | 617 |
Central banks | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 0 | 0 |
General governments | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 26 | 0 |
Credit institutions | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 0 | 0 |
Other financial corporations | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 162,086 | 0 |
Non-financial corporations | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 137,379 | 0 |
Households | 0 | 0 | 0 | 0 | 0 | 0 | n.a. | 174,879 | 617 |
Total | 4,306 | 3,481 | 825 | 50,996 | 0 | 50,996 | 0 | 6,522,745 | 29,832 |
- Performing exposures - accumulated impairment and provisions.
- Non-performingexposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions .
Collateral obtained by taking possession and execution processes (template 9)
At the reporting date VP Bank does not hold any collateral due to taking possession and execution processes. The disclosure of this table can be waived as there are no positions as of 30 June 2020.
Disclosure report as of June 2020 · Credit risk adjustments | 17 |
VP Bank Group
VP Bank Ltd is a bank domiciled in Liechtenstein and is subject to supervision by the Financial Market Authority (FMA) Liechtenstein, Landstrasse 109, 9490 Vaduz, Liechtenstein, www.fma-li.li
VP Bank Ltd | Aeulestrasse 6 · 9490 Vaduz · Liechtenstein |
T +423 235 66 55 · F +423 235 65 00 | |
info@vpbank.com · www.vpbank.com | |
VAT No. 51.263 · Reg. No. FL-0001.007.080-0 | |
VP Bank (Switzerland) Ltd | Talstrasse 59 · 8001 Zurich · Switzerland |
T +41 44 226 24 24 · F +41 44 226 25 24 · info.ch@vpbank.com | |
VP Bank (Luxembourg) SA | 2, rue Edward Steichen · L-2540 Luxembourg |
T +352 404 770-1 · F +352 481 117 · info.lu@vpbank.com | |
VP Bank (BVI) Ltd | VP Bank House · 156 Main Street · PO Box 2341 |
Road Town · Tortola VG1110 · British Virgin Islands | |
T +1 284 494 11 00 · F +1 284 494 11 44 · info.bvi@vpbank.com | |
VP Bank Ltd Singapore Branch | 8 Marina View · #27-03 Asia Square Tower 1 |
Singapore 018960 · Singapore | |
T +65 6305 0050 · F +65 6305 0051 · info.sg@vpbank.com | |
VP Wealth Management (Hong Kong) Ltd | 33/F · Suite 3305 · Two Exchange Square |
8 Connaught Place · Central · Hong Kong | |
T +852 3628 99 00 · F +852 3628 99 11 · info.hkwm@vpbank.com | |
VP Bank Ltd | 33/F · Suite 3305 · Two Exchange Square |
Hong Kong Representative Office | 8 Connaught Place · Central · Hong Kong |
T +852 3628 99 99 · F +852 3628 99 11 · info.hk@vpbank.com | |
VP Fund Solutions (Luxembourg) SA | 2, rue Edward Steichen · L-2540 Luxembourg |
T +352 404 770-297 · F +352 404 770-283 | |
fundclients-lux@vpbank.com · www.vpfundsolutions.com | |
VP Fund Solutions (Liechtenstein) AG | Aeulestrasse 6 · 9490 Vaduz · Liechtenstein |
T +423 235 67 67 · F +423 235 67 77 | |
vpfundsolutions@vpbank.com · www.vpfundsolutions.com | |
18 | VP Bank Group· Disclosure report as of June 2020 |
Imprint
This disclosure report has been produced with the greatest possible care and all data have been closely examined.
Rounding, typeset or printing errors, however, cannot be ruled out.
Media & Investor Relations
VP Bank Ltd
Rudolf Seuhs · Senior Corporate Communications Manager Aeulestrasse 6 · 9490 Vaduz · Liechtenstein
T +423 235 65 22 · F +423 235 66 20 investor.relations@vpbank.com · www.vpbank.com
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VP Bank AG published this content on 01 September 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 24 September 2020 14:34:03 UTC