Valiant : Disclosures of capital adequacy and liquidity 30 june 2022

3

Disclosures of capital adequacy and liquidity

30 June 2022 / Valiant Holding AG

a

c

e

Eligible capital (in CHF thousands)

T

T-1

T-2

1

Common Equity Tier1 capital (CET1)

2,311,534

2,303,219

2,271,976

2

Tier1 capital

2,311,534

2,303,219

2,271,976

3

Total capital

2,313,750

2,307,811

2,276,322

Risk-weighted assets (RWA) (in CHF thousands)

4

RWA

14,660,876

14,408,311

14,440,838

4a

Minimum equity

1,172,870

1,152,665

1,155,267

Risk-based capital ratios (as a % of RWA)

5

CET1 ratio

15.77­

15.99­

15.73­

6

Core capital ratio

15.77­

15.99­

15.73­

7

Total capital ratio

15.78­

16.02­

15.76­

CET1 buffer requirements (as a % of RWA)

8

Capital buffer in accordance with the Basel minimum requirements (2.5 % from 2019)

2.50­

2.50­

2.50­

9

Countercyclical buffer (Art. 44a CAO) in accordance with the Basel minimum requirements

0.00­

0.00­

0.00­

11

Overall buffer in accordance with the Basel minimum CET1 requirements

2.50­

2.50­

2.50­

12

CET1 available after meeting the Basel minimum requirements (after deduction of CET1 to cover

the minimum requirements and, where necessary, to cover the TLAC requirements)

7.78­

8.02­

7.76­

Target capital ratios in accordance with Annex 8 of CAO (as a % of RWA)

12a

Capital buffer in accordance with Annex 8 of CAO

4.00­

4.00­

4.00­

12b

Countercyclical buffer (Art. 44 and 44a CAO)

0.00­

0.00­

0.00­

CET1 minimum requirement in accordance with Annex 8 of CAO plus the countercyclical capital

12c

buffer in accordance with Art. 44 and 44a CAO

7.80­

7.80­

7.80­

T1 minimum requirement in accordance with Annex 8 of CAO plus the countercyclical capital buffer

12d

in accordance with Art. 44 and 44a CAO

9.60­

9.60­

9.60­

12e

Total capital minimum requirement in accordance with Annex 8 of CAO plus

the countercyclical capital buffer in accordance with Art. 44 and 44a CAO

12.00­

12.00­

12.00­

Basel III leverage ratio

13

Total exposure (in CHF thousands)

38,663,383

37,861,935

37,792,071

14

Basel III leverage ratio (core capital as a % of the total exposure)

5.98­

6.08­

6.01­

T = Half year

a

b

c

d

e

Liquidity coverage ratio (LCR)

T

T-1

T-2

T-3

T-4

15

LCR numerator: total high-quality liquid assets

(in CHF thousands)

7,654,379

7,713,206

7,722,898

7,945,253

7,415,341

16

LCR denominator: total net cash outflow (in CHF thousands)

5,327,935

5,090,309

5,093,739

4,929,390

4,746,760

17

Liquidity coverage ratio (LCR) (as a %)

144­

152­

152­

161­

156­

T = Quarter琀

a

c

e

Net stable funding ratio (NSFR)

T

T-1

T-2

18

Available stable funding (in CHF thousands)

27,790,877

27,575,196

n.a.

19

Required stable funding (in CHF thousands)

23,764,763

23,091,259

n.a.

20

Net stable funding ratio (NSFR) (as a %)

117­

119­

n.a.

T = Half year

4

Disclosures of capital adequacy and liquidity

30 June 2022 / Valiant Holding AG

a

b

c

RWA

Minimum capital

RWA

requirements

30/06/2022

30/06/2022

Required group equity

31/12/2021

in CHF thousands

in CHF thousands

in CHF thousands

1

Credit risk (excluding CCR - counterparty credit risk)

13,600,371

13,379,538

1,088,030

2

of which standardised approach (SA)

13,600,371

13,379,538

1,088,030

6

Counterparty credit risk

89,373

92,132

7,150

7

of which standardised approach (SA-CCR)

64,896

76,832

5,192

7b

of which determined using the market value method

24,477

15,300

1,958

10

Value adjustment risk of derivatives (CVA)

46,122

34,975

3,690

20

Market risk

39,679

43,378

3,174

21

of which standardised approach

39,679

43,378

3,174

24

Operational risk

862,128

835,428

68,970

25

Amounts below the thresholds for deduction (subject to 250 % risk weight)

23,203

22,860

1,856

27

Minimum capital requirements

14,660,876

14,408,311

1,172,870

Monthly average Q11

Monthly average Q21

Unweighted values

Weighted values in

Unweighted values

Weighted values

in CHF thousands

CHF thousands

in CHF thousands

in CHF thousands

1 Sum of all eligible HQLAs

7,713,206

7,654,379

B.

Outflows

2

Retail deposits and deposits from small business customers

14,211,348

1,203,825

14,481,838

1,233,321

3

of which stable deposits

5,117,103

255,855

5,119,997

256,000

4

of which less stable deposits

9,094,245

947,970

9,361,841

977,321

not collateralised

4,569,060

3,487,409

4,948,909

3,788,229

6

of which operational deposits

7

of which non-operational deposits

4,567,096

3,485,445

4,948,365

3,787,685

8

of which unsecured debt including all notes, bonds and other debt securities

1,964

1,964

544

544

9

Secured wholesale funding, defined as all collateralised liabilities

and general obligations

10

Additional requirements

1,004,660

706,038

1,164,713

849,895

11

of which outflows related to derivative exposures and other collateral requirements

575,201

575,201

706,173

706,173

12

of which outflows of central mortgage institution loans

42,800

42,800

54,833

54,833

13

of which credit and liquidity facilities, including drawdowns on committed or

conditionally revocable credit and liquidity facilities

386,659

88,036

403,707

88,889

14

Other contractual funding obligations to extend funds

208,488

208,488

178,292

178,292

15

Other contingent funding obligations

2,923,814

7,056

2,927,339

7,026

16

Total cash outflows

5,612,815

6,056,762

C.

Inflows

17

Secured lending

18

Inflows from fully performing exposures

224,477

15,487

315,773

33,282

19

Other cash inflows

507,018

507,018

695,545

695,545

20

Total cash inflows

522,505

728,827

21

Total HQLAs

7,713,206

7,654,379

22

Total net cash outflows

5,090,309

5,327,935

23

LCR (as %)

152­

144­