CA Indosuez (Switzerland) SA - 2018 Annual Report

47

Activity report 2018

Disclosure relating to the liquidity and capital requirements established by FINMA in its 2016/1 circular (in millions of CHF)

FY 2018 FY 2017

Eligible capital (CHF) of which CET1 (CHF)

1,551.7

1,562.9

of which T1 (CHF)

1,551.7

1,562.9

Eligible capital (total)

1,868.2

1,920.4

Risk-weighted assets (RWA) (CHF) RWA

10,047.7

11,027.0

Minimum capital requirements

803.8

882.2

Risk-Based Capital Ratios (as a % of RWA) CET1 Ratio (%)

15.4% 14.2%

Tier 1 capital ratio (%)

15.4% 14.2%

Total capital ratio (%)

18.6% 17.4%

Mandatory CET1 Capital Conservation Buffer (as a % of RWA) Capital buffer requirements according to the minimum Basel standard

1.9% 1.3%

All capital buffer requirements according to the minimum Basel standard,

1.9% 1.3%

as a component of CET1 (%) Available CET1 to cover capital conservation buffer requirements according to the minimum Basel standard Target capital ratios pursuant to Annex 8 of the Capital Adequacy Ordinance (CAO) (as a % of RWA) Capital buffer requirements pursuant to Annex 8 of the CAO (%)

9.4% 8.2%

7.5% 7.5%

Countercyclical capital buffer (pursuant to Art. 44 of the CAO) (%)

0.0% 0.0%

Target CET1 ratio (in %) pursuant to Annex 8 of the CAO, plus countercyclical capital buffer

7.8% 7.8%

Target T1 ratio (in %) pursuant to Annex 8 of the CAO, plus countercyclical capital buffer

9.6% 9.6%

Target total capital ratio (in %) pursuant to Annex 8 of the CAO, plus

12.0% 12.0%

countercyclical capital buffer Basel III leverage ratio Total exposure (CHF)

19,949.5

21,134.5

Basel III leverage ratio (Tier 1 capital as a % of total exposure)

7.8% 7.4%

Liquidity Coverage Ratio (LCR) Q4 short-term liquidity coverage ratio (LCR) (%) Numerator of LCR: sum of high-quality liquid assets (CHF)

2,896.8

3,223.4

Denominator of LCR: net sum of cash outflows (CHF)

1,650.9

2,093.2

Liquidity Coverage Ratio, LCR (in %)

175% 154%

Q3 short-term liquidity coverage ratio (LCR) (%) Numerator of LCR: sum of high-quality liquid assets (CHF)

3,075.3

3,207.0

Denominator of LCR: net sum of cash outflows (CHF)

2,024.0

2,152.4

Liquidity Coverage Ratio, LCR (in %)

152% 149%

Q2 short-term liquidity coverage ratio (LCR) (%) Numerator of LCR: sum of high-quality liquid assets (CHF)

2,913.7

3,673.2

Denominator of LCR: net sum of cash outflows (CHF)

2,059.0

1,660.6

Liquidity Coverage Ratio, LCR (in %)

142% 221%

Q1 short-term liquidity coverage ratio (LCR) (%) Numerator of LCR: sum of high-quality liquid assets (CHF)

2,731.4

4,106.1

Denominator of LCR: net sum of cash outflows (CHF)

2,126.3

1,973.7

Liquidity Coverage Ratio, LCR (in %)

128% 208%

Net Stable Funding Ratio (NSFR) Available stable funding (in CHF)

8,806.7

9,833.7

Required stable funding (in CHF)

7,732.3

8,090.8

Net Stable Funding Ratio (NSFR) (in %)

114% 122%