Counterparty credit risk
CCRA: General qualitative information
For further information on counterparty credit risk management, please refer to Section 3 ‘Risk management’ of the consolidated notes to the 2025 Annual Report.
LUKB currently has no securitisation exposures. The related disclosure requirements therefore do not apply.
CCR3: Standardised approach – exposures by asset classes and risk weights
a | b | c | d | e | f | g | h | |||||||||||
Amounts in millions Swiss francs Asset class / risk weight | 0 % 10 % 15 % | 20 % 25 % | 30 % 35 % | 40 % 45 % 50 % | 60 % 75 % 80 % 85 % | 90 % 100 % | 130 % 150 % | Total credit exposure | ||||||||||
1 | Central governments, central banks and supranational organisations | 12.9 | 3.2 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 16.2 | |||||||||
2 | Public-sector entities | 3.0 | 271.4 | 0.0 | 115.4 | 0.0 | 0.0 | 0.0 | 389.8 | |||||||||
3 | Multilateral development banks | 53.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 53.8 | |||||||||
4 | Banks | 0.0 | 244.2 | 49.1 | 0.4 | 12.4 | 0.0 | 0.0 | 306.0 | |||||||||
of which: account-holding investment without a banking licence, but with equivalent regulation and supervision | 0.0 | 4.0 | 1.5 | 0.4 | 0.0 | 0.0 | 0.0 | 5.9 | ||||||||||
5 | Corporates | 0.0 | 112.2 | 0.0 | 10.6 | 58.4 | 1.4 | 0.0 | 182.7 | |||||||||
of which: non-account-holding investment firms and other financial institutions not included in row 4 | 0.0 | 90.7 | 0.0 | 5.7 | 7.0 | 0.0 | 0.0 | 103.3 | ||||||||||
6 | Retail exposures | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.0 | 0.0 | 6.0 | |||||||||
7 | Other exposures1) | 1,806.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1,806.9 | |||||||||
8 | Total | 1,876.7 | 630.9 | 49.1 | 126.4 | 70.9 | 7.5 | 0.0 | 2,761.5 |
1)Other exposures consist of Swiss Pfandbriefe in securities financing transactions.
CCR5: Composition of collateral for CCR exposure
a | b | c | d | e | f | |||||||
Collateral used in derivative transactions | Collateral used in SFT | |||||||||||
Fair value of collateral received | Fair value of posted collateral | |||||||||||
Amounts in millions Swiss francs | Segregated | Unsegregated | Segregated | Unsegregated | Fair value of collateral received | Fair value of posted collateral | ||||||
Cash – CHF | 0.0 | 1,966.6 | 0.0 | 72.1 | 2,434.0 | 0.0 | ||||||
Cash – other currencies | 0.0 | 289.5 | 0.0 | 201.0 | 137.9 | 0.0 | ||||||
Swiss Confederation sovereign debt | 0.0 | 21.0 | 0.0 | 0.0 | 0.0 | 3.1 | ||||||
Other sovereign debt | 0.0 | 456.1 | 0.0 | 0.0 | 11.5 | 8.3 | ||||||
Government agency debt | 0.0 | 96.5 | 0.0 | 0.0 | 3.2 | 468.7 | ||||||
Corporate bonds | 0.0 | 1,733.7 | 0.0 | 0.0 | 46.4 | 2,181.1 | ||||||
Equity securities | 0.0 | 7,745.4 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||
Other collateral | 0.0 | 2,077.6 | 0.0 | 0.0 | 0.0 | 0.0 | ||||||
Total | 0.0 | 14,386.5 | 0.0 | 273.1 | 2,633.1 | 2,661.3 | ||||||
CCR6: Credit derivatives exposures
a | a | |||
Amounts in millions Swiss francs | Bought protection | Sold protection | ||
Notional value | ||||
Single-Name Credit Default Swaps (CDS) | 14.0 | – | ||
Index-CDS | 22.8 | 0.2 | ||
Total Notional values | 36.7 | 0.2 | ||
Fair Values | ||||
Positive replacement values | 0.1 | 0.0 | ||
Negative replacement values | 1.2 | – |
The table on credit derivative exposures is published for the first time on 31 December 2025, as LUKB started using such products during the course of the 2025. Consequently, no significant changes during the reporting period or the reasons for such changes in accordance with DisO Section 42.1.2.1 are explained.
CCR8: Exposures to central counterparties
a | b | |||||
Amounts in 1 000 Swiss francs | EAD post-CRM1) | RWA | ||||
1 | Exposures to QCCP:2) total | – | 97.1 | |||
2 | Exposures for trades at QCCP excluding initial margin and default fund contributions | 4,857.4 | 97.1 | |||
3 | of which over-the-counter (OTC) derivatives | 4,857.4 | 97.1 | |||
4 | of which exchange-traded derivatives | 0.0 | 0.0 | |||
5 | of which securities financing transactions (SFTs) | 0.0 | 0.0 | |||
6 | of which netting sets, where cross-product netting has been approved | 0.0 | 0.0 | |||
7 | Segregated3) initial margin4) | 0.0 | – | |||
8 | Non-segregated initial margin | 85,662.8 | 1,713.3 | |||
9 | Pre-funded default fund contributions | 0.0 | 0.0 | |||
10 | Unfunded default fund contributions | 0.0 | 0.0 | |||
11 | Exposures to non-QCCP: total | – | 0.0 |
1)Relevant amount for calculating the minimum capital requirement after taking into account risk mitigation techniques, value adjustments due to counterparty credit risk (credit valuation adjustments) and adjustments for specific wrong-way risk
2)A qualifying central counterparty is a company that is authorised to act as a central counterparty by the competent supervisory authority.
3)‘Segregated‘ means that the collateral is held in such a way that it does not fall into a bankruptcy estate (bankruptcy-remote).
4)‘Initial Margin‘ means that a clearing member or client has provided collateral to the CCP in order to reduce the CCP's future exposure. In the case of this table, the initial margin does not include the contributions to a CCP made in advance to distribute losses (default fund).
The volume cleared via qualified central counterparties was increased significantly compared with the previous year.