Imprint
3 | Index |
4 | Introduction |
6 | Key metrics (Articles 438, 447 CRR) |
9 | Corporate governance |
13 | Risk management objectives and policies (Article 435 CRR) |
17 | Scope of application (Article 436 CRR) |
20 | Own funds (Article 437 CRR) |
27 | Own funds requirements (Article 438 CRR) |
29 | Exposure to counterparty credit risk (Article 439 CRR) |
32 | Capital buffers (Article 440 CRR) |
34 | Credit risk and dilution risk (Article 442 CRR) |
43 | Encumbered and unencumbered assets (Article 443 CRR) |
45 | Use of the Standardised Approach (Article 444 CRR) |
47 | Exposure to market risk (Article 445 CRR) |
48 | Operational risk (Article 446 CRR) |
49 | Exposure to interest rate risk on positions not held in the trading book (Article 448 CRR) |
51 | Remuneration policy (Article 450 CRR) |
60 | Leverage ratio (Article 451 CRR) |
63 | Liquidity requirements (Article 451a CRR) |
70 | Use of credit risk mitigation techniques (Article 453 CRR) |
Article CRR | Topic | Disclosure document |
435 | Risk management objectives and policies | Disclosure Report p. 13 ff., Annual Report p. 122 ff. |
436 | Scope of application | Disclosure Report p. 17 ff., Annual Report p. 176 ff. |
437 | Own funds | Disclosure Report p. 20 ff., Annual Report p. 130 ff. |
438 | Own funds requirements | Disclosure Report p. 27, Annual Report p. 130 ff. |
439 | Exposure to counterparty credit risk | Disclosure Report p. 29 ff., Annual Report p. 157 ff. |
440 | Capital buffers | Disclosure Report p. 32 ff., Annual Report p. 131 ff. |
441 | Indicators of global systemic importance | Not applicable |
442 | Credit risk and dilution risk | Disclosure Report p. 34 ff., Annual Report p. 134 ff. |
443 | Encumbered and unencumbered assets | Disclosure Report p. 43 ff. |
444 | Use of the Standardised Approach | Disclosure Report p. 45 |
445 | Exposure to market risk | Disclosure Report p. 47, Annual Report p. 131 ff. |
446 | Operational risk | Disclosure Report p. 48, Annual Report p. 143 ff. |
447 | Key metrics | Disclosure Report p. 6 |
448 | Exposure to interest rate risk on positions not held in the trading book | Disclosure Report p. 49, Annual Report p. 131 ff. |
449 | Exposure to securitisation positions | Not applicable |
449a | ESG risks | Not applicable |
450 | Remuneration policy | Disclosure Report p. 51, Annual Report p. 92 ff. |
451 | Leverage ratio | Disclosure Report p. 60 ff. |
451a | Liquidity requirements | Disclosure Report p. 63 ff. |
452 | Use of the IRB Approach to credit risk | Not applicable |
453 | Use of credit risk mitigation techniques | Disclosure Report p. 70 ff., Annual Report p. 112 ff. |
454 | Use of the Advanced Measurement Approaches to operational risk | Not applicable |
455 | Use of Internal Market Risk Models | Not applicable |
VP Bank is an internationally active private bank and one of the largest banks in Liechtenstein. It is therefore classified by the Financial Market Authority (FMA) in Liechtenstein as a locally systemically relevant institution. It has offices in Vaduz, Zurich, Luxembourg, Tortola / British Virgin Islands and Singapore.
Since its foundation in the year 1956, VP Bank has focused on asset management and investment consultancy for private individuals and financial intermediaries. As of 31 December 2024, 1,024 employees manage client assets of CHF 50.7 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 disclosureThe 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, in conjunction with Regulation (EU) 2019/876 (CRR II) Part 8 Articles 431 to 455 of the European Parliament and of the Council of 20 May 2019, amending Regulation (EU) No. 575/2013, which entered into force in Liechtenstein as of 1 May 2022. The disclosure requirements are supplemented by Commission Implementing Regulation (EU) 2021/637 of 15 March 2021, laying down implementing technical standards and Directive (EU) 2019/879 (BRRD II) Article 45i(3)(a,c) amending Directive (EU) 2014/59 as regards the loss-absorbing and recapitalisation capacity of credit institutions and investment firm, which came into force in Liechtenstein on 1 May 2023.
The Disclosure Report provides a comprehensive overview of the bank's capital and liquidity adequacy, its risk profile and risk management.
Content and scope of application of the disclosureThe Disclosure Report contains all qualitative and quantitative information specified in Part 8 Section II CRR that has not already been published in the Annual Report of VP Bank. The exemption rules set out under Article 432 CRR for immaterial or confidential information as well as business secrets have not been applied. The dark shaded fields in the templates indicate that the information is not required or applicable and therefore does not need to be completed.
VP Bank Ltd with registered domicile in Vaduz, Liechtenstein, is the parent company of VP Bank Group and fulfils the disclosure requirements pursuant to Article 13(1) CRR on a consolidated level. The basis for this is the prudential scope of consolidation pursuant to Articles 18 to 24 CRR. For this reason, all information in the Disclosure Report relate to VP Bank Group.
Frequency and means of disclosureA comprehensive Disclosure Report is drawn up annually and published as a separate document on the VP Bank homepage (https://www.vpbank.com). Supplementary information is provided in the annual report. A supplementary Disclosure Report is issued semi-annually to a reduced extent in accordance with Article 433a(2) in conjunction with Article 4(1)(146,148) CRR and is also published on the VP Bank website.
Preparation and assessment of the disclosureVP Bank has implemented a process for preparing the Disclosure Report, and has defined the tasks and responsibilities in writing. Within this context, the content and frequency of the disclosure is regularly reviewed in order to ascertain that this is reasonable and compliant to regulatory requirements. This Disclosure Report is not subject to any review by statutory banking auditors. The most recent Disclosure Report audited by an external auditor was published on 31 December 2022.
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.
This Disclosure Report has been prepared in line with Article 431 CRR disclosure requirements and policies and complies with the applicable legal and regulatory requirements. The Group Executive Management (GEM), as the management body at level VP Bank Group, confirms in accordance with Article 431(3) CRR that the preparation of this Disclosure Report has been made in accordance with the formal policies and internal processes, systems, and controls.
Changes compared to the Disclosure Report as of 31 December 2023In comparison to the Disclosure Report of December 2023, the scope has been expanded due to the initial implementation of the BRRD II regulation in Liechtenstein, encompassing the templates EU KM2 - Key metrics of MREL (Minimum requirement for own funds and eligible liabilities), EU TLAC 1 - Composition of MREL and
EU TLAC 3b - creditor ranking.
Key metrics (Articles 438, 447 CRR)The template EU KM1 shows an overview of the regulatory key parameters. The common equity Tier 1 ratio has increased from 24.9 per cent to 25.9 per cent since December 31, 2023, and is well above the minimum regulatory requirement. The equity base is very solid and permits successful growth. The liquidity coverage ratio according to EU KM1 decreased from 258.9 per cent to 248.1 per cent and remains well above the minimum requirement of 100 per cent. VP Bank complied with all minimum requirements for capital, leverage ratio, liquidity coverage ratio, net stable funding ratio as well as minimum requirements for own funds and eligible liabilities, consistently over the past semester. In accordance with disclosure requirements, the Liquidity Coverage Ratio is determined based on
12-month rolling averages, whereas the other metrics are derived from spot data.
EU KM1 - Key metrics templatein CHF 1,000 | 31.12.2024 | 30.06.2024 31.12.2023 | |
1 | Available own funds (amounts) Common Equity Tier 1 (CET1) capital | 1,066,172 | 1,071,329 1,057,738 |
2 | Tier 1 capital | 1,066,172 | 1,071,329 1,057,738 |
3 | Total capital | 1,066,172 | 1,071,329 1,057,738 |
4 | Risk-weighted exposure amounts Total risk-weighted exposure amount | 4,121,797 | 4,101,680 4,242,745 |
5 | Capital ratios (as a percentage of risk-weighted exposure amount) Common Equity Tier 1 ratio (%) | 25.9 | 26.1 24.9 |
6 | Tier 1 ratio (%) | 25.9 | 26.1 24.9 |
7 | Total capital ratio (%) | 25.9 | 26.1 24.9 |
EU 7a | Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount) Additional CET1 SREP requirements (%) | 1.5 | 1.5 1.5 |
EU 7b | of which: to be made up of CET1 capital (percentage points) | 0.8 | 0.8 0.8 |
EU 7c | of which: to be made up of Tier 1 capital (percentage points) | 1.1 | 1.1 1.1 |
EU 7d | Total SREP own funds requirements (%) | 9.5 | 9.5 9.5 |
8 | Combined buffer requirement (as a percentage of risk-weighted exposure amount) Capital conservation buffer (%) | 2.5 | 2.5 2.5 |
EU 8a | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) | 0.0 | 0.0 0.0 |
9 | Institution specific countercyclical capital buffer (%) | 0.2 | 0.2 0.2 |
EU 9a | Systemic risk buffer (%) | 0.1 | 0.2 0.1 |
10 | Global Systemically Important Institution buffer (%) | 0.0 | 0.0 0.0 |
EU 10a | Other Systemically Important Institution buffer | 2.0 | 2.0 2.0 |
11 | Combined buffer requirement (%) | 4.8 | 4.8 4.8 |
EU 11a | Overall capital requirements (%) | 14.3 | 14.3 14.3 |
12 | CET1 available after meeting the total SREP own funds requirements (%) | 20.5 | 20.8 19.6 |
13 | Leverage ratio Leverage ratio total exposure measure | 10,763,065 | 11,737,947 11,578,425 |
14 | Leverage ratio | 9.9 | 9.1 9.1 |
EU 14a | Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount) Additional own funds requirements to address the risk of excessive leverage (%) | 0.0 | 0.0 0.0 |
EU 14b | of which: to be made up of CET1 capital (percentage points) | 0.0 | 0.0 0.0 |
EU 14c | Total SREP leverage ratio requirements (%) | 3.0 | 3.0 3.0 |
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | |||
EU 14d | Leverage ratio buffer requirement (%) | 0.0 | 0.0 0.0 |
EU 14e | Overall leverage ratio requirements (%) | 3.0 | 3.0 3.0 |
15 | Liquidity Coverage Ratio Total high-quality liquid assets (HQLA) (Weighted value - average) | 3,158,739 | 3,286,946 3,493,316 |
16a | Cash outflows - Total weighted value | 3,636,522 | 3,592,511 3,796,876 |
16b | Cash inflows - Total weighted value | 2,332,507 | 2,438,889 2,397,626 |
16 | Total net cash outflows (adjusted value) | 1,304,014 | 1,157,535 1,403,163 |
17 | Liquidity coverage ratio (%) | 248.1 | 289.8 258.9 |
in CHF 1,000 | 31.12.2024 | 30.06.2024 31.12.2023 |
Net Stable Funding Ratio 18 Total available stable funding | 6,628,199 | 6,731,491 7,281,167 |
19 Total required stable funding | 4,588,005 | 4,705,930 4,643,620 |
20 NSFR ratio (%) | 144.5 | 143.0 156.8 |
The template EU KM2 provides an overview of the minimum requirement for own funds and eligible liabilities (MREL), as the bank is subject to the minimum requirement for own funds and eligible liabilities in accordance with Article 45e of Directive 2014/59/EU. The bank is not subject to the requirements pursuant to Article 92a of Regulation (EU) 575/2013, hence the items related to the G-SII requirement for own funds and eligible liabilities (TLAC) are not disclosed. MREL is well above the minimum regulatory requirement. VP Bank complied with the MREL minimum requirement over the last year.
EU KM2 - Key metrics - MREL and, where applicable, G-SII Requirement for own funds and eligible liabilitiesin CHF 1,000 | Minimum requirement for own funds and eligible liabilities (MREL) 31.12.2024 | |
1 | Own funds and eligible liabilities, ratios and components Own funds and eligible liabilities | 1,235,882 |
EU-1a | of which own funds and subordinated liabilities | 1,221,172 |
2 | Total risk exposure amount of the resolution group (TREA) | 4,121,797 |
3 | Own funds and eligible liabilities as a percentage of the TREA | 30.0% |
EU-3a | of which own funds and subordinated liabilities | 29.6% |
4 | Total exposure measure (TEM) of the resolution group | 10,763,065 |
5 | Own funds and eligible liabilities as percentage of the TEM | 10.9% |
EU-5a | of which own funds or subordinated liabilities | 10.7% |
6a | Does the subordination exemption in Article 72b(4) of Regulation (EU) No 575/2013 apply? (5% exemption) | |
6b | Aggregate amount of permitted non-subordinated eligible liabilities instruments if the subordination discretion in accordance with Article 72b(3) of Regulation (EU) No 575/2013 is applied (max 3.5% exemption) | |
6c | If a capped subordination exemption applies in accordance with Article 72b (3) of Regulation (EU) No 575/2013, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognised under row 1, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognised under row 1 if no cap was applied (%) | |
EU-7 | Minimum requirement for own funds and eligible liabilities (MREL) MREL expressed as a percentage of the TREA | 20.2% |
EU-8 | of which to be met with own funds or subordinated liabilities | 12.7% |
EU-9 | MREL expressed as a percentage of the TEM | 5.3% |
EU-10 | of which to be met with own funds or subordinated liabilities | n.a. |
Pursuant to Article 66 BankA, the Board of Directors (BoD) is responsible for the overall management, supervision and control of the bank. It is responsible for the medium to long-term strategic focus of VP Bank Group (Group Board of Directors).
The powers and obligations of the BoD are set out in the Articles of Association and in the Organisation and Business Regulations (OBR) of VP Bank. The OBR can be found online at vpbank.com/regulations.
Committees of the Board of DirectorsTo be able to fulfil its duties in an optimum manner, the Board of Directors is supported by four committees: the Nomination & Compensation Committee, the Audit Committee, the Risk Committee and the Strategy & Digitalisation Committee. Each committee consists of at least three members of the BoD.
The tasks, powers of authority, rights and obligations of the various committees are laid down in the OBR of VP Bank. In addition, the functions of the committees of the BoD are governed by way of separate business regulations.
The Risk Committee is responsible in particular for the following tasks:
Advising the BoD concerning the bank's current and future overall risk appetite and strategy and supporting the BoD in monitoring the implementation of the risk strategy by the Executive Board / Group Executive Management;
Receiving and dealing with the risk reports as well as assessing the appropriateness of procedures deployed to measure, manage and monitor risks;
Assessing significant risks for the bank and discussing them with the Chief Risk Officer and the competent experts;
Assessing the functional capability of risk management and monitoring as well as of the internal control system;
Assessing the functional capability of the measures taken designed to ensure compliance with and observance of legal (e.g. compliance with capital adequacy, liquidity and risk-diversification provisions) and internal provisions (compliance);
Receiving and dealing with reports from the areas and departments answerable to the Chief Risk Officer;
Assessing the quality (effectiveness) of risk governance as well as the cooperation between Risk Management, Risk Monitoring, the Executive Board / Group Executive Management, the Risk Committee and the BoD;
Reviewing whether the pricing of the offered liabilities and assets takes adequate account of the bank's business model and risk strategy and, should this not be the case, requiring a plan with corrective measures;
Evaluating whether the incentives offered as part of the system of compensation take into account the risk, equity, liquidity as well as the probability and timing of revenues;
Advising the BoD on the appointment or removal of the Chief Risk Officer.
The Risk Committee usually meets on five to eight occasions per annum; in the 2024 financial year, the Risk Committee convened for eight ordinary meetings. The Chief Risk Officer and the Head of Group Internal Audit attend the meetings.
At one joint meeting with the Audit Committee, an exchange of information took place with the GEM regarding the quality of the internal control system and other matters.
Members of the Board of DirectorsPursuant to Article 16 of the Bank's Articles of Association, the BoD must comprise at least five members who are elected for a term of three years. The members of the BoD are elected individually (re-election is permitted). The BoD elects the Chairman and Vice Chairman from among its members for a term of three years (re-election is permitted).
The BoD must collectively possess the requisite expertise, skills, and experience to ensure that VP Bank operates properly.
The required theoretical knowledge and practical professional experience are obtained from the tasks, competencies, and responsibilities assigned to either the institution as a whole or an individual. The tasks of the BoD are outlined in the Articles of Association as well as in the OBR of VP Bank Ltd. Where appropriate and required, the BoD defines the allocation of individual key tasks or responsibilities among the members of the body. The Nomination & Compensation Committee derives from these the required theoretical and practical skills per member. Overall, the body's requirements must be adequately met by all members.
The Nomination & Compensation Committee prepares the respective requirement profiles as needed and the BoD approves them to consider the current composition of the Board. Prior to this, an overall evaluation of the BoD takes place, if necessary with the involvement of an external specialist.
A solid, successful, and flawless business activity must be ensured at all times. Changes in business activities (e.g. expanding into new markets or introducing new products, etc.) as well as new regulatory requirements can lead to new tasks for business management and increase operational complexity. This may result in additional requirements for the supervisory function of the BoD.
The Nomination & Compensation Committee therefore reviews either in case of such an event, or at least once a year, if it leads to new requirements on the qualification of the members of the BoD and if these are covered by the whole body or an individual person.
If a deficit is identified, the Nomination & Compensation Committee immediately takes effective measures to ensure proper management of the BoD as a whole as well of the individual functions. The BoD will then take the relevant decisions.
At the Annual General Meeting of 26 April 2024, Philipp Elkuch was re-elected for a term of office of three years.
Thomas R. Meier declared that he would not be seeking re-election and resigned as Chairman of the BoD after six years in the post and two terms of office. After the annual general meeting, Stephan Zimmermann was elected by the BoD as its Chairman. Stephan Zimmermann was elected to the BoD of VP Bank in April 2023.
In addition, Dirk Klee was elected to the BoD for a term of office of three years at the annual general meeting held on 26 April 2024. However, Dirk Klee resigned from his position on the BoD of VP Bank with effect from 30 September 2024, having taken on a new professional challenge that was incompatible with his role at VP Bank.
As of 31 December 2024, the BoD of VP Bank consists of seven members. No member of the BoD belonged to the GEM, the Executive Board of VP Bank or the Executive Board of any subsidiary company during the past three financial years. Their biographies as well as their other activities and vested interests can be found in Section 3 of the 2024 Annual Report of VP Bank. Thus, the number of management or supervisory functions covered by BoD members can be listed as the following (including the mandate at VP Bank):
Stephan Zimmermann: 2
Ursula Lang: 2
Dr Mauro Pedrazzini: 2
Stefan Amstad: 3
Philipp Elkuch: 4
Dr Beat Graf: 4
Katja Rosenplänter-Marxer: 3
Diversity strategy for the selection of members of the Management BoardVP Bank has set itself the goal of promoting diversity across all its characteristics and levels - this in order to increase the diversity of thought and thus strengthen the competitiveness and the degree of innovation. Specifically, the bank aims to improve gender diversity within its ranks, recognizing its importance for sustainable success.
By 2026, the bank aims to have at least 30 per cent of the members of the BoD represented by women. As of the end of 2024, the percentage of female members on the BoD amounts to 28.6%. The gender benchmark will also be taken into account in the future succession planning of the BoD.
Information and control instruments of the Board of DirectorsThe BoD and its committees have at their disposal various informational and control tools for managing and supervising the activities of the Executive Board / GEM. Among those instruments are the strategy process, medium-term planning, the budgeting process and reporting.
The BoD receives monthly financial and risk-controlling reports as well as periodic reports on the semi-annual and annual financial statements:
The reports include quantitative and qualitative information as well as budget variances, period-specific and multi-year comparisons, key performance indicators and risk analyses.
The reports enable the BoD at all times to gain a picture of significant developments and risk situation.
Those reports that lie within the scope of tasks of the Audit or Risk Committees are dealt with by the respective committee, and corresponding motions are forwarded to the BoD for approval.
The most recent reports undergo a comprehensive review at each Board meeting.
The BoD reviews twice a year the implementation of business strategies and strategy controlling on the basis of the reporting by the Executive Board / GEM. The Strategy & Digitalisation Committee assists and advises the BoD on strategic issues and projects.
A further important instrument to assist the BoD in fulfilling its supervisory and control function is Group Internal Audit, which conducts its activities in compliance with the internationally recognised standards of the Swiss Institute of Internal Auditing and the Institute of Internal Auditors (IIA). The duties and powers of Group Internal Audit are laid down in specific regulations.
As an independent body, it examines in particular the internal control system, management processes and risk management at VP Bank.
The Chairman of the BoD receives all minutes of the Executive Board / GEM meetings. In addition, this person also exchanges information with the Chief Executive Officer on a weekly basis and on an ad hoc basis with the other members of the Executive Board / GEM.
Executive Board and Group Executive ManagementThe Executive Board (EB) is responsible for the operational management of the head office (VP Bank Ltd, Vaduz), whereas GEM is responsible for the management of VP Bank Group. Its tasks and competencies are specified in the OBR as well as in the functional descriptions for the individual Members of the EB / GEM. The Chairman of the EB / GEM (CEO) is responsible for the overall management of the Group and group-wide coordination.
The members of the EB / GEM generally meet every two weeks for a session. Additional meetings and workshops are held for the purpose of assessing the strategy and corporate developments as well as for dealing with annual planning, budgeting and other current issues.
Members of the GEMPursuant to Fig. 5.1 OBR, the GEM consists of the Chief Executive Officer, the Chief Financial Officer and at least one further member. One member of the GEM oversees the risk management function in the capacity of Chief Risk Officer, and may also simultaneously hold further functions, insofar as this is compatible with the necessary independence.
In professional and personal terms, the members of the GEM must offer assurance of proper business activities at all times and may not simultaneously be members of the BoD of the bank. They are appointed by the BoD after being proposed by the Nomination & Compensation Committee.
Paul Arni, Chief Executive Officer of VP Bank Group, left VP Bank by mutual agreement on 8 May 2024. Urs Monstein, Chief Operating Officer, has assumed the role of Chief Executive Officer of VP Bank Group on an interim basis.
The BoD appointed Urs Monstein as Group CEO with effect from 5 November 2024. Urs Monstein joined VP Bank in 2018 as Chief Operating Officer and has many years of experience and comprehensive know-how in the financial sector.
Roger Barmettler, Chief Financial Officer of VP Bank, informed the BoD that he would be seeking a new professional challenge outside VP Bank. Mara Harvey, CEO of VP Bank (Switzerland) Ltd and Head of Region Europe, also decided to leave VP Bank for personal reasons. Roger Barmettler and Mara Harvey remained available as Members of the GEM until the end of 2024 and assisted in the handover.
The BoD has been embracing the change as an opportunity to align the organisation more consistently with clients and the strategic transformation. Since 1 January 2025, GEM has consisted of the client-facing units of Region Liechtenstein, International Locations, Products, Services & Investments and Strategic Transformation. The client-facing units are complemented by the Chief Financial Officer and Chief Risk Officer units.
Urs Monstein is managing International Locations on an interim basis, and Philippe Wüst, Head of Group Finance, is serving as CFO ad interim. The new Strategic Transformation unit will be led by Rolf Steiner (previously Head of Group Products & Solutions). As the Head of Investment & Client Services, Chief Investment Officer Felix Brill has been appointed as a Member of the EB / GEM.
As of 1 January 2025, the GEM consists of six members. Their biographies as well as their other activities and vested interests can be found in Section 4 of the Annual Report of VP Bank.
Risk management objectives and policies (Article 435 CRR) Risk policy principlesEffective capital, liquidity and risk management is an elementary prerequisite for the success and stability of a bank. VP Bank understands this to mean the systematic process to identify, evaluate, manage and monitor the relevant risks as well as the steering of capital resources and liquidity necessary to assume risks and guarantee risk-bearing capacity. The binding framework for action in this context is provided by the relevant regulations defined by the Board of Directors of VP Bank Group, consisting of the Risk Appetite Statement, the Risk Policy and Risk Strategies.
The Risk Appetite Statement defines the overall risk tolerance along the risk taxonomy, forming the basis for operationalising limits and targets in the risk policy. As an overall framework, the risk policy, together with the risk strategies per risk group (strategic and business risks, financial risks as well as operational and compliance risks), regulates the specific objectives and principles, organisational structures and processes, methods and tools of risk management.
Risk management is predicated on the following principles:
Harmonisation of risk-bearing capacity and risk toleranceThe concept of risk-bearing capacity is intended to enable a bank to continue its business operations or to fully meet the claims of depositors and creditors despite losses from risks that become effective. Risk tolerance indicates the potential loss which the Bank is prepared to bear without jeopardizing its ability to continue as a going concern. As a strategic success factor, risk-bearing capacity is to be maintained and enhanced at all times by employing a suitable process to ensure an appropriate capital and liquidity base.
Clearly defined powers of authority and responsibilitiesRisk tolerance is operationalised using a comprehensive limit system and implemented effectively with a clear definition of the duties, powers of authority and responsibilities of all bodies, organisational units and committees involved in the risk and capital management process.
Conscientious handling of risksStrategic and operational decisions are taken based on risk-return calculations and, in this way, aligned with the interests of the stakeholders.
Subject to compliance with statutory and regulatory requirements as well as corporate policy and ethical principles, VP Bank consciously assumes risks provided that the extent of these is known, the system requirements for capturing them are in place and the Bank is adequately compensated for them. Transactions with an imbalanced risk-return ratio are avoided, as are major risks and extreme risk concentrations, which could endanger the risk-bearing capacity and therefore also the future existence of the Group.
Segregation of functionsUnits that report to the Chief Risk Officer and that are independent of the bodies that actively manage the risks are responsible for monitoring and reporting risks to Group Executive Management and the Board of Directors.
TransparencyComprehensive, objective, timely and transparent disclosure of risks to Group Executive Management (GEM) and the Board of Directors (BoD) forms the basis for risk monitoring.
Risk management processThe identification, evaluation and independent controlling of risks lies within the responsibility of the Chief Risk Officer and, in accordance with the Organisation and Business Regulations of VP Bank, encompasses the following tasks:
Provide transparency on the overall risk situation and independent risk monitoring
Ensure high-quality and timely risk reporting
Assessment of risk-relevant aspects of strategic planning and mergers & acquisitions
Advisory role in Group Risk Committee meetings
The creation of transparency regarding the overall risk situation is achieved through the identification of all material risks and their aggregation into the overall risk position in conjunction with comprehensive risk reporting. This ensures effective risk and capital management at VP Bank. Significant risks are identified based on the business model and related offerings of financial products and services of VP Bank. As part of the risk inventory along the risk taxonomy, risks are identified and assessed in terms of their materiality.
Further details on tasks, competencies and responsibilities in the risk management process can be found in the annual report.
Process to ensure risk-bearing capacityThe primary objective of the Internal Capital Adequacy Assessment Process (ICAAP) and of the Internal Liquidity Adequacy Assessment Process (ILAAP) is to comply with the regulatory requirements in order to assure continuation of the Bank as a going concern. The risks of banking operations are to be borne by the available risk coverage potential. The risk management process established at VP Bank essentially comprises the following components:
Determination of risk strategies and approval by the Board of Directors
Determination of risk coverage potential and establishment of risk appetite
Risk identification (risk inventory)
Risk measurement and assessment of risk-bearing capacity
Risk management (optimization of risk/return, in compliance with limits and targets)
Independent risk monitoring and reporting to GEM and BoD
For a detailed description of the points mentioned, please refer to the Annual Report.
Risks are generally managed by the risk-taking units. The ALCO defines the strategic requirements for market risk and liquidity management, while Group Treasury and Execution is responsible for operational management. The Group Credit Committee defines the strategic guidelines for credit risk management. Operational implementation of credit risk management is the responsibility of the front-office units and the Credit Consulting unit.
Non-financial risks are managed by the Operational Risk Committee (ORC), the Business Risk Committee (BRMC) and the Group Reputational Risk Committee (GRRC).
Risk measurement and risk reportingIn accordance with the regulatory requirement, all risks classified as material are taken into account as part of the risk-bearing capacity and backed by risk capital. Different methods are used to quantify risks depending on the risk category, all of which aim to estimate a potential loss in a rare, adverse scenario. The observation horizon is uniformly 250 days. Market risk is mainly measured using a value-at-risk approach with a confidence level of 99% using the historical simulation method. As part of a stressed loss framework, an unexpected loss is calculated for credit risk as the difference between the loss in the event of stress and the expected loss. Two approaches are applied: for the lombard loan business the collateral portfolio is subject to a market-wide and an idiosyncratic stress and the dynamics between collaterals are taken into account. For all other credit risk exposures, a probability of default (PD)/ loss given default (LGD) model is used, which applies stressed PD/LGD parameters and, in addition, also contains an idiosyncratic loss component. For non-financial risks, risk is determined through Risk Assessments, which are included in the risk-bearing capacity via operational risk or via the consideration of a risk buffer.
Risk measurement is carried out independently by the Chief Risk Officer on a monthly basis. Risk reporting includes monthly asset-liability management reports for each location, monthly and quarterly Group risk reports, and quarterly local risk reports from the subsidiaries. In the reports, the respective key risk figures are compared with the limits and targets set and compliance is monitored. In the event of negative developments, early warning thresholds and defined escalation processes ensure that those responsible for risk and management are informed at an early stage.
In parallel with the measurement of capital risks (value-at-risk, unexpected loss, operational risk standardized approach), additional capital and sensitivity ratios, volume-related concentration limits, portfolio or individual credit limits are used, with early warning thresholds or limits being set in a risk-adequate manner. In the risk policy, the Board of Directors sets limits and targets at Group level, which are allocated by the Group Executive Management to Group companies or risk types as required.
Duties, powers and responsibilitiesThe following chart shows the key duties, powers and responsibilities of the bodies, organisational units and committees involved in the risk management process. The roles and structures of risk steering and risk monitoring are separated, which avoids potential conflicts of interest between the risk-taking and risk-monitoring units.
Management, monitoring and verification of risks take place over three lines of defence:
First line of defence: Risk steering
Second line of defence: Risk monitoring
Third line of defence: Internal audit
Further details on process supervision can be found in the annual report on page 127 et seqq.
Process monitoring / Group Internal AuditRisk declaration of the Board of Directors
The Board of Directors bears overall responsibility for capital and liquidity risk management and declares, that the procedures applied are in accordance with the risk profile and strategy of VP Bank.
Transactions with related companies and persons
Related parties include the members of the Board of Directors and Group Management as well as their close relatives and companies in which these persons either have a majority shareholding or, as a result of their role as a member of the Board of Directors and/or Group Management, have significant influence. Further details on related party transactions can be found in table 39 of the annual report.
Scope of application (Article 436 CRR) EU LIA: Explanations of differences between accounting and regulatory exposure amountsAs there are no differences between the regulatory risk positions and those according to the financial reporting, an explanation according to Article 436(b,d) can be dispensed with.
EU LIB: Other qualitative information on the scope of applicationThere are neither legal nor factual obstacles (pursuant to Article 436(f) CRR) to the prompt transfer of own funds or to the repayment of liabilities between the parent bank in Liechtenstein and its subsidiaries abroad. In the reporting year, there is no subsidiary (pursuant to Article 436(g) CRR) not included in the consolidation with lower own funds than the required amount. The consolidation on a stand-alone basis (pursuant to Article 9 CRR) and the exemption (pursuant to Article 7(3) CRR) are not utilized. The following table shows the regulatory scope of consolidation and the IFRS scope of consolidation.
EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity) Name of the entity Method of accounting consolidation Method of regulatory consolidation Description of the entityFull consolidation | Proporational consolidation | Neither Deducted consolidated nor deducted | |||
VP Bank AG, Vaduz 1 | Full consolidation | x | |||
VP Bank (Schweiz) AG, Zürich | Full consolidation | x | Credit institution | ||
VP Bank (Luxembourg) SA, Luxembourg | Full consolidation | x | |||
VP Bank (BVI) Ltd, Tortola | Full consolidation | x | |||
VP Fund Solutions (Liechtenstein) AG, Vaduz | Full consolidation | x | Fund management | ||
VP Fund Solutions (Luxembourg) SA, Luxembourg | Full consolidation | x | company | ||
VP Wealth Management (Hong Kong) Ltd, Hong Kong (wind down) | Full consolidation | x | Asset Management Company | ||
Data Info Services AG, Vaduz | Equity method | x | Service company | ||
1 Incl. VP Bank Ltd Singapore Branch
EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories in CHF 1,000 Carrying valuesas reported in published financial statements Carrying values under scope of regulatory consolidation Carrying values of itemsSubject to the | Subject to the | Subject to the | Subject to the | Not subject to | |||
credit risk framework | CCR framework | securitisation framework | market risk framework | capital require- ments or subject to deduction from capital | |||
Assets | |||||||
Cash and cash equivalents | 905,199 | 905,199 | 905,199 | 0 | 0 | 171,153 | 0 |
Receivables arising from money market papers | 171,749 | 171,749 | 171,749 | 0 | 0 | 171,749 | 0 |
Due from banks | 850,681 | 850,681 | 850,681 | 0 | 0 | 717,111 | 0 |
Due from customers | 5,941,252 | 5,941,252 | 5,941,252 | 0 | 0 | 1,365,637 | 0 |
Trading portfolios | 372 | 372 | 372 | 0 | 0 | 372 | 0 |
Derivative financial instruments | 86,848 | 86,848 | 0 | 86,848 | 0 | 12,242 | 0 |
Financial instruments at fair value | 192,990 | 192,990 | 192,990 | 0 | 0 | 111,472 | 0 |
Financial instruments measured at amortised cost | 2,227,254 | 2,227,254 | 2,227,254 | 0 | 0 | 1,682,165 | 0 |
Associated companies | 22 | 22 | 22 | 0 | 0 | 0 | 0 |
Property and equipment | 66,509 | 66,509 | 66,509 | 0 | 0 | 5,031 | 0 |
Goodwill and other intangible assets | 69,640 | 69,640 | 0 | 0 | 0 | 206 | 0 |
Tax receivables | 157 | 157 | 157 | 0 | 0 | 157 | 0 |
Deferred tax assets | 14,915 | 14,915 | 14,915 | 0 | 0 | 49 | 0 |
Accrued receivables and prepaid expenses | 41,883 | 41,883 | 41,883 | 0 | 0 | 23,033 | 0 |
Other assets | 66,126 | 66,126 | 66,126 | 0 | 0 | 37,246 | 0 |
Total assets | 10,635,597 | 10,635,597 | 10,479,109 | 86,848 | 0 | 4,297,623 | 0 |
Liabilities | |||||||
Due to banks | 176,852 | 176,852 | 0 | 0 | 0 | 56,597 | 176,852 |
Due to customers - savings and deposits | 380,210 | 380,210 | 0 | 0 | 0 | 724 | 380,210 |
Due to customers - other liabilities | 8,568,284 | 8,568,284 | 0 | 0 | 0 | 6,223,351 | 8,568,284 |
Derivative financial instruments | 18,715 | 18,715 | 0 | 0 | 0 | 9,345 | 18,715 |
Medium-term notes | 49,491 | 49,491 | 0 | 0 | 0 | 3,995 | 49,491 |
Debentures issued | 154,987 | 154,987 | 0 | 0 | 0 | 0 | 154,987 |
Tax liabilities | 5,251 | 5,251 | 0 | 0 | 0 | 64 | 5,251 |
Deferred tax liabilities | 2,323 | 2,323 | 0 | 0 | 0 | 0 | 2,323 |
Accrued liabilities and deferred items | 43,197 | 43,197 | 0 | 0 | 0 | 18,586 | 43,197 |
Other liabilities | 112,552 | 112,552 | 0 | 0 | 0 | 74,180 | 112,552 |
Provisions | 6,941 | 6,941 | 0 | 0 | 0 | 2,495 | 6,941 |
Share capital | 66,154 | 66,154 | 0 | 0 | 0 | 0 | 66,154 |
Less: treasury shares | -44,909 | -44,909 | 0 | 0 | 0 | 0 | -44,909 |
Capital reserves | 22,067 | 22,067 | 0 | 0 | 0 | 0 | 22,067 |
Income reserves | 1,144,832 | 1,144,832 | 0 | 0 | 0 | 0 | 1,144,832 |
Actuarial gains/losses from defined-benefit pension plans | -31,630 | -31,630 | 0 | 0 | 0 | 0 | 0 |
Unrealised gains/losses on FVTOCI financial instruments | -11,049 | -11,049 | 0 | 0 | 0 | 0 | 0 |
Foreign-currency translation differences | -28,671 | -28,671 | 0 | 0 | 0 | 0 | 0 |
Total liabilities and shareholders' equity | 10,635,597 | 10,635,597 | 0 | 0 | 0 | 6,389,337 | 10,635,597 |
In addition to the EU LI1 template, template EU LI2 below illustrates the key differences between the carrying values under the IFRS Group balance sheet (under the regulatory reporting entities) and the risk exposures used for regulatory purposes. The division of the columns into regulatory risk categories corresponds to the breakdown listed in Part 3 of the CRR. The row "other differences" includes valuation differences such as intangible assets and goodwill as well as deferred tax assets that do not have to be deducted from own funds.
EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statementsin CHF 1,000 | Total | Credit risk framework | Items subject to CCR Securitisation framework framework | Market risk framework |
Assets carrying value amount under the scope of regulatory consolidation (as per template EU LI1) | 10,635,597 | 10,479,109 | 86,848 0 | 4,297,623 |
Liabilities carrying value amount under the regulatory scope of consolidation (as per template EU LI1) | 0 | 0 | 0 0 | 6,389,337 |
Total net amount under the regulatory scope of consolidation | 10,635,597 | 10,479,109 | 86,848 0 | -2,091,714 |
Off-balance-sheet amounts | 272,658 | 272,658 | 0 | 0 | |
Differences in valuations | 19 | 0 | 19 | 0 | |
Differences due to different netting rules, other than those already included in row 2 | 0 | 0 | 0 | 0 | |
Differences due to consideration of provisions | 0 | 0 | 0 | 0 | |
Differences due to the use of credit risk mitigation techniques (CRMs) | 0 | 0 | 0 | 0 | |
Differences due to credit conversion factors | 0 | 0 | 0 | 0 | |
Differences due to Securitisation with risk transfer | 0 | 0 | 0 | 0 | |
Other differences | -51,537 | -45,863 | 0 | 0 |
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 of the CRR are deducted in full from core Tier 1 capital. Part 10, Title I of the CRR on transitional provisions is not applied.
EU CC1 - Composition of regulatory own funds in CHF 1,000 Amounts Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation Common Equity Tier 1 (CET1) capital: instruments and reserves1 | Capital instruments and the related share premium accounts | 66,154 | L12 |
of which: ordinary shares | 66,154 | L12 | |
2 | Retained earnings | 1,126,331 | L13,L14,L15 |
3 | Accumulated other comprehensive income (and other reserves) | -21,578 | |
EU-3a | Funds for general banking risk | 0 | |
4 | Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1 | 0 | |
5 | Minority interests (amount allowed in consolidated CET1) | 0 | |
EU-5a | Independently reviewed interim profits net of any foreseeable charge or dividend | 0 | |
6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 1,170,907 | |
Common Equity Tier 1 (CET1) capital: regulatory adjustments | |||
7 | Additional value adjustments (negative amount) | -299 | |
8 | Intangible assets (net of related tax liability) (negative amount) | -45,863 | A11,A13 |
10 | 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) CRR are met) (negative amount) | -5,674 | A13 |
11 | Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value | 0 | |
12 | Negative amounts resulting from the calculation of expected loss amounts | 0 | |
13 | Any increase in equity that results from securitised assets (negative amount) | 0 | |
14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | 0 | |
15 | Defined-benefit pension fund assets (negative amount) | 0 | |
16 | Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount) | -44,909 | L13 |
17 | 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 inflate artificially the own funds of the institution (negative amount) | 0 | |
18 | 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) | 0 | |
19 | 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) | 0 | |
EU-20a | Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative | 0 | |
EU-20b | of which: qualifying holdings outside the financial sector (negative amount) | 0 | |
EU-20c | of which: securitisation positions (negative amount) | 0 | |
EU-20d | of which: free deliveries (negative amount) | 0 | |
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount) | 0 | |
22 | Amount exceeding the 17,65% threshold (negative amount) | 0 | |
23 | of which: 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 | 0 | |
24 | Not applicable | 0 | |
25 | of which: deferred tax assets arising from temporary differences | 0 | |
EU-25a | Losses for the current financial year (negative amount) | -7,991 | |
EU-25b | Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount) | 0 | |
27 | Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount) | 0 | |
27a | Other regulatory adjustments | 0 | |
28 | Total regulatory adjustments to Common Equity Tier 1 (CET1) | -104,736 | |
29 | Common Equity Tier 1 (CET1) capital | 1,066,172 | |
in CHF 1,000 | Amounts | Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation |
Additional Tier 1 (AT1) capital: instruments | ||
30 Capital instruments and the related share premium accounts | 0 | |
31 of which: classified as equity under applicable accounting standards | 0 | |
32 of which: classified as liabilities under applicable accounting standards | 0 | |
33 Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 as described in Article 486(3) of CRR | 0 | |
EU-33a Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1 | 0 | |
EU-33b Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1 | 0 | |
34 Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties | 0 | |
35 of which: instruments issued by subsidiaries subject to phase out | 0 | |
36 Additional Tier 1 (AT1) capital before regulatory adjustments | 0 | |
Additional Tier 1 (AT1) capital: regulatory adjustments | ||
37 | Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount) | 0 |
38 | 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) | 0 |
39 | Direct, indirect and synthetic holdings 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) | 0 |
40 | Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount) | 0 |
42 | Qualifying T2 deductions that exceed the T2 items of the institution (negative amount) | 0 |
42a | Other regulatory adjustments to AT1 capital | 0 |
43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | 0 |
44 | Additional Tier 1 (AT1) capital | 0 |
45 | Tier 1 capital (T1 = CET1 + AT1) | 1,066,172 |
Capital instruments and the related share premium accounts 0
Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts 0
subject to phase out from T2 as described in Article 486(4) CRR
EU-47a Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2 0
EU-47b Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2 0
Qualifying own funds instruments included in consolidated T2 capital (including minority interests 0
and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties
of which: instruments issued by subsidiaries subject to phase out 0
Credit risk adjustments 0
Tier 2 (T2) capital before regulatory adjustments 0
52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount) | 0 |
53 | Direct, indirect and synthetic 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) | 0 |
54 | Direct, indirect and synthetic 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) | 0 |
55 | Direct, indirect and synthetic 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) | 0 |
EU-56a | Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount) | 0 |
EU-56b | Other regulatory adjustments to T2 capital | 0 |
57 | Total regulatory adjustments to Tier 2 (T2) capital | 0 |
58 | Tier 2 (T2) capital | 0 |
59 | Total capital (TC = T1 + T2) | 1,066,172 |
60 | Total Risk exposure amount | 4,121,797 |
61 | Common Equity Tier 1 capital | 25.9% |
62 | Tier 1 capital | 25.9% |
63 | Total capital | 25.9% |
64 | Institution CET1 overall capital requirements | 10.8% |
65 | of which: capital conservation buffer requirement | 2.5% |
66 | of which: countercyclical capital buffer requirement | 0.2% |
67 | of which: systemic risk buffer requirement | 0.1% |
EU-67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement | 2.0% |
EU-67b | of which: additional own funds requirements to address the risks other than the risk of excessive leverage | 1.5% |
68 | Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the minimum capital requirements | 20.5% |
Direct and indirect holdings of own funds and eligible liabilities 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)
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 17.65% thresholds and net of eligible short positions)
Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)
Applicable caps on the inclusion of provisions in Tier 2Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)
0
0
9,241
0
Cap on inclusion of credit risk adjustments in T2 under standardised approach 42,512
Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based 0
approach (prior to the application of the cap)
Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach 0
Due to lower Risk Weighted Assets (RWA), the common equity Tier 1 of VP Bank Group increased in 2024 from 24.9 per cent to 25.9 per cent and remains significantly above the regulatory minimum requirement. The equity base is very solid and permits successful growth. VP Bank has complied with the minimum capital requirements at all times in 2024.
EU CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statements in CHF 1,000 Balance sheet as in published financial statements Under regulatory scope of consolidation Reference Assets - Breakdown by asset clases according to the balance sheet in the published financial statements As at period end As at period end1 Cash and cash equivalents | 905,199 | 905,199 | |
2 Receivables arising from money market papers | 171,749 | 171,749 | |
3 Due from banks | 850,681 | 850,681 | |
4 Due from customers | 5,941,252 | 5,941,252 | |
5 Trading portfolios | 372 | 372 | |
6 Derivative financial instruments | 86,848 | 86,848 | |
7 Financial instruments at fair value | 192,990 | 192,990 | |
8 Financial instruments measured at amortised cost | 2,227,254 | 2,227,254 | |
9 Associated companies | 22 | 22 | |
10 Property and equipment | 66,509 | 66,509 | |
11 Goodwill and other intangible assets | 69,640 | 69,640 | Nr. 8 |
12 Tax receivables | 157 | 157 | |
13 Deferred tax assets | 14,915 | 14,915 | Nr. 8, 10 |
14 Accrued receivables and prepaid expenses | 41,883 | 41,883 | |
15 Other assets | 66,126 | 66,126 | |
16 Total assets | 10,635,597 | 10,635,597 |
1 Due to banks | 176,852 | 176,852 | |
2 Due to customers - savings and deposits | 380,210 | 380,210 | |
3 Due to customers - other liabilities | 8,568,284 | 8,568,284 | |
4 Derivative financial instruments | 18,715 | 18,715 | |
5 Medium-term notes | 49,491 | 49,491 | |
6 Debentures issued | 154,987 | 154,987 | |
7 Tax liabilities | 5,251 | 5,251 | |
8 Deferred tax liabilities | 2,323 | 2,323 | |
9 Accrued liabilities and deferred items | 43,197 | 43,197 | |
10 Other liabilities | 112,552 | 112,552 | |
11 Provisions | 6,941 | 6,941 | |
12 Share capital | 66,154 | 66,154 | Nr. 1 |
13 Less: treasury shares | -44,909 | -44,909 | Nr. 2, Nr. 16 |
14 Capital reserves | 22,067 | 22,067 | Nr. 2 |
15 Income reserves | 1,144,832 | 1,144,832 | Nr. 2 |
16 Actuarial gains/losses from defined-benefit pension plans | -31,630 | -31,630 | |
17 Unrealised gains/losses on FVTOCI financial instruments | -11,049 | -11,049 | |
18 Foreign-currency translation differences | -28,671 | -28,671 | |
19 Total liabilities and shareholders' equity | 10,635,597 | 10,635,597 |
a | b | ||
Common equity tier 1 (CET1) | Common equity tier 1 (CET1) | ||
Nr. | 01 | 02 | |
1 | Issuer | VP Bank AG, Vaduz, registered share A | VP Bank AG, Vaduz, registered share B |
2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) | LI0315487269 | n.a. |
2a | Public or private placement | Public placement | Private placement |
3 | Governing law(s) of the instrument | Liechtenstein law | Liechtenstein law |
3a | Contractual recognition of write down and conversion powers of resolution authorities | No | No |
Regulatory treatment | |||
4 | Current treatment taking into account, where applicable, transitional CRR rules | Common equity tier 1 | Common equity tier 1 |
5 | Post-transitional CRR rules | Common equity tier 1 | Common equity tier 1 |
6 | Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated | Solo and consolidated | Solo and consolidated |
7 | Instrument type (types to be specified by each jurisdiction) | Share Capital | Share Capital |
8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) | 60,150 | 6,004 |
9 | Nominal amount of instrument | 60,150 | 6,004 |
EU-9a | Issue price | 60,150 | 6,004 |
EU-9b | Redemption price | n.a | n.a |
11 | Original date of issuance | n.a | n.a |
12 | Perpetual or dated | Perpetual | Perpetual |
13 | Original maturity date | n.a | n.a |
14 | Issuer call subject to prior supervisory approval | No | No |
15 | Optional call date, contingent call dates and redemption amount | n.a | n.a |
16 | Subsequent call dates, if applicable | n.a | n.a |
Coupons / dividends | |||
17 | Fixed or floating dividend/coupon | Floating | Floating |
18 | Coupon rate and any related index | n.a | n.a |
19 | Existence of a dividend stopper | No | No |
EU-20a | Fully discretionary, partially discretionary or mandatory (in terms of timing) | Fully discretionary | Fully discretionary |
EU-20b | Fully discretionary, partially discretionary or mandatory (in terms of amount) | Fully discretionary | Fully discretionary |
21 | Existence of step up or other incentive to redeem | n.a | n.a |
22 | Noncumulative or cumulative | n.a | n.a |
23 | Convertible or non-convertible | Non-convertible | Non-convertible |
24 | If convertible, conversion trigde(s) | n.a | n.a |
25 | If convertible, fully or partially | n.a | n.a |
26 | If convertible, conversion rate | n.a | n.a |
27 | If convertible, mandatory or optional conversion | n.a | n.a |
28 | If convertible, specify instrument type convertible into | n.a | n.a |
29 | If convertible, specify issuer of instrument it converts into | n.a | n.a |
30 | Write-down features | n.a | n.a |
31 | If write-down, write-down trigde(s) | n.a | n.a |
32 | If write-down, full or partial | n.a | n.a |
33 | If write-down, permanent or temporary | n.a | n.a |
34 | If temporary write-down, description of write-up mechanism | n.a | n.a |
34a | Type of subordination (only for eligible liabilities) | n.a | n.a |
EU-34b | Ranking of the instrument in normal insolvency proceedings | n.a | n.a |
35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) | n.a | n.a |
36 | Non-compliant transitioned features | No | No |
37 | If yes, specify non-compliant features | n.a | n.a |
37a | Link to the full term and conditions of the instrument (signposting) | vpbank.com/en/investor-relations/financial- information | vpbank.com/en/investor-relations/financial- information |
This section provides comprehensive information on the composition of VP Bank's own funds and eligible liabilities and its ranking in the creditor hierarchy. As of December 31, 2024, the VP Bank's available own funds and eligible liabilities totaled CHF 1,236 million, comprising CHF 1,066 million in own funds, CHF 155 million in subordinated liabilities, and CHF 14.7 million in non-subordinated liabilities.
EU TLAC1 - Composition - MREL and, where applicable, the G-SII Requirement for own funds and eligible liabilitiesin CHF 1,000 | Minimum requirement for own funds and eligible liabilities (MREL) | G-SII Requirement for own funds and eligible liabilities (TLAC) | |
1 | Own funds and eligible liabilities and adjustments Common Equity Tier 1 capital (CET1) | 1,066,172 | n.a. |
2 | Additional Tier 1 capital (AT1) | 0 | n.a. |
6 | Tier 2 capital (T2) | 0 | n.a. |
11 | Own funds for the purpose of Articles 92a CRR and 45 BRRD | 1,066,172 | n.a. |
12 | Own funds and eligible liabilities: Non-regulatory capital elements Eligible liabilities instruments issued directly by the resolution entity that are subordinated to excluded liabilities (not grandfathered) | 155,000 | n.a. n.a. |
EU 12a | Eligible liabilities instruments issued by other entities within the resolution group that are subordinated to excluded liabilities (not grandfathered) | 0 | n.a. |
EU12b | Eligible liabilities instruments that are subordinated to excluded liabilities, issued prior to 27 June 2019 (subordinated grandfathered) | 0 | n.a. |
EU12c | Tier 2 instruments with a residual maturity of at least one year to the extent they do not qualify as Tier 2 items | 0 | n.a. |
13 | Eligible liabilities that are not subordinated to excluded liabilities (not grandfathered pre cap) | 14,710 | n.a. |
EU-13a | Eligible liabilities that are not subordinated to excluded liabilities issued prior to 27 June 2019 (pre-cap) | 0 | n.a. |
14 | Amount of non subordinated instruments eligible, where applicable after application of Article 72b (3) CRR | 14,710 | n.a. |
17 | Eligible liabilities items before adjustments | 169,710 | n.a. |
EU-17a | of which subordinated | 155,000 | n.a. |
18 | Own funds and eligible liabilities: Adjustments to non-regulatory capital elements Own funds and eligible liabilities items before adjustments | 1,235,882 | n.a. |
19 | (Deduction of exposures between MPE resolution groups) | 0 | n.a. |
20 | (Deduction of investments in other eligible liabilities instruments) | 0 | n.a. |
22 | Own funds and eligible liabilities after adjustments | 1,235,882 | n.a. |
EU-22a | of which own funds and subordinated | 1,221,172 | n.a. |
23 | Risk-weighted exposure amount and leverage exposure measure of the resolution group Total risk exposure amount | 4,121,797 | n.a. |
24 | Total exposure measure | 10,763,065 | n.a. |
25 | Ratio of own funds and eligible liabilities Own funds and eligible liabilities (as a percentage of total risk exposure amount ) | 30.0% | n.a. n.a. |
EU-25a | of which own funds and subordinated | 29.6% | n.a. |
26 | Own funds and eligible liabilities (as a percentage of total exposure measure) | 10.9% | n.a. |
EU-26a | of which own funds and subordinated | 10.7% | n.a. |
27 | CET1 (as a percentage of TREA) available after meeting the resolution group's requirements | 25.9% | n.a. |
28 | Institution-specific combined buffer requirement | n.a. | |
29 | of which: capital conservation buffer requirement | n.a. | |
30 | of which: countercyclical buffer requirement | n.a. | |
31 | of which: systemic risk buffer requirement | n.a. | |
EU-31a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer | n.a. | |
EU-32 | Memorandum items Total amount of excluded liabilities referred to in Article 72a(2) CRR | n.a. | |
The template EU TLAC3b discloses creditor ranking for VP Bank as of 31 December 2024, as required by Article 45e BRRD and Article 92a CRR in conjunction with Article 14(2) of Implementing Regulation (EU) 2021/763. The ranking of liabilities is carried out in accordance with the FMA's special legal insolvency ranking for banks in Liechtenstein, which can be found on the website of the resolution authority under Bank Insolvency Ranking Liechtenstein. The ranking is presented from the more junior liabilities to the more senior liabilities.
in CHF 1,000 | insolvency ranking | |||
1 | 2 | 3 | Total | |
1 | Description of insolvency rank (free text) | Rank 1 Common Equity Tier 1 Capital | Rank 5 Senior non-preferred claims | Rank 6 Senior unsecured claims | |
5 | Own funds and liabilities potentially eligible for meeting MREL | 739,830 | 155,000 | 62,368 | 957,198 |
6 | o/w residual maturity ≥ 1 year < 2 years | 0 | 0 | 37,933 | 37,933 |
7 | o/w residual maturity ≥ 2 year < 5 years | 0 | 155,000 | 22,857 | 177,857 |
8 | o/w residual maturity ≥ 5 years < 10 years | 0 | 0 | 1,578 | 1,578 |
9 | o/w residual maturity ≥ 10 years, but excluding perpetual securities | 0 | 0 | 0 | 0 |
10 | o/w perpetual securities | 0 | 0 | 0 | 0 |
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-indicator approach 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)
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.
EU OV1 - Overview of total risk exposure amounts in CHF 1,000 Risk weighted exposure amounts (RWEAs) Total own funds requirements31.12.2024
31.12.2023
31.12.2024
1
Credit risk (excluding CCR)
3,270,921
3,504,559
261,674
2
of which the standardised approach
3,270,921
3,504,559
261,674
3
of which the foundation IRB (FIRB) approach
n.a.
n.a.
n.a.
4
of which: slotting approach
n.a.
n.a.
n.a.
EU 4a
of which: equities under the simple risk weighted approach
n.a.
n.a.
n.a.
5
of which the advanced IRB (AIRB) approach
n.a.
n.a.
n.a.
6
Counterparty credit risk - CCR
152,063
49,101
12,165
7
of which the standardised approach
130,052
40,925
10,404
8
of which internal model method (IMM)
n.a.
n.a.
n.a.
EU 8a
of which exposures to a CCP
n.a.
n.a.
n.a.
EU 8b
of credit valuation adjustment - CVA
22,010
8,176
1,761
9
of which other CCR
n.a.
n.a.
n.a.
15
Settlement risk
0
0
0
16
Securitisation exposures in the non-trading book (after the cap)
0
0
0
17
of which SEC-IRBA approach
n.a.
n.a.
n.a.
18
of which SEC-ERBA (including IAA)
n.a.
n.a.
n.a.
19
of which SEC-SA approach
n.a.
n.a.
n.a.
EU 19a
of which 1,250 % / deduction
n.a.
n.a.
n.a.
20
Position, foreign exchange and commodities risks (Market risk)
48,265
43,764
3,861
21
of which the standardised approach
48,265
43,764
3,861
22
of which IMA
n.a.
n.a.
n.a.
EU 22a
Large exposures
0
0
0
23
Operational risk
650,549
645,321
52,044
EU 23a
of which basic indicator approach
650,549
645,321
52,044
EU 23b
of which standardised approach
n.a.
n.a.
n.a.
EU 23c
of which advanced measurement approach
n.a.
n.a.
n.a.
24
Amounts below the thresholds for deduction (subject to 250 % risk weight) (for information)
23,103
0
1,848
29
Total
4,121,797
4,242,745
329,744
The total risk weighted exposure amounts (RWEA) decreased by CHF 121 million compared to the previous year to CHF 4.1 billion. This is mainly due to the decrease in credit risk (excluding counterparty credit risk) from CHF 3.5 billion to CHF 3.3 billion.
EU OVC: ICAAP Information ICAAP information (Article 438(1)(a,c) CRR)The primary objective of the ICAAP is both to comply with regulatory capital requirements and to ensure the economic risk-bearing capacity and thus the continued existence of the bank as a going concern. The risks of banking operations are to be borne by the available risk coverage potential.
Risk-bearing capacity is ensured if the existing risk coverage potential is greater than the risks assumed at all times. From a regulatory perspective, risk-bearing capacity is ensured as long as the eligible own funds are greater than the regulatory capital requirements plus the management buffer. From an economic point of view, the risk-bearing capacity is given as long as the present value of equity (less operating and risk costs) exceeds the risk capital requirements for market, credit and operational risks plus risk buffers. Pre-warning stages enable the course to be set at an early stage so as not to jeopardize the continued existence of VP Bank.
Risk-bearing capacity is a central component in the risk management process, which comprises the following components:
Risk identification (risk inventory)
Determination of risk strategies and risk tolerance (risk appetite)
Risk measurement and assessment of risk-bearing capacity
Risk steering
Independent risk monitoring and reporting
Further information on the organization of capital, liquidity and risk management as well as the process of ensuring risk-bearing capacity can be found in the risk management section of VP Bank Group's annual report. There is currently no additional requirement in place to disclose the institution's own procedures for assessing the adequacy of internal capital.
Exposure to counterparty credit risk (Article 439 CRR)OTC derivative transactions may only be concluded with counterparties with whom a netting contract and a clearing agreement have been signed. The default risk is limited for interbank transactions within the context of the limit system.
As part of risk management, derivative financial instruments are concluded only in the banking book and are used to hedge against equity price, interest change and currency risks as well as to manage the banking book. Derivatives approved for this purpose are set out in the Risk Strategy for Financial Risks Regulations.
For the internal allocation of economic capital, no distinction is made between derivative and original credit risk exposures. Risk-reducing correlation effects between the risk types are not taken into consideration for precautionary reasons.
EU CCRA: Qualitative disclosure related to CCRCounterparty Credit Risk (CCR) is defined as the risk that the counterparty will default before the final settlement of the cash flows of derivatives or securities financing transactions. At VP Bank, it is integrated into the internal control process for credit risks. VP Bank uses the SA-CCR to quantify counterparty credit risk. As of 31 December 2024, the capital requirements for the counterparty credit risk amounted to CHF 130 million. Template EU CCR1 shows the counterparty credit risk by approach pursuant to Article 439 CRR.
In order to reduce the credit risk from these instruments, VP Bank concludes framework agreements such as ISDA agreements, Swiss or German framework agreements for financial futures transactions with the respective counterparties. The contracts also specify the variation margin arrangements (e.g. through the Credit Support Annex in the ISDA Agreements). VP Bank only uses cash and securities collateral. A detailed list of collateral provided and received is set out in template EU CCR5. Collateral is revalued on a daily basis. Ensuring the value and recoverability of collateral for counterparty credit risks is carried out in accordance with internal rules and procedures. No derivatives are settled via central counterparties (CCPs). VP Bank calculates Credit Valuation Adjustments (CVA) using the standard method. The capital requirements for CVA risk as of 31 December 2024 amount to CHF 22 million.
Collateral agreements are concluded without any agreement to increase or decrease the provision of collateral in the event of rating changes on behalf of VP Bank.
EU CCR1 - Analysis of CCR exposure by approachin CHF 1,000 | Replace- | Potential | EEPE 1 | Alpha used for | Exposure | Exposure | Exposure RWEA 2 |
ment cost | future | computing | value | value | value | ||
(RC) | exposure | regulatory | pre-CRM | post-CRM | |||
(PFE) | exposure value |
EU-1 | EU - Original Exposure Method (for derivatives) | 0 | 0 | 1.4 | 0 | 0 | 0 | 0 | |
EU-2 | EU - Simplified SA-CCR (for derivatives) | 0 | 0 | 1.4 | 0 | 0 | 0 | 0 | |
1 | SA-CCR (for derivatives) | 83,678 | 29,611 | 1.4 | 159,911 | 158,606 | 158,606 | 130,052 | |
2 | IMM (for derivatives and SFTs) | 0 | 0 | 0 | 0 | 0 | 0 | ||
2a | of which securities financing transactions netting sets | 0 | 0 | 0 | 0 | 0 | |||
2b | of which derivatives and long settlement transactions netting sets | 0 | 0 | 0 | 0 | 0 | |||
2c | of which from contractual cross-product netting sets | 0 | 0 | 0 | 0 | 0 | |||
3 | Financial collateral simple method (for SFTs) | 0 | 0 | 0 | 0 | ||||
4 | Financial collateral comprehensive method (for SFTs) | 0 | 0 | 0 | 0 | ||||
5 | VaR for SFTs | 0 | 0 | 0 | 0 | ||||
6 | Total | 159,911 | 158,606 | 158,606 | 130,052 | ||||
1 Effective Expected Positive Exposure
2 Risk-Weighted Exposure Amounts
The following template presents regulatory calculations for CVA in accordance with Article 439(e,f) of the CRR. Only the standardised method defined under Article 384 of the CRR is used to determine CVA risk.
EU CCR2 - Transactions subject to own funds requirements for CVA risk | ||
in CHF 1,000 | Exposure value | RWEA |
1 Total transactions subject to the Advanced method | n.a. | n.a. |
2 (i) VaR component (including the 3× multiplier) | n.a. | |
3 (ii) stressed VaR component (including the 3× multiplier) | n.a. |
4 | Transactions subject to the Standardised method | 155,286 | 22,010 |
EU-4 | Transactions subject to the Alternative approach (Based on the Original Exposure Method) | 0 | 0 |
5 | Total transactions subject to own funds requirements for CVA risk | 155,286 | 22,010 |