Banks
Switzerland
Zuercher Kantonalbank
Full Rating Report
Key Rating Drivers
Ratings
Long-Term IDR
Short-Term IDR
AAA
F1
Viability Rating
Support Rating
a+
1
Sovereign Risk
Foreign-Currency Long-Term IDR
Local-Currency Long-Term IDR
AAA
AAA
Outlooks
Foreign-Currency Long-Term
Stable
Rating
Sovereign Foreign-Currency Long- Stable
Term IDR
Sovereign Local-Currency LongStable
Term IDR
Financial Data
Zuercher Kantonalbank
30 Jun
15
Total assets (USDm)
Total assets (CHFm)
Total equity (CHFm)
Operating profit (CHFm)
Operating ROAA (%)
Operating ROAE (%)
Fitch Core Capital ratio
(%)
Fitch Eligible Capital
ratio (%)
Loans/client deposits
(%)
31 Dec
14
173,962 160,137
161,819 158,392
10,139
9,487
364
665
0.46
0.43
7.48
7.16
16.8
16.1
18.4
17.1
104.8
104.9
Support Drives IDRs: Zuercher Kantonalbank’s (ZKB) Issuer Default Ratings (IDRs) are
driven by institutional support from its owner, the Canton of Zurich (AAA/Stable). Fitch Ratings
believes the canton has a very high propensity to use early stabilisation measures to ensure
ZKB’s viability, if needed. This is mainly driven by ZKB’s important role for the local economy
as reflected in its high deposit and mortgage lending market shares, the canton’s guarantee of
ZKB’s non-subordinated liabilities and the constitutional obligation to maintain a cantonal bank.
Adequate Ability to Support: ZKB’s balance sheet is large relative to the canton’s budgetary
resources. However, we believe that the bank’s stable business model and strong capitalisation
would trigger manageable recapitalisation needs in a realistic stress scenario. Given ZKB’s
systemically important bank (SIB) status, we would expect the Swiss National Bank (SNB) to
cover unexpected liquidity needs should these exceed the canton’s resources.
Strong Standalone Profile: ZKB’s stable and resilient business model and leading local
franchise underpin its Viability Rating (VR). Zurich has Switzerland’s largest, and one of the
most diversified, local economies. This mitigates the bank’s limited geographic diversification
resulting from its mandate to serve the canton’s economy. ZKB’s franchises in private banking,
asset management (strengthened by Swisscanto Holding AG’s acquisition) and largely clientdriven trading diversify its revenues from its focus on residential mortgage lending in Zurich.
Sound Asset Quality: ZKB’s NPL ratio was a very low 0.7% at end-2014 following five years
of net releases of loan loss reserves. We expect loan impairment charges (LICs) to remain low
in the near term, supported by the resilient Swiss economy and the prevailing borrower-friendly
low interest rates. In the medium term, we expect LICs to rise moderately but to remain
manageable in light of the bank’s generally low risk appetite and cautious risk management.
Interest Rate Pressure: ZKB’s profits have been fairly stable through the cycle but will be
increasingly pressured by the negative interest rates introduced by the SNB in 1Q15. The bank
(like most competitors) has reacted by raising price discipline in mortgage lending but has not
started to charge negative rates on deposits, except for short-term funds from large corporates.
ZKB’s balance at the central bank is partly subject to the negative interest rates.
Related Research
Zuercher Kantonalbank - Ratings Navigator
(December 2015)
Fitch Affirms ZKB's IDR at 'AAA'/Stable;
Viability Rating at 'a+' (November 2015)
Fitch Affirms Canton of Zurich at 'AAA';
Outlook Stable (February 2016)
Strong Capitalisation: Capitalisation benefits from the particularly high regulatory
requirements imposed on Swiss SIBs. Internal capital generation is adequate, even though
ZKB distributes typically about half of its net income to the canton and its municipalities. The
CHF575m undrawn portion of its endowment capital committed by the canton supports the VR
as we would consider a drawdown as ordinary institutional support.
Fitch Affirms Switzerland at 'AAA'; Outlook
Stable (October 2015)
Rating Sensitivities
The Swiss Residential Housing and
Mortgage Market (May 2015)
Severe Property Market Correction: Changes to the canton’s IDRs, ability or propensity to
support could trigger a downgrade. The VR is mostly vulnerable to large losses potentially
arising from a sharp correction of residential property prices in Zurich, which could dent ZKB's
capitalisation. However, we view this scenario as unlikely in the near term.
Analysts
Patrick Rioual
+49 69 768076 123
patrick.rioual@fitchratings.com
Maria Shishkina
+44 20 3530 1379
maria.shishkina@fitchratings.com
www.fitchratings.com
US Tax Settlement: The sound capitalisation and profits could absorb a material cost from a
settlement of the US authorities’ investigations into ZKB’s legacy US offshore wealthmanagement business. However, a fine significantly exceeding our expectations could put
pressure on the VR by reducing the bank’s financial flexibility and damaging its reputation.
2 March 2016
Banks
Operating Environment
Figure 1
Swiss Banks' Deposit Rates
Sight deposits
Savings deposits
12-month time deposits >CHF0.1m
(%)
0.20
0.15
0.10
0.05
0.00
-0.05
-0.10
-0.15
Jul 15
May 15
Jan 15
Mar 15
Nov 14
Jul 14
Sep 14
May 14
Mar 14
Jan 14
SNB rate cut
Source: SNB
Figure 2
Swiss Banks' Mortgage Rates
10-Year Fixed
(%)
3.0
SNB rate cut
Concentration on the Small but Wealthy and Diversified Zurich Region
ZKB is predominantly active in the Canton of Zurich, Switzerland's largest region, which
accounts for over a fifth of the country’s GDP and a fifth of the total population (about 1.5m).
The region is wealthy and economically diversified, creating a stable and resilient environment
that adequately mitigates ZKB’s modest geographic diversification. Fitch expects solid GDP
growth for Switzerland of 1.6% in 2016 and 1.8% in 2017 despite the Swiss franc’s strength,
but rising household debt/GDP exposes retail clients to potential economic downturns.
Market Discipline Mitigates Pressure from Negative Interest Rates
The SNB’s unexpected removal of the Swiss franc’s ceiling against the euro in January 2015
triggered a sharp appreciation of the franc despite the simultaneous cut of short-term rates into
negative territory. Most Swiss banks, including ZKB, have not passed on negative rates to retail
depositors. Instead, they have mitigated the resulting margin pressure by maintaining solid
market discipline, raising fees and margins on mortgage lending. Trading income has also
benefited from rising market volatility following the SNB’s move. However, this may be
insufficient in the long term. Moreover, a significant share of the bank’s large cash balance at
the SNB is subject to negative interest rates, which further depresses profitability.
2.5
2.0
Company Profile
1.5
Largest Cantonal Bank and One of Five Swiss SIBs
1.0
ZKB, by far the largest of Switzerland’s 24 cantonal banks, is a public-law institution owned by
the Canton of Zurich. Its stable business model is primarily underpinned by solid market shares
in retail deposit and mortgage lending in the Zurich region of 28% and 35%, respectively. It is
also Switzerland’s third-largest bank by assets (the fourth largest if the unconsolidated
cooperative Raiffeisen banks are considered as a single group). The SNB categorises ZKB as
one of Switzerland’s five SIBs – alongside Credit Suisse Group AG (A/Stable), UBS Group AG
(A/Positive), PostFinance AG and Raiffeisen – due to its sizeable retail franchise. This status
imposes particularly stringent regulatory capital and liquidity requirements.
0.5
Jul 15
May 15
Mar 15
Jan 15
Nov 14
Sep 14
Jul 14
May 14
Jan 14
Mar 14
0.0
Source: SNB
Figure 3
Loans by Borrower Types
CHF89bn at end-1H15
Retail/small SMEs
Swisscanto Acquisition Improves Business Diversification
Corporates
Public sector
(CHFbn)
80
The acquisition of Swisscanto, completed in 1Q15, has further diversified ZKB’s business
scope beyond its core regional retail banking franchise. Following the acquisition, ZKB became
Switzerland’s third-largest investment fund provider and fourth-largest asset manager.
60
Small Private Banking Franchise
40
ZKB began to develop its domestic and international private banking franchise a decade ago.
Its core European markets are Germany, the UK, Italy, Spain, Austria and the Czech Republic,
with its core emerging markets being the United Arab Emirates and Hong Kong. The bank
monitors the tax compliance of its international private banking clients, which accounted for
only 5% of the unit’s CHF64bn assets under management at end-2014.
20
0
Other
loans
Source: ZKB
Mortgages
Figure 4
Assets Under Management
(End of period in
CHFbn)
1H15a 2014 2013
Managed by ZKB
73
34
31
Managed mandate
56
31
28
Other client assets
133 134 134
Total client assets
262 199 192
O/w double-counted
35
20
18
Net new money
2.5 -2.3 -0.2
a
Including Swisscanto
Source: ZKB
Related Criteria
Management and Strategy
Public Service Mandate Defines Strategy
ZKB’s public mandate set out in a dedicated cantonal law, the ZKB Law, governs its focus on
the Zurich region. The law prescribes the sustainable provision of comprehensive banking
services to local households and SMEs, and the support of the canton’s economic and social
development by fostering home ownership and construction of affordable housing.
Beyond Zurich, ZKB lends mostly to Swiss SMEs and export-focused companies. International
expansion is likely to remain modest due to the US tax investigations and the uncertainty in the
eurozone. We expect private banking and asset management to grow most given ZKB’s high
local market shares in retail and corporate banking and constraints imposed by the ZKB Law.
Global Bank Rating Criteria (March 2015)
Zuercher Kantonalbank
March 2016
2
Banks
We view management’s experience and execution record as solid. This is evidenced by the
bank’s fairly stable performance, notably during the financial crisis. Corporate governance is
effective, with neutral rating implications.
Risk Appetite
Robust Risk Controls and Prudent Risk Appetite
Credit risk is by far ZKB’s major source of risk, accounting for 59% of its capital at risk (CaR) at
end-2015. Market and operational risks accounted for 28% and 13%, respectively. ZKB has
tightened its conservative underwriting standards in recent years amid concerns over inflating
residential property valuations in Switzerland, and in Zurich in particular. The bank switched to
a more conservative loan-to-value (LTV) calculation by adjusting market values of properties
for depreciation and increasing market standards.
Risk limits are conservative and the ZKB Law limits risk appetite. Risk-management controls
and parameters are robust and subject to regular reassessment. Management is assisted in
the implementation and monitoring of risk policies by a committee chaired by the chief risk
officer (CRO), who reports directly and regularly to the supervisory board. The CRO produces
quarterly reports covering significant risk areas. ZKB also carries out periodic stress testing and
scenario analyses. Capital allocation is calculated using a CaR model.
Below-Average Mortgage Lending Growth
We view ZKB’s asset growth (5.5% a year since the start of the financial crisis) and new business
volumes as sustainable relative to its steady internal capital generation. Mortgage loans, which
make up the bulk of ZKB’s credit exposures, have grown at below-market rates since 2011.
Management expects total assets to continue growing below market rates in the coming years.
Litigation Cost from US Tax Investigation Manageable in Our Base Case
Figure 5
Below-Average Growth
Swiss domestic mortgage loans
Stock - Swiss banksᵃ (LHS)
Stock - ZKB (LHS)
Growth yoy - Swiss banksᵃ (RHS)
Growth yoy - ZKB (RHS)
(CHFbn)
1,200
900
(%)
6
Rising Interest-Rate Risk in the Banking Book
4
ZKB controls its interest-rate risk in all currencies by using value-at-risk (VaR; 99% confidence
interval, 20-day holding period) and CaR approaches and sensitivity analyses. Fitch considers
that ZKB’s exposure to interest-rate risk in the banking book, which is almost entirely driven by
Swiss franc-denominated assets and liabilities, has increased. At end-9M15, a one basis-point
parallel shift in the yield curve would have resulted in a CHF7.6m change in the value of equity,
which implies a sensitivity of about 7% of Fitch Core Capital (FCC) for a 100bp shift.
600
300
0
2011 2012 2013 2014 1H15
a Domestic lending only
Source: Fitch, ZKB, SNB
ZKB’s main source of operational and reputational risk is the US Department of Justice’s
investigation since 2011 into Swiss banks’ (including ZKB) alleged assistance to US citizens’
tax evasion. ZKB’s provision appears conservative relative to other banks’ known settlements
but the final cost is impossible to predict. ZKB’s solid profits and capital could absorb a sizeable
fine, although pressure could arise on the VR if the cost significantly exceeds our base case as
this could erode ZKB’s financial flexibility and damage its reputation. The bank has verified the
tax compliance of its international private banking clients. The regulatory pressure to do so for
the domestic client base is also gradually building up.
2
0
Moderate Traded Market Risk
Market risk arises from the trading book (CHF10bn at end-1H15), which mainly consists of
bonds, precious metals (also linked to ZKB’s issuance of structured products, warrants and
ETFs) and equity-linked securities. Management has adopted a more cautious approach to
traded market risk following trading losses during the financial crisis. Since 2007, it has
reduced equity trading and largely focused on client-driven activities and products, mostly
foreign exchange (mainly francs to euros), interest-rate swaps, and franc and euro bonds.
ZKB controls market risk in its trading book by setting daily VaR limits (99% confidence interval,
10-day holding period, 365-day observation period) and running sensitivity and CaR analyses.
Trading VaR utilisation including diversification effects was a low CHF14m at end-1H15. ZKB
Zuercher Kantonalbank
March 2016
3
Banks
did not breach its VaR limit in January 2015 despite the market volatility driven by the SNB’s
removal of the franc’s ceiling against the euro, which however caused backtesting exceptions.
Figure 6
Asset-Quality Metrics
(%)
2014 2013 2012
Loan growth
7
2
7
NPL ratio
0.7
0.9
1.1
NPL coverage
50
50
58
Unreserved NPLs/
3
4
4
FCC
LICs/gross loans
-0.03 -0.07 -0.03
Source: ZKB, Fitch
Figure 7
Loan Impairment
Development 2007-2014
Impaired loans (LHS)
Impaired/gross loans (RHS)
(CHFbn)
(%)
1.8
1.5
1.2
0.9
0.6
0.3
0.0
2014
2013
2012
2011
2010
2009
2008
2007
1.2
1.0
0.8
0.6
0.4
0.2
0.0
2013 was restated to CHF674m following
the change from customer to product view
Source: ZKB; Fitch
ZKB also calculates a stressed VaR weekly to determine its capital-adequacy requirements.
At end-1H15, the total stressed VaR in the trading and banking books (defined as the sum of
modelled total risk and the risk premium for trading products not fully modelled) was a low
CHF38m (CHF36m at end-2014). Open currency positions are kept limited.
Asset Quality
Strong Metrics but Unsustainably Low Impairment Charges
Impaired loans have declined since 2011 to a low 0.7% of gross loans and 6.4% of FCC at
end-2014, triggering a net release of loan loss reserves during the period. Specific loan loss
provisions of CHF302m covered 50% of impaired loans, which we view as adequate in light of
the high degree of collateralisation and despite the collateral values’ significant downside.
At end-2014, 79% of total assets and 96% of client loans were domestic, mostly in the Zurich
area. Mortgage loans are mostly to households and small SMEs, and generally granular as a
result. The robust economic forecast for 2016-2017 limits short-term risk despite headwinds
given the strong franc. However, the current extremely low risk costs are, in our opinion,
unsustainable over the longer term.
Residential Property Valuation Risk
Loan quality benefits from ZKB’s focus on the strong Zurich area, strict underwriting standards,
periodic collateral revaluation and quarterly loan-impairment tests with special attention to
commercial loans. The non-payment risk associated with interest rate fluctuations is mitigated
by the bank’s high share of fixed-rate mortgages (three-quarters of all mortgages at end-1H15).
We believe loan quality would be resilient to moderate declines in residential property values
but is likely to suffer significantly from a severe price correction. The SNB considers that the
residential property market’s imbalances did not increase in 2015 but remain high. Pressure is
most likely to arise from excess demand from institutional investors and households searching
for higher-yielding investments.
Figure 8
ZWEXa 1980-3Q15
Index (1Q80 = 100)
300
250
200
150
a
3Q15
2010
2005
2000
1995
1990
1985
1980
100
ZWEX (Zurich residential propety index)
calculated by ZKB using observed Canton of
Zurich real estate transaction values
Source: ZKB
This is exacerbated by the fact that, thus far, macro-prudential stabilisation measures have
predominantly addressed the owner-occupied segment. These measures include the revision
of self-regulation rules for mortgage lending, increase of risk weights for high LTV mortgages
and the activation (in 2013) and a subsequent increase (in 2014) of the countercyclical capital
buffer. A high share of ZKB’s residential mortgage portfolio relates to buy-to-let properties,
reflecting the relatively low owner-occupancy in the Swiss property market.
Earnings and Profitability
Negative Interest Rates Put Rising Pressure on Earnings
Low and falling interest rates have burdened ZKB’s profits moderately in the past seven years.
Its net interest margin (net interest income (NII) over average earning assets) has declined
steadily from a modest 1.36% in 2008 to a weak 0.89% in 1H15. Despite the SNB’s rate cut in
1Q15, ZKB kept its deposit rates positive, except for large short-term corporate deposits.
As long as the domestic banking sector considers negative rates on retail deposits
unacceptable, the scope for downward repricing will be very limited, making the banks’ NII
increasingly vulnerable to further rate cuts by the SNB or the European Central Bank.
This will continue to burden ZKB’s NII, whose vulnerability is exacerbated by its large central
bank deposits. This was partly mitigated in 1H15 by ZKB’s increased margins on mortgage
loans, in line with competitors. Higher fee income also helped to diversify revenues, driven by
increased client activity and Swisscanto’s acquisition, although full synergies are unlikely to be
realised before next year.
Zuercher Kantonalbank
March 2016
4
Banks
Moreover, ZKB is addressing challenges from regulatory tightening in the asset-management
sector, particularly the phasing-out of retrocessions. These fees are generally received by
banks for distributing third-party products to clients; sometimes from client funds and are based
on arrangements that the regulators often consider as opaque. We expect the new regime to
have a manageable impact as ZKB is responding by adjusting its remuneration structure.
Interest Income Is the Main, but Not Dominant, Source of Revenues
Figure 9
Operating Revenue
Interest income from retail and corporate banking generates half of ZKB’s total revenues. Asset
management and wholesale banking also generate significant fee and trading income.
Other operating income
Net fee income
Net trading income
Net interest income
100%
80%
60%
40%
20%
0%
2011 2012 2013 2014 1H15
Trading income fluctuates between CHF250m and CHF400m a year, representing 15% to 20%
of total operating income. ZKB trades securities, currencies, precious metals and commodities
on behalf of clients. It is also an established market maker and a sizeable issuer of structured
products and warrants in the Swiss market. Almost half of trading income in 1H15 (CHF213m,
or 20% of total operating income) came from foreign exchange and precious metals, a third
came from bonds, interest rate and credit derivatives and the rest being derived from equity
and structured products.
Source: ZKB, Fitch
Moderate but Fairly Stable Profits Despite Regulatory and Investment Costs
Figure 10
The operating ROAE (7% to 10% since 2008) is adequate in light of its fairly low volatility even
amid adverse markets and the bank’s large equity base. The Swisscanto acquisition is
triggering staff and integration cost and linear goodwill impairment under Swiss GAAP while the
social mandate attached to the cantonal bank status limits the flexibility to cut staff.
Profit Distribution
2009-2014
Retained earnings
Endowment capital costs
Distribution to municipalities
Distribution to Canton
Retained earnings/annual profit (RHS)
(%)
(CHFm)
1,000
60
50
40
30
20
10
0
500
0
2009 2010 2011 2012 2013 2014
Source: ZKB, parent company view
ZKB, which started to remunerate (CHF21m a year) the canton’s guarantee in 2015, is exempt
from corporate tax but typically distributes about half of its profits to public authorities, of which
two thirds goes to the canton and one third to the municipalities. Its focus on the mature Zurich
region and the ZKB Law restraining risk-taking should moderately constrain revenue growth.
Profitability remained resilient in 2015 despite the challenging operating environment. NII was
broadly unchanged, but the integration of Swisscanto (included in ZKB’s accounts from 2Q15)
increased net fees and commissions while higher market volatility and client activities improved
the trading result. This more than offset the higher operating costs from the acquisition,
allowing for an increase in net income by 12% to CHF722m yoy.
Capitalisation and Leverage
Strong Capitalisation Benefits from High Regulatory Requirements
Figure 11
Capitalisation
(%)
FCC ratio
FEC ratio
Tangible
equity/tangible
assets
Tier 1 ratio
CET1 ratio
Internal capital
generation
Basel leverage
ratio
1H15 2014 2013 2012
16.8 16.1 15.9 15.1
18.4 17.1 16.9 16.1
6.2 6.0 6.2 5.8
17.1 15.6 16.2 15.2
16.1 14.6
7.8 3.9 4.5 2.5
6.0
Source: ZKB, Fitch
5.8 5.73 n.a.
Capitalisation is strong by international comparison. As an SIB, ZKB must maintain a minimum
total capital ratio of 14.7%, including a 0.7% countercyclical buffer and 13% Tier 1 capital.
Its 17.9% total capital ratio at end-2015 exceeds this requirement by a solid margin. The
CHF575m undrawn endowment capital could add almost 100bp to the ratio, offering additional
protection against a deteriorating property market or unexpectedly large US settlement costs.
Capital is of good quality, predominantly consisting of endowment capital and retained earnings
complemented with Basel III-compliant high- and low-trigger convertible capital. The hightrigger instrument is a CHF590m perpetual Tier 1 bond issued in 2012 to which we assign
100% equity credit in our Fitch Eligible Capital (FEC). We assign 50% equity credit to the two
low-trigger bonds (CHF185m and EUR500m) issued in 2015. This explains the difference to
FCC, which excludes hybrid instruments.
Comfortably Fulfils Proposed New Pillar II Capital Requirements
In 4Q15, the Swiss Federal Council proposed to amend the Capital Adequacy Ordinance to
bolster the SIBs’ resilience. Under the new too-big-to-fail proposals, total capital and leverage
requirements would comprise going-concern and gone-concern capital. ZKB expects its goneconcern capital requirement to be set in 2017 once its contingency plan is finalised (see below).
Zuercher Kantonalbank
March 2016
5
Banks
The going-concern capital requirement proposed for ZKB is a minimum Tier 1 ratio of 12.86%,
to be phased in from mid-2016 to end-2019. Up to 4.3% (currently 3%) can consist of additional
Tier 1 (AT1) capital with a high conversion trigger at 7% CET1 ratio. The proposed goingconcern leverage ratio requirement is 4.5% (up from 3.53%), which ZKB comfortably fulfilled
with its 7% at end-2015.
The gone-concern capital would cover the total loss-absorbing capacity requirements in
accordance with the Financial Stability Board’s standards. The amount to be covered could be
substantial, as suggested by the high gone-concern capital requirements of 14.3% proposed
for UBS Group and Credit Suisse Group. It is still unclear which instruments ZKB would use.
Swisscanto’s integration primarily affects ZKB’s regulatory capital ratios by moderately increasing
operational risk, which the bank calculates using the basic indicator approach. The deduction of
Swisscanto’s goodwill reduces ZKB’s total capital ratio by less than 30bp.
Internal Capital Generation Adequate but Limited by Dividend Payments
ZKB is not legally obliged to pay dividends, but we understand that the canton and its
municipalities budget stable payouts. In our view, this constrains ZKB’s financial flexibility.
From 2009 to 2013, it distributed CHF220m to the canton and CHF110m to the municipalities
annually. In 2014, this was cut to CHF164m and CHF82m, respectively, to accommodate
ZKB’s lower profits but remained in line with the long-term 45% payout ratio. In 2015 as profits
recovered, ZKB distributions increased to CHF200m and CHF100m, respectively. In addition,
the remuneration of the endowment capital of CHF2.4bn amounted to CHF26m.
Funding and Liquidity
Sound Liquidity and Funding Profile Benefits from Canton’s Guarantee
A large and mostly granular deposit base (despite some concentrated corporate deposits)
underpins ZKB’s funding. Client funds, which are roughly equally split between deposits and
bonds, accounted for 66% of non-equity funding and fully covered client loans at end-1H15.
The large high-quality liquid assets (monthly average of CHF35bn in 3Q15) predominantly
consist of cash at the SNB. This is needed to fulfil the 100% liquidity coverage ratio (LCR)
requirement, which came into force for Swiss SIBs on 01.01.2015. ZKB’s LCR stood at 128%
(monthly average) in 4Q15. It does not disclose its Net Stable Funding Ratio but reports it
monthly to the regulator.
Good Access to Interbank und Capital Market Funding
ZKB has been consistently perceived as a safe haven during market volatility. This enables it to
attract unsecured funds from commercial and central banks with rising maturities, a material
share of which is dollar-denominated. As a result, interbank liabilities were a high CHF34bn or
22% of non-equity funding at end-1H15 (CHF16bn net of interbank exposures, which are
predominantly to highly rated international banks on a secured basis).
Capital-market instruments are relatively well diversified by currency (francs and euros) and
investors’ geography (mostly Switzerland and the EU). Wholesale maturities in 2016 and 2017
will be close to the CHF3bn redeemed in 2015. This is comfortable in light of ZKB’s good
market access underpinned by its strong standalone profile and its owner’s guarantee. Its funding
profile also benefits from high-quality and granular assets backing its covered bonds.
Support
Canton’s Strong Incentive to Support
Several factors drive the canton’s high propensity to ensure ZKB’s viability as a going concern
rather than winding it down, in our view: the canton’s guarantee of ZKB’s non-subordinated
liabilities and its constitutional requirement to maintain a cantonal bank; the bank’s important
role for the regional economy, including leading retail deposit market shares; and negative
repercussions of a default on the canton’s reputation and on the Swiss financial markets.
Zuercher Kantonalbank
March 2016
6
Banks
Canton’s Adequate Ability to Support
ZKB’s strong standalone profile makes a severe stress triggering large and sudden needs for
capital or liquidity support unlikely. Given its residential mortgage lending focus, we would
expect any recapitalisation needs to arise gradually from asset-quality erosion rather than large
unexpected single losses. The high SIB buffers would trigger early stabilisation measures well
before the point of non-viability, mitigating the need for capital injections. This should allow the
canton to provide timely and sufficient recapitalisation.
We believe that the canton could also provide substantial liquidity support in a fairly timely
manner. However, in case of large unexpected liquidity outflows, ZKB may rely on liquidity
injections by the SNB, which should be forthcoming given ZKB’s SIB status and the absence of
regulatory constraints on central bank support.
Contingent Capital from the Canton Is a Key Element of Resolution Planning
As an SIB, ZKB must prepare a contingency plan that requires approval from the FINMA, the
Swiss financial market supervisor, and the canton in its capacity as sole potential contributor of
capital support. We expect that the plan may require the canton to commit a large volume of
contingent capital relative to its own resources. However, we do not expect this to jeopardise
the canton’s (and hence ZKB’s) IDRs or trigger a reassessment of our support assumptions
underpinning ZKB’s IDRs.
Zuercher Kantonalbank
March 2016
7
Banks
Peer Analysis
We compare ZKB’s metrics to those of European universal banks with VRs of or close to ‘a+’.
Figure 12
Peer Table
Long-Term Issuer Default Rating
Outlook
Viability Rating
Income statement (CHFm)
Net interest income (NII)
Net fees and commissions
Total non-interest operating income
Total non-interest expenses
Pre-impairment operating profit
LICs
Operating profit
Pre-tax profit
Net income
Balance sheet (CHFbn)
Gross loans
Reserves for impaired loans
Impaired loans
Loans and advances to banks
Total securities
Total earning assets
Total assets
Total customer deposits
Total long term funding
Total funding
Total equity
Fitch Core Capital
Asset quality (%)
Growth of gross loans
Growth of total assets
Impaired loans/gross loans
NPL coverage ratio
Unreserved impaired loans/FCC
Impaired loan reserves/gross loans
RWA/total assets
LICs/av gross loans
Earnings & profitability (%)
NII/earning assets
Non-interest income/ gross revenues
Cost income ratio
Pre-impairment operating RoE
Pre-impairment operating RoA
LICs/ pre-impairment operating profit
Operating RoE
Operating RoA
Operating RoRWA
Net RoE
Net RoRWA
Capitalisation & leverage (%)
Tangible common equity/tangible assets
Tier 1 ratio
Total capital ratio
Core Tier 1 ratio
Equity/total assets
FCC/RWA
Internal capital generation
Funding & liquidity (%)
Loans/deposits
Interbank assets/interbank liabilities
Client deposits/total funding
Zuercher
Kantonalbank
AAA
Stable
a+
Jun 15 Dec 14
CM11-CIC
Danske Bank AS
A+
A
Stable
Stable
a+
a+
Jun 15 Dec 14 Jun 15 Dec 14
Swedbank AB
A+
Positive
a+
Jun 15 Dec 14
ABN AMRO Bank
N.V.
A
Stable
a
Jun 15 Dec 14
549
318
539
731
370
6
364
400
393
1,070
531
844
1,294
641
-24
665
647
647
2,734
1,643
4,138
4,280
2,665
419
2,240
2,206
1,387
6,828
3,423
7,549
9,061
5,401
1,100
4,354
4,335
2,900
2,375
755
995
1,695
1,719
20
1,699
1,699
1,314
5,592
1,586
1,871
4,122
3,359
610
2,748
1,266
621
1,363
631
719
928
1,211
8
1,203
1,199
903
3,001
1,432
1,886
2,283
2,729
61
2,675
2,688
2,105
3,181
964
1,276
2,566
1,904
299
1,605
1,605
1,191
7,232
2,031
2,380
6,365
3,308
1,406
1,902
1,856
1,362
88.8
n.a.
n.a.
16.2
14.1
119.1
161.8
84.7
13.6
132.4
10.1
10.0
86.7
0.3
0.6
16.3
27.1
129.8
158.4
82.6
11.6
146.9
9.5
9.5
314.5
8.7
13.9
50.6
171.9
530.7
583.6
252.4
59.6
434.7
37.4
32.3
355.1
10.2
15.7
41.7
85.4
582.2
652.9
278.6
69.6
486.1
41.9
27.4
232.6
5.1
9.3
17.5
162.2
458.0
481.6
117.1
144.7
396.3
20.7
16.5
264.1
6.6
11.6
10.3
220.5
545.7
557.9
124.1
163.9
462.1
23.8
19.0
154.0
0.3
0.6
9.1
46.5
226.8
259.7
89.4
80.7
219.8
12.9
11.3
172.0
0.4
0.8
12.3
49.9
252.1
271.2
84.5
69.8
231.3
15.0
13.2
282.5
4.9
7.5
16.0
109.7
403.4
427.4
239.7
72.3
402.7
16.5
16.3
320.2
5.7
9.1
18.0
114.6
447.1
464.6
259.4
82.3
437.2
17.9
17.0
2.4
2.2
n.a.
n.a.
n.a.
n.a.
36.8
0.0
7.3
5.8
0.7
49.9
3.2
0.4
37.1
0.0
2.2
3.1
4.4
62.9
15.9
2.8
0.0
0.3
4.0
6.6
4.4
64.8
20.2
2.9
33.4
0.3
2.0
0.0
4.0
54.7
25.4
2.2
25.9
0.0
0.5
7.0
4.4
56.9
26.5
2.5
25.1
0.2
1.3
8.4
0.4
55.3
2.5
0.2
17.7
0.0
10.2
16.3
0.5
52.0
2.9
0.2
19.5
0.0
1.8
6.2
2.7
65.0
16.1
1.7
28.0
0.2
1.8
4.0
2.9
62.6
20.1
1.8
28.3
0.4
0.9
49.5
67.2
7.6
0.5
1.6
7.5
0.5
1.2
8.1
1.3
0.9
44.1
67.6
6.9
0.4
-3.7
7.2
0.4
1.1
7.0
1.1
1.1
60.2
62.3
14.6
0.9
15.9
12.3
0.8
n.a.
7.6
n.a.
1.2
52.5
63.0
13.4
0.9
19.4
10.8
0.7
2.0
7.2
1.3
1.0
29.5
50.3
16.8
0.7
1.2
16.6
0.7
2.8
12.9
2.1
1.1
25.1
55.2
14.0
0.6
18.2
11.5
0.5
2.0
2.6
0.4
1.2
34.5
44.6
19.2
1.0
0.6
19.0
1.0
5.3
14.3
4.0
1.3
38.6
46.7
19.4
1.1
2.0
19.1
1.1
5.1
15.0
4.0
1.6
28.6
57.6
24.0
0.9
15.7
20.2
0.8
2.7
15.0
2.0
1.7
24.8
66.2
19.4
0.7
42.5
11.1
0.4
1.4
8.0
1.0
6.2
17.1
18.2
16.1
6.3
16.8
7.8
6.0
15.6
16.6
14.6
6.0
16.1
3.9
5.6
n.a.
n.a.
14.6
6.4
n.a.
7.5
5.6
14.4
17.5
14.4
6.4
12.6
6.4
4.0
16.5
18.7
14.3
4.3
13.3
12.8
4.0
16.7
19.3
15.1
4.3
13.6
-1.2
4.4
25.0
28.2
22.4
5.0
24.6
14.1
4.9
22.4
25.5
21.2
5.5
24.9
3.3
3.8
14.6
18.3
14.2
3.9
13.6
11.0
3.7
14.6
19.7
14.1
3.9
12.9
4.9
105
48
64
105
48
63
125
280
59
127
182
59
199
109
33
213
50
31
172
57
42
204
58
38
118
86
64
123
95
65
Source: Fitch
Zuercher Kantonalbank
March 2016
8
Banks
Zuercher Kantonalbank
Income Statement
1. Interest Income on Loans
2. Other Interest Income
3. Dividend Income
4. Gross Interest and Dividend Income
5. Interest Expense on Customer Deposits
6. Other Interest Expense
7. Total Interest Expense
8. Net Interest Income
9. Net Gains (Losses) on Trading and Derivatives
10. Net Gains (Losses) on Other Securities
11. Net Gains (Losses) on Assets at FV through Income Statement
12. Net Insurance Income
13. Net Fees and Commissions
14. Other Operating Income
15. Total Non-Interest Operating Income
16. Personnel Expenses
17. Other Operating Expenses
18. Total Non-Interest Expenses
19. Equity-accounted Profit/ Loss - Operating
20. Pre-Impairment Operating Profit
21. Loan Impairment Charge
22. Securities and Other Credit Impairment Charges
23. Operating Profit
24. Equity-accounted Profit/ Loss - Non-operating
25. Non-recurring Income
26. Non-recurring Expense
27. Change in Fair Value of Own Debt
28. Other Non-operating Income and Expenses
29. Pre-tax Profit
30. Tax expense
31. Profit/Loss from Discontinued Operations
32. Net Income
33. Change in Value of AFS Investments
34. Revaluation of Fixed Assets
35. Currency Translation Differences
36. Remaining OCI Gains/(losses)
37. Fitch Comprehensive Income
38. Memo: Profit Allocation to Non-controlling Interests
39. Memo: Net Income after Allocation to Non-controlling Interests
40. Memo: Common Dividends Relating to the Period
41. Memo: Preferred Dividends Related to the Period
Exchange rate
Zuercher Kantonalbank
March 2016
30 Jun 2015
6 Months - Interim
CHFm
Unaudited
31 Dec 2014
Year End
CHFm
Unqualified
31 Dec 2013
Year End
CHFm
Unqualified
31 Dec 2012
Year End
CHFm
Unqualified
678.0
33.0
0.0
711.0
0.0
162.0
162.0
549.0
213.0
3.0
0.0
0.0
318.0
5.0
539.0
470.0
261.0
731.0
13.0
370.0
6.0
0.0
364.0
0.0
36.0
0.0
0.0
0.0
400.0
7.0
0.0
393.0
0.0
0.0
0.0
0.0
393.0
0.0
393.0
0.0
0.0
1,448.0
73.0
n.a.
1,521.0
n.a.
451.0
451.0
1,070.0
287.0
3.0
n.a.
n.a.
531.0
23.0
844.0
816.0
478.0
1,294.0
21.0
641.0
(24.0)
n.a.
665.0
n.a.
42.0
60.0
n.a.
n.a.
647.0
n.a.
n.a.
647.0
n.a.
n.a.
n.a.
n.a.
647.0
n.a.
647.0
280.0
n.a.
1,490.0
72.0
n.a.
1,562.0
n.a.
445.0
445.0
1,117.0
340.0
56.0
n.a.
n.a.
551.0
27.0
974.0
851.0
477.0
1,328.0
26.0
789.0
(53.0)
n.a.
842.0
n.a.
218.0
263.0
n.a.
n.a.
797.0
0.0
n.a.
797.0
n.a.
n.a.
n.a.
n.a.
797.0
n.a.
797.0
369.0
n.a.
1,628.0
94.0
n.a.
1,722.0
n.a.
568.0
568.0
1,154.0
379.0
14.0
n.a.
n.a.
536.0
25.0
954.0
1,020.0
496.0
1,516.0
15.0
607.0
(25.0)
n.a.
632.0
n.a.
33.0
71.0
n.a.
n.a.
594.0
0.0
n.a.
594.0
n.a.
n.a.
n.a.
n.a.
594.0
n.a.
594.0
374.0
n.a.
USD1 = CHF0.930
USD1 = CHF0.9891 USD1 = CHF0.89150SD1 = CHF0.91660
9
Banks
Zuercher Kantonalbank
Balance Sheet
30 Jun 2015
6 Months - Interim
CHFm
31 Dec 2014
Year End
CHFm
31 Dec 2013
Year End
CHFm
31 Dec 2012
Year End
CHFm
72,370.0
0.0
0.0
0.0
16,459.0
0.0
88,829.0
88,829.0
0.0
0.0
59,042.0
12,347.0
n.a.
n.a.
15,321.0
302.0
86,408.0
86,710.0
605.0
n.a.
57,650.0
12,008.0
n.a.
n.a.
11,124.0
360.0
80,422.0
80,782.0
727.0
n.a.
55,800.0
11,570.0
n.a.
n.a.
11,674.0
492.0
78,552.0
79,044.0
844.0
n.a.
16,162.0
0.0
10,058.0
0.0
0.0
0.0
148.0
3,933.0
14,139.0
0.0
0.0
0.0
0.0
0.0
119,130.0
16,302.0
n.a.
11,394.0
11,501.0
n.a.
n.a.
163.0
4,027.0
27,085.0
n.a.
n.a.
n.a.
n.a.
n.a.
129,795.0
14,612.0
n.a.
13,284.0
6,511.0
n.a.
n.a.
161.0
3,768.0
23,724.0
n.a.
n.a.
n.a.
n.a.
n.a.
118,758.0
17,185.0
n.a.
14,532.0
8,619.0
n.a.
n.a.
203.0
3,659.0
27,013.0
n.a.
n.a.
n.a.
n.a.
n.a.
122,750.0
29,185.0
0.0
0.0
755.0
173.0
1.0
0.0
0.0
0.0
12,575.0
161,819.0
27,069.0
n.a.
n.a.
723.0
n.a.
1.0
n.a.
n.a.
n.a.
804.0
158,392.0
29,553.0
n.a.
n.a.
698.0
3.0
2.0
n.a.
0.0
n.a.
693.0
149,707.0
26,093.0
n.a.
n.a.
670.0
6.0
3.0
n.a.
0.0
n.a.
1,172.0
150,694.0
38,703.0
46,031.0
0.0
84,734.0
33,812.0
0.0
312.0
118,858.0
13,558.0
0.0
n.a.
0.0
13,558.0
0.0
0.0
132,416.0
37,021.0
45,624.0
n.a.
82,645.0
33,870.0
n.a.
3,005.0
119,520.0
11,569.0
n.a.
n.a.
n.a.
11,569.0
15,823.0
n.a.
146,912.0
37,101.0
43,992.0
n.a.
81,093.0
31,788.0
n.a.
2,031.0
114,912.0
12,156.0
n.a.
n.a.
n.a.
12,156.0
11,423.0
n.a.
138,491.0
36,450.0
44,455.0
n.a.
80,905.0
31,813.0
n.a.
1,061.0
113,779.0
11,631.0
n.a.
n.a.
n.a.
11,631.0
14,474.0
n.a.
139,884.0
0.0
0.0
702.0
0.0
0.0
544.0
0.0
0.0
16,727.0
150,389.0
n.a.
n.a.
321.0
400.0
n.a.
265.0
n.a.
n.a.
419.0
148,317.0
n.a.
n.a.
379.0
309.0
n.a.
284.0
n.a.
n.a.
447.0
139,910.0
0.0
n.a.
517.0
100.0
0.0
294.0
n.a.
n.a.
525.0
141,320.0
1,291.0
0.0
588.0
n.a.
589.0
n.a.
590.0
n.a.
10,139.0
0.0
0.0
0.0
0.0
10,139.0
161,819.0
9,974.0
10,912.5
9,487.0
n.a.
n.a.
n.a.
n.a.
9,487.0
158,392.0
9,486.0
10,074.0
9,208.0
n.a.
n.a.
n.a.
n.a.
9,208.0
149,707.0
9,203.0
9,792.0
8,784.0
n.a.
n.a.
n.a.
n.a.
8,784.0
150,694.0
8,775.0
9,365.0
Assets
A. Loans
1. Residential Mortgage Loans
2. Other Mortgage Loans
3. Other Consumer/ Retail Loans
4. Corporate & Commercial Loans
5. Other Loans
6. Less: Reserves for Impaired Loans
7. Net Loans
8. Gross Loans
9. Memo: Impaired Loans included above
10. Memo: Loans at Fair Value included above
B. Other Earning Assets
1. Loans and Advances to Banks
2. Reverse Repos and Cash Collateral
3. Trading Securities and at FV through Income
4. Derivatives
5. Available for Sale Securities
6. Held to Maturity Securities
7. Equity Investments in Associates
8. Other Securities
9. Total Securities
10. Memo: Government Securities included Above
11. Memo: Total Securities Pledged
12. Investments in Property
13. Insurance Assets
14. Other Earning Assets
15. Total Earning Assets
C. Non-Earning Assets
1. Cash and Due From Banks
2. Memo: Mandatory Reserves included above
3. Foreclosed Real Estate
4. Fixed Assets
5. Goodwill
6. Other Intangibles
7. Current Tax Assets
8. Deferred Tax Assets
9. Discontinued Operations
10. Other Assets
11. Total Assets
Liabilities and Equity
D. Interest-Bearing Liabilities
1. Customer Deposits - Current
2. Customer Deposits - Savings
3. Customer Deposits - Term
4. Total Customer Deposits
5. Deposits from Banks
6. Repos and Cash Collateral
7. Commercial Paper and Short-term Borrowings
8. Total Money Market and Short-term Funding
9. Senior Unsecured Debt (original maturity > 1 year)
10. Subordinated Borrowing
11. Covered Bonds
12. Other Long-term Funding
13. Total LT Funding (original maturity > 1 year)
14. Derivatives
15. Trading Liabilities
16. Total Funding
E. Non-Interest Bearing Liabilities
1. Fair Value Portion of Debt
2. Credit impairment reserves
3. Reserves for Pensions and Other
4. Current Tax Liabilities
5. Deferred Tax Liabilities
6. Other Deferred Liabilities
7. Discontinued Operations
8. Insurance Liabilities
9. Other Liabilities
10. Total Liabilities
F. Hybrid Capital
1. Pref. Shares and Hybrid Capital accounted for as Debt
2. Pref. Shares and Hybrid Capital accounted for as Equity
G. Equity
1. Common Equity
2. Non-controlling Interest
3. Securities Revaluation Reserves
4. Foreign Exchange Revaluation Reserves
5. Fixed Asset Revaluations and Other Accumulated OCI
6. Total Equity
7. Total Liabilities and Equity
8. Memo: Fitch Core Capital
9. Memo: Fitch Eligible Capital
Exchange rate
Zuercher Kantonalbank
March 2016
USD1 = CHF0.930
SD1 = CHF0.989
SD1 = CHF0.891
SD1 = CHF0.91660
10
Banks
Zuercher Kantonalbank
Summary Analytics
30 Jun 2015
6 Months - Interim
A. Interest Ratios
1. Interest Income on Loans/ Average Gross Loans
2. Interest Expense on Customer Deposits/ Average Customer Deposits
3. Interest Income/ Average Earning Assets
4. Interest Expense/ Average Interest-bearing Liabilities
5. Net Interest Income/ Average Earning Assets
6. Net Int. Inc Less Loan Impairment Charges/ Av. Earning Assets
7. Net Interest Inc Less Preferred Stock Dividend/ Average Earning Asset
B. Other Operating Profitability Ratios
1. Non-Interest Income/ Gross Revenues
2. Non-Interest Expense/ Gross Revenues
3. Non-Interest Expense/ Average Assets
4. Pre-impairment Op. Profit/ Average Equity
5. Pre-impairment Op. Profit/ Average Total Assets
6. Loans and securities impairment charges/ Pre-impairment Op. Profit
7. Operating Profit/ Average Equity
8. Operating Profit/ Average Total Assets
9. Operating Profit / Risk Weighted Assets
C. Other Profitability Ratios
1. Net Income/ Average Total Equity
2. Net Income/ Average Total Assets
3. Fitch Comprehensive Income/ Average Total Equity
4. Fitch Comprehensive Income/ Average Total Assets
5. Taxes/ Pre-tax Profit
6. Net Income/ Risk Weighted Assets
D. Capitalization
1. Fitch Core Capital/ Risk Weighted Assets
2. Fitch Eligible Capital/ Risk Weighted Assets
3. Tangible Common Equity/ Tangible Assets
4. Tier 1 Regulatory Capital Ratio
5. Total Regulatory Capital Ratio
6. Core Tier 1 Regulatory Capital Ratio
7. Equity/ Total Assets
8. Cash Dividends Paid & Declared/ Net Income
9. Internal Capital Generation
E. Loan Quality
1. Growth of Total Assets
2. Growth of Gross Loans
3. Impaired Loans/ Gross Loans
4. Reserves for Impaired Loans/ Gross Loans
5. Reserves for Impaired Loans/ Impaired Loans
6. Impaired loans less Reserves for Impaired Loans/ Fitch Core Capital
7. Impaired Loans less Reserves for Impaired Loans/ Equity
8. Loan Impairment Charges/ Average Gross Loans
9. Net Charge-offs/ Average Gross Loans
10. Impaired Loans + Foreclosed Assets/ Gross Loans + Foreclosed Ass
F. Funding and Liquidity
1. Loans/ Customer Deposits
2. Interbank Assets/ Interbank Liabilities
3. Customer Deposits/ Total Funding (excluding derivatives)
4. Liquidity Coverage Ratio
5. Net Stable Funding Ratio
Zuercher Kantonalbank
March 2016
31 Dec 2014
Year End
31 Dec 2013
Year End
31 Dec 2012
Year End
1.54
n.a.
1.15
0.23
0.89
0.88
0.89
1.73
n.a.
1.23
0.32
0.86
0.88
0.86
1.87
n.a.
1.30
0.32
0.93
0.97
0.93
2.14
n.a.
1.44
0.45
0.96
0.98
0.96
49.54
67.19
0.92
7.60
0.47
1.62
7.48
0.46
1.23
44.10
67.61
0.84
6.90
0.42
(3.74)
7.16
0.43
1.13
46.58
63.51
0.88
8.83
0.53
(6.72)
9.43
0.56
1.45
45.26
71.92
1.06
7.06
0.42
(4.12)
7.35
0.44
1.09
8.08
0.49
8.08
0.49
1.75
1.33
6.96
0.42
6.96
0.42
n.a.
1.10
8.92
0.53
8.92
0.53
0.00
1.37
6.91
0.41
6.91
0.41
0.00
1.02
16.77
18.35
6.16
17.10
18.20
16.10
6.27
n.a.
7.82
16.13
17.13
5.99
15.60
16.60
14.60
5.99
43.28
3.87
15.86
16.88
6.15
16.20
16.20
15.20
6.15
46.30
4.65
15.11
16.12
5.82
15.20
15.20
n.a.
5.83
62.96
2.50
2.16
2.44
n.a.
n.a.
n.a.
n.a.
n.a.
0.01
n.a.
n.a.
5.80
7.34
0.70
0.35
49.92
3.19
3.19
(0.03)
n.a.
0.70
(0.65)
2.20
0.90
0.45
49.52
3.99
3.99
(0.07)
n.a.
0.90
12.46
6.19
1.07
0.62
58.29
4.01
4.01
(0.03)
n.a.
1.07
104.83
47.80
63.99
124.00
n.a.
104.92
48.13
63.04
n.a.
n.a.
99.62
45.97
63.82
n.a.
n.a.
97.70
54.02
64.51
n.a.
n.a.
11
Banks
Zuercher Kantonalbank
Reference Data
30 Jun 2015
6 Months - Interim
CHFm
31 Dec 2014
Year End
CHFm
31 Dec 2013
Year End
CHFm
31 Dec 2012
Year End
CHFm
0.0
0.0
0.0
0.0
7,128.0
3,524.0
262,074.0
n.a.
n.a.
3,323.0
n.a.
7,432.0
563.0
199,095.0
n.a.
n.a.
4,116.0
n.a.
6,869.0
648.0
192,070.0
n.a.
n.a.
3,827.0
n.a.
7,632.0
724.0
175,762.0
87,769.5
124,462.5
160,105.5
0.0
139,664.0
9,813.0
9,813.0
83,689.5
83,542.3
121,417.0
154,307.7
n.a.
138,836.7
9,290.3
9,290.3
81,882.7
79,873.0
118,089.0
150,073.0
n.a.
134,831.0
8,932.0
8,932.0
80,465.3
76,238.7
119,967.7
143,383.6
n.a.
127,328.7
8,595.0
8,595.0
74,746.7
0.0
0.0
0.0
0.0
22,115.0
11,902.0
32,411.0
19,980.0
18,186.0
9,037.0
34,992.0
18,207.0
17,799.0
10,333.0
35,074.0
15,346.0
0.0
0.0
0.0
0.0
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
0.0
0.0
0.0
0.0
9,098.0
4,240.0
2,659.0
305.0
9,090.0
3,407.0
1,813.0
302.0
9,604.0
5,649.0
1,676.0
256.0
0.0
0.0
0.0
0.0
80,047.0
879.0
951.0
768.0
81,669.0
757.0
957.0
710.0
78,312.0
906.0
911.0
776.0
0.0
0.0
0.0
0.0
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
0.0
0.0
0.0
0.0
27,574.0
3,035.0
2,661.0
600.0
26,719.0
1,774.0
2,450.0
845.0
26,522.0
1,988.0
2,096.0
1,207.0
0.0
0.0
0.0
0.0
n.a.
0.0
0.0
0.0
0.0
0.0
n.a.
0.0
224.0
2,781.0
4,839.0
6,730.0
14,574.0
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
639.0
1,981.0
6,384.0
5,772.0
14,776.0
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
821.0
830.0
5,899.0
5,732.0
13,282.0
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
n.a.
D. Risk Weighted Assets
1. Risk Weighted Assets
2. Fitch Adjustments to Risk Weighted Assets
3. Fitch Adjusted Risk Weighted Assets
59,481.0
0.0
59,481.0
58,816.0
n.a.
58,816.0
58,020.0
n.a.
58,020.0
58,085.0
n.a.
58,085.0
E. Equity Reconciliation
1. Equity
2. Add: Pref. Shares and Hybrid Capital accounted for as Equity
3. Add: Other Adjustments
10,139.0
n.a.
0.0
9,487.0
n.a.
n.a.
9,208.0
n.a.
n.a.
8,784.0
n.a.
n.a.
10,139.0
9,487.0
9,208.0
8,784.0
10,139.0
0.0
0.0
173.0
1.0
(9.0)
0.0
0.0
9,974.0
938.5
0.0
10,912.5
9,487.0
0.0
0.0
0.0
1.0
0.0
0.0
0.0
9,486.0
588.0
0.0
10,074.0
9,208.0
0.0
0.0
3.0
2.0
0.0
0.0
0.0
9,203.0
589.0
0.0
9,792.0
8,784.0
0.0
0.0
6.0
3.0
0.0
0.0
0.0
8,775.0
590.0
0.0
9,365.0
A. Off-Balance Sheet Items
1. Managed Securitized Assets Reported Off-Balance Sheet
2. Other off-balance sheet exposure to securitizations
3. Guarantees
4. Acceptances and documentary credits reported off-balance sheet
5. Committed Credit Lines
6. Other Contingent Liabilities
7. Total Assets under Management
B. Average Balance Sheet
Average Loans
Average Earning Assets
Average Assets
Average Managed Securitized Assets (OBS)
Average Interest-Bearing Liabilities
Average Common equity
Average Equity
Average Customer Deposits
C. Maturities
Asset Maturities:
Loans & Advances < 3 months
Loans & Advances 3 - 12 Months
Loans and Advances 1 - 5 Years
Loans & Advances > 5 years
Debt
Debt
Debt
Debt
Securities
Securities
Securities
Securities
Loans
Loans
Loans
Loans
&
&
&
&
< 3 Months
3 - 12 Months
1 - 5 Years
> 5 Years
Advances
Advances
Advances
Advances
to Banks
to Banks
to Banks
to Banks
< 3 Months
3 - 12 Months
1 - 5 Years
> 5 Years
Liability Maturities:
Retail Deposits < 3 months
Retail Deposits 3 - 12 Months
Retail Deposits 1 - 5 Years
Retail Deposits > 5 Years
Other Deposits
Other Deposits
Other Deposits
Other Deposits
Deposits
Deposits
Deposits
Deposits
from
from
from
from
< 3 Months
3 - 12 Months
1 - 5 Years
> 5 Years
Banks
Banks
Banks
Banks
< 3 Months
3 - 12 Months
1 - 5 Years
> 5 Years
Senior Debt Maturing < 3 months
Senior Debt Maturing 3-12 Months
Senior Debt Maturing 1- 5 Years
Senior Debt Maturing > 5 Years
Total Senior Debt on Balance Sheet
Fair Value Portion of Senior Debt
Subordinated Debt Maturing < 3 months
Subordinated Debt Maturing 3-12 Months
Subordinated Debt Maturing 1- 5 Year
Subordinated Debt Maturing > 5 Years
Total Subordinated Debt on Balance Sheet
Fair Value Portion of Subordinated Debt
4. Published Equity
F. Fitch Eligible Capital Reconciliation
1. Total Equity as reported (including non-controlling interests)
2. Fair value effect incl in own debt/borrowings at fv on the B/S- CC only
3. Non-loss-absorbing non-controlling interests
4. Goodwill
5. Other intangibles
6. Deferred tax assets deduction
7. Net asset value of insurance subsidiaries
8. First loss tranches of off-balance sheet securitizations
9. Fitch Core Capital
10. Eligible weighted Hybrid capital
11. Government held Hybrid Capital
12. Fitch Eligible Capital
Exchange Rate
Zuercher Kantonalbank
March 2016
USD1 = CHF0.930
SD1 = CHF0.989
SD1 = CHF0.891
SD1 = CHF0.91660
12
Banks
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Zuercher Kantonalbank
March 2016
13