EDMOND DE ROTHSCHILD 1/20

Transcription

1 PRIVATE BANKING 31 DECEMBER 2014 TIER 3 DISCLOSURE FINMA CIRCULAR 2008/22 EDMOND DE ROTHSCHILD 1/20

2 CONTENTS Page 1. PURPOSE AND SCOPE OF THIS REPORT Disclosure guidelines Scope of consolidation 3 2. CAPITAL ADEQUACY Eligible capital Required capital and adequacy ratio 4 3. RISK MANAGEMENT SYSTEM Risk policy Credit risk Market risk Operational risk APPENDIX Additional information on eligible capital 16 EDMOND DE ROTHSCHILD 2/20

3 1. PURPOSE AND SCOPE OF THIS REPORT 1.1. DISCLOSURE GUIDELINES The purpose of this report is to provide information to the public on the shareholders equity of the Edmond de Rothschild (Suisse) S.A. group ("EdR Switzerland Group"), as well as on coverage of the risks arising from the BPER Group s business and on its risk management system. This report has been drawn up in accordance with article 16 of the Capital Adequacy Ordinance (the CAO ) on Pillar 3 disclosure and the technical guidelines contained in Circular 2008/22, issued by the Swiss Financial Market Supervisory Authority ( FINMA ). Reports in this series are published once a year within four months of the annual closing date for consolidated financial statements, on 31 December. They appear on the website of Edmond de Rothschild (Suisse) SA, Geneva ( The information herein refers to the EdR Switzerland Group s consolidated financial data at 31 December SCOPE OF CONSOLIDATION The parent company of the EdR Switzerland Group is Edmond de Rothschild (Suisse) S.A., Geneva (the Bank ). The scope of consolidation for calculating capital adequacy requirements is the scope used in drawing up the consolidated annual financial statements. Group companies The EdR Switzerland Group companies in which the parent company owns a controlling interest, directly or indirectly, are fully consolidated. These holdings are stated in the EdR Switzerland Group s 2014 annual report and include banks, financial services companies and real estate firms in Switzerland and abroad. Holdings reported as per the equity method and other holdings Affiliated companies in which the EdR Switzerland Group owns a 20% to 50% stake are reported in the balance sheet using the equity method. At 31 December 2014, these were: Edmond de Rothschild Asset Management (Suisse) S.A., Geneva; A.C.H. Management SA, Luxembourg; LCF EdR Nikko Cordial, Tokyo L.C.H. Investment NV, Netherlands Antilles Their balance sheet value totalled CHF 38,1 million. The other non-consolidated holdings are stated in the consolidated balance sheet at their purchase value, less any depreciation, and are either deducted from shareholders equity or risk weighted. There is no restriction on transfers of money or shareholders equity within the EdR Switzerland Group. EDMOND DE ROTHSCHILD 3/20

4 2. CAPITAL ADEQUACY 2.1. ELIGIBLE CAPITAL 31/12/2014 (in CHF 000) Basel III 31/12/2013 (in CHF 000) Basel III Common equity Tier 1 (CET1) capital (after deducting treasury stock) - of which treasury stock - of which disclosed reserves Regulatory deductions (-) of which goodwill (-) of which other items 1,237,499 45, , ,604-10, ,080 1,272,540 45,000 1,227,540 Net common equity Tier 1 (CET1) capital 1,123,895 1,195,939 Additional Tier 1 (AT1) capital 0 0 Tier 2 (T2) capital (-) of which provisions Eligible capital 1,126,520 1,198,564 2,625 2,625-76,601-9,272-67,329 2,625 2,625 Eligible capital is determined in accordance with the CAO requirements and includes the following: common equity (including paid-in capital, disclosed reserves and reserves for general banking risks) deductions such as goodwill and qualifying holdings in financial services companies. REQUIRED CAPITAL AND ADEQUACY RATIO Required capital is determined with a view to covering the credit risk unrelated to counterparties, the market risk and operational risks. It depends on the regulatory approach chosen by the Group, which addresses each type of risk individually: Type of risk Credit risk Credit risk unrelated to a counterparty Market risk Operational risk Regulatory approach International standardised approach (BIS SA) Risk weighted (article 79 of the CAO) Standardised approach Standardised approach The risk-mitigation measures taken by the Group take account of collateral based on the overall approach. A risk unrelated to a counterparty is a risk of loss arising from changes in values or asset liquidation that are unrelated to counterparties, e.g. in relation to property and other fixed assets. EDMOND DE ROTHSCHILD 4/20

5 The following table provides a breakdown of consolidated capital requirements at 31 December 2014 by risk type and the ratio at which it is covered by EdR Switzerland Group eligible capital: 31/12/2014 (in CHF 000) Basel III 31/12/2013 (in CHF 000) Basel III Eligible capital 1,126,520 1,198,564 - of which common equity Tier 1 (CET1) capital 1,123,895 1,195,939 Capital requirement Credit risk 113,429 98,736 -of which price risks relating to equity securities in the banking book 8,158 7,646 Counterparty risk 18,869 18,615 Market risk 50,944 47,225 - of which on interest-rate instruments (general market and specific risks) 7,344 4,114 - of which on equity securities 2,102 2,446 - of which on currencies and precious metals 36,737 35,849 - of which on commodities 3,404 4,420 - of which on options (delta-plus) 1, Operational risk 83,993 86,371 Subtotal 267, ,947 Items not deducted as per Tier 3 12,704 14,965 Total 279, ,912 CET1 ratio 32,1% 36,0% T1 ratio 32,1% 36,0% Total capital ratio 32,2% 36,1% EDMOND DE ROTHSCHILD 5/20

6 Capital adequacy objective Under article 45 of the CAO, banks have to maintain additional (Tier 2) capital to cover risks that are not taken into account (or not significantly) in the Tier 1 category as defined in the Basel III accords. Swiss banks are subject to a capital adequacy "objective" that depends on the categories of risk they face, so that they can deal with risks not taken into account by the minimum 8% requirement. The target is also intended to ensure compliance with these standards in the event of adverse developments. Category Capital adequacy objective Criteria 1 (in billions of CHF) Balance sheet total Assets under management Category % Preferred deposits Required capital Balance sheet total Assets under management Category 3 12% Preferred deposits Required capital Balance sheet total Assets under management Category % Preferred deposits Required capital Balance sheet total Assets under management Category % Preferred deposits Required capital <1 <2 <0.1 <0.05 The EdR Switzerland Group is in category 3, which means that our capital adequacy objective 2 is 12%. Not only did we amply fulfil the legal requirement at 31 December 2014, with total eligible capital amounting to 32.1% of risk-weighted assets (compared with 36% in 2012), but we also have a large capital surplus to face the risks inherent in our businesses and their growth. 1 A company has to fulfil at least three of the four criteria to be in this category. 2 The capital adequacy objective is the ratio of eligible capital to risk-weighted assets. EDMOND DE ROTHSCHILD 6/20

7 3 RISK MANAGEMENT SYSTEM 3.1. RISK POLICY Edmond de Rothschild SA, Geneva is responsible for monitoring, administering and controlling the EdR Switzerland Group, of which it is the parent company. A joint risk policy set by the Bank and approved by the Board of Directors lays down the general guidelines to which the EdR Switzerland Group entities are subject. Within this framework and in compliance with local regulations, each subsidiary sets up its own risk management system with a view to identifying, mitigating and controlling the risks it is exposed to. The organisational structure and processes of the EdR Switzerland Group s risk management system have large human and material resources. Moreover they are constantly adapted to changes in regulations and the requirements inherent in our business activities. Risk management is set up as follows: the Board of Directors decides which components the EdR Switzerland Group s risk management should comprise and sets the Group s risk appetite, based on the recommendations of Edmond de Rothschild Holding SA for the Edmond de Rothschild Group as a whole; the Audit Committee monitors risk management and evaluates how it is functioning. It controls risks periodically by studying statements drawn up regularly or at its request by the Risk Control and Management Dept.; the Executive Committee is in charge of implementing procedures designed to identify, evaluate, analyse and control all risks taken by the Bank and the the EdR Switzerland Group. With the help of the Risk Committee it ensures that the risk policy set by the Board of Directors is being implemented and that all important information on the risk situation of the Bank and the EdR Switzerland Group is gathered, processed and reported to the proper governing body and to the regulator; department heads are responsible for anticipating, preventing and managing the main developments that could affect the attainment of the objectives inherent in their business segments and the underlying operational processes; the Head of Risk Management ensures that risk management guidelines and methods are transposed into decision-making and operational processes. He monitors risk exposure and compliance with the relevant limits and reports on the risk situation of the Bank and the EdR Switzerland Group. Each entity has a risk control and management desk that reports regularly on the entity's business to the Head of Risk Management at the Bank, the EdR Switzerland Group's parent company. The Bank and its subsidiaries are an underlying group of Edmond de Rothschild Holding SA (the Holding Company ), which controls the Edmond de Rothschild Group (the EdR Group ). As parent company of the EdR Group, the Holding is regulated by FINMA on a consolidated basis. To comply with FINMA s risk control and management requirements, the EdR Group has set up a Risk and Control Council composed of the heads of risk of all the EdR Group entities, who reports directly to the Group Chief Risk Officer. A charter establishes this Council s terms of reference and sets key guidelines in line with the EdR Group s strategic plan. This plan promotes exchanges and close collaboration between all the Council s members. EDMOND DE ROTHSCHILD 7/20

8 3.2. CREDIT RISK This is the risk that a client, a counterparty bank or other counterparty might not be able to honour an obligation towards the Bank and/or the Group s affiliated companies. The credit risk arises from lending to clients and from interbank transactions / positions: Clients Credit transactions with clients mainly concern short-term loans backed by securities, and to a lesser extent, loans to clients for their business activities. On an ancillary basis and at the request of clients who have assets deposited with the EdR Switzerland Group, entities may also grant mortgages for the purchase of the borrowers s primary residence. All credit facilities must be secured by financial assets that in order to be eligible must fulfil rigorous criteria regarding their liquidity, valuation, quality rating, regional provenance and diversification. To a lesser extent credit facilities may be secured by personal collateral, such as pledges or life insurance policies and guarantees issued by first-rate banks, or by property-backed instruments such as home mortgages. Thanks to this stringent policy, clients' liabilities are systematically and amply secured. The Risk Control and Management Dept. is in charge of analysing the quality of pledged financial assets and assigning them a collateral value. Each instrument is studied on the basis of several criteria: asset class (e.g. shares and other equity securities, bonds and other fixed-income securities, etc.). The collateral ratios applied to shares in investment funds, ETPs and related products are reviewed by a special Credit Committee. Credit-granting powers are set by the Boards of Directors of the entities that form the EdR Switzerland Group. Credit risk exposure to clients is monitored daily by a special team that reports to senior management at regular intervals or when required by developments. Banking counterparties The Bank and the EdR Switzerland Group entities have a low risk appetite when it comes to bank counterparties. These are subjected to in-depth analysis based on rigorous screening criteria. The credit lines granted to bank counterparties are set by the Bank's Board of Directors for the EdR Switzerland Group companies and mainly cover the following: i) interbank deposits; ii) reverse repos; iii) spot and forward forex transactions; iv) other derivative instruments; and v) fiduciary transactions. Credit lines are reviewed regularly, at the Bank's initiative or at the request of a Group company. They can also be updated immediately if required by the circumstances. Exposure to bank counterparties is monitored daily by a standing control desk. To minimise the credit risk attaching to bank counterparties, the EdR Switzerland Group prefers to deposit cash with the Swiss National Bank or to use reverse repos and netting agreements. EDMOND DE ROTHSCHILD 8/20

9 Credit risk by counterparty type The table below provides a breakdown of credit risk by counterparty type (in CHF '000) Credit commitments BALANCE SHEET Central governments and central banks Banks and brokers Due from public corporations Companies Retail Equity securities Other exposure Total (ex metals) Cash and other liquid assets 4,352, ,823 4,364,274 Due from banks 2,517,149 3,975,455 1,722, , ,519,793 - of which reverse repos 2,517,149 3,053,179 1,701, , ,570,878 Due from customers 0 0 1,405 1,612, , ,341,790 Mortgage claims , ,784 Money market claims / Trading portfolios Financial investments / Holdings 41,125 61,374 34, , , ,717 Other assets 2,900 34, , , ,160 Positive replacement values 0 124, ,054 11, ,504 OFF-BALANCE SHEET TRANSACTIONS Contingent liabilities / Guarantees 0 6,660 1,790 48,777 34, ,058 Irrevocable liabilities ,241 5,696 5, ,977 Liabilities on unpaid share capital and additional capital contributions Add-ons 0 74, ,287 6, ,684 Total at 31 December ,914,611 4,298,202 1,765,781 2,446, ,962 91,297 88,477 16,456,741 Total at 31 December ,767,158 4,063,215 1,587,254 1,550, ,153 78,043 53,870 15,959,193 EDMOND DE ROTHSCHILD 9/20

10 Mitigation of credit risk The table below shows the measures taken to mitigate the credit risk (in CHF '000) Secured by recognised financial assets Secured by guarantees and credit derivatives Credit commitments Secured by mortgage Other Total instruments collateral Unsecured (ex metals) BALANCE SHEET Cash and other liquid assets ,364, ,364,274 Due from banks 7,570, ,915 8,519,793 - of which reverse repos 7,570, ,570,878 Due from customers 2,125,682 1,054 13,378 78, ,418 2,341,790 Mortgage claims , ,784 Money market claims / Trading portfolios Financial investments / Holdings , ,717 Other assets , ,160 Positive replacement values 206,068 1, , ,504 OFF-BALANCE SHEET TRANSACTIONS Contingent liabilities / Guarantees 69, ,238 21,485 92,058 Irrevocable liabilities 962 1, ,526 33,977 Liabilities on unpaid share capital and additional capital contributions Add-ons 78,062 1, , ,684 Total at 31 December ,051,403 5,638 84,162 79,673 6,235,865 16,456,741 Total at 31 December ,992,337 1,282 44,915 58,489 6,862,170 15,959,193 3 of which KCHF 4,352,451 in clearing accounts with the Swiss National Bank and the Central Bank of Luxembourg EDMOND DE ROTHSCHILD 10/20

11 Breakdown of credit risk by rating The table below shows the weighting of credit risk by asset type (in CHF '000) Credit commitments 0% 10% 20% 35% 50% 75% 100% 125% 150% 250% 625% 1,250% BALANCE SHEET Total (ex metals) Cash and other liquid assets 4,364, ,364,274 Due from banks 7,288,269 43,464 1,032, , , , ,519,793 - of which reverse repos 7,287,950 43, , ,570,878 Due from customers 1,725, , , , ,341,790 Mortgage claims , , ,784 Money market claims / Trading portfolios Financial investments / Holdings 40, , , , , ,717 Other assets 3, , , ,160 Positive replacement values 186, , , , ,504 OFF-BALANCE SHEET TRANSACTIONS Contingent liabilities / Guarantees 71, , ,976 2,242 13, ,058 Irrevocable liabilities 0 0 7, , , ,977 Liabilities on unpaid share capital and additional capital contributions Add-ons 78, , , , ,684 Total at 31 December ,758,550 43,464 1,286,201 28, ,357 72, , , ,456,741 Total at 31 December ,166,808 28,195 1,391, ,568 91,884 1,076, , ,959,193 EDMOND DE ROTHSCHILD 11/20

12 Breakdown of credit risk by region The table below provides a geographical breakdown of the credit risk (in CHF '000) Credit commitments Switzerland Europe Caribbean BALANCE SHEET North America South America Asia Africa Oceania Total (ex metals) Cash and other liquid assets 3,624, , , ,364,274 Due from banks 687,511 7,331,640 5, , ,822 3,978 23,862 8,519,793 - of which reverse repos 546,517 6,694, , , ,710 7,570,878 Due from customers 148,721 1,457, , ,142 30, ,081 25,148 21,578 2,341,790 Mortgage claims 55,975 12, , ,784 Money market claims / Trading portfolios Financial investments / Holdings 103, ,378 6,307 34,045 3,739 30, , ,717 Other assets 33,534 95,232 3, , ,160 Positive replacement values 55, ,697 11,916 2,913 3,331 1, , ,504 OFF-BALANCE SHEET TRANSACTIONS Contingent liabilities / Guarantees 19,089 28,004 27,814 3,145 4,817 3,420 4,440 1,330 92,058 Irrevocable liabilities 28,521 3,741 1, ,977 Liabilities on unpaid share capital and additional capital contributions Add-ons 27, ,478 8,425 5,373 8,128 4, , ,684 Total at 31 December ,783,974 10,222, , ,269 51, ,335 34,030 75,063 16,456,741 Total at 31 December ,765,616 11,060, , ,879 23, ,332 37,380 33,795 15,959,193 Non-performing loans to clients by region The table below provides a geographical breakdown of non-performing loans to clients (in CHF '000) Switzerland Europe Caribbean North America South America Asia Africa Oceania TOTAL 31/12/ /12/2013 Nonperforming loans to clients (gross) 7, ,191 8,180 Individual value adjustments 7, ,191 8,180 EDMOND DE ROTHSCHILD 12/20

13 Breakdown of credit risk by rating The table below provides a risk-weighted breakdown of credit segments based on quality ratings (in CHF '000) Positions weighted by risk Counterparty Rating agency 0% 20% 50% 100% 150% a. Central governments and central banks Rated 10,561 6,410 2, Unrated 24, b. Public corporations Rated 0 21, c. BIS, IMF and multilateral development banks Unrated 0 3, Rated 8,685 1, Unrated , d. Banks and brokers Rated 0 2,624,772 49, ,031 Unrated 2,695, , ,408 5, e. Joint ventures Rated Unrated 0 7, f. Stock exchanges and clearing houses Rated Unrated g. Companies Rated 0 73, ,069 50,324 1,168 Unrated ,504,090 0 Total rated 19,565 2,727, ,299 50,333 2,199 Total unrated 2,719, , ,823 1,509, Combined total 2,739,252 3,600, ,122 1,560,071 2,881 EDMOND DE ROTHSCHILD 13/20

14 3.3. MARKET RISK The market risk lies in the vulnerability of the Group s financial situation to adverse swings in market prices and especially in the underlying value and implied volatility of currencies, equities, precious metals and commodities. Trading book The Bank and EdR Switzerland Group companies: have little or no involvement in proprietary securities trading (cf. interest rate risk and positional risk on equities); operate in the forex market mainly on behalf of clients and are only allowed to build small nostro positions (cf. forex/precious metals risk); The limits granted to traders are low, and their use of these is monitored daily with software by separate risk management and internal control teams. Banking book The Bank and EdR Switzerland Group companies may invest part of their capital and liquid assets in units of listed EdR Group investment funds and in bonds or other fixed-income securities that are rated investment grade or feature the high eligibility applied by central banks such as the Swiss National Bank and recognised stock exchanges such as SIX Swiss Exchange. A risk management desk or separate internal control team monitors compliance with the limits on these investment portfolios and also oversees the quality standards of the securities they contain. The Bank and EdR Switzerland Group companies also try to ensure that the maturities of investments and deposits are matched as closely as possible to avoid the adverse consequences that changes in market interest rates could have on net worth and the net interest margin (cf. interest rate risk). In this connection, at 31 December 2014 a parallel +/- 100-basis-point move in the interest rate curve would have reduced the book value of the EdR Switzerland Group's capital by 0.59% (v. 0.33% at end-2013), all currencies included. A risk management desk or separate internal control team measures the interest rate risk and monitors the relevant limits for the Bank and EdR Switzerland Group companies concerned OPERATIONAL RISK This category of risk entails loss that the Group would suffer owing to the inadequacy or failure of internal procedures, staff, IT systems or external occurrences. The EdR Switzerland Group entities have adopted a policy aimed at monitoring and mitigating the following operational risks inherent in their wealth and asset management and investment fund administration businesses: strategic and business risks; internal and external fraud; negligence regarding confidentiality and/or banking secrecy protection requirements; flawed practices in managing client assets and collective investment schemes; business disruptions resulting from system failures and other extraordinary causes. The Risk Control and Management Dept has a team focused on operational risks that suggests ways to improve our risk management and internal control facilities. Its responsibilities include: devising the methodology for managing operational risks (based primarily on the Basel II/III provisions), submitting this methodology to the Risk Committee for approval and overseeing its implementation; recording operational incidents, analysing them and evaluating measures designed to prevent their recurrence. EDMOND DE ROTHSCHILD 14/20

15 This team collaborates with another that is in charge of gauging the relevance and effectiveness of the internal control system in force. It also uses specially designed IT tools deployed throughout the EdR Switzerland Group. It reports to the Executive Committee periodically or as required by the circumstances on the status of operational risks and on incidents. All the banks in the EdR Switzerland Group use the same methodology when it comes to evaluating operational risks. The objectives are: to identify and gauge the operational risks inherent in business segments, organisational structures and their underlying processes; to use and evaluate the controls that have been put in place as tools for preventing and/or detecting operational risks to design and implement the action plans needed to mitigate operational risks. The EdR Switzerland Group determines capital requirements relative to operating risks using the standardised approach (as defined in article 81 of the CAO). This consists in breaking down all the business segments of the Bank and EdR Switzerland Group companies according to FINMA's typology, calculating their average gross revenues over the past three years and assigning them a regulatory weighting (in CHF '000). Business segment Weighting Average gross income (in CHF '000) Required shareholders equity (in CHF '000) Corporate finance 18% 22,839 4,111 Trading 18% 108,098 19,458 Private banking 12% 227,690 27,323 Commercial banking 15% Payment transactions / Securities settlements 18% 1, Agency business 15% - - Institutional wealth management 12% 151,656 18,199 Capital transactions 12% 121,508 14,581 Total 31 December ,993 Total 31 December ,371 Moreover, a business continuity and organisational plan has been drawn up to deal with possible crisis situations that the Bank has identified and that could totally or partially disrupt our operational processes. Human and technical resources including an entire infrastructure have been deployed that would enable us to provide essential services at reduced capacity and return to normal. Given our Bank s objectives in terms of business continuity following a disaster or major incident, this plan will be further developed in EDMOND DE ROTHSCHILD 15/20

16 APPENDIX 4.1. ADDITIONAL INFORMATION ON ELIGIBLE CAPITAL Breakdown of required capital The table below fulfils the obligation to disclose the composition of required capital (under provision 38 of FINMA Circular 2008/22). Common equity Tier 1 (CET1) capital 1 Réf. 1. Fully eligible, Issued and paid-in equity capital 45,000 c b + e - f + g 2. Retained earnings, including reserves for general banking risks / profit (loss) carried forward from relevant financial year 1,155,624 + i - j 3. Additional paid-in capital and currency reserves (+/-) 2,817 d - f 4. Issued and paid-in instruments being phased out 5. Minority interests 34,646 h 6. = Additional common equity capital before adjustments 1,238, Adjustments required by prudent evaluation 8. Goodwill (net of latent taxes already booked) -10,405 a 9. Other intangible assets (net of latent taxes already booked), excluding mortgage servicing rights Latent tax credits dependent on future income 11. Reserves arising from cash flow hedges 12. IRB shortfall (gap between expected losses and valuation adjustments) 13. Proceeds of claim assignments arising from securitisation 14. Profit (loss) arising from own solvency 15. Due to pension funds with defined-benefits plans (net of latent taxes already booked) 16. Net long positions on proprietary CET1 instruments 17. Qualifying cross-holdings (CET1 securities) 17a Qualifying holdings in companies over which the Bank shares predominant influence with other shareholders (CET1 securities) 17b Consolidated holdings (CET1 securities) 18. Non-qualifying holdings (max. 10%) in the financial sector (amounts exceeding Tier 1) (CET1 securities) 19. Non-qualifying holdings (max. 10%) in the financial sector (amounts exceeding Tier 2) (CET1 securities) -22, Mortgage servicing rights (amounts exceeding Tier 2) 21. Latent tax credits arising from temporary differences (amounts exceeding Tier 2) 22. Amounts exceeding Tier 3 (15%) 23. Of which relating to other qualifying holdings 24. Of which relating to mortgage servicing rights 25. Of which relating to tax credits arising from temporary differences 26. Expected losses on equity securities using the PD/LGD approach 26a Other adjustments affecting financial statements drawn up using a recognised international standard b Other deductions -80, Deductions relating to AT1 carried over to CET1 28. = Total adjustments relating to AT1-114, Net common equity Tier 1 (CET1) capital 1,123,895 EDMOND DE ROTHSCHILD 16/20

17 Common equity Tier 1 (CET1) capital Additional Tier 1 (AT1) capital 30. Fully eligible, issued and paid-in instruments 31. Of which instruments stated as shareholders equity 32. Of which instruments stated as liabilities 33. Issued and paid-in instruments being phased out 34. Minority interests recognised in AT1 35. Of which instruments being phased out 36. = Additional common equity capital before adjustments 0 Adjustments relating to additional common equity capital 37. Net positions in proprietary AT1 instruments 38. Qualifying cross-holdings (AT1 securities) 38a Qualifying holdings in companies over which the Bank shares predominant influence with other shareholders (AT1 securities) 38b Consolidated holdings (AT1 securities) 39. Non-qualifying holdings (max. 10%) in the financial sector (amounts exceeding Tier 1) (AT1 securities) 40. Other qualifying holdings in the financial sector (AT1 securities) 41. Other deductions 42. Deductions relating to T2 carried over to AT1 42a Surplus deductions carried over to CET1 43. = Total adjustments relating to AT = Net additional common equity (net AT1) capital = Common equity capital (net Tier 1) 1,123,895 Tier 2 (T2) capital 46. Fully eligible, issued and paid-in instruments 47. Issued and paid-in instruments being phased out 48. Minority interests recognised in T2 49. Of which instruments being phased out 50. Valuation adjustments, provisions and prudential depreciation, forced reserves relating to financial investments 2, Net positions in proprietary T2 instruments 53. Qualifying cross-holdings (T2 securities) 53a Qualifying holdings in companies over which the Bank shares predominant influence with other shareholders (T2 securities) 53b Consolidated holdings (T2 securities) 54. Non-qualifying holdings (max. 10%) in the financial sector (amounts exceeding Tier 1) (T2 securities) 55. Other qualifying holdings in the financial sector (T2 securities) 56. Other deductions 56a Surplus deductions carried over to AT1 58. = Net Tier 2 (net T2) capital 2, = Total required (net T1 & T2) capital 1,126, Total risk-weighted positions 3,499,234 Capital ratios 61. CET1 ratio (figure 29 as a % of risk-weighted positions 32,1% 62. T1 ratio (figure 45 as a % of risk-weighted positions 32,1% 63. Total required capital ratio (figure 59 as a % of risk-weighted positions 32,2% 1 Réf. (1) Figures taken from reconciliation table EDMOND DE ROTHSCHILD 17/20

18 Reconciliation requirements The table below fulfils the obligation to match required capital to reported financial statements (under provision 38 of Circ.-FINMA 2008/22). Balance sheet as reported Assets 31/12/ Réf. Cash and other liquid assets 4,364,274 Claims arising from money market paper 107,056 Due from banks 8,519,793 Due from customers 2,422,244 Mortgage claims 70,784 Securities and precious metals trading portfolios 16,015 Financial investments 721,026 Holdings 115,834 Fixed assets 235,868 Intangible assets Of which goodwill 10,405 Accrued income and prepaid expenses 102,648 Other assets 297,014 Total assets 16,983,080 Liabilities Liabilities arising from money market paper 1,327 Due to banks 257,987 Due to customers on savings or deposit accounts 6,640 Other amounts due to customers 14,765,255 Accrued expenses and deferred income 221,954 Other liabilities 320,458 Valuation adjustments and provisions 115,122 Of which latent taxes relating to reserves for general banking risks 22,063 Total Group capital and reserves 15,688,743 Shareholders equity Reserves for general banking risks Share capital 10,524 a 242,129 b Of which stated as CET1 capital 45,000 Additional paid-in capital and other reserves Retained earnings Of which exchange-rate differences Treasury stock Minority interests Consolidated net income Of which planned dividend 45,000 c 91,597 d 885,259 e Total Group capital and reserves 1,294,337 Total liabilities 16,983,080 (1) Figures taken from breakdown of required capital -88,780 f -67,476 g 34,646 h 63,182 i 56,250 j EDMOND DE ROTHSCHILD 18/20

19 Main features of equity instruments This table fulfils the obligation to present the main features of equity instruments issued by the Bank (under provision 38 of FINMA Circular 2008/22) Ref Main features EdR bearer shares EdR registered shares 1 Issuer EDMOND DE ROTHSCHILD (SUISSE) SA - Société anonyme 2 Identifiant ISN CH N/A EDMOND DE ROTHSCHILD (SUISSE) SA - Société anonyme 3 Law governing the instrument Swiss Code of Obligations Swiss Code of Obligations Regulatory treatment 4 Reported in accordance with the transitional Basel III rules (CET1 / AT1 / T2) N/A N/A 5 Reported in accordance with the post-transitional Basel III rules (CET1 / AT1 / T2) Ordinary shares included in T1 Ordinary shares included in T1 6 Eligible at the individual / Group / individual and Group level(s) Company and Group Company and Group 7 Equity security / debt security / hybrid instrument / other Equity security Equity security 8 Amount reported in required capital (as per last report filed with the SNB) CHF 25,000,000 CHF 20,000,000 9 Face value of instrument CHF 500 CHF Balance sheet item Shareholders equity Share capital 11 Initial issue date 02 October July Perpetual / maturity Perpetual Perpetual 13 Initial maturity No maturity No maturity 14 Callable at issuer s choice (subject to prudential agreement) None None 15 Optional call date / contingent call dates / redemption amount N/A N/A 16 Later call dates, if any N/A N/A Coupon / dividend 17 Fixed / variable / first fixed then variable / first variable then fixed Variable Variable 18 Coupon rate and benchmark, if any N/A N/A 19 Dividend suspension mechanism N/A N/A Shareholders equity Share capital 20 Totally discretionary / partially discretionary / mandatory Totally discretionary Totally discretionary 21 Jump in payment or other redemption incentive None None 22 Non-cumulative / cumulative Non-cumulative Non-cumulative 23 Convertible / non-convertible Non-convertible Non-convertible 30 Depreciation mechanism None None 31 Depreciation trigger N/A N/A 32 Total / partial depreciation N/A N/A 33 Permanent / temporary depreciation N/A N/A 34 If temporary, description of appreciation mechanism N/A N/A 35 Degree of subordination in case of liquidation N/A N/A 36 Features preventing full recognition under the Basel III rules None None EDMOND DE ROTHSCHILD 19/20

20 EDMOND DE ROTHSCHILD (SUISSE) SA 18, rue de Hesse - Case postale Geneva 11 - Switzerland T F WWWEDMOND-DE-ROTHSCHILDCH EDMOND DE ROTHSCHILD 20/20