como se observa, el riesgo individual es considerado intolerable a valores que superen 1 x 10-4, es relativamente aceptable entre 1 x 10-4 y 1 x 10-6 y es insignificante

Liquidity risk is the risk that the Group is unable to meet its payment obligations associated with its financial liabilities when they fall due, and to replace funds when they are withdrawn.

The Group manages its liquidity risk in such a way as to ensure that sufficient liquidity is available to meet its commitments to customers, both in demand for loans and repayments of deposits, and to satisfy its own cash flow needs.

4.3.1 Liquidity risk management process

The Group attempts to avoid concentrations of its funding facilities. It observes its current liquidity situation and determines the pricing of its assets and credit business. The Group also has a liquidity management process in place that includes liquidity contingency plans. These contingency measures include the activation of repo transactions with prime counterparties, the liquidation of marketable securities and/or draw downs on lines of credit (Lombard facility) with the Swiss National Bank.

The Group complies with all regulatory requirements, including overnight liquidity limits in the various countries in which it operates banks. It reports its daily liquidity situation to management on an individual entity basis for its banking sub- sidiaries. Stress tests are undertaken monthly, or as necessary. Both the Group’s capital, reserves position and conservative gapping policy ensure that the Group runs only a small liquidity risk when funding customer loans.

The Group’s liquidity risk management process is carried out by the Financial Markets department and monitored by the Market Risk Management Unit. It includes:

− Day-to-day funding, managed by monitoring future cash flows to ensure that requirements can be met. This includes replenishment of funds as they mature or are borrowed by customers

− Maintaining a portfolio of highly marketable assets that can easily be liquidated (repaid or sold) as protection against any unforeseen interruption to cash flow

− Monitoring balance sheet liquidity ratios against internal and regulatory requirements − Managing the concentration and profile of debt maturities.

Monitoring and reporting take the form of cash flow measurement and projections for the next day, week and month respectively, as these are key periods for liquidity management. The starting point for those projections is an analysis of the contractual maturity of the financial liabilities, and the expected collection date of the financial assets (notes 4.3.3- 4.3.4).

NOTES TO THE CON SO LI DA TED FINAN CI AL STATE MENTS

4.3.2 Funding approach

Sources of liquidity are regularly reviewed by Financial Markets to maintain a wide diversification by currency, geography, provider, product and term.

4.3.3 Financial liabilities cash flows

The table below analyses the Group’s financial liabilities by remaining contractual maturities, at the balance sheet date. The amounts disclosed in the table are the contractual undiscounted cash flows.

Up to 1 month CHF millions 1 – 3 months CHF millions 3 –12 months CHF millions 1 – 5 years CHF millions Over 5 years CHF millions Total CHF millions 31 December 2013 Liabilities

Due to other banks 110.1 86.7 93.7 290.5

Due to customers 13,479.3 1,993.0 878.9 101.1 16,452.3

Subordinated loans 245.1 245.1

Derivative financial instruments 10,028.7 2,414.6 1,484.1 131.4 18.1 14,076.9

Financial liabilities designated at fair value 18.2 292.5 310.7

Other financial liabilities 439.8 140.2 438.0 1,159.0 255.8 2,432.8

Provisions 23.9 0.7 2.2 26.8

Other liabilities 191.0 48.1 30.4 0.1 269.6

Total financial liabilities 24,291.0 4,683.3 2,927.3 1,391.6 811.5 34,104.7

Total off balance-sheet 11.4 16.4 267.2 74.0 72.2 441.2

31 December 2012 Liabilities

Due to other banks 745.5 47.2 45.8 48.3 886.8

Due to customers 12,644.6 1,187.2 621.5 1,639.1 16,092.4

Derivative financial instruments 6,528.0 2,487.9 1,251.1 247.5 24.9 10,539.4 Financial liabilities designated at fair value 44.3 21.3 307.6 322.0 436.0 1,131.2

Other financial liabilities 316.2 197.6 753.5 1,456.9 240.1 2,964.3

Provisions 2.9 0.9 2.8 4.9 11.5

Other liabilities 364.0 8.1 48.1 4.3 6.8 431.3

Total financial liabilities 20,645.5 3,950.2 3,030.4 3,723.0 707.8 32,056.9 Total off balance-sheet 32.9 18.9 164.1 226.5 63.3 505.7 4.3.4 Summary of Liquidity

The Group’s central treasury manages the liquidity and financing risks on an integrated basis. The liquidity positions of the Group’s entities are monitored and managed daily and exceed the regulatory minimum, as required by the Group’s market risk framework and policy. Overall, the Group, through its business entities enjoys a favourable funding base with stable and diversified customer deposits, which provide the vast majority of the Group’s total funding. Together with its capital resources, the surplus of stable customer deposits over loans to the Group’s customers is placed with the given treasury units where the Group’s funding and liquidity are managed to ensure this complies with the different local regulatory requirements. In addition, all entities operate within the Group’s liquidity policies and guidelines.

NOTES TO THE CON SO LI DA TED FINAN CI AL STATE MENTS

4.3.5 Concentration risk

The Group monitors concentration risk through the following mechanisms:

− The overall level of market and credit exposures are tightly monitored by means of specific risk parameters and indicators approved by the Board of Directors and/or Board delegated Risk Committee and in line with the Group’s overall committed level of risk appetite and avoidance of any concentration risk.

− These exposures and corresponding limits are proactively reviewed through Management Risk Committee and/or Board delegated Risk Committee to ensure full consideration is given to both market and liquidity conditions, the overall risk framework of the Group, and to avoid any possible concentration risk in light of changing market environments.