Credit Suisse’s liquidity coverage ratio (LCR) dropped 24 percentage points in the third quarter as it cut back holdings of high-quality liquid assets.
The Swiss bank’s gauge of liquidity risk – which is calculated by dividing HQLA by weighted net cash outflows – dropped to 202% from 226% at end-June. It was the first decrease since the second quarter of 2017.
Total HQLA fell by Sfr13.5 billion ($13.5 billion) to Sfr188 billion over the period. The firm drained cash deposits at central banks