ANNUALREPORT2021
www.dukascopy.com

CONTENTS
INTRODUCING DUKASCOPY GROUP

03

MESSAGE FROM THE BOARD OF DIRECTORS

04

MESSAGE FROM THE co-CEOs

05

REVIEW OF OPERATIONS & KEY FIGURES07

CORPORATE GOVERNANCE

09

FINANCIAL STATEMENTS

12REPORT OF THE STATUTORY AUDITOR40

KEY METRICS DISCLOSURES

42

CONSOLIDATED FINANCIAL STATEMENTS

49

REPORT OF THE STATUTORY AUDITOR79

KEY METRICS DISCLOSURES

81

CONTACTSDUKASCOPY BANK SA ANNUAL REPORT 2021

8802

INTRODUCINGDUKASCOPY GROUP
Dukascopy’s history started in 1998 as a physicist

its own crypto currency, etc. to individuals

project headed by Dr. Andrey Duka in Geneva,

and institutions. The SWFX trading platforms

aiming at serving the financial community throughoperated by Dukascopy Bank SA are consideredinnovative solutions based on novel mathematicalbilaterally organised trading facilities.

and econophysical techniques.
The motto of Dukascopy Group is to offer to
The founders’ vision materialised in the form of an

everyone from around the world easy-to-use

international FinTech group headed by Dukascopy

financial services at affordable conditions in aBank. The group is a fully digital Internet-based

friendly and modern environment. Since 2016,

Swiss bank and securities house counting 83.0

an account with Dukascopy can be opened in

employees on 31.12.2021 (counted in full time

one day and fully online which has allowed theequivalent, 109.6 on 31.12.2020). On the same date,Bank to open more than 260'000 accounts.

Dukascopy Group counted 123.7 for the consolidated companies (156.7 employees on 31.12.2020).

As a regulated institution, the Bank was able tolaunch crypto related activities in 2018 including

The Bank and securities houses of Dukascopy

its own crypto-currency. The "Dukascoins" areGroup are regulated in Switzerland, Latvia andtokens created by the Bank on the blockchain

Japan. The Latvian entity, Dukascopy Europe

technology based on Ethereum. Dukascoins are

has a license to operate in the European Union.

designed as a means of payment and specu-

The Group offers multi-products (FX, bullion,

lation. The Bank considers that the Dukascoin

CFD, binary options) online and mobile trading

is a success considering its wide acceptanceplatforms together with an increasing range ofas a reward for clients opening an MCA.

other financial services including current accounts,

The Dukascopy brand is internationally known

guarantees, classic banking payments, innovative

for innovation and integrity in digital financial

instant payments via smartphones, payment cards,

services.

DUKASCOPY BANK SA ANNUAL REPORT 2021

03

MESSAGE FROM THE BOARD
OF DIRECTORS
After an exceptional year 2020, 2021 gave

During the course of 2021, owing to the outstan-

Dukascopy Group yet again an opportunity toding performance of the entire team, Dukascopy

firmly establish our capacity to adapt to newGroup demonstrated a sustainable growth ofchallenges, to successfully navigate uncharted

its clientele combined with a steady rise interritories to emerge profitable and more

popularity of the Multi-Currency Accounts (MCAs)

tenacious than ever before.

and the cluster of cryptocurrency services.

Dukascopy Group has rapidly adapted to theThrough all these challenges and at all times, the

new normal of a business life in pandemic times.

resilience of our employees remained unwavering.

Strict adherence to COVID related measures

We express our admiration and thank them forsuch as social distancing and teleworking in our

their dedication and unfaltering professionalism

premises worldwide, along with the experienceno matter what the circumstances are. We aregained during the first pandemic year, allowed

deeply grateful to our shareholders, customers

our day-to-day operations to remain unaffected,

and business partners for their loyalty andas our customers continued to enjoy the full

support.

array of services offered by the entities of theGroup throughout the entire year.

DUKASCOPY BANK SA ANNUAL REPORT 2021

The Board of Directors

04

MESSAGE
FROM THE co-CEOs
The year 2021 was marked by a return to aand showed robustness and reliability. It also

normal financial year after the exceptional year

proved to be resilient in 2021 as well as driven by2020 characterised by high volatility and thegrowth and economic results. All the subsidiaries

emergence of Covid-19. Our Bank, which wasof the group are profitable.

under the pressure induced by the pandemic
situation during the whole year 2021 managed

Again, Dukascopy Bank's online business model

to preserve a profitable result despite the un-showed to be an immense advantage and astable environment.

guarantee of stability for the service provided toour customers. The Bank has been offering servi-

The growth and sustainability of our online retailces fully dependent on IT solutions to a global

banking model was strengthened in 2021. We

clientele, which require continuous streamlining

have kept our direction to simplify and rationa-and automation/digitalization of all processes.

lize our organization and our mains strategic

Dukascopy has adopted the model of an online/

growth areas remain focused on mobile retail

digital bank already a few years ago assuming its

banking and crypto related activities, while

pioneering and frontline position in these fields.

continuing to take care of our trading customers.
2021 marked the third year of implementation

We are proud of Dukascopy Bank's agility forfor Dukascoins. Its development and growthquickly adopting the blockchain technology

corresponded to the Bank’s vision and satisfied

and launching concrete financial applications

its initial expectations where more than 5 millionof it. Our Bank has developed its own crypto

Dukascoins were issued by the end of year 2021.

related technology from scratch and a uniqueoffering of services to the crypto industry

The digital banking model developed by the Bank

without compromising its strict anti-money

was again tested in real conditions during 2021

laundering policy.

DUKASCOPY BANK SA ANNUAL REPORT 2021

05

Dukascopy Bank continued its crypto expansion by

special welcome to more than 50'000 clientssignificantly improving its overnight rates for

who have opened an account in 2021, confir-

crypto instruments together with launching trading

ming the trends and success of Dukascopy’sfor 10 new crypto currency pairs. Dukascopy Bank

mobile multi-currency accounts (MCA). Digitalcontinuously expands its list of trading instruments

retail banking is quickly evolving and is expected

to meet customer requests. In addition, our Bank

to become a major part of the Bank's business.

was able to increase the range of new products

The Bank also expects commercial synergies

offered to its clients including new CFDs on sharesand increased client retention due to thoseand CFDs on cryptos. Starting from less than 50 FX

services targeting the same retail clients ascurrency pairs, the Bank is now offering trading on

online trading services.

over 750 instruments, representing such asset
classes as SPOT FX and precious metals as well as

We express appreciation and gratitude to all

CFDs on commodities, indices, bonds, stocks, ETFs

our colleagues, clients and business partners

and cryptocurrencies.

for the new accomplishments made during
this particular year.

Our internationally spread organization proves tobe resilient and adaptable. These achievements

Veronika and Andrey Duka

make us confident for the future. We address a

co-Chief Executive Officers

DUKASCOPY BANK SA ANNUAL REPORT 2021

06

REVIEW OF OPERATIONS& KEY FIGURESDUKASCOPY BANK SA

fast growing share of the Bank’s activities andDespite the ongoing pandemic situation, 2021 hasclient deposits. Moreover, the Bank is expecting

been a succeedingly good year for Dukascopy Bank

scale synergies where it would benefit from a

SA as illustrated by the following key figures:transfer of some of the clients with MCA to trading(in CHF million or in %)Net result
Cost/income ratio

2021

2020

2019

accounts. In 2021, 51’935 new MCA accounts were

2.1

10.4

2.2

opened. From the beginning of the year clients’ de-

86.8% 52.5%

87.2%

posits on MCA accounts have more than doubled

Total operating income

22.7

40.1

28.0

from CHF 16.4 to 36.1 million; in 2021, net reve-

Total operating expenses

19.7

21.0

24.4

nues from MCA accounts were CHF 1.9 million.

Total assets

184.5

162.7

142.6

Total client deposits

125.9

105.3

102.1

The involvement and development of the Bank inRegulatory capital

51.1

50.4

36.6

crypto related activities remains one of the main
strategic growth areas together with retail ban-

The Bank’s net profit of 2021 was CHF 2.1 million. In

king activities. More than 5.3 million Dukascoins2021, operating expenses were 6.5% below ope-

were issued by the end of year 2021. Our trading

rating expenses in 2020. From the beginning of theaccounts remain the main generating source ofyear client deposits have increased by 19.6%. Client

revenue. The Bank is dedicated to always enhance

deposits on trading accounts grew by 9.0%, client

its clients experience with the best trading service.

deposits on binary accounts increased by 4.4% andclient deposits on LP PAMM went up by 56.2%.

The Russian-Ukrainian conflict which started in
February 2022 may have an impact on the Bank’s

The strong increase in the number of mobile multi-

activities. It is however too early to quantify theircurrency accounts (MCA) demonstrates the successeffects on the Bank’s financials. The result for theof the digital retail banking model. It represents thefirst three months of 2022 is a profit of 2.0 million.

DUKASCOPY BANK SA ANNUAL REPORT 2021

07

DUKASCOPY GROUP

Dukascopy Japan’s net profit for 2021 was CHF

As can be seen in the consolidated financial state-102.3 thousand. The Company has a stable posi-ments, the Group figures do not significantly deviate

tive result. Operating expenses were decreased

from those of the Dukascopy Bank because theby 4.0% compared to 2020. The Company isBank remains the prominent element of Dukascopy

stably profitable due to the implementation ofGroup. In 2021, all consolidated subsidiaries of

the a new marketing policy, MT4 platform andDukascopy Group were profitable.

cost reduction.

Dukascopy Europe’s net profit for 2021 was CHF

SWFX – Swiss FX Marketplace SA has been

46.0 thousand. The Company is stably profitable.

consolidated for the first time in 2019. Its net

The role of Outsourcing agreements for the Banks

profit for 2021 amounts to CHF 106.1 thousand.

has increased.

DUKASCOPY BANK SA ANNUAL REPORT 2021

08

CORPORATE GOVERNANCE
The corporate governance framework is defined by Bogdan Prensilevich is the chairman of thethe Bank's Articles of Incorporation and governance

Board of Directors since 2009 and is a Board

policies, bodies of the Bank are:member since the inception of the company.

 the General Meeting of shareholders;

He has also been advising the company in legal

 the Board of Directors;

matters since its foundation, in 2004. After the Executive Committee;

completing his law studies at the University of the External Auditor.

Geneva he was admitted to the Geneva Bar
Association in 2002. Since then he advises

GENERAL MEETING OF SHAREHOLDERS

clients as an independent attorney. In 2007, he

The General Meeting of Shareholders is the Bank's

co-founded the Law firm "Etude de Cerjat &supreme body. Its rights and liabilities are governed

Prensilevich".

by the Swiss Civil Code. The shareholders elect themembers of the Board and the External Auditor.

 Frank Guemara is the vice-chairman of theBoard of Directors which he joined in 2009

BOARD OF DIRECTORS

and the chairman of the Audit Committee

The Board of Directors is responsible for the overallsince 2018. He obtained a master's degree instrategic direction, supervision and control of theeconomic sciences from the University of Geneva

Bank and appoints the members of the Executive

and is also a Swiss Certified Public Accountant. In

Committee. In 2017, the Board of Directors created

1993, after having started his career at Coopers

an Audit Committee comprising two members.

& Lybrand, he joined the bank Lombard Odier

At the end of 2021, the Board of Directors waswhere he developed a consulting activity forcomposed of six members, all independent as perfamily companies. In 2002, he founded Triportail

the FINMA circular 2019/1. One new memberSA, a company engaged in the transfer of family

joined the Board during 2021.

companies.

DUKASCOPY BANK SA ANNUAL REPORT 2021

09 Per Prod’hom

joined the Board and becamed’études supérieurs» from the Geneva IUHEI ina member of the Audit Committee in 2018. After

International law, Economy and History. From 1995

obtaining degrees in law, business administration

till 2020 she worked at International banks inand EU law at the University of Geneva, he passed

Geneva, also being a Member of the Committee of

the Bar exam and obtained the Swiss Tax Expert

Directors.

diploma. He has been working as tax lawyer for
more than 25 years (Deloitte, Baker & McKenzie, Enrico Giacoletto

Python). He is currently a partner at the law firm

the Board of Directors in 2021. He holds a Master

Streng SA. He has also been a lecturer to theof Science from the Swiss Federal Institute of

future tax experts at the Universities of Geneva

Technology (EPFL). He is a CFA charterholder andand Lausanne (“LLM tax” in Geneva and “Master in

has the FRM (Financial Risk Manager) certification.

International Taxation” in Lausanne).

He teaches risk management and risk regulation

was elected member ofin Geneva and Lugano. He started his career in Gérard, Charles William de Cerjat is a member

the financial industry in 2003. Before foundingof the Board of Directors of the Bank since 2009.

easyReg in 2018, he worked for 9 years in the

He obtained a law degree at the University of

Financial Service Risk Management unit of EY.

Geneva and was admitted at the Geneva Bar
association in 1966. Since 1972, he advises clients

EXECUTIVE COMMITTEE

as an independent lawyer. In 2007, he co-founded

The Executive Committee is responsible for day-the Law firm "Etude de Cerjat & Prensilevich".

to-day operational management of the Bank's
business and for the development and imple-

 Tatiana Pannatier was elected member of thementation of the strategy. At the end of 2021,

Board of Directors in 2020. She has a Master's

the Executive Committee was composed of theDegree in Law (Sofia, Bulgaria) and a «Diplômefollowing five members:

DUKASCOPY BANK SA ANNUAL REPORT 2021

10 Veronika Duka, co-Chief Executive Officer and Irina Kupriyanova Vedeneeva, Chief Financial

Chief Administrative Officer, founding share-

Officer, obtained a certificate of business admi-

holder. Graduated as an engineer from thenistration from HEC Lausanne, a master's degree

Moscow State Aviation Technological University,

in Public Administration from IDHEAP. Before

she had been the administrative manager ofjoining the company in 2006, she worked for 15

scientific companies for 7 years before leading theyears in the accounting and tax fields.

Geneva Research Collaboration Foundation. The
latter was a Not For Profit organization, active in Andrejs Bagautdinovs, Chief Integration Officer,

the scientific field, supporting interdisciplinary

obtained a master's degree from the Riga Civil

research in natural and social sciences, developing

Aviation University and an MBA in Global Banking

novel economic applications in Geneva. Ms Dukaand Finance from the European University ofhas been playing her key executive role in the

Geneva. After working for 4 years as an engineer

company since its inception.

and a programmer, before joining the company in2006, he had been working for 14 years in the Andrey Duka, co-Chief Executive Officer and Chiefbanking field (Payment, Investment and Treasury

Technology Officer and founding shareholder. He

operations) at various positions including 3 years

graduated with honours as an engineer from theat the executive level.

Moscow State Aviation Technological University andobtained a PhD from the Federal Institute of Wajih Raïs, Chief Risk Officer, has joined the Bank

Aviation Materials of Moscow. After conducting

as a deputy CRO in 2020. He obtained a master’sscientific research during his PhD, he worked for 7

degree in business law from University Paris V,

years as a general manager in scientific companies,

passed the bar exam and holds a master in Financethen joined the CERN as a Research Associate and& Strategy from Sciences Po Paris, in France. He

founded the Geneva Research Collaboration Foun-specialised in financial services first as a banking

dation which is presented above in connection withfinancial auditor for more than 7 years for KPMG la

Veronika Duka. Mr Duka has been playing his key

Defense and for PwC Geneva. He also worked as

executive role in the company since inception.

Head of pricing & research for a financial company.

DUKASCOPY BANK SA ANNUAL REPORT 2021

11

FINANCIAL
STATEMENTS

DUKASCOPY BANK SA ANNUAL REPORT 2021

12

BALANCE SHEET
as at 31 December 2021

ASSETS (CHF)

31.12.2021

31.12.2020

Liquid assets

37 719 957

23 260 143

Amounts due from banks

89 446 253

87 719 855

Amounts due from customers

1 736 572

623 876

Trading assets

5 255 953–

837 487

467 392

Financial investments

45 341 390

45 645 345

Accrued income and prepaid expenses

1 603 565

2 230 097

Investment in subsidiaries

1 608 197

1 608 197

Tangible fixed assets

837 020

1 004 429

Other assets

83 136

183 984

Total assets

184 469 530

162 743 318

Amounts due to banks

11 975 263

9 204 619

Amounts due in respect of customer deposits

113 896 999

96 067 268

Negative replacement values of derivative financial instruments

1 272 663

611 185

Accrued expenses and deferred income

2 725 071

3 375 304

Other liabilities

1 676 360

2 481 648

Reserves for general banking risks

3 850 000

4 000 000

Bank's capital

22 000 000

22 000 000

Statutory retained earnings reserve

1 317 000

796 000

Profit carried forward

23 686 294

13 805 526

Profit of the year

2 069 880

10 401 768

Total liabilities

184 469 530

162 743 318

31.12.2021

31.12.2020

Contingent liabilities

139 755

227 412

Irrevocable commitments

988 000

892 000

Positive replacement values of derivative financial instruments

LIABILITIES (CHF)

OFF–BALANCE SHEET
as at 31 December 2021
OFF–BALANCE SHEET COMMITMENTS (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

13

STATEMENT OF INCOME
for the year ended 31 December 2021

RESULT FROM INTEREST OPERATIONS (CHF)

31.12.2021

31.12.2020

Interest and discount income(316 443)(230 215)

Interest and dividend income from financial investments

723 495

728 915Interest expense(563 885)(576 313)

Gross result from interest operations(156 833)(77 613)–(29 741)(156 833)(107 354)

Commission income from other services

3 042 969

1 278 095

Commission expense(1 347 912)

(712 932)

Subtotal result from commission business and services

1 695 057

565 163

Result from trading activities

21 126 836

39 639 801

Personnel expenses(6 487 064)

(7 350 651)

General and administrative expenses(13 182 354)

(13 688 675)

Subtotal operating expenses(19 669 418)

(21 039 326)

of tangible fixed assets and intangible assets(414 111)(2 633 859)

Changes to provisions and other value adjustments, and losses(46 422)(29 524)

2 535 109

16 394 901

Extraordinary income

11

431

Extraordinary expenses–(10 745)

Changes in RRBG

150 000(4 000 000)

Taxes

(615 240)(1 982 819)

Profit of the year

2 069 880

10 401 768

Changes in value adjustments for default risks and losses from interest operations
Subtotal net result from interest operations

RESULT FROM COMMISSION BUSINESS AND SERVICES (CHF)

OPERATING EXPENSES (CHF)

Value adjustments on participations and depreciation and amortisation

Operating result

DUKASCOPY BANK SA ANNUAL REPORT 2021

14

PRESENTATION OF THE STATEMENT OF CHANGES IN EQUITY
as at 31 December 2021

Bank'scapitalStatutoryretained earnings reserve

Reserves
for generalbanking risks

ProfitcarriedforwardResult of
the year

TOTAL

Equity at start of current period

22 000 000

796 000

4 000 000

13 805 526

10 401 768

51 003 294

Allocation of previous year result

–

–

–

–

–

–

–

–

(150 000)––(150 000)

earnings reserve–

521 000––(521 000)–

Allocation to profit carried forward

–

–

–

9 880 768

(9 880 768)–

Result of the year

–

–

–

–

2 069 880

2 069 880

22 000 000

1 317 000

3 850 000

23 686 294

2 069 880

52 923 174(CHF)

Other allocations to (transfer from)the Reserves for general banking risks
Allocation to statutory retained

Equity at end of current period

THE BOARD OF DIRECTORS PROPOSES THE FOLLOWINGAPPROPRIATION OF AVAILABLE EARNINGS:
(CHF)

2021

Result of the year

2 069 880

Profit carried forward

23 686 294

Amount at the disposal of the Shareholders' general meeting

25 756 174

PROPOSED UTILISATION (CHF)
Contribution to the statutory retained earnings reserve2021
104 000

To be carried forward

25 652 174

Total

25 756 174

DUKASCOPY BANK SA ANNUAL REPORT 2021

15

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
1. Name, legal status and domicile of the bankDukascopy Bank SA (hereinafter the "Bank") is a limited company under Swiss law, authorized and regulated by FINMA as abank and a securities house, which renders online brokerage and online banking services from its head office in Geneva(Switzerland). The Bank has representative offices in Riga, Kiev, Moscow and Hong Kong. Bank owns participations (seesection Financial Statements).
2. Accounting and valuation principles
2.1. General principles
The financial statements are established in accordance with the Swiss Code of Obligations, the Act on Banks and Saving
institutions, its related Ordinance, the FINMA Accounting Ordinance and FINMA circular 2020/1. The financial statements
are prepared in accordance with the reliable assessment principle as defined by the FINMA circular 2020/1 and are allowed
to include silent reserves. In the notes, certain figures are rounded for publication but the calculations are based on the
non-rounded figures, thus small rounding differences can arise.
General valuation principles
The financial statements are prepared on the assumption of a going-concern. The accounting is therefore based on goingconcern values.
Items are entered in the balance sheet as liabilities if they have arisen due to past events, if a cash outflow is probable andtheir value can be reliably estimated. If a reliable estimate is not possible, then it is a contingent liability, which iscommented on in the notes. The disclosed balance sheet items are valued individually.
In principle, neither assets and liabilities nor expenses and income are offset. Accounts receivable and account payable areoffset in the following cases: deduction of value adjustments from the corresponding asset item; offsetting of positive and negative replacement values of derivative financial instruments with the same
counterparty, if there are recognized and legally enforceable netting agreements in place; offsetting of price gains and losses from trading activities.
2.2. Changes to accounting principles and valuation method
The revised accounting principles have changed but there is no significant impact on the financial statements.
Financial instrumentsa. Liquid assets
Liquid assets are recognized at their nominal value.
b. Amounts due from banks and amounts due from customers
They are recognized at their nominal value less any necessary value adjustments. Amounts due in respect of precious metal
account deposits are valued at fair value. Doubtful receivables, i.e. obligations entered with clients for which the debtor isunlikely to meet its future obligations, are valued individually and depreciated by means of individual value adjustments.
Impaired receivables and any collateral obtained are valued at their liquidation value, and any adjustments in value are
made in light of the debtors' creditworthiness. If the repayment of a loan depends exclusively on the proceeds of thecollateral, a value adjustment is made for the entire unsecured portion of the receivable.

DUKASCOPY BANK SA ANNUAL REPORT 2021

16

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
If a receivable is classed as entirely or partially irrecoverable or a receivable is waived, the receivable is derecognized bybooking it against the corresponding value adjustment.
If recovered amounts from receivables written off in earlier periods cannot be used immediately for other value
adjustments of the same type, they are recognized in “Change in value adjustments for default risk and losses from interest
operations” in the statement of income.
c. Amounts due to banks and amounts due in respect of customer deposits
These items are recognized at their nominal value. Amounts due in respect of precious metal account deposits are valued atfair value.
d. Trading assets
Trading assets comprise positions in cryptocurrencies held with a trading intent. Trading positions are measured at market
value. Trading results are recognized through “Result from trading activities and the fair value option”.
e. Positive and negative replacement values of derivative financial instruments
Trading operations comprise execution of client orders and transactions of the Bank for its own account including hedging
transactions. The trading assets and liabilities related to trading operations of the Bank are exclusively recognized in the offbalance sheet due to the nature of such transactions (spot forex, spot precious metals and derivatives). Spot tradingtransactions executed by the Bank are accounted for according to the value date principle. This implies that between the
trade date and the value date, spot transactions are disclosed as derivative instruments. Explanations below concerningderivative financial instruments traded by the Bank also apply to such spot trading operations.
Trading assets and liabilities are valued and recognized at fair value. Fair value is the price based on a price-efficient andliquid market or the price calculated using a valuation model.
The price gain or loss resulting from the valuation is recorded via the item “Result from trading activities”.
Derivative financial instruments are used for trading and for hedging purposes.
Trading purposes
The valuation of derivative financial instruments for trading purposes is done according to the fair value and the positive or
negative replacement value is recorded in the corresponding item. The fair value is based on market prices.
The realized result from trading operations and the unrealized result from valuations relating to trading operations arerecorded via the item “Result from trading activities”.
Hedging purposes
The Bank also uses derivative financial instruments as part of its assets and liabilities management (ALM) to hedge against
market risks. Hedging operations are valued and disclosed as trading operations. Derivatives are used for economic
hedging purpose and the Bank does not apply hedge accounting.
Use of swaps
The Bank uses currency swaps to rollover spot foreign exchange and precious metal transactions to the next spot
settlement date until positions are closed.

DUKASCOPY BANK SA ANNUAL REPORT 2021

17

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
Netting
The Bank offsets positive and negative replacement values with the same counterparty within the terms of the recognized
and legally enforceable netting agreements.
f. Financial investments
Financial investments include the bonds and the cryptocurrencies.
Financial investments count Swiss and US government bonds acquired with the intention to hold them until maturity. The
valuation is based on the acquisition cost principle with the agio/disagio (premium/discount) accrued/deferred over the
residual term to maturity (accrual method).
If held-to-maturity financial investments are sold or reimbursed early, the realized gains and losses, which correspond to
the interest component, are accrued/deferred over the residual term to maturity of the transaction via the item “Other
assets” or “Other liabilities”. Value adjustments for default risk are recorded immediately under “Changes in value
adjustments for default risk and losses from interest operations”.
g. Crypto assets in Financial investments
Dukascoins
Dukascopy Bank books Dukascoins belonging to the Bank in the caption "Financial investments" valued at lower than costor market. For such tokens issued by the Bank, the latter considers that acquisition cost is zero. As a consequence,
Dukascoins belonging to the Bank will remain valued at zero as long as they stay in "Financial investments".
The Bank books Dukascoins belonging to clients in the caption "Financial investments" at fair value on the asset side and in"Amounts due in respect of customer deposits" at fair value on the liabilities side.
According to the Art. 10 Finma Accounting Ordinance, the fair value derives either from a price efficient and liquid market orfrom a valuation model. According to our analysis, there is currently no efficient price and no liquid market for Dukascoins.
To our knowledge, there is no generally accepted valuation methodology for payment tokens. Due to the lack of future cash
flows, intrinsic value, highly correlated base assets, which could be used as a benchmark in model, the value of such tokens
depends mainly on market demand. Considering the foregoing, the Bank considered that there is no fair value estimates for
Dukascoins and therefore those coins should be valued at cost. Currently, the sole active marketplace is the Dukascoinbulletin board established by the Bank, where prices are set daily for very small volumes. Value adjustments are recorded
under “Other ordinary expenses” or “Other ordinary income”.
Other crypto assets
Dukascopy Bank books other crypto assets belonging to the Bank in the caption "Financial investments". The valuation isbased on the acquisition cost principle. The subsequent valuation is based on the lower of cost or market principle. Trading
assets comprises positions in Crypto currencies held with a trading intent are booked in “Trading assets”. Trading positions aremeasured at market value. Trading results are recognized through “Result from trading activities and the fair value option”.
h. Participations
Participations owned by the Bank include equity securities of companies that are held for long-term purposes, irrespectiveof any voting rights. They are valued at historical costs minus any value adjustments, if any. Each participation is tested for
impairment as of the balance sheet date. This test is based on indicators reflecting a possible impairment of individual
assets. If any such indicators exist, the recoverable amount is calculated. The recoverable amount is calculated for eachindividual asset. The recoverable amount is the higher amount of the net selling price and the value in use.

DUKASCOPY BANK SA ANNUAL REPORT 2021

18

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
An asset is impaired if its carrying amount exceeds its recoverable amount. If the asset is impaired, the book value isreduced to match the recoverable amount and the impairment is charged via the item “Value adjustments on participations
and amortization of tangible fixed assets and intangible assets”. Realized gains from the sale of participations are recorded
via the item “Extraordinary income” and realized losses are recorded via the item “Extraordinary expenses”.
i. Tangible fixed assets
Investments in tangible fixed assets are capitalized as an asset if they exceed the minimal value for recognition of CHF
1’000. Tangible fixed assets are recognized at acquisition cost minus the scheduled accumulated depreciation over theestimated operating life.
Tangible fixed assets are depreciated at a consistent rate over an estimated operating life via the item “Value adjustments
on participations and depreciation of tangible fixed assets and intangible assets”. The estimated operating lives of thedifferent categories of tangible fixed assets and the depreciation methods are as follows:– Fixtures and fittings

4 years, on a linear basis– Furniture

4 years, on a linear basis– IT hardware

3 years, on a linear basis– Vehicles

5 years, on a linear basis– Software

5 years, on a linear basis

Acquisition cost of tangible fixed assets acquired during the year are depreciated at the same rate on a prorata basis.
Objects used by the Bank as the lessee as part of a finance lease are recorded via the item “Tangible fixed assets” at cash
purchase value. The leasing liabilities are disclosed, depending on the counterparty, in the items “Amounts due to banks” or“Other liabilities”.
In case an indication arise that the value of a tangible fixed asset is impaired, an additional amortization is recorded in theitem “Value adjustments on participations and depreciation of tangible fixed assets and intangible assets”.
The recoverable amount is the higher amount of the net selling price and the value in use. An asset is impaired if its carrying
amount exceeds its recoverable amount. If the asset is impaired, the book value is reduced to match the recoverable
amount and the impairment is charged via the item “Value adjustments on participations and depreciation of tangible fixed
assets and intangible assets”.
Realized gains from the sale of tangible fixed assets are recorded via the item “Extraordinary income” and realized losses
are recorded via the item “Extraordinary expenses”.
j. Provisions
The Bank records provisions based on its assessment of the risks of loss and probable liabilities, based on past events, ofwhich the amount and due date are uncertain but assessable. Legal and factual obligations are valued regularly. If an
outflow of resources is likely and can be reliably estimated, a corresponding provision is created.
Existing provisions are reassessed at each balance sheet date. Based on this reassessment, the provisions are increased,
left unchanged or released. Currently, provisions exclusively relate to legal risks. The variation of provisions is recorded in
the statement of income via “Changes in provisions and other value adjustments, and losses”.
Provisions are released via the statement of income if they are no longer needed on business grounds and cannot be used
for other similar purposes except if the Bank decides to maintain them as silent reserves.

DUKASCOPY BANK SA ANNUAL REPORT 2021

19

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

k. Reserves for general banking risks
Reserves for general banking risks are prudently created reserves to hedge against the risks in the course of business of theBank. The creation and release of Reserves for general banking risks are recognized via the item “Changes in reserves forgeneral banking risks” in the statement of income. The Reserves for general banking risks are subject to tax when theyexceed certain criteria.
l. Taxes
Current taxes are recurring, usually annual, taxes on profits, capital and total income (Geneva professional tax). Transactionrelated taxes are not included in current taxes. Liabilities from current tax are disclosed via the item “Accrued liabilities anddeferred income”. Expense due to current tax is disclosed in the statement of income via the item “Taxes”.
m. Off-balance sheet transactions
Off-balance sheet disclosures are at nominal value. Provisions are created in the liabilities in the balance sheet for foreseeable
risks.
n. Pension benefit obligations
The Bank’s employees based in Switzerland are insured for retirement, death or disablement through a defined benefit
pension scheme. The Bank bears the costs of the occupational benefit plan for employees and survivors as per the legal
requirements. The employer contributions arising from the pension scheme are included in “Personnel expenses” on an
accrual basis. Employee benefit obligations mean all commitments resulting from the pension fund to which Bank’s
employees are insured. There is an economic benefit if the Bank has the ability to reduce its future employer's
contributions. On the contrary, there is a liability if, owing to a shortfall in the pension fund, the Bank wants or has toparticipate in the financing of the pension fund. The Bank assesses whether there is an economic benefit or economic
obligation arising from pension schemes as of the balance sheet date. The assessment is based on the contracts andfinancial statements of the pension funds (established under Swiss GAAP FER 26 in Switzerland). The identified economic
benefit (including the employer contribution reserves without a waiver of use) are recorded in “Other assets”. If an
economic obligation is identified for an individual pension fund, it is recorded in “Provisions”. The difference with thecorresponding value of the prior period are recorded in the statement of income in “Personnel expenses”.
2.3. Recording of business transactions
All business transactions, except trading operations, concluded up to the balance sheet date are recorded as of their tradedate (trade date principle) and valued according to the above-mentioned principles. Any trading operations including spot
foreign exchange transactions, foreign exchange forwards, swaps or any other derivative financial instrument entered into
but not yet fulfilled are recorded in accordance with the settlement date accounting method. Between the trade date andthe settlement date, these transactions are disclosed at replacement value via the item “Positive replacement value ofderivative financial instruments” or “Negative replacement value of derivative financial instruments”.
2.4. Treatment of foreign currencies
Transactions in foreign currencies are converted at the exchange rates of the transaction date. Assets and liabilities carriedin foreign currencies are converted at the exchange rates of the balance sheet date. Resulting conversion gains and losses

DUKASCOPY BANK SA ANNUAL REPORT 2021

20

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
are recorded via the item “Result from trading activities”. At the balance sheet date, the main exchange rates used toconvert assets and liabilities in foreign currencies were as follows:

(CHF)

2021

2020

USD

1.00

0.912170.88505

EUR

1.00

1.037191.08102

GBP

1.00

1.233081.20960CAD

1.00

0.72179

0.69535

JPY

1.00

0.00792

0.00857

AUD

1.00

0.663160.68084

NZD

1.00

0.62396

0.63580

NOK

1.00

0.103460.10317SEK

1.00

0.10075

0.10757

SGD

1.00

0.676420.66950

3. Risk Management
As an online bank mainly offering fully automated (Straight-Through-Processing) brokerage services via innovative in-housedeveloped IT solutions, Dukascopy Bank is mostly subject to operational, market and legal risks. Since the Bank is not active
in credit activities and only executes client orders based on collateral (client margin deposits and bank guarantees), its
credit risk exposure is normally limited to possible default of institutional trading counterparties.
The identification, measurement, monitoring, management of risks and maintenance of the Bank’s stability, is a priority for
the Bank. The key elements of risk management are the following: a comprehensive risk policy and internal regulation defining among others the risk appetite and risk limits which
are commensurate with the Bank’s risk capacity; the permanent monitoring of risk limits and compliance with regulatory capital, risk diversification and liquidity
requirements applicable to Swiss banks;
 a risk control function in charge of monitoring the Bank’s risk profile and risk management capabilities;
 proper segregation of duties;
 wide application of the four-eyes principle and IT-based controls in business operations; three lines of defence: risk management by business units, risk control and compliance functions and internal audit; a comprehensive internal reporting on relevant risks.
The Board of Directors is the supreme governing body of the risk management organization. It has established an analysis of themain risks the Bank is exposed to. Based on its risk analysis, the Board of Directors has adopted a Risk Management Concept
aiming at limiting and managing the main risks affecting the Bank. The Risk Management Concept defines the risk appetite, themain risk limits and features of the risk measurement and risk management. The Board of Directors monitors compliance withthe limits as well as the implementation of the risk policy based on a comprehensive quarterly reporting on risks.
The executive management is responsible for the execution of the Board of Directors’ policies. It ensures a suitable risk
management organization is in place as well as the use of an adequate risk monitoring system. It monitors the use of limits andensures that an adequate internal reporting is in place. The risk control function and the compliance function are independentof business operations. They monitor all risks as the second line of defense and establish most of the quarterly reporting aboutrisks to the executive management and the Board of Directors.

DUKASCOPY BANK SA ANNUAL REPORT 2021

21

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
Operational risks
Operational risks are defined as the risk of losses due to inadequacy or failure of internal procedures, people and systems or
due to external events. This definition includes risks related to client data confidentiality and legal risks, including fines bysupervisory authorities and settlements. As a bank offering highly automated services accessible through the Internet,
Dukascopy Bank much relies on IT systems and Internet connections to operate. Automation brings high efficiency, eliminates
human errors but at the same time means dependency on the availability and integrity of IT systems and Internet connections
that the Bank protects through advanced security solutions and permanent monitoring of the system components.
The operational risks are measured by calculating the probability and extent of possible financial damages due to negative
events such as an error in client order execution or the breach of a regulation (compliance risk). The Bank has documented
operational risks and key controls aiming at mitigating such risks (e.g. four eyes principle, reconciliations, automated controls,internal regulation, etc.) in a systematic manner via an internal regulation which is approved annually by the Board of Directors
and based on the FINMA circular 2008/21. The operational risk management framework also includes a Business Continuity
Management documentation, which rules the maintenance or the resumption of business operations in case of occurrence of
critical situations such as a natural disaster affecting the Bank. The effectiveness of the Business Continuity Management istested annually.
The Bank establishes risk indicators, mainly based on operational incidents and losses which allow the risk control function toreport on operational risks in a systematic and objective way to the executive management and the Board of Directors.
The management of operational risks is one of the priorities of the Bank since it has a direct effect on its stability andattractiveness as a trusty service provider.
Market risks – trading operations
Due to the Bank’s specialization in forex trading, market risks are concentrated on currency risk. Market risks related to otherfinancial instruments offered by the Bank (precious metals, stocks, commodities, equities, etc.) are minor in comparison to
currency risks. The management of market risks deriving from trading operations is a priority risk management activity and acornerstone of the Bank’s financial stability. In particular, the volatility on the forex market may trigger significant impact on the
Bank’s statement of income due to the Bank’s currency risk exposure via the item “Result from trading activities”. For various
reasons including for benefiting from bid and ask spreads, the Bank permanently keeps a certain portion of market exposure
deriving from client order execution.
The Bank applies prudent market risk limits and sophisticated monitoring of market risk exposure via automated hedging logics
and 24h human and automated surveillance.
The Bank automatically measures its market risk exposure on a permanent and real time basis. The IT system automatically
caps such market risk exposure under the limits decided by the executive management and the Board of Directors. Those limits
have been set sufficiently carefully to ensure that Swiss banking capital adequacy requirements are complied with at all times. If
deemed necessary, the Bank’s advanced technology allows it to fully exclude exposure deriving from trading on all or specificinstruments, for instance in anticipation of exceptional market events such as the abandon of a currency peg by a Central Bank.
Market risks – other currency risks
The Bank has a limit applicable to currency risk exposure deriving from currency discrepancies between assets and liabilities.
This limit is monitored on a daily basis by the Treasurer who maintains sufficient currency congruence between assets andliabilities through the assets and liabilities management (ALM).

DUKASCOPY BANK SA ANNUAL REPORT 2021

22

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
Market risks – interest rate risks
The Bank is not active in credit or other interest generating activities. The Bank’s exposure to interest rate risks mostly
derives from government bonds it has bought and deposited with trading counterparties as trading collateral. Since the
Bank intends to hold those bonds until maturity, the identified interest rate risks should not materialize in losses. The Bank
calculates and reports on interest rate risks on a quarterly basis.
Credit risk
The Bank is not active in credit activities. However, in the frame of its core trading activities, a credit risk exists if clients are
not able to honor payment obligations collected during their trading at the Bank (settlement of trading losses and paymentof fees). For that reason, the Bank only accepts to trade on a covered basis. The trading platforms automatically monitor thecredit risk related to clients by way of margin call and margin cut functionalities which shall ensure that the Bank remains
covered by sufficient collateral at any time. In some circumstances, the margin call and margin cut functionalities of the
Bank may not suffice to fully prevent certain client accounts to become negative. In such cases, the Bank collects unsecured
receivables. Also, the Bank may grant short term unsecured loans and advances to the Bank’s employees.
Counterparty risk in interbank business
The Bank deposits its liquidity and trades (mainly to hedge client transactions) with more than 20 different banks and otherinstitutional trading counterparties external to its ECN marketplace such as brokers and other marketplaces. Counterparty anddefault risks relating to banks and other trading counterparties are mitigated by the fixation of exposure limits within thecompetences set by the Board of Directors. The respect of the risk limits is controlled on a daily basis and limits are adapted asoften as deemed necessary. In principle, the Bank works only with first-class counterparties. Before entering into a business
relationship with a counterparty in interbank business, the Bank performs an assessment of the counterparty risk and sets a risk
exposure limit accordingly. The limit depends significantly on the rating, if any, and on the capital adequacy of the counterparty
which are reassessed on an annual basis or more frequently if deemed necessary. The Bank is attentive to financial news andpublic information circulating about its counterparties. In case of negative information concerning the stability of a counterparty,
its creditworthiness is verified by the Bank. If deemed necessary, risk limits and credit risk exposures are adjusted or suppressedby the executive management and the risk control function. The Treasurer monitors compliance with the limits on a daily basis.
Liquidity
Due to the nature of its business activities, the Bank has abundant liquidities and no long term monetary commitment. The
Bank is exclusively financed by its own capital, client deposits and therefore does not need to raise funds on the money
market. As a result, the liquidity risk of the Bank is low and requires limited monitoring. The liquidity risk management
strategy of the Bank and an emergency liquidity plan have been approved by the Board of Directors. They identify reservesof liquidity, liquidity risk indicators and steps necessary to maintain sufficient liquidity, including in case of liquidity stresssituation. The Treasurer ensures that the limits are complied with. The liquidity situation and concentration risks aremonitored by the risk control function and reported quarterly to the executive management and to the Board of Directors.
4. Methods used for identifying default risks and determining the need for value adjustments
4.1. Amounts due from customers
With regard to receivables covered by bank guarantees, the credit risk mostly relates to banks having issued suchguarantees and the default risk is determined as explained in section 4.2. below. If a bank guarantee issuer defaults, thereceivable becomes unsecured and default risks are assessed like for unsecured loans or advances to Bank’s employees.
DUKASCOPY BANK SA ANNUAL REPORT 2021

23

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021
The Bank considers that a risk of default exists on unsecured receivables if a payment of interests or a reimbursement of theprincipal is not honored in due date or if the debtor disputes such payment obligations or indicates that he/she will not be able tohonor them. In such cases, the Bank enquires about the debtor’s intentions and financial situation and evaluates the chances ofrecovering the receivable. A value adjustment is recorded for the portion of receivable whose recovery is considered uncertain.
4.2. Amounts due from banks
In principle, the Bank only takes credit risk exposure towards counterparties having sound creditworthiness. The Bank
considers that a counterparty is defaulting in case the latter refuses to honor a payment order in due time, or is declaredbankrupted or placed under special administration due to insolvency/going-concern issues. In such cases, thecounterparty’s situation is evaluated by the Bank. A value adjustment is recorded for the portion of receivable whose
recovery is considered uncertain.
4.3. Process for determining value adjustments and provisions
Value adjustments and provisions are reassessed at each balance sheet date. Changes in value adjustments and provisions
are approved by the executive management unless they simply result from a use of provision in conformity with its purposeor the recovery of an impaired receivable. Value adjustments on non-impairment credit exposures are determined
individually or on a portfolio basis according to Art. 25 para 1 let. c FINMA Accounting Ordinance.
5. Valuation of collateralCollateral provided by clients is normally made of cash deposited with Dukascopy Bank, in any currency accepted in depositby the Bank. Collateral also may comprise up to 80% of bank guarantees issued by Swiss or European banks having a Baa or
superior Long-Term senior debt Moody’s rating. With the joint approval of the risk control function and executive
management, the Bank may accept bank guarantees derogating the above criteria. Bank guarantees must be denominatedin the same currency as the client account reference currency. Collateral is valued at nominal value of the cash or bankguarantees. The Bank applies no haircut to collateral and grants a leverage for the trading of certain instruments.
6. Business policy regarding the use of derivative financial instruments and hedge accounting
Trading of OTC financial instruments with clients, including trading of certain financial derivatives (CFD and binary options),is the core business of the Bank. As per Swiss legislation, the main instrument offered by the Bank, namely leveraged margin
trading on currencies and precious metals without delivery, while it is often regarded as a CFD instrument in otherjurisdictions. Therefore, depending on the qualification of leveraged margin trading, the Bank may be seen as a pureprovider of financial derivative instruments. The Bank does not trade credit derivatives.
The Bank executes all trading operations in full STP (Straight-Through-Processing) mode and always acts as a principal intrades, including on its ECN (Electronic Communication Network) trading environment.
The Bank also uses derivative financial instruments for risk management purposes, mainly to hedge against market risks(including currency risk) mostly deriving from clients trading operations. Hedging operations are executed by the Bankeither with external institutional counterparties or with clients. The Bank does not use hedge accounting.
7. Significant subsequent event after the balance sheet dateNo significant event that could have an impact on the 2021 annual accounts has occurred after the closing date. Nevertheless,the Russian-Ukrainian conflict which started in February 2022 may have an impact on the Bank’s activities in 2022. It is however
too early to quantify their effects on the Bank’s financial.
DUKASCOPY BANK SA ANNUAL REPORT 2021

24

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of collateral for loans/receivables and off-balance-sheet transactions,as well as impaired loans/receivables

LOANS (CHF)(before netting with value adjustments)

Secured by mortgages

Other collateral Unsecured

Total

Amounts due from customers–

40 172

1 696 400

1 736 572

Total at 31 December 2021–

40 172

1 696 400

1 736 572–

34 351

589 525623 876–

40 172

1 696 400

1 736 572–

34 351

589 525623 876

Other collateral Unsecured

Total(before netting with value adjustments)
Total at 31 December 2020
(before netting with value adjustments)
Total at 31 December 2021
(after netting with value adjustments)
Total (after netting with value adjustments)
at 31 December 2020

OFF-BALANCE SHEET COMMITMENTS (CHF)

Secured by mortgages

Contingent liabilities*–

139 755–

139 755

Irrevocable commitments––

988 000

988 000

Total at 31 December 2021–

139 755

988 000

1 127 755

Total at 31 December 2020–

227 412892 000

1 119 412

*Contingent liabilities are bank guarantees issued by the Bank on behalf of clients, fully secured by client cash deposits.

BREAKDOWN OF IMPAIRED
LOANS/RECEIVABLES (CHF)

Gross debt
amountEstimated liquidation
proceeds of collateral

Net debt
amountIndividual value
adjustments

Total at 31 December 2021

–

–

–

–

Total at 31 December 2020

–

–

–

–

DUKASCOPY BANK SA ANNUAL REPORT 2021

25

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of trading portfolio and other financial instruments at fair value (assets and liabilities)
2021

2020

Other trading portfolio assets (cryptocurrencies)

5 255 953–

Total trading assets

5 255 953–

Total assets

5 255 953–

– of which determined using a valuation model––– of which, securities eligible for repo transactions in accordance with liquidity requirements––

ASSETS (CHF)

Presentation of derivative financial instruments (assets and liabilities)
Trading instruments
OTC TRANSACTIONS (CHF)

Positive
replacement values

Negative
replacement values

Contract
volumesInterest instruments:
– CFD

1 805

5

1 215 801

Total interest instruments

1 805

5

1 215 801

– forward contracts*

325 987

332 443

273 579 999– swaps

280 107377 829670 559 190

Total currencies

606 094710 272944 139 189

1

1 129

183 520

Currencies:

Precious metals:– forward contracts*– swaps

52 38816

25 931 932

Total precious metals

52 3891 145

26 115 452– CFD

219 044

211 079

41 091 491

Total equity securities and indices219 044

211 079

41 091 491– CFD

478 074870 080

15 609 360

Total others

478 074870 080

15 609 360

1 357 406

1 792 581

1 028 171 293

Equity securities and indices:

Others:Total at 31 December 2021 before impact of netting contracts

–

–

–

896 816

1 040 609

617 715 419

–

–

–

Total at 31 December 2021 after impact of netting contracts

837 487

1 272 663

Total at 31 December 2020 after impact of netting contracts

467 392

611 185of which determined using a valuation model
Total at 31 December 2020 before impact of netting contractsof which determined using a valuation model* Represent the spot trading transactions which are accounted for according to the value date principle.
DUKASCOPY BANK SA ANNUAL REPORT 2021

26

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown by counterparty
POSITIVE REPLACEMENT VALUES AFTERIMPACT OF NETTING CONTACTS (CHF)

Central clearing
housesBanks & securities
dealers

Otherscustomers

Total

Total at 31 December 2021–

322 717514 770

837 487

Total at 31 December 2020–

438 145

29 247467 392

Breakdown of financial investments
Fair value

Book value
2021

2020

2021

2020

45 339 716

45 557 708

45 508 932

46 981 305

1 674

87 637

1 674

87 637

Total

45 341 390

45 645 345

45 510 606

47 068 942

including securities eligible for repo transactionsin accordance with liquidity regulations

34 418 633

34 985 538

34 379 460

35 938 370

2021

2020

45 339 716

45 557 708

A+ to A-––

BBB+ to BBB-––

BB+ to B-––

Lower than B-––

Without rating

–

–

(CHF)
Debt securities held to maturity
Cryptocurrencies

Breakdown of contreparties
DEBT SECURITIES: BOOK VALUE OF BONDS HELD TO MATURITY (CHF)
AAA to AA-

We use Fitch rating’s.

Presentation of participations
2020

2021

Cost
value

Value
adjustment

Book value
at end of year

Without listed value

3 751 344

(2 143 147)

1 608 197–––

1 608 197

Total participations

3 751 344

(2 143 147)

1 608 197–––

1 608 197

PARTICIPATIONS (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

Disposals
ValueBook value
Additions Reimbursement adjustment at end of year

27

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Disclosure of companies in which the Bank holds a permanent direct or indirect
significant participation
2021
PARTICIPATIONS

Activity

Share capital
(CHF)

Head
officeSharecapital in %Sharevote in %Helddirectly in %SWFX-Swiss FX Marketplace SA

IP service

100 000

Geneva

100

100

100

Dukascopy Europe IBS AS

brokerage

1 933 921

Riga

100

100

100

Dukascopy Community SAsocial media

100 000

Geneva

100

100

100

brokerage

6 021 839

Tokyo

100

100

100

Dukascopy Japan K.K.

2020
SWFX-Swiss FX Marketplace SA

IP service

100 000

Geneva

100

100

100

Dukascopy Europe IBS AS

brokerage

1 933 921

Riga

100

100

100

Dukascopy Community SAsocial media

100 000

Geneva

100

100

100

Dukascopy Japan K.K.

brokerage

6 021 839

Tokyo

100

100

100

Dukascopy International Ltd

liquidated

0 Limassol

100

100

100

Dukascopy International Ltd was liquidated the 11 June 2021.

Presentation of tangible fixed assets
2020

2021

AccumulatedBook value
depreciation at end of year

Additions

Disposals(CHF)

Cost value

Softwares

23 279 663(23 030 940)

248 723––

Other tangible fixed assets

10 110 194(9 354 488)

755 706

246 702
246 702

Total fixed assets

33 389 857(32 385 428)

1 004 429

Book value
Depreciation at end of year
(100 474)

148 249–(313 637)

688 771–(414 111)

837 020

Leasing(CHF)
Future leasing installments arising from operating leasesof which, may be terminated within one year

2022

2023

2024

2025

2026

2027

1 478 514

1 207 648

1 014 838

889 236

231 580

32 29847 040

–

–

–

–

–

They are rental costs.

DUKASCOPY BANK SA ANNUAL REPORT 2021

28

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of other assets and liabilities
2021

2020

Wire transfers

83 136

183 984

Total other assets

83 136

183 984

1 443 113

2 237 649

233 154

243 890

93

109

1 676 360

2 481 648

OTHER ASSETS (CHF)

OTHER LIABILITIES (CHF)
Wire transfers
Indirect taxes to be paid
OthersTotal other liabilities

Disclosure of assets pledged or assigned to secure own commitments
and of assets under reservation of ownership
2021

(CHF)

2020

Book value of pledged
Effectiveassets & assets
assigned as collateral commitments

Book value of pledged
assets & assets
assigned as collateral

Effective
commitments

Swiss bonds and US government bonds

18 839 353

1 194 602

18 939 159

381 477

Margin accounts assigned as collateral

23 666 255

382 91024 438 870

112 045219 530

219 530

219 530

219 530

42 725 138

1 797 042

43 597 559

713 052

Deposits made with banks to secure guarantees
Total

Indications relating to pension funds
A collective pension fund plan exists for the employees based in Switzerland (Caisse Inter-Entreprises-CIEPP). This
fund is a defined contribution scheme. There is no employer contribution reserve and there is no identifiableeconomic benefit to be capitalised in the balance sheet (2020: nil). The pension fund unaudited accounts as of 31
December 2021 present a coverage ratio of 126%. Based on the last audited financial statements of the Caisse InterEntreprises-CIEPP as at 31 December 2020, the coverage ratio was 121.4%.
There is no pension fund for the other foreign representation offices of the Bank.
DUKASCOPY BANK SA ANNUAL REPORT 2021

29

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of economic benefit / obligation and the pension expenses

Over orunderfunding
31.12.2021(CHF)

Economic interestof the Bank
2020
2021

−

Pension plans with overfunding−

Change ineconomic interest
versus prior year

Contributions
paid for 2021−

255 008−

Pension expenses inpersonnel expenses
2021

2020

255 008

280 317Presentation of value adjustments and provisions, reserves for general banking
risks, and changes therein during the current year

Currency Recoveries, past
New creations Releases Balance atBalance at Use in conformity with Reclassifidue interest charged to income to income 31.12.2021
31.12.2021
designated purpose
cations differences(CHF)
Provisions for other business risks
Total provisions
Reserves for general banking risks

–

–

–

–

–

–

–

–
–

–

–

–

–

–

–

–

4 000 000

–

–

–

–

–

(150 000) 3 850 000

–

–

–

–

–

–

–

Value adjustments for default
risks and country risks – of which,–value adjustments for default risks inrespect of impaired loans/receivables

Provisions are valued according to the best estimate principle. Reserves for general banking risks have not been taxed.

Presentation of the Bank's capital
2020

2021
Capital eligiblefor dividend

Total parvalue

Numberof shares

Capital eligiblefor dividend

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000(CHF)

Total parvalue

Numberof shares

Share capital

22 000 000

Registered sharesof which, paid up
Total Bank's capital

The share capital consists of 21'680'000 shares with a nominal value of CHF 1 and of 32'000 shares with a nominal value of CHF 10.

DUKASCOPY BANK SA ANNUAL REPORT 2021

30

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Disclosure of amounts due from/to related parties

2021

2020

(CHF)

Amountsdue from

Amounts
due toAmountsdue from

Amounts
due toHolders of qualified participations

1 204 166

28 12342 00030 502

Group companies

1 563 413

3 911 383

600 100

4 008 487

Linked companies

–

–

–

–

Transactions with members of governing bodies–

12 961–28 059Other related parties–

14 888–39

Dukascopy Bank SA engaged into transactions with related parties in the normal course of its business. Thesetransactions mainly include outsourcing, marketing services and copyright agreements. Besides, all subsidiaries of the
Bank hedge their trading operations with Dukascopy Bank.
Transactions with related parties are conducted at arm's length.

Disclosure of holders of significant participations

2021
With voting rights

Nominal(CHF)

Numberof shares% of equity
in %Capital eligiblefor dividend (CHF)

Dr. Andrey Duka

10 890 000

10 746 000

49.5

10 890 000

Veronika Duka

10 890 000

10 746 000

49.5

10 890 000

2020
With voting rights

Nominal(CHF)

Numberof shares% of equity
in %Capital eligiblefor dividend (CHF)

Dr. Andrey Duka

10 890 000

10 746 000

49.5

10 890 000

Veronika Duka

10 890 000

10 746 000

49.5

10 890 000

DUKASCOPY BANK SA ANNUAL REPORT 2021

31

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of the maturity structure of financial instruments

Due
Within Within 3 toAt sight Cancellable 3 months 12 months

ASSETS (CHF)

Within 1
to 5 years

OverNo
5 years maturity

Total

Liquid assets

37 719 957

–

–

–

–

–

–

37 719 957

Amounts due from banks

89 226 723

219 530

–

–

–

–

–

89 446 253

Amounts due from customers

1 701 938

34 634

–

–

–

–

–

1 736 572

Trading assets

5 255 953

–

–

–

–

–

–

5 255 953

837 487

–

–

–

–

–

–

837 487

1 674

–

–

10 921 083–

34 418 633

134 743 732

254 164–

10 921 083–

34 418 633

111 893 835

265 068––

10 572 170

34 985 538–

157 716 611

11 975 263

–

–

–

–

–

–

11 975 263

113 896 999

–

–

–

–

–

–

113 896 999

of derivative financial instruments 1 272 663

–

–

–

–

–

–

1 272 663

127 144 925

–

–

–

–

–

–

127 144 925

105 883 072

–

–

–

–

–

–

105 883 072

Positive replacement valuesof derivative financial instruments
Financial investments–

Total current assets
at 31 December 2021

45 341 390

180 337 612

Total current assets
at 31 December 2020

THIRD-PARTY LIABILITIES (CHF)
Amounts due to banks
Amounts due in respectof customer deposits
Negative replacement values

Total third-party liabilities
at 31 December 2021
Total third-party liabilities
at 31 December 2020

DUKASCOPY BANK SA ANNUAL REPORT 2021

32

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of assets and liabilities by domestic and foreign origin in accordancewith the domicile principle

2021

2020

Domestic

Foreign

Total

Domestic

Foreign

Total

Liquid assets

37 720–37 72023 260–23 260

Amounts due from banks

37 65551 79189 44637 76149 95987 720

Amounts due from customers

1 265

472

1 737

101

523

624

Trading assets

4 306

950

5 256

–

–

–

financial instruments

52

785

837

216

252

468

Financial investments

34 41910 92345 34234 98910 65645 645

Accrued income and prepaid expenses

1 087

517

1 604

1 343

887

2 230

Investment in subsidiaries

200

1 408

1 608

200

1 408

1 608

Tangible fixed assets

684

153

837

787

217

1 004

Other assets

83

–

83

184

–

184

Total assets

117 471

66 999184 470

98 84163 902

162 743–

11 975

11 975

–

9 204

9 204

6 999

106 898

113 897

7 194

88 87396 067

114

1 159

1 273

63

548

611

Accrued expenses and deferred income

2 283

442

2 725

3 022

353

3 375

Other liabilities

1 673

4

1 677

2 482

–

2 482

Reserves for general banking risks

3 850

–

3 850

4 000

–

4 000

Bank's capital

22 000–22 00022 000–22 000Statutory retained earnings reserve

1 317

–

1 317

796

–

796

Profit carried forward

23 686–

23 68613 806–13 806

Result of the year

2 070

–

2 070

10 402–10 402

Total liabilities

63 992120 478

184 470

63 76598 978162 743ASSETS (CHF 000)

Positive replacement values of derivative

LIABILITIES (CHF 000)
Amounts due to banks
Amounts due in respect of customer deposits
Negative replacement valuesof derivative financial instruments

DUKASCOPY BANK SA ANNUAL REPORT 2021

33

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of total assets by country or group of countries (domicile principle)

2021

2020

Absolute (CHF 000)

Share %

Absolute (CHF 000)

Share %

Switzerland

117 471

63.7

98 84160.7

Europe excluding Switzerland

48 79326.4

47 46029.2

USA and Canada

15 334

8.3

14 601

9.0

Others

2 872

1.6

1 841

1.1

Total

184 470

100.0

162 743

100.0

ASSETS

Breakdown of total assets by credit rating of country groups (risk domicile view)

2021

2020

Absolute (CHF 000)

Share %

Absolute (CHF 000)

Share %

1

64 24695.9

62 087

97.2

2

6

0.0

1

0.0

3

301

0.4

234

0.4

4

31

0.0

54

0.1

5

2 057

3.2

1 117

1.7

6

167

0.2

95

0.1

7

145

0.2

243

0.4

without rating

46

0.1

71

0.1

66 999100.0

63 902

100.0

SERV Rating

Total

The Bank does not use an internal rating system for country risk management. SERV is the rating issued by OECD.
Exposure excluding Switzerland.

DUKASCOPY BANK SA ANNUAL REPORT 2021

34

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of assets and liabilities broken down by the most significant currenciesof the Bank
CHF

EUR

USD

JPY

Others

Total

Liquid assets

37 720––––37 720

Amounts due from banks

5 786

35 45934 010

1 672

12 51989 446

Amounts due from customers

1 268

281

122

–

66

1 737

–

–

–

–

5 256

5 256

837

–

–

–

–

837

Financial investments

34 419–10 921–

245 342

Accrued income and prepaid expenses

1 037

122

331

–

114

1 604

Investment in subsidiaries

1 608

–

–

–

–

1 608

837

–

–

–

–

837

Other assets

–

28

32

–

23

83

Total assets

83 51235 89045 416

1 672

17 980184 470and swap transactions

65 512170 556331 981

91 901

310 305

970 255

Total at 31 December 2021

149 024

206 446377 397

93 573328 285

1 154 725

140

7 498

3 882

156

299

11 975

11 61235 20750 018441

16 619113 897

ASSETS (CHF 000)

Trading assets
Positive replacement valuesof derivative financial instruments

Tangible fixed assets

Claims arising from spot exchange

LIABILITIES (CHF 000)
Amounts due to banks
Amounts due in respect of customer deposits
Negative replacement values
1 273

–

–

–

–

1 273

1 767

832

91

18

17

2 725

499

350

716

2

110

1 677

Reserves for general banking risks

3 850

–

–

–

–

3 850

Bank's capital

22 000––––22 000Statutory retained earnings reserve

1 317

–

–

–

–

1 317

Profit carried forward

23 686––––

23 686

Result of the year

2 070

-

–

–

–

2 070

Total liabilities

68 21443 88754 707617

17 045

184 470of derivative financial instruments
Accrued expenses and deferred income
Other liabilities

Delivery obligations arising from spot exchange
61 834174 919336 541

118 474

278 487970 255

Total at 31 December 2021

130 048

218 806391 248

119 091

295 532

1 154 725

Net position by currency

18 976(12 360)(13 851)(25 518)

32 753–and swap transactions

DUKASCOPY BANK SA ANNUAL REPORT 2021

35

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of contingent assets and contingent liabilities

CONTINGENT ASSETS (CHF)

2021

2020

Other contingent assets––

Total contingent assets––

Other contingent liabilities

139 755

227 412

Total contingent liabilities

139 755

227 412TRADING INCOME (CHF)

2021

2020

Leveraged margin trading

20 564 956

39 163 209

561 880

476 592

21 126 836

39 639 801

CONTINGENT LIABILITIES (CHF)

Breakdown of the result from trading activities

Binary options
Total

DUKASCOPY BANK SA ANNUAL REPORT 2021

36

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown by underlying risk
2021

2020

Equity securities

2 720 035

5 468 556

Foreign currency

12 655 336

24 086 891

Commodities / precious metals

4 799 515

10 246 331

951 950(161 977)

21 126 836

39 639 801

RESULT (CHF) FROM TRADING ACTIVITIES FROM:

Cryptocurrencies
Total
Comparative figures for 2020 have been adapted included cryptocurrencies.

Disclosure of material refinancing income in the item Interest and discountincome as well as material negative interest
NEGATIVE INTEREST (CHF)
Negative interest on credit operations
Negative interest on deposits

2021

2020

348 137

273 161

3 186

3 257

Negative interest on credit operations are disclosed as a reduction in Interest and discount income.
Negative interest on deposits are disclosed as a reduction in Interest expense.

Breakdown of personnel expenses
2021

2020

5 310 740

5 983 966––

1 101 388

1 273 969

Other personnel expenses

74 936

92 716

Total personnel expenses

6 487 064

7 350 651

PERSONNEL EXPENSES (CHF)
Salariesof which, expenses relating to share-based compensation
and alternative forms of variable compensation
Benefits

DUKASCOPY BANK SA ANNUAL REPORT 2021

37

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of general and administrative expenses

GENERAL AND ADMINISTRATIVE EXPENSES (CHF)

2021

2020

Premises

1 934 323

2 124 934

IT related expenses

2 044 675

2 106 913

Copyright agreement

2 939 247

3 081 458

Legal and consulting

1 786 754

1 895 007

Post, telecommunications and data

596 122627 366

Expenses for vehicles

75 53040 152

Office supply

183 150

198 845

Audit fees

253 095

258 480of which for financial and regulatory audits

253 095

258 480––

2 342 058

2 511 908

Travels

779 475

578 864

Others247 925

264 748

13 182 354

13 688 675

2021

2020

Disposal of fully depreciated fixed assets

11

17Transfer return–414

Total extraordinary income

11

431

Loss realised on the disposal of participation–(10 745)

Total extraordinary expenses–(10 745)of which for other services
Marketing and communication

Total general and administrative expenses

Explanations regarding extraordinary income and expenses

EXTRAORDINARY INCOME (CHF)

EXTRAORDINARY EXPENSES (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

38

NOTES TO THE FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of operating result broken down according to domestic and foreign
origin, according to the principle of permanent establishment
2021

2020

(CHF)

Domestic

Foreign

Domestic

Foreign

Subtotal net result for interest operations(156 833)–(77 613)(29 741)

Subtotal result from commission business and services

1 695 057–

565 163–

Result from trading activities

21 126 836–

39 639 801–

Personnel expenses(5 280 019)

(1 207 045)

(5 903 680)

(1 446 971)

General and administrative expenses(4 077 744)

(9 104 610)

(4 415 574)

(9 273 101)

Subtotal operating expenses(9 357 763)

(10 311 655)

(10 319 254)

(10 720 072)

(289 741)(124 370)(2 426 812)(207 047)(8 102)(38 320)(29 329)(195)

13 009 454(10 474 345)

27 351 956(10 957 055)

Value adjustments on participations and depreciation andamortisation of tangible fixed assets and intangible assets
Changes to provisions and other value adjustments and losses
Operating result

Presentation of current taxes, deferred taxes and disclosure of tax rate

2021

2020

Current tax expenses(615 240)(1 982 819)

Total taxes(615 240)(1 982 819)

(CHF)

(CHF)
Average tax rate

2021

2020

24.3%

12.1%

Taxes consist of tax on profit and capital, as well as professional tax. The fluctuation observed in the tax rate is dueto the Geneva professional tax because the latter is not proportionate to the profit but to the total gross income.

DUKASCOPY BANK SA ANNUAL REPORT 2021

39

REPORT OF THE STATUTORY AUDITOR
TO THE GENERAL MEETINGOF SHAREHOLDERS
of Dukascopy Bank SA, Meyrin
Report of the Statutory Auditor on the Financial Statements
As statutory auditor, we have audited the accompanying financial statements of Dukascopy Bank SA, which comprisethe balance sheet, income statement, statement of changes in equity and notes (pages 12 to 39) for the year ended
31 December 2021.

Board of Directors’ Responsibility
The Board of Directors is responsible for the preparation of the financial statements in accordance with therequirements of Swiss law and the company’s articles of incorporation. This responsibility includes designing,
implementing and maintaining an internal control system relevant to the preparation of financial statements that are
free from material misstatement, whether due to fraud or error. The Board of Directors is further responsible forselecting and applying appropriate accounting policies and making accounting estimates that are reasonable in thecircumstances.

Auditor’s Responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit
in accordance with Swiss law and Swiss Auditing Standards. Those standards require that we plan and perform theaudit to obtain reasonable assurance whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial
statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks ofmaterial misstatement of the financial statements, whether due to fraud or error. In making those risk assessments,
the auditor considers the internal control system relevant to the entity’s preparation of the financial statements inorder to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the entity’s internal control system. An audit also includes evaluating theappropriateness of the accounting policies used and the reasonableness of accounting estimates made, as well as
evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained
is sufficient and appropriate to provide a basis for our audit opinion.

DUKASCOPY BANK SA ANNUAL REPORT 2021

40

Opinion
In our opinion, the financial statements for the year ended 31 December 2021 comply with Swiss law and thecompany’s articles of incorporation.

Report on Other Legal Requirements
We confirm that we meet the legal requirements on licensing according to the Auditor Oversight Act (AOA) andindependence (article 728 CO and article 11 AOA) and that there are no circumstances incompatible with our
independence.

In accordance with article 728a paragraph 1 item 3 CO and Swiss Auditing Standard 890, we confirm that an internal
control system exists, which has been designed for the preparation of financial statements according to the
instructions of the Board of Directors.

We further confirm that the proposed appropriation of available earnings complies with Swiss law and thecompany’s articles of incorporation.

We recommend that the financial statements submitted to you be approved.

KPMG SA
Philippe Ruedin

Romain TranchantLicensed Audit Expert

Licensed Audit Expert

Auditor in Charge

Geneva, 26 April 2022

Enclosure:– Financial statements (balance sheet, income statement, statement of changes in equity and notes);– Proposed appropriation of available earnings.

DUKASCOPY BANK SA ANNUAL REPORT 2021

41

KEY METRICS FOR DISCLOSURE TO THE FINANCIAL STATEMENTS
as at 31 December 2021

KM1: Key regulatory figures
AVAILABLE CAPITAL AMOUNTS (CHF 000)

2021 2021Q3 2021Q2 2021Q1 2020

1 Common Equity Tier 1 (CET1)
1a Fully loaded ECL accounting model CET1
2 Tier 1
2a Fully loaded ECL accounting model Tier 1
3 Total capital
3a Fully loaded ECL accounting model Total capital

49 03346 08649 03346 08649 03346 086

194 163
15 533166 650
13 33225.25%

27.65%

25.25%

27.65%

25.25%

27.65%

2.50%
0.00%
0.00%
2.50%
17.25%

2.50%
0.00%
0.00%
2.50%
19.65%

RISK-WEIGHTED ASSETS AMOUNTS
4 Total risk-weighted assets (RWA)
4a Minimum capital requirements (000 CHF)
RISK-BASED CAPITAL RATIOS (as a percentage % of RWA)
5 CET1 ratio (%)
5a Fully loaded ECL accounting model Common Equity Tier 1 (%)
6 T1 ratio (%)
6a Fully loaded ECL accounting model Tier 1 ratio (%)
7 Total capital ratio (%)
7a Fully loaded ECL accounting model total capital ratio (%)
ADDITIONAL CET1 REQUIREMENTS (buffers as a percentage of RWA)
8 Capital conservation buffer requirement according to Basel minimum requirements (%)
9 Countercyclical buffer requirement according to Basel minimum requirements (%)
10 Bank G-SIB and/or D-SIB additional requirements
11 Total of bank CET1 specific buffer requirements according to Basel minimum requirements (%)
12 CET1 available after meeting the bank’s minimum capital requirements (%)

TARGET CAPITAL RATIOS ACCORDING TO ANNEX 8 OF THE CAPITAL ADEQUACY ORDINANCE (CAO) (% of RWA)
2.50%
12a Capital conservation buffer according to CAO, Annex 8 (%)
0.00%
12b Countercyclical capital buffer according to CAO, Art. 44 and Art. 44a (%)
12c CET1 capital target (%) accord. to CAO, Annex 8+countercyclical buffer accord. to CAO, Art. 44 & 44a 7.00%
12d T1 capital target according to CAO, Annex 8+countercyclical buffer accord. to CAO, Art. 44 and 44a 8.50%
12e Total capital target according to CAO, Annex 8+contercyclical buffer accord. to CAO, Art. 44 and 44a 10.50%

2.50%
0.00%
7.00%
8.50%
10.50%

BASEL III LEVERAGE RATIO
13 Total Basel III leverage ratio exposure measure (000 CHF)
14 Basel IIII Leverage Ratio
14a Fully loaded ECL accounting model Basel III leverage ratio (%)

195 420
25.09%
25.09%

147 81131.18%
31.18%MEDIUM SHORT-TERM LIQUIDITY COVERAGE RATIO LCR
15 LCR Numerator: total stock of high quality liquid assets (000 CHF)
16 LCR Denumerator: total cash outflow (000 CHF)
17 Liquidity coverage ratio (%)

61 3426 257
980%

60 2705 907
1020%

57 4875 843
984%

52 181 55 816
4 878
5 400
966% 1144%

149 92124 525611%

135 794
21 361636%

NET STABLE FUNDING RATIO NSFR
18 Available stable refinancings (000 CHF)
19 Required stable refinancings (000 CHF)
20 Net stable funding ratio NSFR (%)

DUKASCOPY BANK SA ANNUAL REPORT 2021

151 506
24 379621%

42

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

OV1: Overwiew of risk-weighted assets

RWA 2021

RWA 2020

Min. capitalrequirements 2021

1 Credit risk

38 83834 4133 107

20 Market risk*

96 38869 975

7 711

24 Operational risk

56 73859 725

4 539

838

1 000

67

–

–

–

1 363

1 538

109

194 163

166 650

15 533(CHF 000)

24a Risks without counterparty
25 Amounts below the thereshold 3 (subject to 250% risk weight)
26 Others
27 Total (1 + 20 + 24 + 25 + 26)
To determine minimum capital requirement we use:
– credit risk: standard approach;– market risk: standard approach;– operational risk: basic indicator approach;– others: cryptocurrencies.
*Market risk increased due to a raise in open positions in currencies

LIQA: Liquidity risk management
In general, Dukascopy Bank has a very low liquidity risk appetite. Therefore, Dukascopy Bank and its Group haveabundant liquidity, which resulted from the vast majority of its assets being allocated into high quality liquid assets andbank deposits at sight. High quality liquid assets are constituted of high-grade government bonds and deposits with the
Swiss National Bank. The bank deposits are mostly held with top rank Swiss, German, UK and US banks. Liquidity risk
management is oriented to limit the liquidity risk and to ensure that the Bank has sufficient liquid assets in order to beable to meet its payment obligations in stress situations and at all times. The Treasurer of the Bank is responsible formanaging the liquidity of the Bank as well as for its compliance with the regulatory requirements.
The Finance department of the Bank is in charge of the independent measurement and monitoring of the liquidity
requirements and limits and is responsible for the regular risk reporting to the attention of the Executive Committee
and to the Board of Directors of the Bank.
The Executive Committee of the Bank is responsible for ensuring the risk tolerance and liquidity limits of the Bank aswell as of the Group. It is in charge of implementing and observing the risk policy principles and requirements for
identification, measurement, evaluation, management, monitoring and reporting of the liquidity risk. Furthermore, it
reports to the Board of Directors and its committees. The Board of Directors of the Bank determines the risk tolerance
and liquidity limits of the Group. Moreover, it defines the requirements for identification, measurement, evaluation,
management, monitoring and reporting of the liquidity risk. On a quarterly basis, the Chief Risk Officer issues a Risk
Report to the Audit Committee and the Board of Directors that includes the liquidity risk situation.
To measure the liquidity risk, the Finance department regularly conducts liquidity stress tests to verify the compliancewith the regulatory requirements through internal liquidity stress scenarios. The stress scenarios include a marketwide shock, temporary unavailability of the largest correspondent banks and a massive outflow of clients’ deposits. The
results of stress testing are periodically communicated as a part of the risk reporting to the attention of the Executive
Committee and to the Board of Directors of the Bank.
DUKASCOPY BANK SA ANNUAL REPORT 2021

43

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

CR1: Credit risk – credit quality of assets
Gross carrying values of(CHF 000)Defaulted exposures Non-Defaulted exposures

Value adjustments/
impairments

Netvalues

1 Loans (excluding debt securities)–

131 428–

131 428

2 Debt securities–

45 340–45 3403 Off-balance sheet exposures

–

1 128

–

1 128

24 Total–

177 896–

177 896

A situation of "default" is recognised when the debtor has failed to pay interests or to reimburse the loan
at the contractually agreed maturity date.

CR 3: Credit risk – overview of credit risk mitigation techniques(CHF 000)
Loans (Debt securities included)
Off-balance sheet exposures
Totalof which defaulted

Unsecured
exposures/carrying
valuesExposures secured
by collateral/
carrying values

Exposures secured by financial
guarantees or credit derivatives/
the amounts effectively covered

176 728

–

40

988

140

–

177 716

140

40

–

–

–

ORA: Operational risks
Operational risks include IT, cyber, confidentiality, fraud, compliance and legal risks. The Bank is particularly exposed to
IT and cyber risks due to its reliance on technological solutions

connected to the Internet. The identification,measurement, management, monitoring and reporting of the Bank's risks are organised in a comprehensive Risk
Management Concept complemented by specific concepts on cyber-security, data confidentiality and operational risk
management and by other internal regulation. Compliance risks are specifically subject to a Compliance Risk Analysis
and Action Plan. All this documentation is reviewed annually by the relevant specialised committees of the Bank: theRisk Committee, the Compliance Committee and the IT Steering Committee. The Bank makes sure that each identified
operational risk remains within the limits of its appetite and keeps under scrutiny the internal controls which allow tokeep those risks at acceptable level. Quarterly, the Board of Directors and the Executive Committee are informed of theevolutions in the Bank and Group's risk profile, receive operational risk indicators allowing them to monitor thesituation of risks and their compliance with the Bank's objectives. For determining capital requirements applicable tooperational risks the Bank uses the basic indicator method.
DUKASCOPY BANK SA ANNUAL REPORT 2021

44

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

IRRBBA: Interest-rate risk: Measuring, managing, monitoring and controllinginterest rate risks
Definition of interest rate risk in the banking book. Interest rate risk in the banking book is defined as the potential
loss in the net interest income (NII) or in the economic value of equity (EVE) arising from the effect of adverse interest
rate changes. The Bank could be exposed to the interest rate risk by offering CFD trading on debt instruments. I suchcase, the Bank's exposure to the interest rate risk would much fluctuate depending on the clients trading positions.
Therefore, the Bank fully hedges this trading flow. The Bank's business activities hardly expose it to the interest raterisk because it basically has no interest based business: the Bank neither charges or pay interests to its clients.
The main source of interest rate risk of the Bank in the bonds it hold as collateral for trading counterparties.
However, since these bonds are aimed to be held until maturity, the risk is not expected to materialize into losses.

The Board of Directors defines the interest rate risk appetite of the Bank. The principles for managing risk areapproved by the Board of Directors and are incorporated in the Bank risk management policies. The Bank risk
management policies define the organisational structure, responsibilities, limits and maximum acceptable risk withthe objective to optimise the net interest income on a long term horizon. The Executive Management is responsible
for supervising and implementing the risk profile and recommending risk limits to the Board of Directors.

On a quarterly basis, the Chief Risk Officer issues a Risk Report to the Audit Committee and the Board of Directorsthat includes the interest rate risk situation. This Risk Report presents inter alia the results of the stress tests withsignificant shifts in interest rate curves, the level of use of the risk limits and the distribution of relevant positions per
currency and per maturity.

The Bank do not pay interest on customers’ accounts. Nevertheless, it can review that policy at any time if consider it
necessary. Therefore, repricing maturities for all due to customers match with repricing maturities of interest rates
sensitive assets. Since the Bank does not place deposits on term with banks and do not issue loans to customers, alldue from banks have 1 month and due from customers have 9 month repricing maturities.

Risk measurement mechanisms regarding the interest rate risk modelling are aligned with the business model of theBank. Finance Department performs quarter-end stress tests to monitor the net interest income (NII) and theeconomic value of equity (EVE). These stress tests are measured for each currency using the own base scenario (100basis point change in interests) and the six standardised interest rate shock scenarios prescribed by the FINMA(Circular 2019/2 “Interest rate risk – banks). For each standardised scenario, FINMA defines the amount in basis
points of interest rate shock per currency (CHF, USD, EUR) and per maturity bucket (from overnight up to more than
20 years).

DUKASCOPY BANK SA ANNUAL REPORT 2021

45

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

FINMA prescribed scenarios
The six standard scenarios prescribed by FINMA can be summarised and illustrated as follows:Standard scenario

Amount of interest rate shock for CHF currency

Parallel shift up+150 basis points

Parallel shift down

– 150 basis points

Steepener shock (short term rates down and long term rates up)

From -97 basis point up to +90 basis points*

Flattener shock (short term rates up and long term rates down)

From +120 basis points down to -60 basis points*

Rise in short term interest rates

From +150 basis points down to 0 basis points*

Fall in short term interest rates

From -150 basis points down to 0 basis points**depending on maturity bucket

To measure its ability to withstand extreme changes in interest rates, the Bank also may conduct ad hoc stress tests
response to market conditions. The details of the various standardised scenarios are provided in the circular.

Change in economic value of equity (EVE)
Change in economic value of equity has been computed with the assumptions of a run off balance sheet, where
existing banking book positions amortise and are not replaced by any new business. Floating rate instruments are
only impacted for the period until the next interest rate reset date whereas for the fixed rate instruments the entire
maturity is impacted. The impact on each position is calculated stressing the effective interest rate.

Change in net interest income (NII)
Change in net interest income is computed assuming a constant balance sheet, where maturing and repricing cash
flows are replaced by new cash flows with identical features. The stress test is based on all cash flows from fixed andfloating rate instruments as well as assets and liabilities at sight. The impact is measured for one-year period.
Floating rate instruments are impacted after interest rate reset date while fixed interest rate instruments are
impacted for the remaining time after the expiration up to one year. At sight assets and liabilities are impacted forthe duration of one year. The assumptions reflect the expected behavior of counterparties to modify or to cap theinterest rate conditions (asset side) as well as the Bank’s optionalities to update its commercial policy with respect tonegative interests charged to customers (liability side) without affecting substantially other revenue categories.
Parallel shift up scenario may as well differ according to commercial policy and competition.

DUKASCOPY BANK SA ANNUAL REPORT 2021

46

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

IRRBBA1: Interest-rate risk - quantitative information on the structure of positions
and maturity repricing as of 31 December 2021
Average interest rate
reset period (in years)

Volume(in CHF millions)
Positions with an defined interest rate reset date

Totalof which of which other signiCHF
ficant currencies*

Totalof which
CHF

43

30

13

5.39

7.22

Amounts due from banks

89

6

69

0.04

0.04

Amounts due from customers

2

1

1

0.62

0.62

Sight liabilities in personal and current accounts

(113)

(16)

(85)

0.04

0.04

Other liabilities

(12)

0

(11)

0.04

0.04

9

21

(13)

–

–

Financial investments
Positions with an undefined interest rate reset date

Total

*Significant currencies are those that make up more than 10% of assets or liabilities of total assets (ie USD and EUR).

DUKASCOPY BANK SA ANNUAL REPORT 2021

47

KEY METRICS DISCLOSURES FOR THE FINANCIAL STATEMENTS
as at 31 December 2021

IRRBB1: Information on the economic value of equity and net interest income

Period (CHF millions)

Δ EVE

Δ NII

(change in the net present value)(change in the discounted earning value)

31.12.2021

31.12.2020

31.12.2021

31.12.2020

Parallel upward shift

(3.3)

(4.0)

0

0

Parallel downward shift

3.7

4.6

0

0

Steepener shock

(1.1)

(1.5)

–

–

Flattener shock

0.5

0.7

–

–

Upward short-term interest rate shock

(0.8)

(0.9)

–

–

Downward short-term interest rate shock

0.8

0.9

–

–

Maximum

3.7

4.6

0

0

Total eligible capital

49.0

46.1

–

–

The Bank is required to disclose the measured change in economic value of equity (EVE) and changes in net interest
income (NII) under the standard interest rate scenarios prescribed by FINMA. The change in net interest income (pre-tax)
is disclosed as the difference in future interest income over a rolling 12-month period.
The Bank's business activities hardly expose it to the interest rate risk because it basically has no interest based business:
the Bank neither charges or pay interests to its clients. Nevertheless, it can review that policy at any time if consider it
necessary. Therefore, repricing maturities for all due to customers match with repricing maturities of interest rates
sensitive assets. Since the Bank does not place deposits on term with banks and do not issue loans to customers, all due
from banks have 1 month and due from customers have 9 month repricing maturities.
The Bank could be exposed to the interest rate risk by offrering CFD trading on debt instruments. I such case, the Bank's
exposure to the interest rate risk would much fluctuate depending on the clients trading positions. Therefore, the Bank
fully hedges this trading flow. The main source of interest rate risk of the Bank in the bonds it hold as collateral for trading
counterparties. However, since these bonds are aimed to be held until maturity, the risk is not expected to materialize
into losses.

DUKASCOPY BANK SA ANNUAL REPORT 2021

48

CONSOLIDATEDFINANCIALSTATEMENTS

DUKASCOPY BANK SA ANNUAL REPORT 2021

49

CONSOLIDATED BALANCE SHEET
as at 31 December 2021

ASSETS (CHF)

31.12.2021

31.12.2020

Liquid assets

37 719 957

23 260 143

Amounts due from banks

96 088 110

94 957 680

Amounts due from customers

1 790 542

686 949

Trading assets

5 255 953–

850 980484 787

Financial investments

45 341 390

45 645 345

Accrued income and prepaid expenses

1 629 785

2 252 543

Investment in subsidiaries

100 000

100 000

Tangible fixed assets

841 131

1 011 397

Other assets

196 322276 998

Total assets

189 814 170

168 675 842

9 079 237

6 308 735

121 157 749

104 049 498

Negative replacement values of derivative financial instruments

1 282 249

623 550

Accrued expenses and deferred income

2 892 086

3 546 066

Other liabilities

1 766 891

2 567 641

616 000

640 000

Reserves for general banking risks

3 234 000

3 360 000

Bank's capital

22 000 000

22 000 000

Retained earnings reserve

25 332 463

12 496 059

Currency translation reserve

130 389

247 889

Consolidated profit of the year

2 323 106

12 836 404

189 814 170

168 675 842

31.12.2021

31.12.2020

Contingent liabilities

139 755

227 412

Irrevocable commitments

988 000

892 000

Positive replacement values of derivative financial instruments

LIABILITIES (CHF)
Amounts due to banks
Amounts due in respect of customer deposits

Provisions

Total liabilities

OFF–BALANCE SHEET
as at 31 December 2021
OFF–BALANCE SHEET COMMITMENTS (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

50

CONSOLIDATED STATEMENT OF INCOME
as at 31 December 2021

RESULT FROM INTEREST OPERATIONS (CHF)

31.12.2021

31.12.2020

Interest and discount income(316 443)(230 215)

Interest and dividend income from financial investments

723 495

728 915Interest expense(563 885)(576 939)

Gross result from interest operations(156 833)(78 239)–(29 741)(156 833)(107 980)

Commission income from other services

3 119 550

1 333 512

Commission expense(1 445 074)

(817 284)

Subtotal result from commission business and services

1 674 476

516 228

Result from trading activities

21 958 905

40 549 238

Personnel expenses(7 408 302)

(8 257 350)

General and administrative expenses(12 726 622)

(13 314 180)

Subtotal operating expenses(20 134 924)

(21 571 530)

of tangible fixed assets and intangible assets(416 565)(493 772)

Changes to provisions and other value adjustments, and losses(46 532)(29 724)

2 878 527

18 862 460

1 541

43 011–(10 745)

Changes in RRBG

126 000(3 360 000)

Taxes

(682 962)(2 698 322)

Profit of the year

2 323 106

12 836 404

Changes in value adjustments for default risks and losses from interest operations
Subtotal net result from interest operations

RESULT FROM COMMISSION BUSINESS AND SERVICES (CHF)

OPERATING EXPENSES (CHF)

Value adjustments on participations and depreciation and amortisation

Operating result
Extraordinary income
Extraordinary expenses

DUKASCOPY BANK SA ANNUAL REPORT 2021

51

PRESENTATION OF THE CONSOLIDATED STATEMENTOF CHANGES IN EQUITY
as at 31 December 2021

Bank'scapitalReserves
for generalbanking risks

Currencytranslation
reserve

Retainedearning
reserve

Consolidated
profitfor the year

TOTAL

Equity at start of current period

22 000 000

3 360 000

247 889

12 496 059

12 836 404

50 940 352

Allocation of previous year result

–

–

–

–

–

–

the Reserves for general banking risks–(126 000)–––(126 000)

Other allocations to Retained earnings reserve

–

–

–

–

–

–

Allocation to Retained earnings reserve

–

–

–

12 836 404(12 836 404)–

Currency translation differences––(117 500)––(117 500)

Profit of the year

–

–

–

–

2 323 106

2 323 106

22 000 000

3 234 000

130 389

25 332 463

2 323 106

53 019 958(CHF)

Other allocations to (transfer from)

Equity at end of current period

DUKASCOPY BANK SA ANNUAL REPORT 2021

52

CONSOLIDATED CASH FLOW STATEMENT
as at 31 December 2021
2021

CASH FLOW FROM OPERATING ACTIVITIES(internal financing) in CHF 000

Cash in-flow

2020

Cash out-flow

Cash in-flow

Cash out-flow

2 323

–

12 836

–

–

126

3 360

–

417

–

494

–

Provisions and other value adjustments

–

24

640

–

Accrued income and prepaid expenses

623

–

1 193

–

Accrued expenses and differred income

–

654

1 386

–

Other items

–

720

1 482

–

3 363

1 524

21 391–

Recognised in reserves

–

118

–

29

Subtotal

–

118

–

29

Result of the year
Changes in reserves for general banking risks
Value adjustement on participations, depreciation andamortisation of tangible fixed assets and intangible assets

Subtotal

CASH FLOW FROM SHAREHOLDER'S EQUITY TRANSACTIONSCASH FLOW FROM TRANSACTIONS IN RESPECT OF PARTICIPATIONS, TANGIBLE
FIXED ASSETS AND INTANGIBLE ASSETS–
Participations

–

–

11

–

Other tangible fixed assets

–

246

–

695

Subtotal

–

246

11

695

–

10 921

1 525–

Amounts due to banks

2 770

–

–

5 777

Amounts due in respect of customer deposits

17 108

–

9 189

–

659

–

–

501

Amounts due from banks

–

1 130

–

25 815

Amounts due from customers

–

1 104

–

339

Trading assets

–

5 256

–

–

CASH FLOW FROM BANKING OPERATIONSMEDIUM AND LONG-TERM BUSINESS (> 1 YEAR)
Financial instruments

SHORT-TERM BUSINESS

Negative replacement values of derivative financial instuments

Positive replacement values of derivative financial instuments
Financial instruments

–

366

612

–

11 225––32

LIQUIDITY
Liquid assets–

14 460460–

Subtotal

31 76233 237

11 78632 464TOTAL

35 12535 12533 18833 188DUKASCOPY BANK SA ANNUAL REPORT 2021

53

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
1. Name and legal status of the GroupDukascopy Group (hereinafter the "Group") is headed by Dukascopy Bank SA (hereinafter the "Bank"), a limited company
under Swiss law which renders online brokerage and online banking services from its head office in Geneva (Switzerland).
The Bank fully owns two subsidiaries offering similar online brokerage services as the Bank, namely, Dukascopy Europe IBS
AS, a European regulated broker based in Riga and Dukascopy Japan K.K., a Type-1 licensed brokerage company located inTokyo. These two subsidiaries are included in the consolidated financial statements of the Group. SWFX – Swiss FX
Marketplace SA offers intellectual property services and is consolidated as at 31 December 2021 as well.
The Group’s scope of consolidation comprises all companies owned and controlled, either directly or indirectly, over 50% of
the capital or voting rights by the Bank, at the exception of Group companies which are insignificant with regard to the sizeof the Group. Dukascopy Community SA and its subsidiaries, if any, are not consolidated in the Group’s consolidated
financial statements because they are of very small size.
2. Accounting and valuation principles
2.1. General principles
The Group’s financial statements are established in accordance with the Swiss Code of Obligations, the Act on Banks andSaving institutions, its related Ordinance, the FINMA Accounting Ordinance and FINMA circular 2020/1. In the notes, certain
figures are rounded for publication but the calculations are based on the non-rounded figures, thus small rounding
differences can arise. The consolidated financial statements have been complied to present a true and fair view of theGroup’s assets, financial position and results.
Consolidation method
Entities either directly or indirectly controlled by the Bank or over which the Bank exercises a dominant influence areconsolidated according to the full consolidation method. This means assets, liabilities, off-balance sheet transactions,income and expenses of fully consolidated companies are included in the Group’s consolidated financial statements. All
material business relations between consolidated companies are eliminated from assets, liabilities, income and expenses.
Net assets of Group companies are consolidated according to the purchase method. In the case of combined entities, thecombination is an amalgamation of the accounts, performed in compliance with the same rules as described above. If asignificant influence is exercised over a company, the equity method is used for consolidation purposes. If the year-end
closing date for consolidated companies’ accounts is not 31 December, interim financial statements are compiled.
Entities are consolidated as from the date effective control over them passed to the Group; they are removed from thescope of consolidation as from the date such control ceases.
General valuation principles
The consolidated financial statements are prepared on the assumption of a going-concern. The accounting is therefore
based on going-concern values. Items are entered in the consolidated balance sheet as liabilities if they have arisen due topast events, if a cash outflow is probable and their value can be reliably estimated. If a reliable estimate is not possible, thenit is a contingent liability, which is commented on in the notes. The disclosed consolidated balance sheet items are valued
individually. In principle, neither assets and liabilities nor expenses and income are offset. Accounts receivable and accounts
payable are offset in the following cases: deduction of value adjustments from the corresponding asset item; offsetting of positive and negative replacement values of derivative financial instruments with the same
counterparty, if there are recognized and legally enforceable netting agreements in place; offsetting of price gains and losses from trading activities.

DUKASCOPY BANK SA ANNUAL REPORT 2021

54

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
2.2. Changes to accounting principles and valuation method
The revised accounting principles have changed but there is no significant impact on the financial statements.
Financial instrumentsa. Liquid assets
Liquid assets are recognized at their nominal value.
b. Amounts due from banks and amounts due from customers
They are recognized at their nominal value less any necessary value adjustments. Amounts due in respect of precious metal
account deposits are valued at fair value.
Doubtful receivables, i.e. obligations entered with clients for which the debtor is unlikely to meet its future obligations, arevalued individually and depreciated by means of individual value adjustments. Impaired receivables and any collateralobtained are valued at their liquidation value, and any adjustments in value are made in light of the debtors'
creditworthiness. If the repayment of a loan depends exclusively on the proceeds of the collateral, a value adjustment ismade for the entire unsecured portion of the receivable. If a receivable is classed as entirely or partially irrecoverable or areceivable is waived, the receivable is derecognized by booking it against the corresponding value adjustment. Recoveredamounts from receivables written off in earlier periods are recognized in “Change in value adjustments for default risk andlosses from interest operations” in the consolidated statement of income.
c. Amounts due to banks and amounts due in respect of customer deposits
These items are recognized at their nominal value. Amounts due in respect of precious metal account deposits are valued atfair value.
d. Trading assets
Trading assets comprise positions in cryptocurrencies held with a trading intent. Trading positions are measured at market
value. Trading results are recognized through “Result from trading activities and the fair value option”.
e. Positive and negative replacement values of derivative financial instruments
Trading operations comprise execution of client orders and transactions of the Bank for its own account including hedging
transactions. The trading portfolio and liabilities related to trading operations of the Group are exclusively recognized in the
consolidated off-balance sheet due to the nature of such transactions (spot forex, spot precious metals and derivatives).
Spot trading transactions executed by the Group are accounted for according to the value date principle. This implies thatbetween the trade date and the value date, spot transactions are disclosed as derivative instruments. Explanations below
concerning derivative financial instruments traded by the Group also apply to such spot trading operations.
Trading assets and liabilities are valued and recognized at fair value. Fair value is the price based on a price-efficient andliquid market or the price calculated using a valuation model. The price gain or loss resulting from the valuation is recorded
via the item “Result from trading operations”. Derivative financial instruments are used for trading and for hedging
purposes.
Trading purposes
The valuation of derivative financial instruments for trading purposes is done according to the fair value and the positive or
negative replacement value is recorded in the corresponding item. The fair value is based on market prices or option pricing
models.

DUKASCOPY BANK SA ANNUAL REPORT 2021

55

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
The realized result from trading operations and the unrealized result from valuations relating to trading operations arerecorded via the item “Result from trading operations”.
Hedging purposes
The Group also uses derivative financial instruments as part of its assets and liabilities management (ALM) to hedge
against market risks. The Bank’s subsidiaries active in brokerage activities have the obligation to hedge all their trading
operations with the Bank. Hedging operations are valued and disclosed as trading operations.
Use of swaps
The Group uses currency swaps to rollover spot foreign exchange and precious metal transactions to the next spot
settlement date until positions are closed.
Netting
The Group offsets positive and negative replacement values with the same counterparty within the terms of therecognized and legally enforceable netting agreements.
f. Financial investments
Financial investments include the bonds and the cryptocurrencies. Financial investments count Swiss and US
government bonds acquired with the intention to hold them until maturity. The valuation is based on the acquisition
cost principle with the agio/disagio (premium/discount) accrued/deferred over the residual term to maturity (accrual
method). If held-to-maturity financial investments are sold or reimbursed early, the realized gains and losses, whichcorrespond to the interest component, are accrued/deferred over the residual term to maturity of the transaction via
the item “Other assets” or “Other liabilities”. Value adjustments for default risk are recorded immediately under“Changes in value adjustments for default risk and losses from interest operations”.
g. Crypto assets in Financial investments
Dukascoins
Dukascopy Bank books Dukascoins belonging to the Bank in the caption "Financial investments" valued at lower thancost or market. For such tokens issued by the Bank, the latter considers that acquisition cost is zero. As a consequence,
Dukascoins belonging to the Bank will remain valued at zero as long as they stay in "Financial investments".
The Bank books Dukascoins belonging to clients in the caption "Financial investments" at fair value on the asset sideand in "Amounts due in respect of customer deposits" at fair value on the liabilities side.
According to the Art. 10 Finma Accounting Ordinance, the fair value derives either from a price efficient and liquidmarket or from a valuation model. According to our analysis, there is currently no efficient price and no liquid market
for Dukascoins. To our knowledge, there is no generally accepted valuation methodology for payment tokens. Due tothe lack of future cash flows, intrinsic value, highly correlated base assets, which could be used as a benchmark inmodel, the value of such tokens depends mainly on market demand. Considering the foregoing, the Bank consideredthat there is no fair value estimates for Dukascoins and therefore those coins should be valued at cost. Currently, thesole active marketplace is the Dukascoin bulletin board established by the Bank, where prices are set daily for verysmall volumes. Value adjustments are recorded under “Other ordinary expenses” or “Other ordinary income”.

DUKASCOPY BANK SA ANNUAL REPORT 2021

56

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
Other crypto assets
Dukascopy Bank books other crypto assets belonging to the Bank in the caption "Financial investments". The valuation isbased on the acquisition cost principle. The subsequent valuation is based on the lower of cost or market principle.
Trading assets comprises positions in Crypto currencies held with a trading intent are booked in “Trading assets”. Trading
positions are measured at market value. Trading results are recognized through “Result from trading activities and the fairvalue option”.
h. Non-consolidated Participations
Participations owned by the Bank which are not consolidated include equity securities of companies that are held for longterm purposes, irrespective of any voting rights. They are valued at historical costs minus any value adjustments, if any.
Each non-consolidated participation is tested for impairment as of the consolidated balance sheet date. This test is based on
indicators reflecting a possible impairment of individual assets. If any such indictors exist, the recoverable amount iscalculated. The recoverable amount is calculated for each individual asset. The recoverable amount is the higher amount of
the net selling price and the value in use.
An asset is impaired if it carrying amount exceeds its recoverable amount. If the asset is impaired, the book value is reduced
to match the recoverable amount and the impairment is charged via the item “Value adjustments on participations anddepreciation of tangible fixed assets and intangible assets”.
Realized gains from the sale of non-consolidated participations are recorded via the item “Extraordinary income” andrealized losses are recorded via the item “Extraordinary expenses”.
i. Tangible fixed assets
Investments in tangible fixed assets are capitalized as an asset if they exceed the minimal value for recognition of CHF 1’000.
Tangible fixed assets are recognized at acquisition cost minus the scheduled accumulated depreciation over the estimatedoperating life. Tangible fixed assets are depreciated at a consistent rate over an estimated operating life via the item “Valueadjustments on participations and depreciation of tangible fixed assets and intangible assets”. The estimated operating livesof the different categories of tangible fixed assets and the depreciation methods are as follows:– Fixtures and fittings

4 years, on a linear basis– Furniture

4 years, on a linear basis– IT hardware

3 years, on a linear basis– Vehicles

5 years, on a linear basis– Software

5 years, on a linear basis

Acquisition costs of tangible fixed assets acquired during the year are depreciated at the same rate on a prorata basis.
Objects used by the Group as the lessees as part of a finance lease are recorded via the item “Tangible fixed assets” at cash
purchase value. The leasing liabilities are disclosed, depending on the counterparty, in the items “Amounts due to banks” or“Other liabilities”. Each tangible fixed asset is tested for impairment as of the consolidated balance sheet date. This test isbased on indicators reflecting a possible impairment of the individual assets impaired. If any such indicators exist, therecoverable amount is calculated. The recoverable amount is calculated for each individual asset.
The recoverable amount is the higher amount of the net selling price and the value in use. An asset is impaired if it carrying
amount exceeds its recoverable amount. If the asset is impaired, the book value is reduced to match the recoverable
amount and the impairment is charged via the item “Value adjustments on participations and depreciation of tangible fixed
assets and intangible assets”. Realized gains from the sale of tangible fixed assets are recorded via the item “Extraordinary
income” and realized losses are recorded via the item “Extraordinary expenses”.

DUKASCOPY BANK SA ANNUAL REPORT 2021

57

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
j. Provisions
The Group records provisions based on its assessment of the risks of loss and probable liabilities, based on past events, ofwhich the amount and due date are uncertain but assessable. Legal and factual obligations are valued regularly. If an
outflow of resources is likely and can be reliably estimated, a corresponding provision is created. Existing provisions arereassessed at each consolidated balance sheet date. Based on this reassessment, the provisions are increased, left
unchanged or released. Currently, provisions exclusively relate to legal risks and deferred tax. The variation of provisions isrecorded in the consolidated statement of income via “Changes in provisions and other value adjustments, and losses”.
Provisions are released via the consolidated statement of income if they are no longer needed on business grounds.
k. Reserves for general banking risks
Reserves for general banking risks are prudently created reserves to hedge against the risks in the course of business of theGroup. The creation and release of Reserves for general banking risks are recognized via the item “Changes in reserves forgeneral banking risks” in the consolidated statement of income. The Reserves for general banking risks are subject to tax
when they exceed certain criteria. The portion of Reserves for general banking risks which is not subject to current tax
triggers the recording of deferred tax in the item “Provisions” in the consolidated balance sheet via the item “Taxes” in the
consolidated statement of income.
l. Taxes
Current taxes are recurring, usually annual, taxes on profits, capital and total income (Geneva professional tax). Transactionrelated taxes are not included in current taxes. Liabilities from current tax are disclosed via the item “Accrued liabilities anddeferred income”. Deferred taxes, stemming from temporary timing differences between the taxable and accounting valuesof assets and liabilities, are booked as deferred taxes in the item “Provisions” on the liabilities side of the consolidatedbalance sheet. Deferred taxes are calculated based on the tax rate applied to the Bank. Expenses due to current anddeferred taxes are disclosed in the consolidated statement of income via the item “Taxes”.
m. Off-balance sheet transactions
Off-balance sheet disclosures are at nominal value. Provisions are created in the liabilities in the consolidated balance sheet
for foreseeable risks.
n. Pension benefit obligations
The Group’s employees based in Switzerland are insured for retirement, death or disablement through a defined benefit
pension scheme. The Group bears the costs of the occupational benefit plan for employees and survivors as per the legal
requirements. The employer contributions arising from the pension scheme are included in “Personnel expenses” on an
accrual basis. The treatment of pension commitments is based on the Swiss GAAP FER 16 rules. Employee benefit
obligations mean all commitments resulting from the pension fund to which Group’s employees are insured. There is an
economic benefit if, due to contribution reserves, the Group has the ability to reduce its future employer's contributions. On
the contrary, there is a liability if, owing to a shortfall in the pension fund, the Group wants or has to participate in thefinancing of the pension fund. The Group assesses whether there is an economic benefit or economic obligation arisingfrom pension schemes as of the consolidated balance sheet date. The assessment is based on the contracts and financial
statements of the pension funds (established under Swiss GAAP FER 26 in Switzerland). The identified economic benefits(including the employer contribution reserves without a waiver of use) are recorded in “Other assets”. If an economic
obligation is identified for an individual pension fund, it is recorded in “Provisions”. The differences with the corresponding
value of the prior period are recorded in the consolidated statement of income in “Personnel expenses”.

DUKASCOPY BANK SA ANNUAL REPORT 2021

58

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
2.3. Recording of business transactions
All business transactions concluded up to the consolidated balance sheet date are recorded as of their trade date (tradedate principle) and valued according to the above-mentioned principles. Any foreign exchange spot transactions, foreignexchange forwards, swaps or any other derivative financial instrument entered into but not yet fulfilled are recorded inaccordance with the settlement date accounting method. Between the trade date and the settlement date, thesetransactions are disclosed at replacement value via the item “Positive replacement value of derivative financial instruments”
or “Negative replacement value of derivative financial instruments”.
2.4. Treatment of foreign currencies
For each Group company, income and expenses denominated in foreign currencies are converted, in the individualcompany accounts, at the exchange rate prevailing on the transaction date. Assets and liabilities in foreign currencies areconverted at the exchange rate applicable on the period-closing date. Currency gains and losses resulting from currencytranslation are included in the respective statement of income of individual companies.
On consolidation, assets and liabilities of Group companies are converted into Swiss francs at the exchange rate of theconsolidated balance sheet date at the exception of the shareholders’ equity which is converted at historical rate. Income andexpenses of Group companies are converted at the exchange rate averaged over the reporting period. Exchange differences
resulting from conversion into Swiss francs of individual financial statements are recognized in the consolidated balance
sheet in the item “Currency translation reserve”. At the consolidated balance sheet date, the main exchange rates used toconvert assets and liabilities in foreign currencies were as follows:

(CHF)

2021

2020

USD

1.00

0.912170.88505

EUR

1.00

1.037191.08102

GBP

1.00

1.233081.20960CAD

1.00

0.72179

0.69535

JPY

1.00

0.00792

0.00857

AUD

1.00

0.663160.68084

NZD

1.00

0.62396

0.63580

NOK

1.00

0.103460.10317SEK

1.00

0.10075

0.10757

SGD

1.00

0.676420.66950

The average exchange rates over the reporting period for the conversion of income and expenses of Group companies wereas follows:

(CHF)

2021

2020

EUR

1.00

1.081141.07030JPY

1.00

0.00833

0.00879

3. Risk Management
Due to its core business consisting in offering fully automated (Straight-Through-Processing) brokerage services via innovative inhouse developed IT solutions, the Group is mostly subject to operational, market and legal risks. The Bank provides IT andtrading technology to all Group companies under white labeling agreements. Besides, the Bank is the sole Group company whichis allowed to take market risks. As a consequence, operational and market risks of the Group are concentrated at the Bank.

DUKASCOPY BANK SA ANNUAL REPORT 2021

59

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
Since the Group is not active in credit activities and only executes client orders based on collateral (client margin deposits andbank guarantees), its credit risk exposure is normally limited to possible default of institutional trading counterparties.
The identification, measurement, monitoring, management of risks and maintenance of the Group’s stability, is a priority for
the Bank. The key elements of risk management and Group consolidated supervision are the following: a comprehensive risk policy and internal regulation defining among others the risk appetite and risk limits
which are commensurate with the Bank’s risk capacity; the permanent monitoring of risk limits and compliance with applicable regulatory capital, risk diversificationand liquidity requirements at local and Group levels;
 a risk control function and a risk officer in charge of monitoring the Bank’s and Group’s risk profile and risk
management capabilities;
 proper segregation of duties;
 wide application of the four-eyes principle and IT-based controls in business operations; three lines of defense: risk management by business units, risk control and compliance functions and internal
audit at local and Group levels;
 a comprehensive internal reporting on relevant risks.
The Bank’s Board of Directors is the supreme governing body of the risk management organization of the Group. It hasestablished an analysis of the main risks the Bank and the Group are exposed to. Based on its risk analysis, the Board of
Directors has adopted a Risk Management Concept aiming at limiting and managing the main risks affecting the Bank wheremost of the Group’s risks are concentrated. In addition, the Board of Directors has adopted Group risk limits and an internal
regulation governing the consolidated supervision of the Group by the Bank. The Risk Management Concept defines the risk
appetite, the main risk limits and features of the risk measurement and risk management of the Bank. The Board of Directors
monitors compliance with the limits as well as the implementation of the risk policy based on a comprehensive quarterly
reporting on risks and Group consolidated supervision.
The executive management of each Group company is responsible for the execution of the Group and local policies. It
ensures a suitable risk management organization is in place as well as the use of an adequate risk monitoring system. It
monitors the use of limits and ensures that an adequate internal reporting is in place, including to the attention of the Bank’s
officers in charge of the Group consolidated supervision. The Group and local risk control and compliance functions are
independent of business operations. They monitor all risks as the second line of defense and establish most of the quarterly
reporting about risks to the local and Bank’s executive management and the Board of Directors.
Operational risks
Operational risks are defined as the risk of losses due to inadequacy or failure of internal procedures, people and systems or
due to external events. This definition includes risks related to client data confidentiality and legal risks, including fines bysupervisory authorities and settlements. As a Group offering highly automated services accessible through the Internet, theGroup much relies on IT systems and Internet connections to operate. Automation brings high efficiency, eliminates humanerrors but at the same time means dependency on the availability and integrity of IT systems and Internet connections that
the Group protects through advanced security solutions and permanent monitoring of the system components.
The operational risks are measured by calculating the probability and extent of possible financial damages due to negative
events such as an error in client order execution or the breach of a regulation (compliance risk). The Bank has documented
operational risks and key controls aiming at mitigating such risks (e.g. four eyes principle, reconciliations, automated controls,internal regulation, etc.) in a systematic manner via an internal regulation which is approved annually by the Board of
Directors and based on the FINMA circular 2008/21. The operational risk management framework also includes a BusinessContinuity Management (BCM) documentation, which rules the maintenance or the resumption of business operations in
DUKASCOPY BANK SA ANNUAL REPORT 2021

60

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
case of occurrence of critical situations such as a natural disaster affecting the Bank or Group companies. The effectiveness of
the Business Continuity Management of the Bank is tested annually. In other Group entities, the BCM documentation isadapted to local operations and applicable regulation. The Bank establishes risk indicators, mainly based on operational
incidents and losses which allow the Bank’s risk control function to report on operational risks in a systematic and objective
way to the Bank’s executive management and the Board of Directors. The management of operational risks is one of thepriorities of the Group since it has a direct effect on its stability and attractiveness as a trusty service provider.
Market risks – trading operations
Due to the Group’s specialization in forex trading, market risks are concentrated on currency risk. Market risks related toother financial instruments offered by the Group (precious metals, stocks, commodities, equities, etc.) are minor incomparison to currency risks. As mentioned above, the Bank is the sole Group company which accepts and manages market
risks on trading activities. The management of market risks deriving from trading operations is a priority risk management
activity and a cornerstone of the Group’s financial stability. In particular, the volatility on the forex market may trigger
significant impact on the Group’s financial situation due to the Bank’s currency risk exposure via the item “Result from trading
activities”. For various reasons including for benefiting from bid and ask spreads, the Bank permanently keeps a certain
portion of market exposure deriving from client order execution.
The Bank applies prudent market risk limits and sophisticated monitoring of market risk exposure via automated hedging
logics and 24h human and automated surveillance. The Bank automatically measures its market risk exposure on apermanent and real time basis. The IT system automatically caps such market risk exposure under the limits decided by the
executive management and the Board of Directors. Those limits have been set sufficiently carefully to ensure that Swissbanking capital adequacy requirements are complied with at all times. If deemed necessary, the Bank’s advanced technology
allows it to fully exclude exposure deriving from trading on all or specific instruments, for instance in anticipation of
exceptional market events such as the abandon of a currency peg by a Central Bank.
Market risks – other currency risks
The Group entities have limits applicable to currency risk exposure deriving from currency discrepancies between assets andliabilities. These limits are monitored on a regular basis and sufficient currency congruence is maintained between assets andliabilities through the assets and liabilities management (ALM).
Market risks – interest rate risks
The Group is not active in credit or other interest generating activities. The Group’s exposure to interest rate risks mostly
derives from government bonds bought and deposited by the Bank with trading counterparties as trading collateral. Only the
Bank is exposed to interest rate risks. Since the Bank intends to hold those bonds until maturity, the identified interest raterisks should not materialize in losses. The Bank calculates and reports on interest rate risks on a quarterly basis.
Credit risk
The trading platforms automatically monitor the credit risk related to clients by way of margin call and margin cut
functionalities which shall ensure that the Group remains covered by sufficient collateral at any time. Unsecured loans areshort term exceptions such as rent deposits, amounts due from tax authorities and loans granted to the Bank’s employees.
Counterparty risk in interbank business
The Group deposits its liquidity and trades (mainly to hedge client transactions) with more than 20 different banks and otherinstitutional trading counterparties external to the Bank’s ECN marketplace such as brokers and other marketplaces.
Counterparty and default risks relating to banks and other trading counterparties are mitigated by the fixation of exposure
DUKASCOPY BANK SA ANNUAL REPORT 2021

61

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
limits approved by the competent officers including the Bank’s Board of Directors. The respect of the risk limits is controlled
on a daily basis and limits are adapted as often as deemed necessary.
In principle, the Group works only with first-class counterparties. Before entering into a business relationship withcounterparty in interbank business, the Group performs an assessment of the counterparty risk and sets a risk exposure limit
accordingly. The limit depends significantly on the rating, if any and on the capital adequacy of the counterparty which arereassessed on an annual basis or more frequently if deemed necessary. In case of extreme market events or negative eventsaffecting certain counterparties, the Bank’s executive management and risk control function urgently examine Group
exposures and reconsider risk limits.
Liquidity
Due to the nature of its business activities, the Group has abundant liquidities and no long term monetary commitment. The
Group is exclusively financed by its own capital, client deposits and therefore does not need to raise funds on the money
market. Bank’s subsidiaries deposit most of their liquidity with Dukascopy Bank. As a result, the liquidity risk of the Group is
low and requires limited monitoring. The liquidity risk management strategy of the Bank and an emergency liquidity plan has
been approved by the Board of Directors. The latter identify reserves of liquidity, liquidity risk indicators and steps necessary
to maintain sufficient liquidity for the Bank and the Group, including in case of liquidity stress situation.
The Bank’s Treasurer monitors the liquidity situation of the Group. He/she ensures that the Group limits are complied with.
The Group liquidity situation and concentration risks are monitored by the Bank’s risk control function and reported quarterly
to the executive management and to the Board of Directors.
4. Methods used for identifying default risks and determining the need for value adjustments
4.1. Amounts due from customers
The Bank is the sole Group company that accepts bank guarantees as collateral. With regard to receivables covered by bankguarantees, the credit risk mostly relates to banks having issued such guarantees and the default risk is determined as
explained in section 4.2. below. If the bank having issued the bank guarantee defaults, the receivable becomes unsecured
and default risks are assessed as described below, like for all other unsecured receivables.
The Group considers that a risk of default exists on unsecured receivables if a payment of interests or a reimbursement of
the principal is not honored in due date or if the debtor disputes such payment obligations or indicates that he/she will not beable to honor them. In such cases, the Group enquires about the debtor’s intentions and financial situation and evaluates the
chances of recovering the receivable. A value adjustment is recorded for the portion of receivable whose recovery is
considered uncertain.
4.2. Amounts due from banks
In principle, the Group only takes credit risk exposure towards counterparties having sound creditworthiness. The Groupconsiders that a counterparty is defaulting in case the latter refuses to honor a payment order in due time, or is declaredbankrupted or placed under special administration due to insolvency/going-concern issues. In such cases, the counterparty’s
situation is evaluated. A value adjustment is recorded for the portion of receivable whose recovery is considered uncertain.
4.3. Process for determining value adjustments and provisions
Value adjustments and provisions are reassessed at each balance sheet date. Changes in value adjustments and provisions
are approved by the executive management unless they simply result from a use of provision in conformity with its purposeor the recovery of an impaired receivable. Value adjustments on non-impairment credit exposures are determined
individually or on a portfolio basis according to Art. 25 para 1 let. c FINMA Accounting Ordinance.

DUKASCOPY BANK SA ANNUAL REPORT 2021

62

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021
5. Valuation of collateralCollateral provided by clients is normally made of cash, in any currency accepted in deposit by the Group. As far as the Bank isconcerned, collateral also may comprise up to 80% of bank guarantees issued by Swiss or European banks having a Baa or
superior Long-Term senior debt Moody’s rating. With the joint approval of the Bank’s risk control function and executive
management, the Bank may accept bank guarantees derogating the above criteria. Bank guarantees must be denominated in
the same currency as the client account reference currency. Collateral is valued at nominal value of the cash or bankguarantees. The Bank applies no haircut to collateral and grants a leverage for the trading of certain instruments.

6. Business policy regarding the use of derivative financial instruments and hedge accounting
Trading of OTC financial instruments with clients, including trading of certain financial derivatives (CFD and binary options), is
the core business of the Group. As per Swiss legislation, the main instrument offered by the Group, namely leveraged margin
trading on currencies and precious metals without delivery, while it is often regarded as a CFD instrument in otherjurisdictions. Therefore, depending on the qualification of leveraged margin trading, the Group may be seen as a pureprovider of financial derivative instruments. The Group does not trade credit derivatives.
Dukascopy Group executes all trading operations in full STP (Straight-Through-Processing).
The Group also uses derivative financial instruments for risk management purposes, mainly to hedge against market risks(including currency risk) mostly deriving from clients trading operations. By policy, the brokerage subsidiaries of the Bank
must hedge all their trading operations with Dukascopy Bank, which is their unique trading venue. In its trading activity,
including when dealing with its subsidiaries, the Bank always acts as a principal. The Bank hedges its own market risks byentering into hedging trades with external institutional counterparties or with clients. The Bank does not use hedge
accounting.
7. Significant subsequent event after the balance sheet dateNo significant event that could have an impact on the 2021 annual accounts has occurred after the closing date. Nevertheless,the Russian-Ukrainian conflict which started in February 2022 may have an impact on the Bank’s activities in 2022. It is
however too early to quantify their effects on the Bank’s financial.

DUKASCOPY BANK SA ANNUAL REPORT 2021

63

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of collateral for loans/receivables and off-balance-sheet transactions,as well as impaired loans/receivables

LOANS (CHF)(before netting with value adjustments)

Secured by mortgages

Other collateral Unsecured

Total

Amounts due from customers–

40 172

1 750 370

1 790 542

Total at 31 December 2021–

40 172

1 750 370

1 790 542–

34 351

652 598

686 949–

40 172

1 750 370

1 790 542–

34 351

652 598

686 949

Other collateral Unsecured

Total(before netting with value adjustments)
Total at 31 December 2020
(before netting with value adjustments)
Total at 31 December 2021
(after netting with value adjustments)
Total (after netting with value adjustments)
at 31 December 2020

OFF-BALANCE SHEET COMMITMENTS (CHF)

Secured by mortgages

Contingent liabilities*–

139 755–

139 755

Irrevocable commitments––

988 000

988 000

Total at 31 December 2021–

139 755

988 000

1 127 755

Total at 31 December 2020–

227 412892 000

1 119 412

*Contingent liabilities are bank guarantees issued by the Bank on behalf of clients, fully secured by client cash deposits.

BREAKDOWN OF IMPAIRED
LOANS/RECEIVABLES (CHF)

Gross debt
amountEstimated liquidation
proceeds of collateral

Net debt
amountIndividual value
adjustments

Total at 31 December 2021

–

–

–

–

Total at 31 December 2020

–

–

–

–

DUKASCOPY BANK SA ANNUAL REPORT 2021

64

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of trading portfolio and other financial instruments at fair value (assets and liabilities)
2021

2020

Other trading portfolio assets (cryptocurrencies)

5 255 953–

Total trading assets

5 255 953–

Total assets

5 255 953

–

–

–

–

–

ASSETS (CHF)– of which determined using a valuation model– of which, securities eligible for repo transactions in accordance with liquidity requirements

Presentation of derivative financial instruments (assets and liabilities)
Trading instruments
OTC TRANSACTIONS (CHF)

Positive
replacement values

Negative
replacement values

Contract
volumesInterest instruments:
– CFD

1 805

5

1 215 801

Total interest instruments

1 805

5

1 215 801

– forward contracts*

325 987

332 443

273 579 999– swaps

288 218384 763670 570 872

Total currencies

614 205

717 206

944 150 871

1

1 129

183 520– swaps

55 112

1 205

25 934 592

Total precious metals

55 1132 334

26 118 112– CFD

220 556

211 967

41 093 033

Total equity securities and indices220 556

211 967

41 093 033– CFD

479 220870 655

15 610 515

Total others479 220870 655

15 610 515

1 370 899

1 802 167

1 028 188 332

Currencies:

Precious metals:– forward contracts*

Equity securities and indices:

Others:Total at 31 December 2021 before impact of netting contracts

–

–

–

914 211

1 052 974

617 689 223

–

–

–

Total at 31 December 2021 after impact of netting contracts

850 980

1 282 249

Total at 31 December 2020 after impact of netting contracts

484 787

623 550of which determined using a valuation model
Total at 31 December 2020 before impact of netting contractsof which determined using a valuation model* Represent the spot trading transactions which are accounted for according to the value date principle.
DUKASCOPY BANK SA ANNUAL REPORT 2021

65

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown by counterparty
POSITIVE REPLACEMENT VALUES AFTERIMPACT OF NETTING CONTACTS (CHF)

Central clearing
housesBanks & securities
dealers

Otherscustomers

Total

Total at 31 December 2021–

321 480529 500

850 980

Total at 31 December 2020–

434 850

49 937484 787

Breakdown of financial investments
Fair value

Book value
2021

2020

2021

2020

45 339 716

45 557 708

45 508 932

46 981 305

1 674

87 637

1 674

87 637

Total

45 341 390

45 645 345

45 510 606

47 068 942

including securities eligible for repo transactionsin accordance with liquidity regulations

34 418 633

34 985 538

34 379 460

35 938 370

2021

2020

45 339 716

45 557 708

A+ to A-––

BBB+ to BBB-––

BB+ to B-––

Lower than B-––

Without rating

–

–

(CHF)
Debt securities held to maturity
Cryptocurrencies

Breakdown of contreparties
DEBT SECURITIES: BOOK VALUE OF BONDS HELD TO MATURITY (CHF)
AAA to AA-

We use Fitch rating’s.

Presentation of non-consolidated participations
2021

2020
NON-CONSOLIDATED

Cost
value

Value
adjustment

Book value
at end of year

Without listed value

100 000–

100 000–––

100 000

Total participations

100 000–

100 000–––

100 000

PARTICIPATIONS (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

Disposals
ValueBook value
Additions Reimbursement adjustment at end of year

66

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Disclosure of companies in which the bank holds a permanent direct or indirect
significant participation
2021
Activity

Share capital
(CHF)

Head
officeSharecapital in %Sharevote in %Helddirectly in %Dukascopy Europe IBS AS

brokerage

1 933 921

Riga

100

100

100

Dukascopy Japan K.K.

brokerage

6 021 839

Tokyo

100

100

100

SWFX-Swiss FX Marketplace SA

IP service

100 000 Geneva

100

100

100

100 000 Geneva

100

100

100

CONSOLIDATED PARTICIPATIONSNON-CONSOLIDATED PARTICIPATIONS
Dukascopy Community SAsocial media

2020

CONSOLIDATED PARTICIPATIONS
Dukascopy Europe IBS AS

brokerage

1 933 921

Riga

100

100

100

Dukascopy Japan K.K.

brokerage

6 021 839

Tokyo

100

100

100

SWFX-Swiss FX Marketplace SA

IP service

100 000 Geneva

100

100

100

NON-CONSOLIDATED PARTICIPATIONS
Dukascopy Community SAsocial media

100 000 Geneva

100

100

100

Dukascopy International Ltd

liquidated

0 Limassol

100

100

100

The Group’s scope of consolidation comprises all companies owned, either directly or indirectly, over 50% of thecapital or voting rights by the Bank or which are under dominant influence of the Bank by another manner, at the
exception of Group company whose integration would not have any significantly influence on the consolidated financial
statements as Dukascopy Community SA (total balance sheet CHF 258'686, net profit CHF 1'497). Dukascopy Europe IBS
AS, Dukascopy Japan K.K. and SWFX-Swiss FX Marketplace SA are fully integrated in consolidated financial statements of
the Group. Dukascopy International Ltd was liquidated the 11 June 2021.

Presentation of tangible fixed assets
2020
(CHF)

Cost value

Softwares

23 323 415

2021
Additions

Disposals(23 074 692)

248 723––(100 474)

148 249

246 702(403)(316 091)

692 882

246 702(403)(416 565)

841 131

Other tangible fixed assets

10 163 105(9 400 431)

762 674

Total fixed assets

33 486 520(32 475 123)

1 011 397

DUKASCOPY BANK SA ANNUAL REPORT 2021

Book value
Depreciation at end of year

Book value
Accumulated
depreciation at end of year

67

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Leasing(CHF)
Future leasing installments arising from operating leasesof which, may be terminated within one year

2022

2023

2024

2025

2026

2027

1 677 542

1 383 150

1 144 820

965 059

231 580

32 29847 040

–

–

–

–

–

They are rental costs.

Breakdown of other assets and liabilities
2021

2020

196 315276 9917

7

196 322276 998

1 444 826

2 237 839

Indirect taxes to be paid

287 325297 698

Others34 74032 104

1 766 891

2 567 641

OTHER ASSETS (CHF)
Wire transfers
OthersTotal other assets

OTHER LIABILITIES (CHF)
Wire transfers

Total other liabilities

Disclosure of assets pledged or assigned to secure own commitments
and of assets under reservation of ownership
2021

(CHF)

2020

Book value of pledged
Effectiveassets & assets
assigned as collateral commitments

Book value of pledged
assets & assets
assigned as collateral

Effective
commitments

Swiss bonds and US government bonds

18 839 353

1 194 602

18 939 159

381 477

Margin accounts assigned as collateral

23 666 255

382 91024 438 870

112 045219 530

219 530

219 530

219 530

42 725 138

1 797 042

43 597 559

713 052

Deposits made with banks to secure guarantees
Total

DUKASCOPY BANK SA ANNUAL REPORT 2021

68

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Indications relating to pension funds
A collective pension fund plan exists for the employees based in Switzerland (Caisse Inter-Entreprises-CIEPP). This
fund is a defined contribution scheme. There is no employer contribution reserve and there is no identifiableeconomic benefit to be capitalised in the balance sheet (2020: nil). The pension fund unaudited accounts as of 31
December 2021 present a coverage ratio of 126%. Based on the last audited financial statements of the Caisse InterEntreprises-CIEPP as at 31 December 2020, the coverage ratio was 121.4%.
The employees based in Japan are affilated to a defined contributions scheme pension fund of the Japan state. This
fund does not allow any employer's contribution reserve.
There is no pension funds for the other consolidated entities of the Group.

Presentation of economic benefit / obligation and the pension expenses(CHF)

Over orunderfunding
31.12.2021−

Pension plans with overfunding

Economic interestof the Bank
2021
2020
−

Change ineconomic interest
versus prior year

Contributions
paid for 2021−

275 063−

Pension expenses inpersonnel expenses
2021

2020

275 063

303 433

Presentation of value adjustments and provisions, reserves for general banking
risks, and changes therein during the current year

(CHF)
Provisions for deferred taxes

Currency Recoveries, past
New creations Releases Balance atBalance at Use in conformity with Reclassifidue interest charged to income to income 31.12.2021
31.12.2021
designated purpose
cations differences
640 000

–

–

–

–

–

Provisions for other business risks
Total provisions
Reserves for general banking risks(24 000)

616 000

–

–

–

–

–

–

–

–

640 000

–

–

–

–

–

(24 000)

616 000

3 360 000

–

–

–

–

–

(126 000)

3 234 000

–

–

–

–

–

–

–

–

Value adjustments for default
risks and country risks – of which,value adjustments for default risks inrespect of impaired loans/receivables

Provisions are valued according to the best estimate principle. Reserves for general banking risks have not been taxed.

DUKASCOPY BANK SA ANNUAL REPORT 2021

69

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of the Bank's capital
2020

2021
(CHF)

Total parvalue

Numberof shares

Capital eligiblefor dividend

Total parvalue

Numberof shares

Capital eligiblefor dividend

Share capital

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

Registered shares

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

of which, paid up

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

Total Bank's capital

22 000 000

21 712 000

22 000 000

22 000 000

21 712 000

22 000 000

The share capital consists of 21'680'000 shares with a nominal value of CHF 1 and of 32'000 shares with a nominal value of CHF 10.

Disclosure of amounts due from/to related parties
2021

2020

(CHF)

Amountsdue from

Amounts
due toAmountsdue from

Amounts
due toHolders of qualified participations

1 204 166

28 12342 00030 502

Group companies–

256 111–239 783

Linked companies

–

–

–

–

Transactions with members of governing bodies–

12 961–28 059Other related parties–

14 888–39

Dukascopy Bank engaged into transactions with related parties in the normal course of its business. These transactions
mainly include marketing services. Transactions with related parties are conducted at arm's length.

Disclosure of holders of significant participations
2021
With voting rights

Nominal(CHF)

Numberof shares% of equity
in %Capital eligiblefor dividend (CHF)

Dr. Andrey Duka

10 890 000

10 746 000

49.5

10 890 000

Veronika Duka

10 890 000

10 746 000

49.5

10 890 000

2020
With voting rights

Nominal(CHF)

Numberof shares% of equity
in %Capital eligiblefor dividend (CHF)

Dr. Andrey Duka

10 890 000

10 746 000

49.5

10 890 000

Veronika Duka

10 890 000

10 746 000

49.5

10 890 000

DUKASCOPY BANK SA ANNUAL REPORT 2021

70

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of the maturity structure of financial instruments

Due
Within Within 3 toAt sight Cancellable 3 months 12 months

ASSETS (CHF)

Within 1
to 5 years

OverNo
5 years maturity

Total

Liquid assets

37 719 957

–

–

–

–

–

–

37 719 957

Amounts due from banks

95 868 580

219 530

–

–

–

–

–

96 088 110

Amounts due from customers

1 702 540

88 002

–

–

–

–

–

1 790 542

5 255 953

–

–

–

–

–

–

5 255 953

850 980

–

–

–

–

–

–

850 980

1 674

–

–

10 921 083–

34 418 633

Trading assets
Positive replacement valuesof derivative financial instruments
Financial investments

45 341 390–

Total current assets
141 399 684

307 532–

10 921 083–

34 418 633

119 151 068

326 128––

10 572 170

34 985 538–

165 034 904

9 079 237

–

–

–

–

–

–

9 079 237

121 157 749

–

–

–

–

–

–

121 157 749

of derivative financial instruments 1 282 249

–

–

–

–

–

–

1 282 249

131 519 235

–

–

–

–

–

–

131 519 235

110 981 783

–

–

–

–

–

–

110 981 783

at 31 December 2021

187 046 932

Total current assets
at 31 December 2020

THIRD-PARTY LIABILITIES (CHF)
Amounts due to banks
Amounts due in respectof customer deposits
Negative replacement values

Total third-party liabilities
at 31 December 2021
Total third-party liabilities
at 31 December 2020

DUKASCOPY BANK SA ANNUAL REPORT 2021

71

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of assets and liabilities by domestic and foreign origin in accordancewith the domicile principle

2021

2020

Domestic

Foreign

Total

Domestic

Foreign

Total

Liquid assets

37 720–37 72023 260–23 260

Amounts due from banks

37 65558 43396 08837 76157 19794 958Amounts due from customers

1 265

526

1 791

102

585

687

Trading assets

4 306

950

5 256

–

–

–

financial instruments

52

799

851

216

269

485

Financial investments

34 41910 92345 34234 98910 65645 645

Accrued income and prepaid expenses

1 113

516

1 629

1 365

888

2 253

Investment in subsidiaries

100

–

100

100

–

100

Tangible fixed assets

684

157

841

787

224

1 011

Other assets

196

–

196

277

–

277

Total assets

117 51072 304

189 81498 85769 819168 676

–

9 079

9 079

–

6 309

6 309

6 569

114 589

121 158

6 888

97 162104 050

113

1 169

1 282

63

560

623

of derivative financial instruments

2 450

443

2 893

3 213

333

3 546

Accrued expenses and deferred income

1 763

4

1 767

2 568

–

2 568

616

–

616

640

–

640

Reserves for general banking risks

3 234

–

3 234

3 360

–

3 360

Bank's capital

22 000–22 00022 000–22 000Statutory retained earnings reserve

25 332–25 33212 496–

12 496

130

–

130

248

–

248

Result of the year

2 176

147

2 323

12 663173

12 836

Total liabilities

64 383125 431

189 814

64 139104 537

168 676

ASSETS (CHF 000)

Positive replacement values of derivative

LIABILITIES (CHF 000)
Amounts due to banks
Amounts due in respect of customer deposits
Negative replacement values

Other liabilities

Profit carried forward

DUKASCOPY BANK SA ANNUAL REPORT 2021

72

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of total assets by country or group of countries (domicile principle)

2021

2020

Absolute (CHF 000)

Share %

Absolute (CHF 000)

Share %

Switzerland

117 51161.9

98 857

58.6

Europe excluding Switzerland

48 56825.6

47 35628.0

USA and Canada

15 3348.1

14 602

8.7

Others

8 401

4.4

7 861

4.7

Total

189 814100

168 676

100

ASSETS

Breakdown of total assets by credit rating of country groups (risk domicile view)

2021

2020

Absolute (CHF 000)

Share %

Absolute (CHF 000)

Share %

1

70 04696.9

68 373

97.9

2

6

0.0

1

0.0

3

301

0.4

235

0.3

4

31

0.0

54

0.1

5

1 561

2.2

743

1.1

6

167

0.2

95

0.2

7

145

0.2

243

0.3

without rating

47

0.1

75

0.1

72 304100

69 819100

SERV Rating

Total

The Bank does not use an internal rating system for country risk management. SERV is the rating issued by OECD.
Exposure excluding Switzerland.

DUKASCOPY BANK SA ANNUAL REPORT 2021

73

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of assets and liabilities broken down by the most significant currenciesof the Bank
CHF

EUR

USD

JPY

Others

Total

Liquid assets

37 720––––37 720

Amounts due from banks

5 787

35 50334 0178 110

12 671

96 088Amounts due from customers

1 268

299

123

35

66

1 791

–

–

–

–

5 256

5 256

financial instruments

851

–

–

–

–

851

Financial investments

34 419–10 921–

245 342

Accrued income and prepaid expenses

1 037

129

330

19

114

1 629

Non-consolidated investment in subsidiaries

100

–

–

–

–

100

Tangible fixed assets

837

–

–

4

–

841

Other assets

40

61

33

–

62

196

Total assets

82 05935 99245 4248 168

18 171

189 814and swap transactions

65 514170 556331 990

91 902310 307970 269

Total at 31 December 2021

147 573

206 548377 414100 070

328 478

1 160 083

4

5 631

3 273

58

113

9 079

11 78935 83850 6155 923

16 993

121 158

of derivative financial instruments

1 282

–

–

–

–

1 282

Accrued expenses and deferred income

ASSETS (CHF 000)

Trading assets
Positive replacement values of derivative

Claims arising from spot exchange

LIABILITIES (CHF 000)
Amounts due to banks
Amounts due in respect of customer deposits
Negative replacement values
1 791

812

114

156

20

2 893

Other liabilities

551

388

715

2

111

1 767

Provisions

616

–

–

–

–

616

Reserves for general banking risks

3 234

–

–

–

–

3 234

Bank's capital

22 000––––22 000Retained earnings reserve

25 332––––25 332Currency translation reserve

130

–

–

–

–

130

Consolidated profit of the year

2 323

–

–

–

–

2 323

Total liabilities

69 05242 66954 7176 139

17 237

189 814exchange and swap transactions

61 834174 919336 549

118 477

278 490970 269

Total at 31 December 2021

130 886

217 588391 266

124 616295 727

1 160 083

Net position by currency

16 687(11 040)(13 852)(24 546)

32 751–

Delivery obligations arising from spot

DUKASCOPY BANK SA ANNUAL REPORT 2021

74

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of contingent assets and contingent liabilities

CONTINGENT ASSETS (CHF)

2021

2020

Other contingent assets––

Total contingent assets––

Other contingent liabilities

139 755

227 412

Total contingent liabilities

139 755

227 412TRADING INCOME (CHF)

2021

2020

Leveraged margin trading

21 397 025

40 072 646

561 880

476 592

21 958 905

40 549 238

CONTINGENT LIABILITIES (CHF)

Breakdown of the result from trading activities

Binary options
Total

DUKASCOPY BANK SA ANNUAL REPORT 2021

75

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown by underlying risk
2021

2020

Equity securities

2 765 761

5 530 528

Foreign currency

13 429 253

24 914 768

Commodities / precious metals

4 810 740

10 265 879

953 151(161 937)

21 958 905

40 549 238

RESULT (CHF) FROM TRADING ACTIVITIES FROM:

Cryptocurrencies
Total
Comparative figures for 2020 have been adapted included cryptocurrencies.

Disclosure of material refinancing income in the item Interest and discountincome as well as material negative interest
NEGATIVE INTEREST (CHF)
Negative interest on credit operations
Negative interest on deposits

2021

2020

348 137

273 161

3 186

3 257

Negative interest on credit operations are disclosed as a reduction in Interest and discount income.
Negative interest on deposits are disclosed as a reduction in Interest expense.

Breakdown of personnel expenses
2021

2020

5 973 658

6 638 892––

1 331 745

1 494 327

Other personnel expenses

102 899

124 131

Total personnel expenses

7 408 302

8 257 350

PERSONNEL EXPENSES (CHF)
Salariesof which, expenses relating to share-based compensation
and alternative forms of variable compensation
Benefits

DUKASCOPY BANK SA ANNUAL REPORT 2021

76

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Breakdown of general and administrative expenses

GENERAL AND ADMINISTRATIVE EXPENSES (CHF)

2021

2020

Premises

2 178 732

2 360 096

IT related expenses

2 056 036

2 118 690

Copyright agreement

2 729 736

2 879 943

Legal and consulting

1 116 046

1 306 727

Post, telecommunications and data

621 562655 381

Expenses for vehicles

75 53040 152

Office supply

186 898

203 153

Audit fees

266 065274 399of which for financial and regulatory audits

266 065274 399––

2 413 132

2 579 205

Travels

779 478578 870

Others303 407317 564

12 726 622

13 314 180

2021

2020

Disposal of fully depreciated fixed assets

11

17Transfer return–

414

Donation from Japanese State

1 530

42 580Total extraordinary income

1 541

43 011

Loss realised on the disposal of participation–(10 745)

Total extraordinary expenses–(10 745)of which for other services
Marketing and communication

Total general and administrative expenses

Explanations regarding extraordinary income and expenses

EXTRAORDINARY INCOME (CHF)

EXTRAORDINARY EXPENSES (CHF)

DUKASCOPY BANK SA ANNUAL REPORT 2021

77

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
as at 31 December 2021

Presentation of operating result broken down according to domestic and foreign
origin, according to the principle of permanent establishment
2021

2020

(CHF)

Domestic

Foreign

Domestic

Foreign

Subtotal net result for interest operations(156 833)–(78 239)(29 741)

Subtotal result from commission business and services

1 695 057

(20 581)565 163(48 935)

Result from trading activities

21 126 836

832 069

39 639 801

909 437

Personnel expenses(5 319 493)

(2 088 809)

(5 942 754)

(2 314 596)

General and administrative expenses(4 078 629)

(8 647 993)

(4 416 724)

(8 897 456)

Subtotal operating expenses(9 398 122)

(10 736 802)

(10 359 478)

(11 212 052)

(289 741)(126 824)(283 665)(210 107)(8 102)(38 430)(29 329)(395)

12 969 095(10 090 568)

29 454 253(10 591 793)

Value adjustments on participations and depreciation andamortisation of tangible fixed assets and intangible assets
Changes to provisions and other value adjustments and losses
Operating result

Presentation of current taxes, deferred taxes and disclosure of tax rate

2021

2020

Current tax expenses(682 962)(2 698 322)

Total taxes(682 962)(2 698 322)

(CHF)

(CHF)
Average tax rate

2021

2020

23.7%

14.3%

Taxes consist of tax on profit and capital, as well as professional tax. The fluctuation observed in the tax rate is dueto the Geneva professional tax because the latter is not proportionate to the profit but to the total gross income.

DUKASCOPY BANK SA ANNUAL REPORT 2021

78

REPORT OF THE STATUTORY AUDITOR
TO THE GENERAL MEETINGOF SHAREHOLDERS
of Dukascopy Bank SA, Meyrin
Report of the Statutory Auditor on the Consolidated Financial Statements
As statutory auditor, we have audited the accompanying consolidated financial statements of Dukascopy Bank SA,
which comprise the balance sheet, income statement, statement of changes in equity, cashflow statement and notes(pages 49 to 78) for the year ended 31.12.2021.

Board of Directors’ Responsibility
The Board of Directors is responsible for the preparation of the consolidated financial statements in accordance withthe provisions governing the preparation of financial statements for Banks and the requirements of Swiss law. This
responsibility includes designing, implementing and maintaining an internal control system relevant to the
preparation and fair presentation of consolidated financial statements that are free from material misstatement,
whether due to fraud or error. The Board of Directors is further responsible for selecting and applying appropriate
accounting policies and making accounting estimates that are reasonable in the circumstances.

Auditor’s Responsibility
Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We
conducted our audit in accordance with Swiss law and Swiss Auditing Standards. Those standards require that weplan and perform the audit to obtain reasonable assurance whether the consolidated financial statements are freefrom material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the
consolidated financial statements. The procedures selected depend on the auditor’s judgment, including theassessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or
error. In making those risk assessments, the auditor considers the internal control system relevant to the entity’s
preparation of the consolidated financial statements in order to design audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control
system. An audit also includes evaluating the appropriateness of the accounting policies used and thereasonableness of accounting estimates made, as well as evaluating the overall presentation of the consolidated
financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide abasis for our audit opinion.

DUKASCOPY BANK SA ANNUAL REPORT 2021

79

Opinion
In our opinion, the consolidated financial statements for the year ended 31 December 2021 give a true and fair viewof the financial position, the results of operations and the cash flows in accordance with the provisions governing the
preparation of financial statements for Banks and comply with Swiss law.

Report on Other Legal Requirements
We confirm that we meet the legal requirements on licensing according to the Auditor Oversight Act (AOA) andindependence (article 728 CO and article 11 AOA) and that there are no circumstances incompatible with our
independence.

In accordance with article 728a paragraph 1 item 3 CO and Swiss Auditing Standard 890, we confirm that an internal
control system exists, which has been designed for the preparation of consolidated financial statements according
to the instructions of the Board of Directors.

We recommend that the consolidated financial statements submitted to you be approved.

KPMG SA
Philippe Ruedin

Romain TranchantLicensed Audit Expert

Licensed Audit Expert

Auditor in Charge

Geneva, 26 April 2022

Enclosure:– Consolidated Financial statements (balance sheet, income statement, statement of changes in equity and notes);– Proposed appropriation of available earnings.

DUKASCOPY BANK SA ANNUAL REPORT 2021

80

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

KM1: Key regulatory figures
AVAILABLE CAPITAL AMOUNTS (CHF 000)

2021 2021Q3 2021Q2 2021Q1 2020

1 Common Equity Tier 1 (CET1)
1a Fully loaded ECL accounting model CET1
2 Tier 1
2a Fully loaded ECL accounting model Tier 1
3 Total capital
3a Fully loaded ECL accounting model Total capital

49 49344 22849 49344 22849 49344 228

189 450
15 156152 275
12 18226.12%

29.04%

26.12%

29.04%

26.12%

29.04%

2.50%
0.00%
0.00%
2.50%
18.12%

2.50%
0.00%
0.00%
2.50%
21.04%

RISK-WEIGHTED ASSETS AMOUNTS
4 Total risk-weighted assets (RWA)
4a Minimum capital requirements (000 CHF)
RISK-BASED CAPITAL RATIOS (as a percentage % of RWA)
5 CET1 ratio (%)
5a Fully loaded ECL accounting model Common Equity Tier 1 (%)
6 T1 ratio (%)
6a Fully loaded ECL accounting model Tier 1 ratio (%)
7 Total capital ratio (%)
7a Fully loaded ECL accounting model total capital ratio (%)
ADDITIONAL CET1 REQUIREMENTS (buffers as a percentage of RWA)
8 Capital conservation buffer requirement according to Basel minimum requirements (%)
9 Countercyclical buffer requirement according to Basel minimum requirements (%)
10 Bank G-SIB and/or D-SIB additional requirements
11 Total of bank CET1 specific buffer requirements according to Basel minimum requirements (%)
12 CET1 available after meeting the bank’s minimum capital requirements (%)

TARGET CAPITAL RATIOS ACCORDING TO ANNEX 8 OF THE CAPITAL ADEQUACY ORDINANCE (CAO) (% of RWA)
2.50%
12a Capital conservation buffer according to CAO, Annex 8 (%)
0.00%
12b Countercyclical capital buffer according to CAO, Art. 44 and Art. 44a (%)
12c CET1 capital target (%) accord. to CAO, Annex 8+countercyclical buffer accord. to CAO, Art. 44 & 44a 7.00%
12d T1 capital target according to CAO, Annex 8+countercyclical buffer accord. to CAO, Art. 44 and 44a 8.50%
12e Total capital target according to CAO, Annex 8+contercyclical buffer accord. to CAO, Art. 44 and 44a 10.50%

2.50%
0.00%
7.00%
8.50%
10.50%

BASEL III LEVERAGE RATIO
13 Total Basel III leverage ratio exposure measure (000 CHF)
14 Basel IIII Leverage Ratio
14a Fully loaded ECL accounting model Basel III leverage ratio (%)

200 765
24.65%
24.65%

153 74428.77%
28.77%MEDIUM SHORT-TERM LIQUIDITY COVERAGE RATIO LCR
15 LCR Numerator: total stock of high quality liquid assets (000 CHF)
16 LCR Denumerator: total cash outflow (000 CHF)
17 Liquidity coverage ratio (%)

61 3425 627
1090%

60 2705 259
1146%

57 4875 173
1111%

52 181 55 816
4 336
4 745
1100% 1287%

158 313
23 716668%

141 120
20 587685%

NET STABLE FUNDING RATIO NSFR
18 Available stable refinancings (000 CHF)
19 Required stable refinancings (000 CHF)
20 Net stable funding ratio NSFR (%)

DUKASCOPY BANK SA ANNUAL REPORT 2021

158 500
22 701
698%

81

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

OV1: Overwiew of risk-weighted assets

RWA 2021

RWA 2020

Min. capitalrequirements 2021

1 Credit risk

34 58830 4382 767

20 Market risk*

94 23857 3387 539

24 Operational risk

58 42561 950

4 674

837

1 012

67

–

–

–

1 362

1 537

109

189 450152 275

15 156(CHF 000)

24a Risks without counterparty
25 Amounts below the thereshold 3 (subject to 250% risk weight)
26 Others
27 Total (1 + 20 + 24 + 25 + 26)
To determine minimum capital requirement we use:
– credit risk: standard approach;– market risk: standard approach;– operational risk: basic indicator approach;– others: cryptocurrencies.
*Market risk increase due to a raise in open positions in currencies

LIQA: Liquidity risk management
In general, Dukascopy Bank has a very low liquidity risk appetite. Therefore, Dukascopy Bank and its Group haveabundant liquidity, which resulted from the vast majority of its assets being allocated into high quality liquid assets andbank deposits at sight. High quality liquid assets are constituted of high-grade government bonds and deposits with the
Swiss National Bank. The bank deposits are mostly held with top rank Swiss, German, UK and US banks. Liquidity risk
management is oriented to limit the liquidity risk and to ensure that the Bank has sufficient liquid assets in order to beable to meet its payment obligations in stress situations and at all times. The Treasurer of the Bank is responsible formanaging the liquidity of the Bank as well as for its compliance with the regulatory requirements.
The Finance department of the Bank is in charge of the independent measurement and monitoring of the liquidity
requirements and limits and is responsible for the regular risk reporting to the attention of the Executive Committee
and to the Board of Directors of the Bank.
The Executive Committee of the Bank is responsible for ensuring the risk tolerance and liquidity limits of the Bank aswell as of the Group. It is in charge of implementing and observing the risk policy principles and requirements for
identification, measurement, evaluation, management, monitoring and reporting of the liquidity risk. Furthermore, it
reports to the Board of Directors and its committees. The Board of Directors of the Bank determines the risk tolerance
and liquidity limits of the Group. Moreover, it defines the requirements for identification, measurement, evaluation,
management, monitoring and reporting of the liquidity risk. On a quarterly basis, the Chief Risk Officer issues a Risk
Report to the Audit Committee and the Board of Directors that includes the liquidity risk situation.
To measure the liquidity risk, the Finance department regularly conducts liquidity stress tests to verify the compliancewith the regulatory requirements through internal liquidity stress scenarios. The stress scenarios include a marketwide shock, temporary unavailability of the largest correspondent banks and a massive outflow of clients’ deposits. The
results of stress testing are periodically communicated as a part of the risk reporting to the attention of the Executive
Committee and to the Board of Directors of the Bank.
DUKASCOPY BANK SA ANNUAL REPORT 2021

82

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

CR1: Credit risk – credit quality of assets
Gross carrying values of(CHF 000)Defaulted exposures Non-Defaulted exposures

Value adjustments/
impairments

Netvalues

1 Loans (excluding debt securities)–

138 277–

138 277

2 Debt securities–

45 340–45 3403 Off-balance sheet exposures

–

1 128

–

1 128

24 Total–

184 745–

184 745

A situation of "default" is recognised when the debtor has failed to pay interests or to reimburse the loan
at the contractually agreed maturity date.

CR 3: Credit risk – overview of credit risk mitigation techniques(CHF 000)
Loans (Debt securities included)
Off-balance sheet exposures
Totalof which defaulted

Unsecured
exposures/carrying
valuesExposures secured
by collateral/
carrying values

Exposures secured by financial
guarantees or credit derivatives/
the amounts effectively covered

183 577

–

40

988

140

–

184 565

140

40

–

–

–

ORA: Operational risks
Operational risks include IT, cyber, confidentiality, fraud, compliance and legal risks. The Bank is particularly exposed to
IT and cyber risks due to its reliance on technological solutions

connected to the Internet. The identification,measurement, management, monitoring and reporting of the Bank's risks are organised in a comprehensive Risk
Management Concept complemented by specific concepts on cyber-security, data confidentiality and operational risk
management and by other internal regulation. Compliance risks are specifically subject to a Compliance Risk Analysis
and Action Plan. All this documentation is reviewed annually by the relevant specialised committees of the Bank: theRisk Committee, the Compliance Committee and the IT Steering Committee. The Bank makes sure that each identified
operational risk remains within the limits of its appetite and keeps under scrutiny the internal controls which allow tokeep those risks at acceptable level. Quarterly, the Board of Directors and the Executive Committee are informed of theevolutions in the Bank and Group's risk profile, receive operational risk indicators allowing them to monitor thesituation of risks and their compliance with the Bank's objectives. For determining capital requirements applicable tooperational risks the Bank uses the basic indicator method.
DUKASCOPY BANK SA ANNUAL REPORT 2021

83

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

IRRBBA: Interest-rate risk: Measuring, managing, monitoring and controllinginterest rate risks
Definition of interest rate risk in the banking book. Interest rate risk in the banking book is defined as the potential
loss in the net interest income (NII) or in the economic value of equity (EVE) arising from the effect of adverse interest
rate changes. The Bank could be exposed to the interest rate risk by offering CFD trading on debt instruments. I suchcase, the Bank's exposure to the interest rate risk would much fluctuate depending on the clients trading positions.
Therefore, the Bank fully hedges this trading flow. The Bank's business activities hardly expose it to the interest raterisk because it basically has no interest based business: the Bank neither charges or pay interests to its clients. The
main source of interest rate risk of the Bank in the bonds it hold as collateral for trading counterparties. However,since these bonds are aimed to be held until maturity, the risk is not expected to materialize into losses.

The Board of Directors defines the interest rate risk appetite of the Group. The principles for managing risk areapproved by the Board of Directors and are incorporated in the Group risk management policies. The Group risk
management policies define the organisational structure, responsibilities, limits and maximum acceptable risk withthe objective to optimise the net interest income on a long term horizon. The Executive Management is responsible
for supervising and implementing the risk profile and recommending risk limits to the Board of Directors.

On a quarterly basis, the Chief Risk Officer issues a Risk Report to the Audit Committee and the Board of Directors that
includes the interest rate risk situation. This Risk Report presents inter alia the results of the stress tests with significant
shifts in interest rate curves, the level of use of the risk limits and the distribution of relevant positions per currency
and per maturity. The Bank do not pay interest on customers’ accounts. Nevertheless, it can review that policy at any
time if consider it necessary. Therefore, repricing maturities for all due to customers match with repricing maturities ofinterest rates sensitive assets. Since the Bank does not place deposits on term with banks and do not issue loans tocustomers, all due from banks have 1 month and due from customers have 9 month repricing maturities.

Risk measurement mechanisms regarding the interest rate risk modelling are aligned with the business model of theGroup. Finance Department performs quarter-end stress tests to monitor the net interest income (NII) and theeconomic value of equity (EVE). These stress tests are measured for each currency using the own base scenario (100basis point change in interests) and the six standardised interest rate shock scenarios prescribed by the FINMA(Circular 2019/2 “Interest rate risk – banks). For each standardised scenario, FINMA defines the amount in basis points
of interest rate shock per currency (CHF, USD, EUR) and per maturity bucket (from overnight up to more than 20 years).

The interest rate risks of subsidiaries are insignificant compared to the interest rate risks taken by the bank itself. In
application of Note 3 of circular FINMA 2019/2 "Interest rate risks – banks", the Bank withdraws from including themin the analysis at the consolidated level.
DUKASCOPY BANK SA ANNUAL REPORT 2021

84

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021
FINMA prescribed scenarios
The six standard scenarios prescribed by FINMA can be summarised and illustrated as follows:Standard scenario

Amount of interest rate shock for CHF currency

Parallel shift up+150 basis points

Parallel shift down

– 150 basis points

Steepener shock (short term rates down and long term rates up)

From -97 basis point up to +90 basis points*

Flattener shock (short term rates up and long term rates down)

From +120 basis points down to -60 basis points*

Rise in short term interest rates

From +150 basis points down to 0 basis points*

Fall in short term interest rates

From -150 basis points down to 0 basis points**depending on maturity bucket

To measure its ability to withstand extreme changes in interest rates, the Bank also may conduct ad hoc stress tests
response to market conditions. The details of the various standardised scenarios are provided in the circular.

Change in economic value of equity (EVE)
Change in economic value of equity has been computed with the assumptions of a run off balance sheet, where
existing banking book positions amortise and are not replaced by any new business. Floating rate instruments are
only impacted for the period until the next interest rate reset date whereas for the fixed rate instruments the entire
maturity is impacted. The impact on each position is calculated stressing the effective interest rate.

Change in net interest income (NII)
Change in net interest income is computed assuming a constant balance sheet, where maturing and repricing cash
flows are replaced by new cash flows with identical features. The stress test is based on all cash flows from fixed andfloating rate instruments as well as assets and liabilities at sight. The impact is measured for one-year period.
Floating rate instruments are impacted after interest rate reset date while fixed interest rate instruments are
impacted for the remaining time after the expiration up to one year. At sight assets and liabilities are impacted forthe duration of one year. The assumptions reflect the expected behavior of counterparties to modify or to cap theinterest rate conditions (asset side) as well as the Bank’s optionalities to update its commercial policy with respect tonegative interests charged to customers (liability side) without affecting substantially other revenue categories.
Parallel shift up scenario may as well differ according to commercial policy and competition.

DUKASCOPY BANK SA ANNUAL REPORT 2021

85

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

IRRBBA1: Interest-rate risk - quantitative information on the structure of positions
and maturity repricing as of 31 December 2021
Average interest rate
reset period (in years)

Volume(in CHF millions)
Positions with an defined interest rate reset date

Totalof which of which other signiCHF
ficant currencies*

Totalof which
CHF

43

30

13

5.39

7.22

Amounts due from banks

89

6

69

0.04

0.04

Amounts due from customers

2

1

1

0.62

0.62

Sight liabilities in personal and current accounts

(113)

(16)

(85)

0.04

0.04

Other liabilities

(12)

0

(11)

0.04

0.04

9

21

(13)

–

–

Financial investments
Positions with an undefined interest rate reset date

Total

*Significant currencies are those that make up more than 10% of assets or liabilities of total assets (ie USD and EUR).

DUKASCOPY BANK SA ANNUAL REPORT 2021

86

KEY METRICS DISCLOSURES FOR THE CONSOLIDATEDFINANCIAL STATEMENTS
as at 31 December 2021

IRRBB1: Information on the economic value of equity and net interest income

Period (CHF millions)

Δ EVE

Δ NII

(change in the net present value)(change in the discounted earning value)

31.12.2021

31.12.2020

31.12.2021

31.12.2020

Parallel upward shift

(3.3)

(4.0)

0

0

Parallel downward shift

3.7

4.6

0

0

Steepener shock

(1.1)

(1.5)

–

–

Flattener shock

0.5

0.7

–

–

Upward short-term interest rate shock

(0.8)

(0.9)

–

–

Downward short-term interest rate shock

0.8

0.9

–

–

Maximum

3.7

4.6

0

0

Total eligible capital

49.0

46.1

–

–

The Group is required to disclose the measured change in economic value of equity (EVE) and changes in net interest
income (NII) under the standard interest rate scenarios prescribed by FINMA. The change in net interest income (pre-tax)
is disclosed as the difference in future interest income over a rolling 12-month period.
The Group's business activities hardly expose it to the interest rate risk because it basically has no interest based
business: the Group neither charges or pay interests to its clients. Nevertheless, it can review that policy at any time if
consider it necessary. Therefore, repricing maturities for all due to customers match with repricing maturities of interest
rates sensitive assets. Since the Bank does not place deposits on term with banks and do not issue loans to customers, alldue from banks have 1 month and due from customers have 9 month repricing maturities.
The Group could be exposed to the interest rate risk by offrering CFD trading on debt instruments. I such case, theGroup's exposure to the interest rate risk would much fluctuate depending on the clients trading positions. Therefore,
the Group fully hedges this trading flow. The main source of interest rate risk of the Group in the bonds it hold ascollateral for trading counterparties. However, since these bonds are aimed to be held until maturity, the risk is notexpected to materialize into losses.

DUKASCOPY BANK SA ANNUAL REPORT 2021

87

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