Capital Adequacy Ordinance (CAO)
English is not an official language of the Swiss Confederation. This translation is provided for information purposes only and has no legal force.
Chapter 1 General
Art. 41 Composition
1 Required capital shall be composed of the following: a. minimum capital; b. the capital buffer; c. the countercyclical buffer; cbis. the countercyclical buffer add-on; and d. additional capital. 2 The more stringent special requirements for systemically important banks under Title 5 remain reserved.
Para. 1 let. c — Amended by No I of the O of 11 May 2016, in force since 1 July 2016 (AS 2016 1725). Para. 1 let. cbis — Inserted by No I of the O of 11 May 2016, in force since 1 July 2016 (AS 2016 1725). Para. 2 — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 42 Minimum capital
1 After the deductions under Articles 31 to 40, banks must hold the following minimum capital overall: a. Tier 1 capital amounting to 3% of total exposure (Art. 42a); b. capital amounting to 8% of total risk-weighted assets (Art. 42b). 2 A bank must inform FINMA and the audit firm as soon as its capital falls below the minimum required under paragraph 1. 3 A bank that holds less than the minimum capital required under paragraph 1 shall be deemed non-compliant with the capital adequacy requirements within the meaning of Article 25 paragraph 1 BankA.
Art. 42 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 42a Total exposure
1 The total exposure corresponds to the leverage ratio denominator. It is composed of the unweighted exposures. 2 FINMA shall issue technical implementing provisions on the leverage ratio and total exposure. It shall base these on the LEV. For the purpose of calculating the variation margin for derivatives, it shall permit the simplified standardised approach (CCR-VSA, Art. 58) in addition to the standardised approach for measuring counterparty credit risk, CCR-SA, Art. 57).
Art. 42a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The LEV is listed in Annex 1 No 7.
Art. 42b Total risk-weighted assets
Total risk-weighted assets (RWA) shall be composed of: a. RWA for credit risk (Art. 49); b. the minimum capital requirement for market risk (Arts. 81 to 88), multiplied by a factor of 12.5; c. the minimum capital requirement for operational risk (Arts. 89 to 94), multiplied by a factor of 12.5.
Art. 42b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 42c Capital quality of minimum capital under Article 42 paragraph 1 letter b
At least 4.5% of the total risk-weighted assets must be backed by CET1 capital, and at least 6% by Tier 1 capital.
Art. 42c — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 43 Capital buffer
1 In addition to the minimum capital, banks shall permanently maintain a capital buffer in accordance with the requirements of Annex 8. 2 Banks whose capital buffer temporarily falls below the requirements due to exceptional, unforeseeable circumstances such as a crisis in the international or Swiss financial system shall not be deemed to be non-compliant with the capital adequacy requirements. 3 In the event of a shortfall, FINMA shall set a deadline for the individual banks to restore the capital buffer.
Para. 1 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 44 Countercyclical buffer
1 The Swiss National Bank may request the Federal Council to require banks to hold a countercyclical capital buffer in the form of CET1 capital up to a maximum of 2.5% of their risk-weighted assets in Switzerland if this is necessary to: a. strengthen the banking sector's resilience to the risks of excessive credit growth; or b. counteract excessive credit growth. 2 The Swiss National Bank shall consult FINMA before submitting the request and shall simultaneously inform the Federal Department of Finance. If the Federal Council approves the request, this Ordinance shall be supplemented with a corresponding Annex 7. 3 The countercyclical buffer may be restricted to certain credit exposures. It shall be removed or adjusted in line with the changed circumstances if the criteria for its imposition no longer apply. The procedure shall be based on paragraphs 1 and 2. 4 Article 43 paragraphs 2 and 3 shall apply by analogy to the countercyclical buffer.
Para. 1 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — Second sentence amended by No I of the O of 26 Jan. 2022, in force since 30 Sept. 2022 (AS 2022 53).
Art. 44a Countercyclical buffer add-on
1 Banks with total assets of at least CHF 250 billion and total foreign exposure of at least CHF 10 billion, or with a total foreign exposure of at least CHF 25 billion, are required to hold a countercyclical buffer add-on in the form of CET1 capital. 2 For such banks, the level of the countercyclical buffer add-on shall correspond to the weighted average level of the countercyclical buffers which, according to the list published by the Basel Committee on Banking Supervision, apply in the member jurisdictions where a bank's relevant private sector claims are located, but it shall not exceed 2.5% of risk-weighted assets. Claims vis-à-vis banks and the public sector shall not be deemed to be private sector claims. 3 The weighting of the ratios for each member jurisdiction shall correspond to the total capital requirement for credit exposures to the private sector in that jurisdiction, divided by the bank's total capital requirement for credit exposures to the private sector. 4 The indica
Art. 44a — Inserted by No I of the O of 11 May 2016, in force since 1 July 2016 (AS 2016 1725). Para. 2 — The list can be downloaded free of charge at www.bis.org > Committees & Associations > Basel Committee on Banking Supervision > CCyB and G-SIB buffer > Countercyclical capital buffer (CCyB). Para. 2 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 45 Additional capital
In special circumstances, FINMA may require individual banks to hold additional capital if the minimum capital under Article 42 and the capital buffer under Article 43 do not provide sufficient security, particularly in relation to: a. their business activities; b. their risk exposures; c. their business strategy; d. the quality of risk management; or e. the state of the art of the techniques used.
Art. 45 — Amended by No I of the O of 11 May 2016, in force since 1 July 2016 (AS 2016 1725).
Art. 45a Calculation of risk-weighted assets by banks using the model-based approaches
1 Banks using one of the following approaches must additionally calculate risk-weighted assets according to the standardised approaches: a. the expected positive exposure (EPE) model-based approach for calculating the credit equivalents of derivatives and securities lending/borrowing transactions (Art. 59 and Art. 62 para. 1 let. c); b. the internal ratings-based approach for securitisations (SEC-IRBA) (Art. 59b para. 2 lit. b); c. the internal assessment approach for securitisations (SEC-IAA) (Art. 59b para. 2 lit. d); d. the Value-at-Risk model-based approach for recognising collateral for securities lending/borrowing transactions and other secured transactions (Art. 62 para. 3 let. b); e. the IRB (Art. 77); f. the model-based approach for market risk (Art. 88). 2 Standardised approaches are deemed to be: a. the SA-CCR (Art. 57); b. the standardised approach for securitisations (SEC-SA) (Art. 59b para. 2 let. a) and the external ratings-based approach for securitisations (SEC-ERBA) (
Art. 45a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 46 and 47
Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Chapter 1a Simplifications for Particularly Liquid
Inserted by No I of the O of 27 Nov. 2019, in force since 1 Jan. 2020 (AS 2019 4623).
Art. 47a Simplifications
Banks in categories 4 and 5 under Annex 3 BankO may apply to FINMA to be exempted from compliance with the provisions on required capital under Articles 41 to 45a.
Art. 47a — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). SR 952.02
Art. 47b Prerequisites
1 Banks in categories 4 and 5 may avail themselves of the simplifications if they meet the following prerequisites at all times, at the level of both the individual entity and the financial group: a. The required capital corresponds to a simplified leverage ratio of at least 8%. b. The average liquidity ratio is at least 110%. c. The refinancing ratio is at least 100%. 2 The simplified leverage ratio is the quotient of: a. Tier 1 capital; and b. the sum of all balance sheet assets, less goodwill and participations, plus all off-balance sheet exposures. 3 The average liquidity ratio corresponds to the quotient of: a. the average of the last twelve month-end holdings of high-quality liquid assets (HQLA) in accordance with Article 15 of the Liquidity Ordinance of 30 November 2012 (LiqO); and b. the average value for the last twelve months of the net cash outflow at month-end in accordance with Article 16 LiqO which can be expected over a 30-day horizon under the stress scenario for the li
Para. 3 let. a — SR 952.06
Art. 47c Rejection of application
FINMA may reject the application for simplifications if: a. the prerequisites under Articles 47a and 47b are not met; b. it has taken supervisory measures against the bank in question, proceedings have been initiated under Article 30 of the Financial Market Supervision Act of 22 June 2007 (FINMASA) or the bank has not taken measures to restore compliance in accordance with Article 31 of the FINMASA in the following areas: 1. the code of conduct under the Financial Services Act of 15 June 2018, 2. market rules of conduct under the Financial Market Infrastructure Act of 19 June 2015, 3. anti-money laundering and terrorist financing under the Anti-Money Laundering Act of 10 October 1997, 4. cross-border transactions; c. interest rate risk management is insufficient or the interest rate risk is inappropriately high in relation to Tier 1 capital, net interest income or risk-bearing capacity, taking all risks into account.
let. b — SR 956.1 let. b let. 1 — SR 950.1 let. b let. 2 — SR 958.1 let. b let. 3 — SR 955.0
Art. 47d Prerequisites no longer met
1 Banks that no longer meet the prerequisites under Article 47b must notify FINMA immediately. 2 If FINMA finds that a bank is no longer in category 4 or 5 or that there is a reason for rejection in accordance with Article 47c, it shall notify the bank accordingly. 3 In the event of notifications in accordance with paragraphs 1 and 2, FINMA shall grant the bank a deadline for restoring compliance with the prerequisites. This deadline shall generally be one year, but may be shortened or extended in justified individual cases. If the prerequisites are not met at the end of this period, the simplifications under Article 47a may no longer be availed of.
Art. 47e Waiver of simplifications
Banks that no longer wish to avail themselves of the simplifications under Article 47a shall inform FINMA and the audit firm accordingly.
Chapter 2 Credit Risk
Section 1 General
Art. 48 Definitions: credit risk
1 Credit risk is the risk of the bank incurring a loss as a result of: a. a counterparty's failure to meet its contractual obligations; or b. a reduction in the value of financial instruments issued by a third party, namely equity-like instruments, interest rate instruments or units in managed collective assets. 2 Counterparty credit risk is the risk of a counterparty defaulting before final settlement of the delivery associated with the following transactions: a. derivatives transactions; b. securities lending/borrowing transactions; c. transactions with a long period to settlement. 3 CVA risk is the risk of market valuation losses for the bank as a result of credit valuation adjustments (CVA) in derivatives and securities lending/borrowing transactions, owing to the risk of counterparty default.
Art. 48 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 49 Risk-weighted assets
1 Risk-weighted exposures (risk-weighted assets) for credit risk shall be composed of: a. units in managed collective assets in the banking book that are weighted for credit risk and counterparty credit risk; b. securitisation exposures that are weighted for credit risk and counterparty credit risk; c. the minimum capital for exposures to central counterparties and clearing members in the banking and trading books, multiplied by a factor of 12.5; d. the exposures from unsettled transactions in the banking and trading books, weighted for credit risk and counterparty credit risk; e. the minimum capital for CVA risk, multiplied by a factor of 12.5; f. exposures in the banking book that are weighted for credit risk and counterparty credit risk, unless included under letters a to e; g. exposures in the trading book that are weighted for counterparty credit risk, unless included under letters a to e. 2 Exposures in this context shall be deemed to be: a. receivables, including claims arising
Art. 49 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 50 Risk weighting approaches
1 The calculation of risk-weighted assets shall be performed in accordance with the common provisions (Art. 77a–77j) and with: a. the BIS SA (Art. 63–73); b. the IRB (Art. 77). 2 The IRB and BIS SA may be combined. 3 Use of the IRB requires approval by FINMA. 4 FINMA shall issue technical implementing provisions on credit risk. It shall base these on the CRE.
Art. 50 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 4 — The CRE is listed in Annex 1 No 4.
Section 2 Calculation of Exposures
Art. 50a Deductions
1 Exposures that are to be weighted for credit risk shall first be reduced by the following amounts: a. individual value adjustments, provisions and partial write-downs; b. credit value adjustments for derivatives and securities lending/borrowing transactions; and c. deductions from capital in accordance with Article 5b paragraph 3 and Articles 31 to 40. 2 Provisions that deviate from the IRB under chapters 30 to 36 CRE shall take precedence over those in paragraph 1, subject to Article 77 paragraph 4 for defaulted exposures.
Art. 50a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The CRE is listed in Annex 1 No 4.
Art. 51 Net exposures
1 Net exposures shall be calculated as follows: physical holdings plus securities lending claims minus securities borrowing commitments + unsettled spot and forward purchases (including financial futures and swaps) ./. unsettled spot and forward sales (including financial futures and swaps) + firm commitments to underwrite securities less sub-participations and firm subscriptions, provided that these eliminate the bank's price risk + exercise rights from purchased calls, delta-weighted ./. delivery obligations from written calls, delta-weighted + underwriting obligations from written puts, delta-weighted ./. exercise rights from purchased puts, delta-weighted. 2 ... 3 Positive net exposures shall be referred to as net long exposures, and the absolute amounts of negative net exposures shall be referred to as net short exposures.
Para. 2 — Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Art. 52 Net exposures for equity instruments of entities operating in the financial sector
1 The net exposures for equity instruments of entities operating in the financial sector shall be calculated as follows, taking into account the additional requirements in paragraphs 2 and 3: physical holdings plus synthetic positions, as well as securities lending claims minus securities borrowing commitments + unsettled spot and forward purchases (including financial futures and swaps) ./. unsettled spot and forward sales (including financial futures and swaps) ./. underwriting positions held for five business days or less + exercise rights from purchased calls, delta-weighted ./. delivery obligations from written calls, delta-weighted + underwriting obligations from written puts, delta-weighted ./. exercise rights from purchased puts, delta-weighted. 2 In the case of direct holdings of instruments that are equity instruments or through which equity instruments are held indirectly or synthetically, other than own equity instruments, long and short exposures in equity instruments may
Para. 2 — Amended by Annex 2 No 4 of the Banking Ordinance of 30 April 2014, in force since 1 Jan. 2015 (AS 2014 1269).
Art. 53 Off-balance sheet transactions
1 Off-balance sheet transactions shall be converted into a credit equivalent using credit conversion factors. This shall constitute the risk-weighted assets. 2 Banks that use the BIS SA must calculate the credit equivalent of the transaction in question by multiplying the nominal or present value with its credit conversion factor as set out in Annex 1a. 3 In the case of commitments, amounts agreed but not yet drawn down shall be converted in accordance with the BIS SA. Commitments shall be deemed to be all contractual agreements between the bank and the client regarding the granting of loans, the purchase of assets or the issuance of credit substitutes, where they give the client a right to performance by the bank or where the bank has no control over the right arising. This includes agreements which the bank may: a. cancel unconditionally at any time and without prior notice; b. cancel automatically if the borrower no longer meets the predefined conditions. 4 If a commitment is made t
Art. 53 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 54 Sub-participations in the case of contingent funding obligations
Contingent funding obligations where the bank has ceded sub-participations may be treated as direct claims against the respective sub-participants in the amount of the sub-participation.
Art. 54 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 55
Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Art. 56 Approaches for calculating the credit equivalents of derivatives and of transactions with longer settlement periods
1 Derivatives shall be converted into credit equivalents. These shall constitute the risk-weighted assets. 2 The credit equivalents shall be calculated using one of the following approaches: a. the SA-CCR; b. one of the simplified approaches: 1. the VSA-CCR, 2. the market value approach; c. the EPE model-based approach. 3 Use of the EPE model-based approach requires approval by FINMA. 4 These calculation approaches shall apply to all derivatives, irrespective of whether they are traded on an exchange or concluded over the counter. 5 Transactions with long settlement periods shall be treated as derivatives for the purpose of calculating the credit equivalents. 6 FINMA may issue technical implementing provisions on calculating the credit equivalent in the event of statutory or contractual netting in accordance with Article 61 paragraph 1 letter a involving more than two parties.
Art. 56 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 57 Standardised approach
1 To calculate the credit equivalents of derivatives using the SA-CCR, the sum of the regulatory replacement cost and the amount for potential future exposure shall be multiplied by a factor of 1.4. 2 FINMA shall issue technical implementing provisions. It shall base these on chapter 52 CRE. In line with European Union (EU) law, it shall regulate the calculation for interest rate derivatives in the event of negative interest rates.
Art. 57 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The CRE is listed in Annex 1 No 4.
Art. 58 Simplified approaches
1 The following banks may use the VSA-CCR or the market value approach to calculate the credit equivalents of derivatives: a. banks in categories 4 and 5 under Annex 3 BankO; b. banks in category 3 under Annex 3 BankO with insignificant derivatives exposures. 2 FINMA shall issue technical implementing provisions.
Art. 58 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 1 let. a — SR 952.02
Art. 59 EPE model-based approach
1 FINMA shall issue technical implementing provisions on the calculation of the credit equivalents of derivatives according to the EPE model-based approach. It shall base these on chapter 53 CRE. 2 The credit equivalents are multiplied by the EPE factor. FINMA shall determine the EPE factor in each individual case. This shall be at least 1.2.
Art. 59 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 1 — The CRE is listed in Annex 1 No 4.
Art. 59a Units in managed collective assets
1 For units in managed collective assets, the risk-weighted assets of the managed collective assets shall be calculated according to the: a. look-through approach (LTA); b. mandate-based approach (MBA); c. fallback approach (FBA); or d. simplified approach (VA). 2 The following banks may use the VA as an alternative to the FBA: a. banks in category 3 under Annex 3 BankO with insignificant exposures related to managed collective assets; b. banks in categories 4 and 5 under Annex 3 BankO. 3 FINMA shall issue technical implementing provisions. It shall base these on chapter 60 CRE.
Art. 59a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 let. a — SR 952.02 Para. 3 — The CRE is listed in Annex 1 No 4.
Art. 59b Securitisation exposures
1 Securitisation exposures are exposures from transactions with the following characteristics: a. They divide the credit risk associated with a risk exposure or a pool of risk exposures into tranches. b. The payments performed as part of the transaction depend on the change in value of the risk exposure or pool of risk exposures. c. The order of precedence of the tranches determines the distribution of losses over the duration of the transaction. 2 For securitisation exposures, the risk-weighted assets shall be calculated according to the: a. SEC-SA; b. SEC-IRBA; c. SEC-ERBA; d. SEC-IAA. 3 Securitisation exposures to which none of the approaches under paragraph 2 applies shall be weighted at 1,250%. 4 Use of the SEC-IAA requires approval by FINMA. 5 FINMA shall issue technical implementing provisions on securitisations. It shall base these on chapters 40 to 45 CRE. It shall assign the external ratings to individual rating classes. In addition, with regard to the SEC-ERBA, FINMA shall r
Art. 59b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 5 — The CRE is listed in Annex 1 No 4.
Art. 60 Interest rate instruments and equity-like instruments
1 If the interest rate instruments or equity-like instruments are equity instruments of an entity operating in the financial sector, the net exposure shall be calculated in accordance with Article 52. 2 In the case of interest rate instruments and equity-like instruments of the same issuer which are not in the trading book and which have the same risk weight, the net exposure shall be calculated in accordance with Article 51. 3 For exposures that are not in the trading book, the carrying value of the physical holding shall be used. 4 Paragraphs 1 and 2 shall also apply to interest rate instruments and equity-like instruments in the trading book, provided that the minimum capital is calculated in accordance with Article 83 paragraph 3.
Art. 60 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 61 Risk mitigation measures
1 The following risk mitigation measures may be taken into account when calculating exposures: a. statutory and contractual netting; b. guarantees; c. credit derivatives; and d. financial collateral. 2 Upon request, the banks must demonstrate to the audit firm or to FINMA that these risk mitigation measures are legally enforceable in the jurisdictions concerned. 3 FINMA shall issue technical implementing provisions on risk mitigation measures. It shall base these on the CRE, but shall provide for derogations as regards the inclusion of the following collateral in risk mitigation measures: a. sureties under the Housing Construction and Home Ownership Act of 4 October 1974; b. guarantees under the Export Risk Insurance Act of 16 December 2005; c. repo and repo-like transactions in Swiss francs. 4 In line with European Union law, it shall designate the main indices that may be used to determine the haircut.
Para. 1 let. d — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 — The CRE is listed in Annex 1 No 4. Para. 3 let. a — SR 843 Para. 3 let. b — SR 946.10 Para. 3 let. c — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 4 — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 62 Securities lending/borrowing transactions and other secured transactions
1 For securities lending/borrowing transactions and other transactions secured with financial collateral, the bank may include such collateral when calculating exposures according to: a. the simplified approach; b. the comprehensive approach; c. the EPE model-based approach. 2 Under the simplified approach, the collateralised exposure components shall be assigned to the collateral provider's exposure class. 3 Under the comprehensive approach, the exposure shall be netted against the collateralised exposure component. The net exposure shall remain in the original exposure class. The following shall be applied to the collateralised portion of the exposure: a. supervisory haircuts; or b. the Value at Risk model-based approach. 4 Use of the EPE and Value at Risk approaches requires approval by FINMA. 5 If the EPE model-based approach is used, the credit equivalents shall be multiplied by the EPE factor. FINMA shall determine the EPE factor in each individual case. This shall be at least 1.
Art. 62 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 7 — The CRE is listed in Annex 1 No 4.
Section 3 Exposure Classes and Risk Weights accord
Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 63 Exposure classes
1 Banks that use the BIS SA shall assign the individual exposures to exposure classes. 2 In the following exposure classes, external ratings may be used for the risk weighting of the individual exposures: a. central governments, central banks and supranational organisations; b. public sector entities; c. multilateral development banks; d. banks; e. common institutions; f. companies; g. special financing vehicles; h. foreign covered bonds. 3 External ratings cannot be used for the following exposure classes: a. retail exposures; b. domestic Pfandbrief bonds; c. direct and indirect mortgage-backed exposures; d. subordinated exposures; e. defaulted exposures; f. equity-like instruments; g. other exposures. 4 FINMA shall issue technical implementing provisions on the definition of exposure classes. It shall base these on the CRE. It shall designate multilateral development banks to which a risk weight of 0% can be assigned.
Art. 63 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 4 — The CRE is listed in Annex 1 No 4.
Art. 63a Due diligence in the use of external ratings
1 If a bank uses external ratings for exposures in the exposure classes under Article 63 paragraph 2 letters c to h, it must perform due diligence to assess whether the applied risk weight is appropriate. If the exposure has a higher risk profile compared to the external rating, a risk weight from a lower rating class must be applied. The due diligence assessment must not result in a lower risk weight compared to the external rating. 2 The bank may exclude insignificant exposures from the due diligence assessment. 3 FINMA shall issue technical implementing provisions. It shall base these on the CRE.
Art. 63a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 — The CRE is listed in Annex 1 No 4.
Art. 64 Use of external ratings
1 Under the BIS SA, banks may use external ratings from a rating agency recognised by FINMA under Article 6 to determine risk weights, provided that the corresponding ratings are covered by the rating agency's recognition for this purpose. 2 FINMA shall assign the external ratings to individual rating classes. It shall base these on the CRE. 3 Banks must base their use of external ratings on a concrete, institution-specific concept which ensures consistent application in risk weighting and risk management. This concept shall be applied consistently. 4 If a bank assigns risk weights to exposures based on external ratings. it must apply all available ratings from the selected rating agencies for the risk weighting of exposures under Article 63 paragraph 2, provided that the ratings refer to exposures in the recognised market segment. 5 If a bank does not use external ratings to assign risk weights to exposures, or if no rating from the bank's selected rating agency is available to assign
Art. 64 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The CRE is listed in Annex 1 No 4.
Art. 64a External short-term ratings
1 Banks may use short-term ratings for the risk weighting of short-term exposures to banks and companies. 2 FINMA shall assign the short-term ratings to four rating categories. It shall base these on the CRE. The rating categories shall have the following risk weights: a. category 1: 20%; b. category 2: 50%; c. category 3: 100%; d. category 4: 150%. 3 If the risk weight under paragraph 2 for an exposure to the bank is higher than the risk weight under Annex 2 No 4.1 for short-term exposures, the risk weight under paragraph 2 shall be applied to all unrated short-term exposures to the bank. 4 If the risk weight under paragraph 2 for an exposure to the bank is lower than or equal to the risk weight under Annex 2 No 4.1 for short-term exposures, the risk weight under paragraph 2 shall be applied to the corresponding exposure, but not to other unrated short-term exposures to the bank. 5 The minimum risk weight for unrated exposures to a bank or company shall be: a. 100% for short-term expo
Art. 64a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The CRE is listed in Annex 1 No 4.
Art. 64b External issue and issuer ratings
1 For exposures for which an issue or issuer rating from a rating agency selected by the bank is available, the risk weight shall be determined according to this rating. 2 For exposures without an issue rating and for which an issue rating for another issue of the same borrower or an issuer rating for the borrower is available, the risk weight shall be determined according to this rating. 3 If an issue rating is available for another issue of the same borrower, the following shall apply: a. If the rating is high quality, it may only be applied to the unrated exposure if such exposure is senior or equivalent to the rated exposure. If it is subordinate to the rated exposure, the risk weight for unrated exposures shall be applied. b. If the rating is not high quality, it shall be applied to the unrated exposure if such exposure is equivalent or subordinate to the rated exposure. 4 If an issuer rating is available for the borrower, the following shall apply: a. If the issuer rating is high
Art. 64b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 64c External domestic and foreign currency ratings
If equivalent rated receivables are used for the risk weighting of unrated exposures to the same borrower, foreign currency ratings shall be applied to foreign currency exposures. Ratings based on domestic currency may only be used for the risk weighting of exposures that are also denominated in domestic currency.
Art. 64c — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 65 Use of external ratings at group level
The ratings used in the companies to be consolidated may be applied at group level.
Art. 65a Country risk classification
1 For the risk weighting of exposures to central governments, banks may use the country risk classification drawn up in accordance with the Arrangement on Guidelines for Officially Supported Export Credits of 1 January 2022 of the Organisation for Economic Co-operation and Development (OECD) and published by the OECD. 2 The following risk weights shall apply to the categories in this country risk classification: a. 0% for a country risk classification of 0 or 1; b. 20% for a country risk classification of 2; c. 50% for a country risk classification of 3; d. 100% for a country risk classification of 4 to 6; e. 150% for a country risk classification of 7.
Art. 65a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 1 — The Arrangement on Guidelines for Officially Supported Export Credits can be downloaded free of charge at www.oecd.org > Topics > Trade > Export credits > Arrangement and Sector Understandings Para. 1 — The country risk classification can be downloaded free of charge at www.oecd.org > Topics > Trade > Export credits > Arrangement and Sector Understandings > Country risk classification
Art. 66 Risk weighting of exposures
1 Exposures in the exposure classes under Article 63 paragraph 2 shall be assigned risk weights in accordance with Annex 2 for purposes of the BIS SA. 2 Exposures in the exposure classes under Article 63 paragraph 3 letters a to e shall be assigned risk weights in accordance with Annex 3 for purposes of the BIS SA. 3 Exposures in the exposure classes under Article 63 paragraph 3 letter f shall be assigned risk weights in accordance with Annex 4 for purposes of the BIS SA, unless they are deducted from capital or assigned a 250% weight under Article 40 paragraph 2. 4 Net exposures in interest rate instruments under Article 60 shall be assigned to the issuer's exposure class and receive a corresponding risk weight. 5 In the case of exposures in the form of equity instruments of entities operating in the financial sector, the risk weighting under paragraphs 3 and 4 shall refer to the portion of the net exposure in accordance with Article 52 that was not deducted from capital under the cor
Art. 66 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 66a Exposures to natural persons which are not hedged against currency risk
1 If retail exposures to natural persons and exposures to natural persons that are secured by residential real estate are not hedged against currency risk, and if the loan currency is not the same as the currency of the borrower's income source, the risk weight under Annex 3 shall be increased by half. The maximum risk weight shall be 150%. Lombard loans are exempted from this increase. 2 For banks in categories 4 and 5 under Annex 3 BankO, paragraph 1 shall not apply to exposures to borrowers resident or domiciled in Switzerland.
Art. 66a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — SR 952.02
Art. 67 Domestic currency exposures to central governments or central banks
Where the supervisory authority of a country other than Switzerland provides for a lower risk weight than that stipulated in Article 66 paragraph 1 for domestic currency exposures to the central government or central bank of that country, banks may apply the same risk weight to such exposures, provided that such exposures are refinanced in the domestic currency of that country and that the banking supervision of that country is appropriate. This risk weight shall refer to the portion of such exposure that is refinanced in domestic currency.
Art. 67 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 68 Banks: allocation to the «banks» exposure class and use of external ratings
1 Domestic securities firms may only be allocated to the «banks» exposure class (Art. 63 para. 2 let. d) if they manage accounts. Foreign financial institutions may be allocated to this exposure class if they are subject to regulation and supervision in the home jurisdiction that is equivalent to that of banks in the home jurisdiction. 2 For the risk weighting of exposures to banks, no external ratings may be used that are based on an implicit state guarantee, except for exposures to state-owned banks.
Art. 68 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 68a Banks: exposure sub-classes
1 Exposures to a bank without an external rating shall be allocated to exposure sub-classes A to C as follows: a. exposure sub-class A: banks with high creditworthiness; b. exposure sub-class B: banks with medium creditworthiness; c. exposure sub-class C: banks with low creditworthiness. 2 Allocation to exposure sub-class A assumes that the debtor bank meets or exceeds the regulatory requirements for minimum capital and buffers in the home jurisdiction, with the exception of non-public bank-specific minimum capital or buffers. 3 Allocation to exposure sub-class B assumes that the debtor bank meets or exceeds the regulatory requirements for minimum capital in the home jurisdiction, with the exception of buffers or non-public bank-specific minimum capital. 4 Allocation to exposure sub-class C assumes that the debtor bank does not meet the prerequisites under paragraphs 2 and 3. 5 Exposures to a bank without an external rating whose request to avail itself of the simplifications under Art
Art. 68a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 69 Banks: risk weighting
1 If a bank in exposure sub-class A holds capital in the form of CET1 capital amounting to at least 14% of all risk-weighted exposures (Art. 42b) and at least 5% of total exposure (Art. 42a), a risk weight of 30% shall apply to exposures to that bank under Annex 2 No 4.2. 2 Exposures to a bank in exposure sub-class A, B or C must receive at least the risk weight for exposures to the home jurisdiction of that bank if: a. exposures to that bank are not recorded in the domestic currency of the home jurisdiction; or b. exposures to a branch of that bank are not recorded in the domestic currency of the jurisdiction in which the branch operates. 3 Paragraph 2 shall not apply to self-liquidating trade-related contingent funding obligations with a remaining maturity of less than a year arising from the movement of goods. 4 Banks in categories 4 and 5 under Annex 3 BankO may waive the allocation to exposure sub-classes for exposures to a bank without an external rating. This also applies to ban
Art. 69 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 4 — SR 952.02
Art. 70 Companies
1 The risk weighting of exposures to companies shall be in accordance with Annex 2. 2 If a bank uses external ratings for exposures to banks, it must also use external ratings for exposures to companies. 3 SMEs shall be deemed to be companies with a consolidated annual turnover of a maximum of CHF 75 million in the last financial year. If the SME belongs to a group, the consolidated turnover of the group shall be indicative. The risk weighting of exposures to these companies shall be in accordance with Annex 2 No 6.2. 4 In derogation from paragraph 3, banks in categories 3 to 5 under Annex 3 BankO may categorise companies with no more than 250 employees as SMEs, irrespective of the consolidated annual turnover. If these companies do not have a rating, the risk weight of the exposures to these companies shall be 90%. 5 Exposures to SMEs, except direct and indirect mortgage-backed exposures, may be allocated to the «retail exposures» exposure class (Art. 71) if they meet the prerequisite
Art. 70 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 4 — SR 952.02
Art. 70a Special financing vehicles: definitions
1 Exposures to companies, except direct and indirect mortgage-backed exposures, shall be deemed to be special financing vehicles if: a. one of the following types of financing is involved: 1. financing which is repaid and secured mainly with receipts from the financed project (project financing), 2. financing for the purchase of plant, machinery, vehicles and other equipment, repayment of which depends on the cashflows generated by these assets (asset financing), 3. short-term loans to finance supplies, inventories or receivables from exchange-traded commodities that are repaid with the proceeds from the sale of the financed goods (commodities trade financing); and b. at least one of the following criteria is met: 1. the company has few or no other significant assets or activities, and is therefore largely dependent, for the repayment of the obligation, on the revenue from the assets to be financed, 2. the contract grants the bank a far-reaching security interest in the assets and the
Art. 70a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 — SR 952.02
Art. 70b Special financing vehicles: risk weighting of project finance
1 For the risk weighting of project financing vehicles without an external issue rating, a distinction is made between a non-operative and an operative phase. 2 The operative phase is the phase in which the company's net cashflow is positive and sufficient to cover outstanding contractual obligations, and the company's long-term debt is declining. The remaining phases shall be deemed to be non-operative phases. 3 High-value project financing vehicles shall be deemed to be exposures to companies that are able meet their financial obligations when due, even under adverse economic or operating conditions. Moreover, project financing vehicles must meet the additional criteria under chapter 20.52 CRE. FINMA shall issue technical implementing provisions.
Art. 70b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 — The CRE is listed in Annex 1 No 4.
Art. 71 Retail exposures
1 Retail exposures comprise exposures to natural persons and exposures under Article 70 paragraph 5 to SMEs, except for direct and indirect mortgage-backed exposures. 2 Retail exposures shall be weighted as qualifying retail exposures in accordance with Annex 3 Nos 1.1 and 1.2 if they meet the following criteria: a. They are revolving credits and lines of credit, personal loans with fixed terms and leasing contracts, and credits and lines of credit to SMEs. b. The retail exposures to a counterparty amount to a maximum of CHF 1.5 million and, excluding defaulted exposures, a maximum of 1% of total qualifying retail exposures. 3 Derivatives and other securities shall not be assigned to qualifying retail exposures.
Art. 71 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 71a Domestic Pfandbrief bonds
Domestic Pfandbrief bonds comprise Pfandbrief bonds in accordance with the Mortgage Bond Act of 25 June 1930. They shall be weighted in accordance with Annex 3 No 2.
Art. 71a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). SR 211.423.4
Art. 71b Foreign covered bonds
Foreign covered bonds may only be assigned to this exposure class and weighted according to Annex 2 No 8 if the following criteria are met: a. They are issued by a bank or mortgage institution. b. They are subject to special public oversight, owing to legal requirements on the protection of bondholders. c. In accordance with the legal provisions, the income from the issuance of the bonds is invested in assets which cover the liabilities arising out of the bonds for the entire duration of the bonds, and are primarily intended to repay the capital and interest in the event of default by the issuer. d. The assets used as coverage fall into at least one of the following categories: 1. claims on central governments, central banks, supranational organisations, public sector entities or multilateral development banks, or claims guaranteed by such an institution; 2. direct and indirect mortgage-backed exposures for residential real estate that meet the requirements under Article 72c paragraph
Art. 71b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). let. f — The CRE is listed in Annex 1 No 4.
Art. 72 Direct and indirect mortgage-backed exposures: definitions
1 Direct and indirect mortgage-backed exposures are exposures that are secured by residential or commercial real estate. Exposures to companies that are used to finance operating assets and are subordinately secured by a mortgage may be allocated to the «companies» exposure class (Art. 70). 2 Residential real estate is real estate that is wholly or predominantly used for residential purposes. 3 Owner-occupied residential real estate is residential real estate that is occupied predominantly by the borrower, as well as a maximum of one further dwelling which is predominantly rented out and also financed by the bank that financed the borrower's main residence. Residential real estate owned by public housing developers and residential real estate with a state-controlled rent model shall be deemed to be owner-occupied residential real estate. 4 Commercial real estate is all real estate that is not residential real estate. 5 Owner-occupied commercial real estate is real estate that is predom
Art. 72 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 72a Direct and indirect mortgage-backed exposures: loan-to-value ratio
1 The loan-to-value ratio of the mortgage is the ratio of the outstanding loan and all loan commitments to the original loan value of the mortgage. 2 In the case of loans secured by more than one mortgage, the bank shall use a suitable formula to divide the loan amount between the loan values of the various mortgages for the purpose of determining the loan-to-value ratio for each mortgage. 3 No risk mitigation measures under Article 61 shall be included when calculating the loan-to-value ratio. The only exception are pledged account balances that are permitted for netting under Article 61 paragraph 1 letter a and whose sole purpose is the repayment of the loan. 4 Any equivalent or senior claims shall be included when calculating the loan-to-value ratio.
Art. 72a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 72b Direct and indirect mortgage-backed exposures: loan value
1 In the case of lending for new business and for increases in existing loans, the original loan value of the mortgage shall be assessed and maintained for a period of five years. If the funds generated by a loan increase are not invested in the mortgage property, a reassessment of the loan value of the mortgage is not permitted and the five-year period continues to run. If mortgages are integrated into portfolios during the life of the loan, the value at the time of integration into the portfolio shall be deemed to be the original loan value. 2 If, during this five-year period, changes are made to the mortgage which increase its value without increasing the loan, an upward adjustment of the loan value beyond the original loan value in the amount of the investment is permitted. 3 The loan value must be reviewed in the following cases: a. an unusual event with a direct impact on the value of the mortgage; b. a significant price decline on the real estate market. 4 If the review under pa
Art. 72b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 72c Direct and indirect mortgage-backed exposures: risk weighting
1 A direct or indirect mortgage-backed exposure shall be weighted in its entirety with the risk weight allocated to the loan-to-value ratio of the mortgage under Annex 3 No 3 if the following requirements are met: a. Construction of the real estate has been completed, except in the case of construction loans and loans for building land (Art. 72e). b. Claims on the mortgage are legally enforceable within an appropriate period of time. c. Each holder of senior, equal and subordinate liens may, independently of the others, enforce their claims and the senior creditors cannot dispose of the mortgage at a price that places lower-ranked creditors at a disadvantage. d. The affordability of the loan (Art. 72d) and the borrower's ability to repay it shall be checked as part of the lending process. e. The loan value is assessed prudently in accordance with Article 72b. f. The information required at the time the loan is granted and needed for monitoring purposes shall be documented appropriately
Art. 72c — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 let. a — SR 831.40 Para. 6 — The correction of 24 Jan. 2025 concerns the French text only (AS 2025 61).
Art. 72d Direct and indirect mortgage-backed exposures: affordability
1 Banks must ensure, by means of internal directives, that the affordability of the loans granted is permanently and systematically guaranteed. In doing so, they must use prudently calculated imputed costs as a basis. 2 FINMA shall set detailed requirements for internal directives; in particular, it shall define the permanent and systematic guarantee of affordability, and the prudent calculation of imputed costs.
Art. 72d — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 72e Direct und indirect mortgage-backed exposures: construction loans and loans for building land
1 Construction loans are deemed to be loans for the development and construction of real estate. Loans for building land are deemed to be loans for the purchase of land for development and construction purposes. 2 Construction loans and loans for building land for owner-occupied real estate that meet the requirements under Article 72c paragraph 1 letters b to f shall be weighted in accordance with Annex 3 No 3.1. If these requirements are not met, Article 72c paragraph 5 letter a shall apply. 3 Construction loans and loans for building land for non-owner-occupied real estate shall be weighted at 100%, provided that the requirements under Article 72c paragraph 1 letters b to f are met and the maximum loan-to-value ratio is 70%. In all other cases, they shall be weighted at 150%. The value on which the loan-to-value ratio is based shall correspond to the estimated loan value of the mortgage at the time of completion. 4 Construction loans and loans for building land for owner-occupied com
Art. 72e — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 72f Direct and indirect mortgage-backed exposures: inclusion of risk mitigation measures
1 Risk mitigation measures (Art. 61) may be included when calculating the direct and indirect mortgage-backed exposures to be risk-weighted, provided that they were not already included when calculating the loan-to-value ratio under Article 72a paragraph 3. 2 Pledged pension assets under Article 30b OPA and Article 4 of the Ordinance of 13 November 1985 on Tax Relief on Contributions to Recognised Pension Schemes may be counted as eligible under Article 61 if: a. the pledge exists as additional security for a mortgage-backed claim; b. the real estate is owner-occupied residential real estate; and c. the minimum requirements under Article 72c paragraph 3 are met.
Art. 72f — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — SR 831.40 Para. 2 — SR 831.461.3
Art. 72g Direct and indirect mortgage-backed exposures: technical implementing provisions
FINMA shall issue technical implementing provisions on direct and indirect mortgage-backed exposures. It shall base these on the CRE. In derogation from the CRE, it shall regulate the eligibility of pledged pension assets under Article 72f paragraph 2.
Art. 72g — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). The CRE is listed in Annex 1 No 4.
Art. 73 Equity-like instruments
Net exposures in equity-like instruments shall be weighted in accordance with Annex 4. This shall not apply to portions of net exposures which: a. are to be deducted from the capital components under Articles 31 to 40; or b. are to be risk-weighted in accordance with Article 40 paragraph 2.
Art. 73 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 74–76
Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Section 4 IRB Approach
Art. 77
1 Banks that apply the IRB approach for calculating minimum capital for credit risk may choose between: a. foundation IRB (F-IRB); or b. advanced IRB (A-IRB). 2 The total of risk-weighted direct and indirect mortgage-backed exposures based on a mortgage in Switzerland which are calculated according to the IRB must be at least 72.5% of the corresponding total calculated according to the BIS SA. This shall apply at both the single entity level and the level of its subsidiaries consolidated as a financial group in which direct and indirect mortgage-backed exposures based on a mortgage in Switzerland are reported. 3 For exposures backed directly or indirectly by residential real estate where the bank's lending business does not meet the minimum requirements under Article 72c paragraph 3, the risk weight under Article 72c paragraph 5 shall be applied, provided that this is higher than the risk weight calculated according to the IRB. 4 For defaulted exposures, a risk weight of 100% shall app
Art. 77 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 5 — The CRE is listed in Annex 1 No 4.
Section 5 Common Provisions for Risk Weighting acc
Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 77a Central counterparties and clearing members
1 Articles 77a to 77e shall apply to transactions with central counterparties under Article 48 of the Financial Market Infrastructure Act of 19 June 2015. 2 Central counterparties shall be deemed to be qualifying central counterparties under the following conditions: a. They are authorised as central counterparties for the services offered. b. They have a registered office in a jurisdiction in which they are subject to appropriate regulation and supervision. c. The banks possess the necessary information from the central counterparty to allow them to calculate their minimum capital under Article 77d paragraph 2 for exposures to the default fund, and the responsible supervisory authorities check this information and the calculation. 3 Clearing members are deemed to be participants in a central counterparty who are authorised to enter into a direct transaction with the central counterparty as a party, irrespective of whether they do so for their own account or as intermediaries between t
Para. 1 — SR 958.1
Art. 77b Minimum capital: principles for exposures to central counterparties and clearing members
1 The minimum capital for a bank's exposures to central counterparties and clearing members shall be calculated for: a. exposures from proprietary trading activities; b. exposures from trading activities for which the bank guarantees the central counterparty's contract fulfilment vis-à-vis clearing client; c. exposures to the default fund. 2 Trading activities are deemed to be: a. derivatives transactions; b. securities financing transactions; c. transactions with a long period to settlement; d. margin payments in connection with the transactions under letters a to c. 3 For exposures relating to spot transactions, Article 77f shall apply. For contributions to default funds that cover only the settlement risk of spot transactions, a risk weight of 0% shall apply. 4 FINMA shall issue technical implementing provisions on calculating minimum capital under paragraph 1, and on risk management in connection with exposures to central counterparties, clearing members and clearing clients. It sh
Para. 4 — The CRE is listed in Annex 1 No 4.
Art. 77c Minimum capital : exposures to non-qualifying central counterparties
1 The minimum capital for exposures from trading activities under Article 77b paragraph 1 letters a and b to non-qualifying central counterparties shall be calculated using the BIS SA. 2 For the following exposures to the default fund, a risk weight of 1,250% shall apply: a. pre-financed contributions to the default fund; b. binding contributions made upon request to the default fund and additional payment obligations. 3 If the obligation under paragraph 2 letter b is unlimited, FINMA shall define, on a case-by-case basis, the amount of the obligation to which this risk weight is to be applied.
Art. 77d Minimum capital: exposures to qualifying central counterparties
1 If a bank acts as a clearing member of a qualifying central counterparty, a risk weight of 2% shall apply to exposures to the qualifying central counterparty from trading activities under Article 77b paragraph 1 letters a and b. 2 The minimum capital for contributions to the default fund shall be calculated according to Annex 4a. 3 The minimum capital under paragraphs 1 and 2 shall amount to, at most, the minimum capital to cover exposures to a non-qualifying counterparty. 4 If a bank acts as a client of a clearing member of a qualifying central counterparty, and if the transferability of the transaction is guaranteed in the event of default by the clearing member, the following risk weights shall be applied to the bank's exposures from trading activities: a. 2% if these exposures are protected against the risk of joint default by the clearing member and any of the clearing member's other clients; b. 4% if these exposures are protected against the risk of default by the clearing memb
Art. 77e Additional capital for exposures to central counterparties
The bank must examine whether the minimum capital under Articles 77b to 77d appropriately covers the risks inherent in its exposures to the central counterparty. Otherwise, it must hold appropriate additional capital over and above the required capital under Articles 41 to 45a and, if the bank is systemically important, Articles 130 to 131b.
Art. 77f Exposures from unsettled transactions
1 Exposures from unsettled transactions are exposures which carry a risk of loss owing to delayed or failed settlement. 2 Positive replacement values for exposures from unsettled foreign exchange, securities and goods transactions that are settled via a securities settlement or payment system according to the «delivery versus payment» or «payment versus payment» principle shall receive the following risk weights: a. from 5 to 15 business days after the agreed settlement date: 100%; b. from 16 to 30 business days after the agreed settlement date: 625%; c. from 31 to 45 business days after the agreed settlement date: 937.5%; d. 46 or more business days after the agreed settlement date: 1,250%. 3 For exposures from unsettled foreign exchange, securities and goods transactions that are settled by other means, the treatment shall be as follows: a. The bank that has delivered shall treat the transaction as a credit until receipt of the corresponding receivable. If the exposures are not mater
Art. 77g CVA risk: minimum capital
1 Banks must provide minimum capital backing for CVA risk. FINMA shall regulate which derivatives and securities financing transactions are exempt from the capital requirement for CVA risk. It shall base its decision on chapter 50 of the Basel Minimum Standard on the calculation of RWA for market risk (MAR). 2 The minimum capital requirement for CVA risk shall be calculated using one of the following approaches: a. the basic approach for CVA risk; b. the simplified approach for CVA risk; c. the advanced approach for CVA risk. 3 Use of the advanced approach for CVA risk requires approval by FINMA.
Para. 1 — The MAR is listed in Annex 1 No 5.
Art. 77h CVA risk: basic approach
1 Banks applying the basic approach for CVA risk to calculate the minimum capital requirement for CVA risk may choose one of the following approaches: a. the reduced basic approach; b. the full basic approach. 2 FINMA shall issue technical implementing provisions. It shall base these on chapter 50 of the MAR.
Para. 2 — The MAR is listed in Annex 1 No 5.
Art. 77i CVA risk: simplified approach
1 Banks whose aggregate gross nominal amount of all derivatives not traded via a central counterparty amounts to a maximum of CHF 125 billion may back their CVA risk with 100% of the minimum capital required to cover the counterparty risk of the derivatives and securities financing transactions. CVA hedges must not be included under the simplified approach for CVA risk. 2 The simplified approach shall be applied to the entire portfolio. It must not be combined with the advanced approach or the basic approach, except on a consolidated basis in accordance with Article 77j paragraph 2 second sentence. 3 FINMA may require a bank to apply the advanced approach if the CVA risk resulting from the bank's derivatives exposures and securities lending/borrowing transactions materially contributes to the bank's overall risk.
Art. 77j CVA risk: advanced approach
1 The minimum capital requirement for CVA risk under the advanced approach for CVA risk corresponds to the capital requirement calculated from the individual risks. 2 The advanced approach may be combined with the basic approach. When calculating minimum capital for CVA risk on a consolidated basis, combination with the simplified approach is also possible, provided that such approach is applied by financial entities which belong to the group and are to be consolidated, and whose CVA risk is insignificant on a consolidated basis. 3 FINMA shall issue technical implementing provisions. It shall base these on chapter 50 of the MAR.
Para. 3 — The MAR is listed in Annex 1 No 5.
Chapter 3 ...
Art. 78 and 79
Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Chapter 4 Market Risk
Section 1 General
Art. 80
Repealed by No I of the O of 29 Nov. 2023, with effect from 1 Jan. 2025 (AS 2024 13).
Art. 81 Definition
Market risk is the risk of sustaining losses on on- and off-balance sheet exposures as a result of market price fluctuations, especially in the case of: a. interest rates, including credit spread (interest rate risk); b. shares (share price risk); c. currencies (currency risk); d. gold (gold price risk); e. commodities, including precious metals except gold, and electricity (commodity risk).
Art. 81 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 81a Minimum capital calculation for market risk
1 For trading book positions, the minimum capital requirement for all market risks shall be calculated. 2 For banking book positions, the minimum capital requirement for currency, gold price and commodity risks shall be calculated.
Art. 81a — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 81b Exclusions for currency risk
1 Exposures that are to be deducted from eligible capital in accordance with Articles 32 to 40 may be excluded from the calculation of the minimum capital requirement for currency risk. 2 In addition, under the following conditions, exposures may be excluded from the minimum capital calculation for currency risk if they are acquired or held in order to fully or partly hedge the ratio of eligible capital, Tier 1 capital or CET1 capital to total risk-weighted assets (capital ratios) against exchange rate movements: a. The exposures do not stem from trading activities (structural foreign currency exposures). b. The scope of the excluded exposures must not exceed the value that results in the capital ratios' foreign exchange sensitivity being neutralised. c. The exposures are excluded from the calculation for at least six months. d. The bank shall regulate the accumulation and management of these structural foreign currency exposures in internal regulations. e. The exclusion and hedging of
Art. 81b — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 3 — The MAR is listed in Annex 1 No 5.
Art. 81c Capital instruments of financial sector entities
1 Exposures that are to be deducted from eligible capital in accordance with Articles 32 to 40 or weighted with 1,250% for the minimal capital calculation, must not also be included in the capital calculation for market risk. 2 Subject to FINMA consent, trading book positions in capital instruments of financial institutions may be included by the bank in the calculation of market risk capital without deduction in accordance with the thresholds under Article 35 paragraphs 2 and 3, provided that the bank: a. is an active market-maker in these instruments; and b. has appropriate systems and controls in place for trading such exposures.
Art. 81c — Inserted by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 82 Calculation approaches
1 The minimum capital requirement for market risk may be calculated according to: a. the simplified standardised approach for market risk; b. the standardised approach for market risk; or c. the model-based approach for market risk. 2 The model-based approach and the standardised approach for market risk may be combined. When calculating minimum capital for market risk on a consolidated basis, combination with the simplified approach is also possible, provided that such approach is applied by financial entities which belong to the group and are to be consolidated, and whose market risk is insignificant on a consolidated basis. 3 The minimum capital requirement for the following exposures must not be calculated using the model-based approach for market risk: a. securitisations; b. units in managed collective assets that are allocated to the trading book in accordance with Article 5 paragraph 3 letter c, and for which it is not possible to accurately identify the underlying investments.
Art. 82 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Section 2 Simplified Standardised Approach for Mar
Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 83 Application
1 A bank may calculate the minimum capital requirement for market risk according to the simplified standardised approach for market risk if it meets the following criteria: a. It is not an internationally active systemically important bank under Article 124a paragraph 1. b. It does not engage in correlation trading. c. It does not apply the standardised approach for market risk (Art. 87) or the model-based approach for market risk (Art. 88). d. It does not engage in complex trading activities. 2 In justified individual cases, FINMA may order the use of the standardised approach for market risk, even if the bank meets the criteria under paragraph 1. 3 Banks under paragraph 1 which do not hold credit derivatives in the trading book and whose trading book does not exceed certain thresholds may calculate the minimum capital requirement for interest rate and share price risks inherent in instruments held in the trading book according to Articles 59a, 59b, 60 and 66 to 73 (de minimis approac
Art. 83a Minimum capital
1 Under the simplified standardised approach for market risk, minimum capital shall be calculated as follows: a. The pre-scaling minimum capital requirement for interest rate, share price, currency, gold price and commodity risks is calculated according to Articles 84 to 86a. b. The value under letter a for each risk category is multiplied by the scaling factor for the corresponding risk category. c. The scaled values under letter b for all risk categories are added together. 2 When performing the calculation under paragraph 1 letter a, the corresponding option risk for each risk category shall be included. 3 The scaling factor shall be: a. for interest rate risk: 1.3; b. for share price risk: 3.5; c. for currency risk and gold price risk: 1.2; d. for commodity risk: 1.9. 4 FINMA shall issue technical implementing provisions on the calculation of minimum capital according to the simplified standardised approach for market risk. It shall base these on the MAR.
Para. 4 — The MAR is listed in Annex 1 No 5.
Art. 84 Interest rate risk in the trading book
1 The pre-scaling minimum capital requirement for the specific interest rate risk of exposures allocated to the trading book shall be derived by multiplying the absolute amount of the net exposures under Articles 51 and 52 for each issue by the rates in Annex 5. 2 The pre-scaling minimum capital requirement for general interest rate risk of these exposures shall comprise the sum of the values calculated for each currency using either the maturity method or the duration method. All values must be calculated using the same method.
Art. 85 Share price risk in the trading book
1 The pre-scaling minimum capital requirement for the specific share price risk of exposures allocated to the trading book shall amount to 8% of the sum of the absolute amount of the net exposures under Articles 51 and 52 for each issue. 2 The pre-scaling minimum capital requirement for the general share price risk of these exposures shall amount to 8% of the sum of the absolute amount of the net exposures per national market. 3 FINMA shall set criteria for share indices for which other percentages may apply, and shall define the percentages. It shall base these on the MAR.
Para. 3 — The MAR is listed in Annex 1 No 5.
Art. 86 Currency and gold price risks in the banking and trading books
1 The pre-scaling minimum capital requirement for the currency risk of exposures allocated to the banking or trading book shall amount to 8% of the sum of net long exposures under Articles 51 and 52, calculated for each foreign currency and converted to Swiss francs, or the sum of the net short exposures calculated in the same way, whichever is the higher. 2 The pre-scaling minimum capital requirement for the gold price risk of these exposures shall amount to 8% of the absolute value of the net exposures, converted to Swiss francs.
Art. 86a Commodity risk in the banking and trading books
The pre-scaling minimum capital requirement for the commodity risk of exposures allocated to the banking or trading book shall comprise the sum of the values calculated for each commodity using either the maturity band method or the simplified method. All values must be calculated using the same method.
Section 3 Standardised Approach for Market Risk
Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 87
1 Banks that do not use the simplified standardised approach for market risk and do not have permission to use the model-based approach for market risk must calculate minimum capital according to the standardised approach for market risk. 2 FINMA shall issue technical implementing provisions on the calculation of minimum capital according to the standardised approach for market risk. It shall base these on the MAR. For the calculation of minimum capital for units in managed collective assets in the trading book, it shall define alternative methods which do not derogate significantly from the methods set out in the MAR and which reduce the implementation effort.
Para. 2 — The MAR is listed in Annex 1 No 5.
Section 4 Model-Based Approach for Market Risk
Art. 88
1 Use of the model-based approach for market risk requires approval by FINMA. 2 FINMA shall regulate the approval criteria and define the details for the calculation of minimum capital according to the market-based approach for market risk. It shall base these on the MAR. It shall, however, provide for the following derogations from the MAR: a. additional requirements in terms of infrastructure and risk management, where this is necessary for the appropriate use of the model-based approach for market risk; b. simplifications for the modelling of units in managed collective assets in the trading book, provided that this does not result in inappropriate calculations. 3 FINMA shall set the multiplier provided for under the model-based approach for market risk in each individual case. The multiplier shall be at least 1.5. When setting the multiplier, FINMA shall take account of the approval criteria and the forecast accuracy of the institution-specific risk aggregation model.
Art. 88 — Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13). Para. 2 — The MAR is listed in Annex 1 No 5.
Chapter 5 Operational Risk
Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
Art. 89 Definition
Operational risk is the risk of losses resulting from the inappropriateness or failure of internal procedures, people or systems, or from external events. This includes legal risk, but not strategic risk or reputational risk.
Art. 90 Calculation approach
1 The minimum capital requirement for operational risk shall be calculated according to the standardised approach for operational risk. 2 The standardised approach shall be based on the following key indicators: a. business indicator (BI); b. business indicator component (BIC); c. internal loss multiplier (ILM); d. loss component (LC). 3 FINMA shall issue technical implementing provisions. It shall base these on the Basel Minimum Standard on the calculation of RWA for operational risk (OPE).
Para. 3 — The OPE is listed in Annex 1 No 6.
Art. 91 Calculation of minimum capital
Under the standardised approach, the minimum capital requirement for operation risk is calculated by multiplying the business indicator component with the internal loss multiplier.
Art. 92 Business indicator: components
1 The business indicator comprises the sum of: a. the interest, leases and dividend component (ILDC); b. the services component (SC); and c. the financial component (FC). 2 The interest, leases and dividend component is calculated according to the formula in Annex 5a and is made up of: a. interest income; b. interest expenses; c. interest-bearing assets; and d. dividend revenue. 3 The services component is calculated according to the formula in Annex 5a and is made up of: a. revenue from commission business and services; b. expenses from commission business and services; c. other business revenue; and d. other business expenses. 4 The financial component is calculated according to the formula in Annex 5a and is made up of: a. the net profit/loss on the trading book; and b. the net profit/loss on the portions of the banking book that are relevant for calculating the minimum capital requirement for operational risk.
Art. 92a Business indicator: discontinued operations and activities related to mergers and acquisitions
1 Banks may exclude discontinued business operations from the business indicator calculation. They must inform FINMA of the exclusion. 2 Newly acquired business activities or those resulting from mergers must be included in the business indicator calculation.
Art 92b Business indicator: calculation principles
1 When calculating the consolidated business indicator, the revenue and expenses accruing within the financial group subject to consolidation must be netted against each other. 2 The business indicator must be calculated annually on the basis of the year-end data. In the cases under Article 92a, a recalculation during the year is necessary.
Art. 92c Business indicator component
The business indicator component comprises the sum of: a. 12% multiplied by the amount of the business indicator, up to a maximum of CHF 1.25 billion; b. 15% multiplied by the amount of the business indicator exceeding CHF 1.25 billion, up to a maximum of CHF 37.5 billion; c. 18% multiplied by the amount of the business indicator exceeding CHF 37.5 billion.
Art. 92d Internal loss multiplier
1 Banks with a business indicator exceeding CHF 1.25 billion must calculate the internal loss multiplier on the basis of internal loss data. The internal loss multiplier shall be calculated from the business indicator component and the loss component, using the formula in Annex 5a. 2 The internal loss multiplier must be calculated annually on the basis of the year-end data. In the cases under Article 93a paragraphs 2 to 4, a recalculation during the year is necessary. 3 Financial groups subject to consolidation with a consolidated business indicator exceeding CHF 1.25 billion must include the internal loss data of all entities belonging to the financial group when calculating the minimum capital. For entities belonging to the financial group which do not meet the requirements for loss data, paragraph 5 shall apply by analogy. 4 For banks with a business indicator not exceeding CHF 1.25 billion, the internal loss multiplier shall be equal to one. With the authorisation of FINMA, the ban
Art. 93 Loss component: requirements for internal loss data
1 To calculate the loss component, loss data is to be compiled which meets the following criteria: a. It encompasses operational losses, including the operational losses associated with market risk and the operational losses associated with credit risk that are not covered by the calculation of risk-weighted exposures for credit risk. b. It covers a period of ten years; exceptionally, if the bank uses new loss data to calculate minimum capital, a period of five years shall be sufficient, unless high-quality loss data is available for more than five years. c. It covers all significant activities and exposures of the entire bank. d. The net losses of the loss events underlying the loss data exceed CHF 25,000 in each case. e. In addition to the gross loss amounts, it includes further relevant information on the loss events with a degree of detail which is appropriate to the amount of the gross loss. 2 The bank must use the date on which the respective individual loss is recognised. 3 Loss
Art. 93a Loss component: calculation
1 The loss component shall amount to fifteen times the bank's average annual loss as a result of operational risks for the last ten years. 2 Losses from newly acquired business activities or business arising from mergers must be included in the loss component calculation. 3 The bank may exclude a loss event amounting to more than 10% of the bank's average annual loss of relevance for the loss calculation, if this is no longer relevant for the bank's risk profile. Exclusion is possible after three years at the earliest. An event may also be excluded after less than three years if the corresponding business operation is discontinued. 4 Clear justification must be provided for an exclusion. The bank must inform FINMA of the exclusion.
Art. 94 Loss component: gross and net loss
1 The gross loss of a loss event shall correspond to the loss without any kind of loss mitigation. The net loss shall correspond to the loss after inclusion of all kinds of loss mitigation. Tax effects shall not constitute loss mitigation. 2 The bank must be in a position to identify gross loss amounts, as well as insurance compensation and other loss mitigation. Loss mitigation may only be deducted from the gross loss once payment has taken place. 3 The bank shall use net loss amounts for the loss data set. 4 The calculation of the gross loss shall include the following: a. direct losses including revaluations and corrections, and settlements owing to the materialisation of an operational risk; b. costs caused by the event, including repair and replacement costs and external expenditure; c. provisions and reserves for potential operational losses; d. losses that are booked in a transitory or interim account; and e. significant negative effects on the financial accounting from events a
