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Art. 57 – Standardised approach

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Art. 57109

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 CRE110. In line with European Union (EU) law, it shall regulate the calculation for interest rate derivatives in the event of negative interest rates.

  1. 109 Amended by No I of the O of 29 Nov. 2023, in force since 1 Jan. 2025 (AS 2024 13).
  2. 110 The CRE is listed in Annex 1 No 4.
Legal act context
SR 952.03 · CAO · Ordinance · Ordinance of 1 June 2012 on the Capital Adequacy and Risk Diversification of Banks and Securities Firms (Capital Adequacy Ordinance, CAO)
Structure path
Title 3 Required Capital Chapter 2 Credit Risk Section 2 Calculation of Exposures
Language
English (en)
Data status
2025-01-24

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