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.
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.
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.