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:
It is not an internationally active systemically important bank under Article 124a paragraph 1.
It does not engage in correlation trading.
It does not apply the standardised approach for market risk (Art. 87) or the model-based approach for market risk (Art. 88).
It does not engage in complex trading activities.
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.
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 approach). In so doing, they must apply the provisions of the same approach as that used to calculate the capital requirement for credit risk, using a multiplier of 2.5 for risk-weighted exposures.
FINMA shall set the thresholds.
When calculating the minimum capital requirement for market risk on a consolidated basis, a combination of the de minimis approach and the approaches under Article 82 paragraph 1 is also possible, provided that the de minimis 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.