¹ The following shall be eligible as CET1 capital:

a.

paid-up share capital;

b.

disclosed reserves;

c.

reserves for general banking risks after deduction of deferred taxes, where a corresponding provision has not been created;

d.

retained earnings;

e.¹⁵

the profit for the current business year after deducting the estimated earnings distribution, subject to the existence of a full income statement in accordance with FINMA's implementing provisions based on Article 42 of the BankO¹⁶ that has been audited according to FINMA's guidelines or of a full income statement in accordance with an international standard recognised by FINMA that has been audited according to FINMA's guidelines.

² Minority interests in fully consolidated regulated entities shall be eligible to the extent that they are eligible in these entities themselves. Capital surpluses attributable to minorities, calculated on the basis of requirements that include capital buffers and additional capital, are not eligible.

¹ Share capital shall be eligible as CET1 capital if:

a.

it meets the requirements set out in Article 20;

b.

it was directly issued in accordance with the resolution or authorisation of the owners;

c.

it does not constitute a liability for the company;

d.

it is shown clearly and separately in the balance sheet in accordance with the applicable accounting standards;

e.

it is perpetual and not subject to any provision to the contrary in the bank's articles of association or contractual obligations;

f.

distributions to the owners are carried out from distributable reserves without any obligations or privileges; and

g.

owners do not have any privileges or preferential claims to proceeds in the event of liquidation.

² Preferred stock and participation capital shall be eligible as CET1 if:

a.

they meet the criteria under paragraph 1;

b.

they can be used as collateral in the same way as share capital in the form of CET1 capital; and

c.

the issuer (as a company limited by shares) has not listed its ordinary shares on a regulated stock exchange.¹⁷

³ FINMA shall take account of the bank's legal form and the characteristics of its share capital when assessing whether the criteria under paragraph 1 and paragraph 2 letter b are met.

¹ Depending on a bank's legal form, the share capital shall consist of equity, nominal, cooperative or endowment capital and the limited-partner contribution in the case of banks in the form of partnerships (private bankers).

² FINMA may issue technical implementing provisions on the regulatory recognition of banks' share capital.

If cantonal legislation or the articles of association of banks under public law provide for a maturity date for their endowment capital, this capital may be recognised as CET1 capital if the maturity:

a.

serves the purpose of being able to redefine the conditions; and

b.

does not lead to the repayment of the endowment capital.

¹ Private bankers may recognise capital contributions as CET1 capital if:

a.

their amount is specified in the partnership agreement to be approved by FINMA;

b.

they bear interest or entitle the contributor to a share in profits only if sufficient profit is available at the end of the financial year; and

c.

they are liable for losses in the same way as a limited-partner contribution.

² Capital contributions may be reduced only in a process that involves all partners with unlimited liability.

³ CET1 capital may be decreased by a reduction in capital contributions only to the extent that the remaining capital meets the requirements under Article 41.

¹ If the articles of association provide for the redemption of cooperative capital share certificates, the cooperative capital may be recognised as CET1 capital if the articles of association specify that the redemption:

a.

may be rejected by the governing bodies at any time without giving reasons; and

b.

is carried out only to the extent that the bank's remaining capital meets the requirements under Article 41.

² A restriction on the claim to the liquidation proceeds must:

a.

affect all share certificate holders equally; and

b.

be provided for in the articles of association.

³ A share in the liquidation proceeds may be foregone only in favour of:

a.

a public or tax-exempt private institution; or

b.¹⁸

a central organisation within the meaning of Article 17 of the BankO¹⁹ if the bank to be liquidated belongs to this central organisation.

⁴ Articles of association may not guarantee distributions for holders of share certificates, even if they set a ceiling.

¹ A capital instrument shall be eligible as AT1 capital if:

a.

it meets the requirements under Articles 20 and 29;

b.

it is open-ended and, at the time of issuance, the bank does not raise expectations of repayment or the corresponding approval of the supervisory authority;

c.

the bank is entitled to repay the capital no earlier than five years after issuance;

d.

the bank indicates at the time of issuance that the supervisory authority will consent to repayment only if:

1.

the remaining capital continues to meet the requirements under Article 41, or

2.

sufficient capital that is at least equivalent is issued to replace it;

e.

it does not have any characteristics which would in any way complicate an increase in the bank's share capital;

f.

distributions by the bank to the capital providers are made solely on a discretionary basis and only if distributable reserves are available; and

g.

it is excluded that distributions to the capital providers may be increased during the term as a result of issuer-specific credit risk.

² Equity securities shall be eligible as AT1 capital if they meet the criteria under paragraph 1.

³ Liabilities that meet the criteria under paragraph 1 shall be eligible as AT1 capital if, in the event of a contractually defined event (trigger) occurring, but no later than when CET1 capital falls below 5.125 per cent, they cease to exist by virtue of:

a.

a write-down; or

b.

conversion to CET1 capital.

⁴ The terms and conditions of issue of a conditional write-off capital instrument may grant the capital provider a deferred conditional right to participate in an improvement in the bank's financial situation. This may not substantially impair the strengthening of the bank's capital base at the time of the write-down.

⁵ Before a capital instrument is issued, FINMA shall approve:

a.

the contractually defined trigger event under paragraph 3; and

b.

the extent to which a right to participate in an improvement under paragraph 4 is permissible.

⁶ Article 21 paragraph 2 concerning the eligibility of minority interests in fully consolidated regulated entities applies by analogy.

AT1 capital issued by a non-operating special purpose entity shall be recognised on a consolidated basis if it is directly and unrestrictedly transferred in the same or higher quality to the group parent company or an operating entity of the bank.

¹ The terms and conditions of issue or the articles of association must make provision for AT1 capital to contribute to the bank's restructuring by means of a complete write-off or conversion at the point of non-viability. In this case, creditors' claims must be written off in full.

² The conversion to CET1 capital or the write-down must take place at the latest:

a.

before recourse to public sector assistance; or

b.

when FINMA orders this to avoid insolvency.

³ In the case of equity securities that are recognised as AT1 capital and do not have a loss absorption mechanism in accordance with paragraph 1, the contract or the articles of association must make provision for the irrevocable waiver of any privileges with respect to the share capital that qualifies as CET1 capital at the point of non-viability.

¹ A capital instrument shall be eligible as Tier 2 capital if:

a.

it meets the requirements under Article 20 and Article 29 paragraphs 1 and 2;

b.

it has an original maturity of at least five years and the terms and conditions of issue do not contain any repayment incentives for the bank;

c.

the bank is entitled to repay the capital no earlier than five years after issuance;

d.

the bank indicates at the time of issuance that the supervisory authority will consent to early repayment only if:

1.

the remaining capital continues to meet the requirements under Article 41, or

2.

sufficient capital that is at least equivalent is issued to replace it; and

e.

it is excluded that distributions to the capital providers may be increased during the term as a result of issuer-specific credit risk.

² In the last five years prior to final maturity, the recognition of Tier 2 capital instruments shall decrease by 20 per cent of the nominal amount each year. They shall not be recognised at all in the last year.

³ Article 21 paragraph 2, Article 28 and Article 29 paragraphs 1 and 2 apply by analogy.

⁴ FINMA shall define in technical implementing provisions the criteria for the recognition of additional Tier 2 capital components, in particular:

a.

banks under public law;

b.

the capital contributions made by partners with unlimited liability to private bankers which do not meet the criteria under Article 25; and

c.

hidden reserves.

¹ The adjustments to eligible capital shall be calculated in the same manner for both individual entities and consolidated financial groups.

² The carrying value shall be the relevant amount for an adjustment. Anticipated taxation effects may be taken into account to reduce the adjustment only if:

a.

the tax liability expires automatically together with the corresponding item; or

b.

this is expressly provided for in this Ordinance or in FINMA's technical implementing provisions.

³ FINMA's technical implementing provisions may provide for adjustments for banks that prepare their financial statements in accordance with internationally recognised accounting standards.

¹ When calculating CET1 capital, all unrealised gains and losses on own liabilities that are attributable to fair value changes caused by changes in the bank's credit risk must be neutralised.

² In addition, all valuation adjustments concerning derivative liabilities that arise from the bank's own credit risk must be neutralised.

³ Valuation adjustments arising from the bank's own credit risk may not be netted against valuation adjustments arising from counterparties' credit risk.

The following must be deducted in full from CET1 capital:

a.

any loss carried forward and the loss for the current financial year;

b.

any uncovered valuation adjustment and provisioning requirements for the current financial year;

c.

goodwill, including any goodwill included in the valuation of significant interests in financial sector entities outside the scope of consolidation, and intangible assets other than mortgage servicing rights (MSR);

d.

deferred tax assets (DTAs) that depend on future profitability, whereby offsetting against corresponding deferred tax liabilities within the same geographical and material tax jurisdiction is permitted, with the exception of DTAs due to temporary differences;

e.

for banks using the IRB approach²¹ (Art. 77), the amount by which the expected losses calculated using this approach exceed the value adjustments according to the Basel minimum standards;

f.

any gain on sale related to securitisation transactions;

g.

defined benefit pension fund assets recognised on the balance sheet in accordance with the relevant requirements of the Basel minimum standards;

h.

the net long positions under Article 52 in own equity securities that are part of CET1 capital, held directly or indirectly by the bank, both on and off the trading book, provided that they have not already been recognised in the income statement;

i.

qualified financial interests in the capital of another financial sector entity, where such entity also has a stake in the capital of the bank (reciprocal cross-holdings);

j.²²

in the context of the individual entity calculation, if FINMA does not permit risk weighting in accordance with sections 1.6 or 1.7 of Annex 4: the net long positions of the directly held financial interests in financial sector entities subject to consolidated reporting, calculated in accordance with Article 52;

k.

deductions resulting from a deduction option chosen by the bank within the framework of the consolidation provisions under Article 7 paragraph 4, Article 8 paragraphs 2 and 3 and Article 9 paragraphs 1 and 3.

¹ If the bank holds equity instruments of a financial sector entity, the deductions shall be made using the corresponding deduction approach. The value of these instruments shall be deducted from the bank's capital component that corresponds to the component at the level of the third-party entity.

^1bis Bail-in bonds issued by internationally active systemically important banks in accordance with Article 126a paragraph 1 or corresponding regulations in foreign jurisdictions shall be treated as Tier 2 capital instruments for the requirements of this section.²³

² If the bank does not hold any capital for the deduction in the corresponding eligible capital component, or if such capital is insufficient, the deduction shall be made from the next higher capital component.

¹ The bank's own direct or indirect net long positions in AT1 capital and Tier 2 capital instruments, calculated in accordance with Article 52, must be deducted using the corresponding deduction approach.

² With the corresponding deduction approach in accordance with paragraph 1 for Tier 2 capital instruments, the restricted recognition under Article 30 paragraph 2 (amortisation) shall not apply to securities of the same issue, and nominal values may be netted against each other.

¹ In the case of threshold deductions, the amount that exceeds the threshold shall be deducted. To determine the threshold, a bank's positions are to be measured against a predefined percentage of its own CET1 capital in accordance with the requirements of the Basel minimum standards.

² Threshold 1 shall amount to 10 per cent of CET1 capital after all adjustments under Article 31 paragraph 3 and Article 32 letters a to i and k.

³ Threshold 2 shall amount to 10 per cent of CET1 capital after all adjustments under Article 31 paragraph 3 and Article 32, including any deductions from CET1 capital as a result of the threshold 1 calculation (in accordance with Art. 37 paras. 1 and 2).

⁴ Threshold 3 shall be determined such that, after the application of all regulatory adjustments, including any deductions at this threshold level in accordance with Article 40 paragraph 1, the amount of the three positions that remains recognised does not exceed 15 per cent of CET1 capital.²⁴

¹ Whether the deduction approach under Article 37 or that under Article 38 applies to a bank's equity holdings in a financial sector entity shall depend on the percentage of direct or indirect equity securities holdings in such an entity calculated in accordance with Article 52, as well as other forms of investment in such securities which synthetically embody the same risk (securities held).²⁵

² Equity instruments which the bank holds in the form of AT1 capital or Tier 2 capital in companies whose equity securities must be deducted in full from CET1 capital in accordance with Article 32 letters i to k shall be subject to the procedure under Article 38 paragraph 1.

¹ A bank that holds no more than 10 per cent equity securities in a financial sector entity in the form of CET1 capital shall deduct from its own capital components the total carrying value of all equity instruments held in all such financial sector entities that exceeds threshold 1. This shall apply even if the bank only holds equity instruments in a financial sector entity that do not constitute CET1 capital.²⁶

² When applying the corresponding deduction approach, the amount to be deducted under paragraph 1 shall be in proportion to the equity instruments held by the bank in the relevant financial sector entities before the deduction.

^2bis In addition to the threshold 1 limit under paragraph 1, a bank may hold bail-in bonds in accordance with Article 33 paragraph 1^bis up to 5 per cent of CET1 capital without deducting them from its own capital components. FINMA may issue corresponding implementing provisions.²⁷

³ The portion of the aggregate carrying values under paragraph 1 that is below the threshold shall be risk-weighted. The risk weight for each capital component shall be based on its allocation to the banking and trading book before the deduction.

¹ A bank that holds more than 10 per cent equity securities in a financial sector entity in the form of CET1 capital shall apply the corresponding deduction approach to all AT1 capital and Tier 2 capital instruments of such entities without a threshold. The corresponding deduction approach without thresholds shall also apply to bail-in bonds of internationally active systemically important banks under Article 33 paragraph 1^bis.²⁸

² It must deduct from its CET1 capital the amount by which the total carrying value of all directly or indirectly held shares in the CET1 capital of such entities outside the scope of consolidation exceeds threshold 2, both at the level of the individual entity and on a consolidated basis.

³ The amount calculated in accordance with paragraph 2 that is below the threshold shall be treated in accordance with Article 40.

¹ The bank must separately deduct from its CET1 capital the following amounts that exceed threshold 2:

a.

mortgage servicing rights; and

b.

deferred tax assets (DTAs) due to temporary differences.

² Amounts below the threshold shall be treated in accordance with Article 40.

¹ The carrying values resulting from the calculations under Article 38 paragraphs 2 and 3 and Article 39 that are below threshold 2 shall be aggregated and measured against threshold 3. The bank must deduct the amount that exceeds threshold 3 from its CET1 capital.

² The bank shall apply a risk weight of 250 per cent to each amount below threshold 3.

¹ In the context of the calculation of required capital, credit risk refers to the risk of loss resulting from:

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 securities, interest rate instruments or units of collective investment schemes.

² In the case of derivatives, repo and repo-like transactions, counterparty credit risk means the credit risk vis-à-vis the counterparty, and not the credit risk of the financial instruments underlying the transactions.⁴⁷

¹ Exposures shall be risk-weighted if they carry a credit risk and no deduction from capital is provided for under Articles 31 to 40.

² The following shall be deemed to be exposures:

a.

receivables, including claims arising from guarantee credits not recognised under assets;

b.

claims in connection with securitisations;

c.

other off-balance sheet transactions converted into their credit equivalent;

d.

net exposures in equity securities and interest rate instruments not in the trading book;

e.

net exposures in equity securities and interest rate instruments in the trading book, provided the de minimis approach (Art. 82 para. 1 lit. a) is applied;

f.

net exposures in own securities and qualified participations in the trading book.

³ Any exposure to a group of affiliated counterparties as described in Article 109 that is not broken down by counterparty shall be risk-weighted according to the highest of the risk weights assigned to the individual counterparties in the group.

¹ One of the following approaches shall be used to calculate the minimum capital requirement for credit risk in accordance with Article 42 paragraph 2 letter a:

a.

the BIS SA⁴⁸ (Arts. 63-75); or

b.

the IRB (Art. 77).

² The IRB and BIS SA may be combined.

³ Use of the IRB requires approval from FINMA, which shall define the approval criteria.

⁴ FINMA shall issue technical implementing provisions on credit risks and securitisations.

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 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 Amounts for individual value adjustments and provisions recognised as liabilities shall be deducted from net exposures.

³ Positive net exposures shall be referred to as net long positions, and the absolute amounts of negative net exposures shall be referred to as net short positions.

¹ The net exposures for equity instruments of companies active in the financial sector shall be calculated as follows, taking into account the additional requirements set out 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 positions in equity instruments may be netted only if:⁴⁹

a.

the long and short positions relate to the same equity instrument; and

b.

the maturity of the short position either matches the maturity of the long position or has a residual maturity of at least one year.

³ In the case of own equity instruments, the following net exposures must be determined for each component (CET1, AT1 and T2) and deducted from the corresponding component in accordance with Articles 32 to 34:

a.

net exposures in own equity instruments held directly or synthetically, whereby long and short positions may be netted only if they relate to the same equity instrument and the short position does not involve counterparty risk;

b.

net exposures in own equity instruments held indirectly via a financial instrument such as an index or an option on an index, whereby long and short positions may be netted only if they relate to the same underlying instrument; the short position's counterparty risk must have capital backing.

¹ Off-balance sheet transactions shall be converted into a credit equivalent using credit conversion factors. This shall constitute the risk-weighted exposure.

² Banks using the IRB approach shall calculate the credit equivalent for contingent funding obligations and irrevocable commitments in accordance with the BIS SA rules where the IRB does not contain a corresponding provision.

¹ In the case of contingent funding obligations and irrevocable commitments, the credit equivalent under the BIS SA shall be calculated by multiplying the nominal or present value of the transaction in question with its credit conversion factor as set out in Annex 1.

² 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.

¹ The banks must use minimum capital to cover not only the credit default risks of derivatives counterparties under Articles 50 and 56, but also the risk of market value losses due to valuation adjustments of derivatives based on the counterparty credit risk.

² FINMA shall regulate the calculation method for the corresponding minimum capital depending on the calculation methods chosen for credit equivalents (Art. 56) and market risk (Art. 82). It shall base it on the Basel minimum standards.

³ FINMA shall provide a conservative, simplified calculation method for banks that have chosen neither a model approach in accordance with Article 56 nor a model approach in accordance with Article 82.

¹ Credit equivalents for derivatives may be calculated using the following methods:

a.

the standardised approach;

b.

the expected positive exposure modelling method (EPE modelling method).⁵⁰

² Use of the EPE modelling method requires approval from FINMA, which shall define the approval criteria.

³ FINMA shall specify how the credit equivalent is to be calculated in the event of statutory or contractual netting in accordance with Article 61 involving more than two parties.

⁴ These calculation methods shall apply to all derivatives, irrespective of whether they are traded on an exchange or concluded over the counter.

¹ To calculate the credit equivalents of derivatives using the standardised approach, 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 in accordance with the Basel minimum standards.

¹ FINMA shall determine how the credit equivalent of derivatives is to be calculated using the EPE modelling method based on the Basel minimum standards.

² The credit equivalents are multiplied by the EPE factor. FINMA shall determine the EPE factor in each individual case. It shall be at least 1.2.

¹ If the interest rate instruments or equity securities are equity instruments of an entity active in the financial sector, the net exposure shall be determined in accordance with Article 52.

² In the case of interest rate instruments and equity securities 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 The carrying value of the physical holding shall be used for exposures not in the trading book.

⁴ Paragraphs 1 and 2 shall also apply to interest rate instruments and equity securities in the trading book, provided the de minimis approach (Art. 82 para. 1 lit. a) is applied.

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.

other 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 flesh out these risk mitigation measures.

¹ A bank may choose one the following approaches to take account of collateral under Article 61 paragraph 1 letter d:

a.

the simplified approach;

b.

the comprehensive approach.

² With the simplified approach, the collateralised exposure components shall be assigned to the collateral provider's exposure class.

³ With the comprehensive approach, the exposure shall be netted against the collateralised exposure component. The net exposure shall remain in the original exposure class.

⁴ FINMA shall flesh out these approaches.

⁵ When calculating the credit equivalents in accordance with Articles 56 to 59, all eligible collateral provided by the bank and received by the bank to secure derivatives must be taken into account.⁵³

¹ The banks shall assign the individual exposures to exposure classes.

² The individual exposures in the following exposure classes may be risk-weighted using external ratings:

a.

central governments and central banks;

b.

public sector entities;

c.

the Bank for International Settlements (BIS), the International Monetary Fund (IMF) and multilateral development banks;

d.

banks and securities firms;

e.

community bodies;

f.

stock exchanges and clearing houses;

g.

corporates.

³ External ratings may not be used for the following exposure classes:

a.

private individuals and small businesses (retail exposures);

b.

domestic Pfandbrief bonds;

c.

direct and indirect mortgage-backed positions;

d.

subordinated exposures;

e.

past-due exposures;

f.⁵⁴

equity securities;

f^bis.⁵⁵

units of managed collective investment schemes;

g.

other exposures.

¹ Banks using the BIS SA may risk-weight exposures with ratings from rating agencies, provided such agencies are recognised by FINMA for this purpose.

² FINMA shall assign the ratings of recognised rating agencies to individual rating categories and determine the risk weight for the individual categories.

³ The use of external ratings must be based on a concrete, institution-specific concept, which must be adhered to consistently.

⁴ If a bank risk-weights exposures based on external rating agencies' ratings, it must generally use external ratings to risk-weight all exposures other than those in the corporates exposure class. If it also uses external ratings to risk-weight exposures in the corporates exposure class, it must generally risk-weight all exposures in this class according to external ratings.

⁵ If a bank does not use external ratings to risk-weight exposures, or if no rating from a recognised rating agency is available to risk-weight an exposure, the weights of the «unrated» rating category must be used.

The ratings used in the companies to be consolidated may be used at group level.

¹ For BIS SA purposes, exposures within exposure classes under Article 63 paragraph 2 shall be risk-weighted in accordance with Annex 2.

² Exposures within the exposure classes under Article 63 paragraph 3 letters a to e and g shall be risk-weighted in accordance with Annex 3.

³ Exposures within the exposure class under Article 63 paragraph 3 letter f shall be risk-weighted in accordance with Annex 4.

^3bis Exposures within the exposure class under Article 63 paragraph 3 letter f^bis shall be risk-weighted in accordance with FINMA's technical implementation provisions. FINMA shall use the Basel minimum standards as a basis.⁵⁶

⁴ Net exposures in interest rate instruments under Article 60 shall be allocated to the issuer's exposure class and risk-weighted accordingly.

⁵ In the case of exposures in the form of equity instruments of entities active in the financial sector, the 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 corresponding deduction approach (Art. 33).

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 local currency exposures to the central government or central bank of that country, banks may apply a similar weight to such exposures, provided that such exposures are refinanced in the local currency of that country and that the banking supervision of that country is appropriate. This similar weight shall refer to the portion of such exposure that is refinanced in the local currency.

¹ Securities firms may be assigned to the banks and securities firms exposure class (Art. 63 para. 2 letter d) only if they are subject to supervision that is equivalent to that of banks.

² Netted exposures arising from off-balance sheet transactions shall be allocated to the time band of the shortest netted exposures.

³ With the exception of short-term self-liquidating trade letters of credit, exposures to banks without an external rating may not be assigned a risk weight that is lower than the risk weight for exposures to the banks' country of domicile.⁵⁷

¹ Clearing houses are institutions through which the contractual obligations of traded contracts are settled.

² The risk weights of 0 per cent or 2 per cent under Annex 2 shall apply for credit risks only if a regulated central counterparty interposes itself directly in the transaction between two market participants and an appropriate and comprehensive collateralisation system is established as the basis for the performance of the functions of that central counterparty.

³ This collateralisation system shall be considered appropriate and comprehensive particularly if:

a.

the contracts are marked to market daily and there are daily margin calls;

b.

the changes in value expected the next day are collateralised on an ongoing basis with a high level of confidence; and

c.

unexpected losses are hedged.

⁴ FINMA shall regulate the additional criteria for central counterparties in connection with derivatives, repo and repo-like transactions in accordance with the Basel minimum standards.

¹ For banks that act as a clearing member of a central counterparty for exchange-traded or over-the-counter derivatives and for repos or repo-like transactions, FINMA shall define the method for determining the minimum capital required for risks arising from explicit and implicit guarantee commitments to the central counterparty. FINMA shall use the Basel minimum standards as a basis.

² Central counterparties are clearing houses that act as a contracting party between the counterparties to contracts and guarantee the performance of the contracts throughout their term.

³ Clearing members are authorised to enter into a direct transaction with the central counterparty as a party, irrespective of whether they do so on their own behalf or as intermediaries between the central counterparty and other market participants.

If a bank uses ratings to risk-weight exposures to companies, unrated exposures shall be assigned the risk weight of 100 per cent or that of the relevant central government if that is higher than 100 per cent.

¹ Residential real estate shall be deemed to be real estate occupied or rented out by the borrower personally.

² Construction loans and loans for building land shall be allocated to the real estate categories set out in Annex 3 according to the future use of the financed property.

³ The risk weight of 35 per cent for foreign residential real estate shall apply only if appropriate risk management that is equivalent to that for Swiss residential real estate can be ensured for this foreign real estate.

⁴ Pledged pension assets and pledged pension benefit entitlements in accordance with Article 30b of the Federal Act of 25 June 1982⁵⁸ on Occupational Old Age, Survivors' and Invalidity Pension Provision (OPA) and Article 4 of the Ordinance of 13 November 1985⁵⁹ on Tax Relief on Contributions to Recognised Pension Schemes shall be included in the borrower's capital when calculating the relevant exposure for risk weighting in accordance with Annex 3, provided that:

a.

the pledge exists as additional security for a mortgage-backed claim;

b.

the real estate in question is used by the borrower personally; and

c.

the minimum requirements under paragraph 5 are met.

⁵ The risk weight for mortgage-backed exposures in accordance with Annex 3 shall be 100 per cent if the credit transaction does not meet the requirements of one of the self-regulation standards recognised as a minimum standard by FINMA in accordance with Article 7 paragraph 3 of the Financial Market Supervision Act of 22 June 2007⁶⁰. The minimum requirements shall provide for:

a.

an appropriate minimum share of capital to be supplied by the borrower for the financing; such share must not originate from a pledge or an advance withdrawal pursuant to Articles 30b or 30c of the OPA;

b.

appropriate repayment of the loan in terms of timeframe and amount.

Net exposures in equity securities shall be risk-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.

Within the corresponding exposure class, lombard loans can be weighted individually according to the simplified approach (Art. 62 para. 1 lit. a) or the comprehensive approach (Art. 62 para. 1 lit. b).

Within the corresponding exposure class for the individual transactions, loan, repo and repo-like transactions in securities can be treated according to the simplified approach, the comprehensive approach or the EPE modelling method.

¹ Positive replacement values of exposures arising from unsettled foreign exchange, securities and commodities transactions which carry a risk of loss owing to late or failed settlement («exposures arising from unsettled transactions») and are settled through a payment system or securities settlement system according to the payment-versus-settlement or payment-versus-payment principle shall be weighted as follows:

² For exposures arising from unsettled transactions that are settled in another manner, 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 materially significant, a risk weight of 100 per cent may be applied instead of a ratings-based risk weight.

b.

If the corresponding receivable has not been received five business days after the agreed settlement date, a 1250 per cent weight shall be assigned to the delivered asset and any positive replacement value.

³ Repos, reverse repos and securities lending and borrowing shall be treated exclusively as set out in Article 75.

¹ Banks using the internal ratings-based approach (IRB) to calculate risk-weighted exposures and required capital for credit risk may choose between:

a.

simplified, or foundation IRB (F-IRB⁶¹); or

b.

advanced IRB (A-IRB⁶²).

² FINMA shall flesh out the calculation details, based on the Basel minimum standards.

³ In the absence of a rule, the provisions of the BIS SA apply by analogy.

¹ A capital charge shall apply to the market risk of interest rate instruments and equity securities in the trading book, and of foreign exchange, gold and commodities exposures for the whole bank.

² FINMA shall issue technical implementing provisions on market risk.

The term «market risk» refers to the risk of losses arising from movements in the value of an exposure caused by changes in, and the volatility of, price-relevant factors such as share or commodity prices, exchange rates and interest rates.

¹ The minimum capital requirement for market risk may be calculated using the following approaches:

a.

the de minimis approach;

b.

the standardised approach; or

c.

the market risk model approach.

² When more than one of these approaches is used, the minimum capital requirement shall be derived from the sum of the minimum capital amounts calculated according to these approaches.

¹ Banks that do not exceed certain thresholds may use Articles 66 to 76 to calculate the minimum capital requirement for interest rate instruments and equity securities in the trading book. In so doing, they shall apply the provisions of the same approach as that used to calculate the credit risk capital requirement.

² FINMA shall set the thresholds.

¹ The minimum capital requirement for specific risk in interest rate instruments shall be derived by multiplying the net exposure for each issue by the rates in Annex 5.

² FINMA shall issue technical implementing provisions on calculating the minimum capital requirement for specific risk in interest rate instruments from securitisations broken down into risk buckets.

³ The minimum capital requirement for general market risk in interest rate instruments comprises the sum of the values calculated for each currency using either the maturity method or the duration method.

¹ The minimum capital requirement for specific risk in equity instruments shall amount to 8 per cent of the sum of the net exposures per issuer.

² The minimum capital requirement for general market risk in equity instruments shall amount to 8 per cent of the sum of the net exposures per national market.

The minimum capital requirement for market risk in foreign exchange exposures shall amount to 8 per cent of the sum of net long positions or the sum of net short positions, whichever is higher.

¹ The minimum capital requirement for market risk in gold exposures shall amount to 8 per cent of the net exposure.

² The minimum capital requirement for commodity risk shall be determined using either the maturity band method or the simplified method.

¹ Use of the model-based approach for market risk requires approval by FINMA, which shall define the approval criteria.

² FINMA shall flesh out the details for calculating minimum capital under the model-based approach for market risk, based on the Basel Committee's minimum standards.

³ It shall define the multipliers provided for under the model-based approach in each individual case. In so doing, it shall take account of the approval criteria and the forecast accuracy of the institution-specific risk aggregation model. The multipliers shall be at least 3.0 in each case.

The term «operational risk» refers to the risk of loss 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.

¹ Banks may choose between the following approaches when determining the minimum capital requirement for operational risk:

a.

the basic indicator approach;

b.

the standardised approach;

c.

institution-specific approaches (AMA).

² Use of an institution-specific approach requires approval by FINMA.

³ FINMA shall issue technical implementing provisions on the approaches.

¹ Banks that determine their minimum capital requirement for operational risk according to either the basic indicator approach or the standardised approach must calculate an income indicator for each of the previous three years. This comprises the sum of the following items in the income statement:

a.⁶³

gross income from interest business;

b.

income from commission business and services;

c.⁶⁴

income from trading and the fair value option;

d.

income from participating interests not subject to consolidated reporting; and

e.

income from real estate.

² All income from outsourcing agreements in which the bank itself acts as service provider must be included as components of the income indicator.

³ If the bank acts as the contracting authority of an outsourced service, the corresponding expenses may be deducted from the income indicator only if the outsourcing occurs within the same financial group and is included in consolidated reporting.

⁴ When determining the income indicator, banks may use internationally recognised accounting standards instead of the Swiss accounting standards, subject to FINMA approval.

¹ Minimum capital shall amount to 15 per cent of the average of the income indicators for the previous three years. Only years in which the income indicator was positive should be taken into account.

² FINMA may make the use of the basic indicator approach contingent on additional qualitative risk management requirements.

¹ Minimum capital shall be calculated as follows:

a.

For each business line and each of the previous three years, an income indicator shall be determined and multiplied by the rate under paragraph 2.

b.

The resulting numerical values shall be added for each year. Negative numerical values from individual business lines can be offset against positive values from other business lines.

c.

The minimum capital corresponds to the three-year average amount. For the purposes of obtaining the average, any negative totals are set to zero.

² Activities shall be assigned to the following business lines and multiplied by the following rates:

a.

corporate finance/advice 18%

b.

trading 18%

c.

retail client business 12%

d.

corporate client business 15%

e.

payment transactions/securities settlement 18%

f.

custody and fiduciary business 15%

g.

institutional asset management 12%

h.

securities commission business 12%

³ FINMA may make the use of the standardised approach contingent on additional qualitative risk management requirements.

¹ Banks may use an institution-specific approach to determine the minimum capital.

² FINMA shall issue the required approval if the bank has a model that allows it to quantify operational risks by using internal and external loss data, scenario analyses and the key factors in the business environment and the internal control system.

¹ A risk concentration exists when the total exposure to a counterparty or group of affiliated counterparties equals or exceeds 10 per cent of the bank's adjusted eligible Tier 1 capital under Articles 31 to 40.

² Banks must identify and monitor risk concentrations and other large credit risk exposures to an individual counterparty or group of affiliated counterparties, and comply with associated reporting obligations.

¹ For the purposes of identifying and monitoring risk concentrations, all on- and off-balance sheet items in the banking book and trading book that carry a credit risk exposure or counterparty credit risk exposure to an individual counterparty or group of affiliated counterparties must be recorded.

² The recorded exposures must be aggregated to form a total exposure.

³ The following do not need to be included in the calculation of the total exposure:

a.

exposures that can be deducted from Tier 1 capital in accordance with Articles 31 to 40: the amount of the deduction;

b.

intraday exposures to banks.

⁴ Exposures that are assigned a 1250 per cent risk weight in the minimum capital calculation must be included in the total exposure.

⁵ The total exposure to a group of affiliated counterparties is the sum of total exposures to the individual counterparties.

¹ Risk concentrations may not exceed 25 per cent of adjusted eligible Tier 1 capital under Articles 31 to 40.

² This limit does not apply to:

a.

exposures to central banks and central governments;

b.

exposures with an explicit guarantee from counterparties under letter a;

c.

exposures secured by financial collateral from counterparties under letter a;

d.

exposures to qualifying central counterparties resulting from clearing services.

³ The exposures shall be calculated in accordance with Article 119 paragraph 3.

In a departure from Article 97 paragraph 1, as regards banks in categories 4 and 5 under Annex 3 of the BankO⁶⁹, the upper limit on individual risk concentrations with banks and securities firms, where these are not designated as systemically important banks or financial groups in accordance with Article 8 paragraph 3 of the BankA or Article 136 paragraph 2 letter b, shall be: 100 per cent of the adjusted eligible Tier 1 capital under Articles 31 to 40.

¹ The upper limit on risk concentrations may not be breached, except in the cases specified in paragraphs 2 and 3.

² A limit breach is permitted if this is related to the settlement of client payment transactions and lasts for no more than five business days.

³ A limit breach is also permitted if this results solely from the affiliation of previously independent counterparties or the affiliation of a bank with other financial entities.

⁴ The amount by which the limit may be breached owing to an affiliation under paragraph 3 may not be actively increased further. The breach must be rectified within two years of the affiliation acquiring legal force.

¹ The bank shall report all outstanding risk concentrations and other large credit exposures to its body responsible for overall management, supervision and control:

a.

quarterly on an individual entity basis;

b.

semi-annually on a consolidated basis.

² The reports must be submitted to the statutory banking audit firm and the Swiss National Bank within six weeks of the end of the quarter or half-year, using the form prescribed by FINMA.

³ The following reference dates apply for the reports:

a.

total exposure: last day of the current quarter and half-year;

b.

Tier 1 capital: last day of the current or preceding quarter and half-year.

⁴ Specifically, the following must be reported:

a.

all risk concentrations;

b.

all exposures amounting to at least 10 per cent of eligible Tier 1 capital, without applying the risk mitigation under Article 119 paragraph 1;

c.

all total exposures for which there is no upper limit and which amount to at least 10 per cent of eligible Tier 1 capital.

⁵ In addition, each year the twenty largest total exposures must be reported, irrespective of whether or not they constitute risk concentrations, excluding total exposures to central banks and central governments.

⁶ For the exposures under paragraphs 4 and 5, values both before and after applying the risk mitigation under Article 119 paragraph 1 must be reported.

⁷ If a risk concentration involves a member of the management or holder of a qualified participation under Article 3 paragraph 2 letter c^bis of the BankA or a related person or company, the risk concentration must be reported under the collective heading «management business».

⁸ If a risk concentration involves a group company, the risk concentration must be reported under the collective heading «group business». The components of the «group business» item that are exempted from the upper limit in accordance with Article 111a paragraph 1 and Article 112 paragraph d must also be reported.

⁹ The audit firm shall assess the internal controls carried out by the bank to ensure correct risk identification and reporting, and shall examine the trend of risks.

If the bank observes that a risk concentration has breached the upper limit without the existence of an exception under Article 99, it must inform its audit firm and FINMA immediately and rectify the breach within a period to be approved by FINMA. Limit breaches caused by the use of the settlement date principle and arising out of transactions having a settlement date within the next two business days shall be exempt from the reporting duty.

The bank must report intra-group exposures under Article 111a on a quarterly basis and submit the report to the audit firm, the Swiss National Bank and the body responsible for overall management, supervision and control, together with the report on outstanding risk concentrations under Article 100. A distinction must be made between group companies in accordance with Article 111a paragraphs 1 and 3.

The issuer-specific exposures for firm commitments to underwrite securities must be calculated as follows:

a.

sub-participations and firm subscriptions may be deducted from firm commitments to underwrite debt and equity securities, provided this eliminates the bank's associated market risk;

b.

the resulting amount must be multiplied by one of the following credit conversion factors:

1.

0.05 as of the day on which the firm commitment to underwrite is irrevocably entered into,

2.

0.1 on the issue's payment date,

3.

0.25 on the second and third business day after the issue's payment date,

4.

0.5 on the fourth business day after the issue's payment date,

5.

0.75 on the fifth business day after the issue's payment date,

6.

1 as of the sixth business day after the issue's payment date.

Transactions that remain unsettled after five business days (Art. 76) must be included in the total exposure figure at their full exposure value.

¹ A group of affiliated counterparties comprises:

a.

counterparties between which there is a control relationship or economic dependence;

b.

counterparties that are held as financial interests by the same person, or are directly or indirectly controlled by them; or

c.

counterparties that form a consortium.

² Groups of affiliated counterparties must be treated as one entity.

³ If the total exposure to a single counterparty exceeds 5 per cent of eligible Tier 1 capital, it must be verified, within three months and at appropriate intervals thereafter, whether counterparties are economically dependent on each other.

⁴ Central counterparties do not constitute a group of affiliated counterparties if the exposures to them are related to clearing services.

⁵ Legally independent public enterprises together with their controlling public sector entity do not constitute a group of affiliated counterparties if:

a.

the public sector entity is not legally liable for the enterprise's obligations; or

b.

the enterprise in question is a bank.

¹ Exposures to a consortium shall be allocated to the individual consortium members according to their participating interest.

² In the case of joint and several liability, the bank must recognise the entire exposure to the consortium member to which it assigned the highest credit rating during the lending decision.

From the perspective of each bank in the financial group or financial conglomerate, group companies constitute a group of affiliated counterparties.

¹ If a bank is part of a financial group or financial conglomerate subject to appropriate consolidated supervision, intra-group exposures to group companies fully integrated into the consolidated capital and risk diversification may be exempted from the upper limit under Article 97 if the group companies:

a.

are individually subject to appropriate supervision; or

b.

act as counterparty only to group companies that are individually subject to appropriate supervision.

² FINMA is authorised to issue implementing provisions to appropriately restrict the exclusion of intra-group exposures under paragraph 1.

³ Intra-group exposures to other group companies shall be subject, on an aggregate basis, to the regular limit of 25 per cent of the adjusted eligible Tier 1 capital under Articles 31 to 40.

¹ FINMA shall regulate the extent to which the risk diversification requirements may be relaxed for banks in categories 4 and 5 under Annex 3 of the BankO⁷⁷.

² In special cases, it may also relax or tighten the risk diversification requirements. Specifically, it may:

a.

set lower reporting limits or upper limits for individual total exposure figures;

b.

impose upper limits on a bank's direct and indirect real estate holdings;

c.

subject to prior request, allow the upper limit to be breached temporarily;

d.

declare that the exemption from the upper limit under Article 111a paragraph 1 does not apply to some or all group companies, or extend the exemption to cover individual group companies that do not meet the criteria under Article 111a paragraph 1;

e.

exempt individual group companies that do not operate in the financial sector from inclusion in the aggregate exposure under Article 111a paragraphs 1 and 3;

f.

declare that financial interests excluded from consolidation under Article 9 paragraph 1 are exempt from inclusion in the aggregate exposure under Article 111a paragraphs 1 and 3;

g.

lower or raise the applicable weighting rates for a specific counterparty;

h.

set a different deadline to that in Article 99 paragraph 4;

i.

in special circumstances for which the bank must provide justification, allow the parties concerned to not be considered as a group of affiliated counterparties, even if they meet the criteria under Article 109 paragraph 1;

j.

allow counterparties to not be considered as a group of affiliated counterparties, provided the bank demonstrates that a counterparty can absorb the financial problems or the default of an economically closely interconnected counterparty and find other business partners or fund providers within a reasonable period.

¹ Counterparty exposures shall be assigned a risk weight of 100 per cent as a rule.

² The following exposures are to be weighted differently to paragraph 1:

a.

exposures to cantons rated 1 or 2: 20 per cent;

b.

exposures in domestic Pfandbrief bonds issued in accordance with the Mortgage Bond Act of 25 June 1930⁷⁹: 10 per cent;

c.

exposures in covered bonds under Article 118 paragraph 1 letter c: at least 20 per cent.

When calculating the total counterparty exposure, the associated exposures in the trading book and those in the banking book must be added together. Short positions in the trading book may not be offset against long positions in the banking book.

¹ The counterparty credit risk exposure for derivatives in the banking and trading books must be calculated in accordance with Article 57.

² For non-linear derivatives in the trading book, the exposure shall additionally include the credit risk exposure of the underlying assets, assuming complete loss of value.

³ The exposures for loan, repo and repo-like transactions with securities in the banking and trading books must be calculated using either the simplified or the comprehensive approach for calculating minimum capital; model-based approaches are not permitted. FINMA shall issue the implementing provisions.

For balance sheet items in the banking book that are not covered by Article 115, the carrying value in the accounts shall apply. Individual value adjustments and individual provisions for balance sheet items may be deducted. Alternatively, the bank may also use the gross value without deducting individual value adjustments and value changes.

¹ Off-balance sheet items in the banking book shall be converted to their credit equivalent using the credit conversion factors under Annex 1. Individual value adjustments and individual provisions for off-balance sheet items may be deducted. For exposures under Annex 1 No. 1.3, a credit conversion factor of 0.1 shall be applied instead of 0.0.

² For irrevocable loan commitments as part of a syndicated loan, the following credit conversion factors shall be applied:

a.

0.1 from the time at which the bank provides the commitment, up to the time of acceptance and confirmation by the counterparty;

b.

0.5 from the time at which the counterparty accepts the bank's commitment, up to the start of the syndication phase;

c.

0.5 for the non-syndicated portion during the syndication phase, and 1 for the planned equity contribution;

d.

1.0 for the entire non-syndicated portion after 90 days (residual risk).

¹ FINMA shall regulate the calculation of:

a.

exposures in the trading book;

b.

exposures to central counterparties;

c.

exposures in covered bonds;

d.

exposures in collective investment schemes, securitisations and other investment structures;

e.

other exposures.

² It shall base these provisions on the Basel Committee's minimum standards.

¹ The following may be included in the total exposure calculation:

a.

netting;

b.

guarantees;

c.

credit derivatives;

d.

collateral recognised under the BIS SA.

² Upon request, the banks must demonstrate to the audit firm or to FINMA that these risk mitigation instruments are legally enforceable in the jurisdictions concerned.

³ FINMA shall issue technical implementing provisions based on the Basel Committee's minimum standards.

FINMA shall set the starting date for compliance with the new provisions of the Basel minimum standards on exchange-traded derivatives (Art. 56 para. 4) and credit risk exposures to central counterparties (Arts. 69 and 70).

¹ Capital instruments comprising AT1 capital and Tier 2 capital which were issued after 12 September 2010 and which do not meet the relevant new eligibility criteria for regulatory capital shall no longer qualify as capital from 1 January 2013. Paragraph 3 is reserved.

² Capital instruments which were issued before 12 September 2010 may be recognised subject to phasing out over a ten-year horizon in accordance with Article 141 and shall no longer qualify as capital from 1 January 2022 at the latest.

³ Capital instruments comprising AT1 capital and Tier 2 capital which were issued between 12 September 2010 and 31 December 2011, and for which only the contractual provisions on impending insolvency (Art. 29) are missing, may be recognised subject to phasing out in accordance with Article 141.

¹ Participation capital and other Tier 1 capital components under existing legislation which now no longer qualify as CET1 capital or AT1 capital and were issued before 12 September 2010 may be recognised over a maximum ten-year horizon in accordance with the provisions of paragraphs 6 and 7. This does not include participation capital of banks which are not organised as corporations; the participation capital of such banks may continue to be recognised as CET1 capital under the same mechanism.

² Tier 2 capital under existing legislation which was issued before 12 September 2010 and does not qualify as Tier 2 capital under this Ordinance, may be recognised as Tier 2 capital subject to phasing out in accordance with paragraph 1.

³ With the entry into force of this Ordinance, between 1 January 2013 and 31 December 2022 at the latest, regulatory capital shall be divided into the following components:

a.

CET1 capital as measured by the new provisions;

b.

AT1 capital as measured by the new provisions;

c.

Tier 1 capital under existing legislation: in accordance with paragraph 1;

d.

Tier 2 capital as measured by the new provisions;

e.

Tier 2 capital under existing legislation: in accordance with paragraph 2.

⁴ Until 31 December 2021 at the latest, the components under paragraph 3 letters b and c shall constitute AT1 capital, and the components under letters d and e Tier 2 capital.

⁵ At the time of entry into force of this Ordinance, all capital components under paragraphs 1 and 2 shall be quantified and added together for each category.

⁶ The amounts determined in accordance with paragraph 5 on 1 January 2013 shall be reduced by 10 per cent annually, starting on 1 January 2013. They shall constitute the upper limit for the maximum eligible capital components under existing legislation in the year concerned. They may be recognised only to the extent that the bank has outstanding capital instruments of the corresponding quality.

⁷ If an existing capital instrument can no longer be recognised as AT1 capital as a result of the phased reduction under paragraph 6, it may instead be recognised as Tier 2 capital in the same amounts as have been derecognised from AT1 capital, provided it meets the new criteria for Tier 2 capital.

¹ Deductions that were not provided for under existing legislation shall be made from CET1 capital over a five-year horizon in increments of 20 per cent annually, as follows:

a.

20 per cent of the relevant amount from 1 January 2014;

b.

40 per cent of the relevant amount from 1 January 2015;

c.

60 per cent of the relevant amount from 1 January 2016;

d.

80 per cent of the relevant amount from 1 January 2017; and

e.

100 per cent of the relevant amount from 1 January 2018.

² The portion of exposures under paragraph 1 that is not subject to deductions shall be recognised in required capital in accordance with the risk weighting under existing legislation.

³ Full or partial deductions from existing Tier 1 capital under existing legislation shall be gradually changed over to deductions from CET1 capital using the increments in paragraph 1.

⁴ For the portion of exposures under paragraph 3 that is not subject to a deduction, the deductions under existing legislation shall be continued over a five-year horizon in decrements of 20 per cent annually, as follows:

a.

100 per cent of the relevant amount from 1 January 2013;

b.

80 per cent of the relevant amount from 1 January 2014;

c.

60 per cent of the relevant amount from 1 January 2015;

d.

40 per cent of the relevant amount from 1 January 2016;

e.

20 per cent of the relevant amount from 1 January 2017.

⁵ The additional deduction under paragraph 4 shall be eliminated completely from 1 January 2018.

⁶ Up to 31 December 2017, Threshold 3 (Art. 35 para.4) shall be 15 per cent of CET1 capital after taking account of all regulatory adjustments except the deduction from Threshold 3.¹¹⁶

⁷ New deductions from AT1 capital or from Tier 2 capital shall be made using the same phased procedure as in paragraphs 1 to 5.

¹ As regards required capital quality under Article 131, instruments shall be recognised as follows:

a.

high-trigger convertible capital qualifying as Tier 2 capital which is held at the time this Amendment enters into force: recognised as high-trigger convertible capital in the form of AT1 capital for the period of its maturity or up to the time of the first capital call, but at the latest until 31 December 2019;

b.

low-trigger convertible capital qualifying as AT1 capital which is held at the time this Amendment enters into force: recognised as high-trigger convertible capital in the form of AT1 capital up to the time of the first capital call;

c.

convertible capital that no longer qualifies under letter a: recognised as funds used to meet the requirements under Articles 132 and 133 up to one year before final maturity;

d.

convertible capital that no longer qualifies under letter b: recognised as funds used to meet the requirements under Articles 132 and 133 up to the time of any termination by the bank.

² As regards required capital quality under Article 131, convertible capital with a 5 per cent trigger and issued before the entry into force of the Amendment on 1 July 2016 shall be recognised as follows:

a.

where it qualifies as Tier 2 capital: recognised as high-trigger convertible capital in the form of AT1 capital for the period of its maturity or up to the time of the first capital call, but at the latest until 31 December 2019;

b.

where it qualifies as AT1 capital: recognised as high-trigger convertible capital in the form of AT1 capital up to the time of the first capital call;

c.

where it no longer qualifies under letters a and b: recognised as funds used to meet the requirements under Articles 132 and 133 up to one year before final maturity.

¹ With the entry into force of the Amendment on 1 July 2016, the requirement under Article 129 shall be 3 per cent for the leverage ratio and 10.75 per cent for the RWA ratio. A maximum of 0.70 per cent of AT1 capital in the form of high-trigger convertible capital may be recognised for the leverage ratio, and a maximum of 2.625 per cent for the RWA ratio.

² In 2017, the requirement under Article 129 shall be 3.5 per cent for the leverage ratio and 12.0 per cent for the RWA ratio. A maximum of 0.9 per cent of AT1 capital in the form of high-trigger convertible capital may be recognised for the leverage ratio, and a maximum of 3 per cent for the RWA ratio.

³ In 2018, the requirement under Article 129 shall be 4.0 per cent for the leverage ratio and 12.86 per cent for the RWA ratio. A maximum of 1.1 per cent of AT1 capital in the form of high-trigger convertible capital may be recognised for the leverage ratio, and a maximum of 3.4 per cent for the RWA ratio.

⁴ In 2019, the base requirement under Article 129 must be met for the leverage ratio, and the base requirement under Article 129 plus half the surcharges for market share and total exposure must be met for the RWA ratio. A maximum of 1.3 per cent of AT1 capital in the form of high-trigger convertible capital may be recognised for the leverage ratio, and a maximum of 3.9 per cent for the RWA ratio.

¹ With the entry into force of the Amendment on 1 July 2016, the requirement under Article 132 shall be 1.0 per cent for the leverage ratio and 3.5 per cent for the RWA ratio.

² In 2017, the requirement under Article 132 shall be 1.875 per cent for the leverage ratio and 5.84 per cent for the RWA ratio, plus a quarter of the surcharges for market share and total exposure.

³ In 2018, the requirement under Article 132 shall be 2.75 per cent for the leverage ratio and 8.18 per cent for the RWA ratio, plus half the surcharges for market share and total exposure.

⁴ In 2019, the requirement under Article 132 shall be 3.625 per cent for the leverage ratio and 10.52 per cent for the RWA ratio, plus three quarters of the surcharges for market share and total exposure.

⁵ The reduction in requirements in accordance with paragraphs 1 to 4 as a result of a rebate under Article 133 remains reserved.

¹ FINMA shall retroactively approve the bail-in bonds issued by internationally active banks as defined in Article 124a before the entry into force of the Amendment on 1 July 2016, subject to the criteria under Article 126a being met.

² Up to 31 December 2012, bail-in bonds issued by a special purpose entity may also be approved.

Measured in terms of weighted exposures, the maximum extended countercyclical buffer may amount to:

a.

with the entry into force of the Amendment on 1 July 2016: 0.625 per cent;

b.

in 2017: 1.25 per cent;

c.

in 2018: 1.875 per cent.

¹ For the purposes of determining the capital requirement, the credit equivalents of derivatives must be calculated in accordance with Articles 56 to 59 at the latest 36 months after the entry into force of the Amendment of 23 November 2016.

² The exposures in the exposure class under Article 63 paragraph 3 letter f^bis must be weighted in accordance with Article 66 paragraph 3^bis at the latest 36 months after the entry into force of the Amendment of 23 November 2016.

³ Up to 31 December 2019, the conversion of derivatives into their credit equivalent within the scope of Title 4 may also be carried out using the market valuation method or the standardised method in accordance with Articles 56 to 58 in the version of 1 July 2016¹²³. FINMA may extend this deadline.

Banks which expect or suspect that, from 1 January 2019, they will impermissibly breach the upper limit on risk concentrations (Arts. 97 to 99) shall report this to FINMA within three months after the entry into force of the Amendment of 22 November 2017.

Individual transitional rules on the treatment of participations that were set by FINMA before the entry into force of the Amendment of 21 November 2018 shall take precedence over the provisions of Article 32 paragraph j and Annex 4.

The requirement under Article 132 paragraph 2 letter b shall amount to:

a.

in 2019: 0.21 per cent for the leverage ratio and 0.64 per cent for the RWA ratio;

b.

in 2020: 0.42 per cent for the leverage ratio and 1.28 per cent for the RWA ratio;

c.

in 2021: 0.63 per cent for the leverage ratio and 1.92 per cent for the RWA ratio;

d.

in 2022: 0.84 per cent for the leverage ratio and 2.56 per cent for the RWA ratio;

e.

in 2023: 1.05 per cent for the leverage ratio and 3.2 per cent for the RWA ratio;

f.

in 2024: 1.26 per cent for the leverage ratio and 3.84 per cent for the RWA ratio;

g.

in 2025: 1.5 per cent for the leverage ratio and 4.5 per cent for the RWA ratio, plus half the surcharges for market share and total exposure.

¹ Up to 31 December 2021, banks in categories 4 and 5 under Annex 3 of the BankO¹²⁷ may also use the market valuation method in accordance with Article 57 in the version of 1 July 2016¹²⁸ to convert derivatives into their credit equivalents within the scope of Titles 3 and 4.

^1bis The deadline in accordance with paragraph shall be extended to 31 December 2024.¹²⁹

² This also applies to banks in category 3 under Annex 3 of the BankO which do not have significant derivatives exposures. FINMA shall issue technical implementing provisions.

The requirement under Article 132 paragraph 2 letter a number 3 third indent shall amount to:

a.

in 2020: 0 per cent;

b.

in 2021: 5 per cent;

c.

in 2022: 10 per cent;

d.

in 2023: 20 per cent.

In 2020 and 2021, the requirements under Article 133 paragraph 2 may not fall below 3 per cent for the leverage ratio and 8.6 per cent for the RWA ratio.