Risk of losses arising from changing credit valuation adjustments for derivatives and securities financing transactions (CVA risk)
CVAA: General qualitative information
For information on CVA risk management, please refer to Section 3 ‘Risk management’ of the consolidated notes to the 2025 Annual Report.
CVA1: reduced basic approach for CVA (BA-CVA)
a | b | |||||
Amounts in 1 000 Swiss francs | Components | BA-CVA RWA | ||||
1 | Aggregation of systematic components of CVA risk | 25,725.8 | – | |||
2 | Aggregation of idiosyncratic components of CVA risk | 6,462.1 | – | |||
3 | Total | – | 113,974.4 |
The CVA risk table has been introduced as part of the final Basel III standards and the new Ordinance on the Disclosure Obligations and is published for the first time on 31 December 2025. No hedging is applied.