Ordinance on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading

(Art. 98 para. 3 FMIA)

De­riv­at­ives trans­ac­tions in­ten­ded to re­duce risks are dir­ectly as­so­ci­ated with the busi­ness activ­ity, li­quid­ity man­age­ment or as­set man­age­ment of the non-fin­an­cial coun­ter­party if they:

a.

serve to hedge the risks of a change in value of as­sets or li­ab­il­it­ies which the non-fin­an­cial coun­ter­party or its group can reas­on­ably be con­sidered to hold, in keep­ing with its busi­ness activ­ity;

b.

serve to hedge the risks to the value of as­sets and li­ab­il­it­ies that res­ult from in­dir­ect re­per­cus­sions of fluc­tu­ations in in­terest rates, in­fla­tion rates, cur­rency move­ments or cred­it risks;

c.

are re­cog­nised as hedging trans­ac­tions ac­cord­ing to an ac­count­ing stand­ard that is re­cog­nised un­der Art­icle 1 of the Or­din­ance of 21 Novem­ber 2012¹ on Re­cog­nised Ac­count­ing Stand­ards; or

d.

are con­cluded as fixed hedging trans­ac­tions in the con­text of the man­age­ment of busi­ness risks (port­fo­lio hedging or macro hedging) or are con­cluded ac­cord­ing to the ap­prox­im­a­tion meth­od (proxy hedging) in keep­ing with re­cog­nised in­ter­na­tion­al stand­ards.

a.

The de­riv­at­ives trans­ac­tion serves the sole pur­pose of hedging in­terest rate or cur­rency risks arising from the covered bond for the cov­er pool.

b.

The de­riv­at­ives trans­ac­tion is not ter­min­ated in the event of re­struc­tur­ing or bank­ruptcy pro­ceed­ings brought against the covered bond is­suer or the leg­al en­tity of the cov­er pool.

c.

The coun­ter­party of the covered bond is­suer or of the leg­al en­tity of the cov­er pool is at least pari passu with the covered bond cred­it­ors, ex­cept in cases where:

1.

the coun­ter­party is the de­fault­ing or af­fected party; or

2.

the coun­ter­party re­nounces pari passu status.

d.

The oth­er de­riv­at­ives trans­ac­tions entered in­to as part of the net­ting set are linked to the cov­er pool.

e.

The cov­er pool's col­lat­er­al ra­tio is at least 102%.²