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

(Art. 109 FMIA)

¹Mar­ket con­di­tions that do not per­mit the valu­ation of OTC de­riv­at­ives trans­ac­tions are deemed to hold sway if:

a.

the mar­ket in ques­tion is in­act­ive; or

b.

the range of plaus­ible fair value es­tim­ates is sig­ni­fic­ant and the prob­ab­il­it­ies of the vari­ous es­tim­ates can­not be reas­on­ably as­sessed.

²A mar­ket for an OTC de­riv­at­ives trans­ac­tion is viewed as in­act­ive if:

a.

the quoted prices are not auto­mat­ic­ally and reg­u­larly avail­able; and

b.

the prices avail­able do not rep­res­ent mar­ket trans­ac­tions that take place reg­u­larly and un­der stand­ard mar­ket con­di­tions.

³If a valu­ation is per­miss­ible on the basis of mod­el prices, the mod­el must:

a.

take in­to con­sid­er­a­tion all factors that the coun­ter­parties would take in­to ac­count when de­term­in­ing a price, in­clud­ing the greatest pos­sible use of mar­ket valu­ation in­form­a­tion;

b.

be in line with re­cog­nised eco­nom­ic pro­cesses for de­term­in­ing the prices of fin­an­cial in­stru­ments;

c.

be cal­ib­rated us­ing the prices of ob­serv­able latest mar­ket trans­ac­tions with the same fin­an­cial in­stru­ment, be re­viewed with re­spect to its valid­ity or be based on avail­able and ob­serv­able mar­ket data;

d.

be mon­itored and val­id­ated in­de­pend­ently as part of in­tern­al risk man­age­ment pro­cesses;

e.

be prop­erly doc­u­mented and ap­proved by the man­age­ment body, the ex­ec­ut­ive man­age­ment or a risk com­mit­tee del­eg­ated by the lat­ter, and be re­viewed at least once a year.