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

English is not an official language of the Swiss Confederation. This translation is provided for information purposes only and has no legal force.

Art. 98 Portfolio compression

(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.