(Art. 109 FinMIA)
1 Market 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.
2 A 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.
3 If 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.