Ordinance of the Swiss Financial Market Supervisory Authority on Collective Investment Schemes

¹The terms be­low are defined as fol­lows:

a.

«ba­sic type of de­riv­at­ive»:

1.

a call or put op­tion, the ex­pir­a­tion value of which is lin­early de­pend­ent on the pos­it­ive or neg­at­ive dif­fer­ence between the mar­ket value of the un­der­ly­ing and the strike price and is zero if the dif­fer­ence is pre­ceded by the op­pos­ite al­geb­ra­ic sign,

2.

a cred­it de­fault swap (CDS),

3.

a swap, the pay­ments of which are de­pend­ent on the value of the un­der­ly­ing or on an ab­so­lute amount in both a lin­ear and a path-in­de­pend­ent man­ner,

4.

a fu­ture or for­ward trans­ac­tion the value of which is lin­early de­pend­ent on the value of the un­der­ly­ing;

b.

«ex­pos­ure-in­creas­ing»: de­riv­at­ive ex­pos­ure, the fin­an­cial ef­fect of which is sim­il­ar to the pur­chase of an un­der­ly­ing (e.g. the pur­chase of a call op­tion, pur­chase of a fu­ture, sale of a put op­tion, ex­chan­ging of vari­able for fixed in­terest pay­ments or the con­clu­sion of a cred­it de­fault swap as pro­tec­tion seller);

c.

«ex­pos­ure-re­du­cing»: a de­riv­at­ive ex­pos­ure the fin­an­cial ef­fect of which is sim­il­ar to the sale of an un­der­ly­ing (in par­tic­u­lar, the sale of a call op­tion, sale of a fu­ture, pur­chase of a put op­tion, ex­chan­ging of fixed for vari­able in­terest pay­ments or the con­clu­sion of a cred­it de­fault swap as se­cured party);

d.

«exot­ic de­riv­at­ive» means a de­riv­at­ive with a mode of op­er­a­tion that can­not be de­scribed as a ba­sic form of de­riv­at­ive or a com­bin­a­tion of ba­sic forms of de­riv­at­ives (for in­stance, a path-de­pend­ent op­tion, an op­tion with sev­er­al factors or an op­tion with con­tract modi­fic­a­tions);

e.

«con­tract size»: num­ber of un­der­ly­ing se­cur­it­ies or nom­in­al value of a de­riv­at­ive con­tract;

f.

«con­tract value»:

1.

in the case of a swap, the product of the nom­in­al value of the un­der­ly­ing and the con­tract size,

2.

in the case of all oth­er de­riv­at­ives, the product of the un­der­ly­ing's mar­ket value and the con­tract size;

g.

«OTC (over the counter)»: the con­clu­sion of trans­ac­tions off an ex­change or any oth­er reg­u­lated mar­ket which is open to the pub­lic;

h.

«syn­thet­ic li­quid­ity»: un­der­ly­ings whose mar­ket risk and po­ten­tial cred­it risk are hedged with de­riv­at­ives that have a sym­met­ric pay­ment pro­file;

i.

«over­all ex­pos­ure»: ex­pos­ure to the fund’s net as­sets, the net over­all ex­pos­ure to de­riv­at­ives and in­vest­ment tech­niques un­der Art­icle 55 CISA, in­clud­ing short-selling;

j.

«gross over­all ex­pos­ure to de­riv­at­ives»: total amount of cap­it­al re­quire­ments eli­gible from de­riv­at­ives, in­clud­ing de­riv­at­ive com­pon­ents;

k.

«net over­all ex­pos­ure to de­riv­at­ives»: total amount of cap­it­al re­quire­ments eli­gible from de­riv­at­ives, in­clud­ing de­riv­at­ive com­pon­ents, tak­ing ac­count of per­miss­ible net­ting, hedging trans­ac­tions and oth­er rules set out in Art­icles 35 and 36;

l.

«lever­age»: ef­fect of de­riv­at­ives, de­riv­at­ive com­pon­ents in­vest­ment tech­niques, in­clud­ing short-selling on the fund’s net as­sets, by build­ing up over-pro­por­tion­ally high po­s­i­tions in an un­der­ly­ing when com­pared to the cap­it­al in­ves­ted.