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

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

Art. 23 Definitions

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.