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

¹The fund man­age­ment com­pany or SICAV may only use an exot­ic de­riv­at­ive if:

a.

it can cal­cu­late the min­im­um and the max­im­um delta across the en­tire price spec­trum of the un­der­ly­ings; and

b.

it un­der­stands the de­riv­at­ive's mode of op­er­a­tion, as well as the factors that in­flu­ence its pri­cing.

²In the case of se­cur­it­ies funds, where the com­mit­ment ap­proach II is ap­plied, the exot­ic de­riv­at­ive must be weighted ac­cord­ing to its max­im­um pos­sible delta (ab­so­lute value) when con­ver­ted to its un­der­ly­ing equi­val­ent pur­su­ant to Art­icle 35 para­graph 2.

³The risk as­sess­ment mod­el used risk must be cap­able of re­flect­ing the exot­ic de­riv­at­ive in ac­cord­ance with its risk.

⁴If the max­im­um delta of the exot­ic de­riv­at­ive is pos­it­ive, it must be weighted by such max­im­um delta in or­der to com­ply with the stat­utory and reg­u­lat­ory max­im­um lim­its. If the min­im­um delta is neg­at­ive, it must be weighted by this min­im­um delta in or­der to com­ply with the reg­u­lat­ory min­im­um lim­its.