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

¹To es­tab­lish the over­all ex­pos­ure of a se­cur­it­ies fund us­ing com­mit­ment ap­proach II, the fund man­age­ment com­pany shall de­term­ine the in­di­vidu­al con­ver­sion amounts of the re­spect­ive de­riv­at­ives and de­riv­at­ive com­pon­ents as well as the con­ver­sion amounts arising from in­vest­ment tech­niques.

²In the case of ba­sic types of de­riv­at­ives, the con­ver­sion amount for the over­all ex­pos­ure arising from de­riv­at­ives is nor­mally the un­der­ly­ing equi­val­ent, based on the mar­ket value of the un­der­ly­ing as­sets of the de­riv­at­ives. The un­der­ly­ing equi­val­ents are cal­cu­lated in ac­cord­ance with An­nex 1. The nom­in­al value or the for­ward price of fu­tures con­tracts cal­cu­lated on each trad­ing day may be taken as the basis, if the res­ult is a more con­ser­vat­ive cal­cu­la­tion.

³The con­ver­sion amount for the over­all ex­pos­ure is the ba­sic com­mit­ment from the net fund as­sets and the sum of the fol­low­ing ab­so­lute val­ues:

a.

con­ver­sion amounts of the in­di­vidu­al de­riv­at­ives and de­riv­at­ive com­pon­ents pur­su­ant to An­nex 1 that are not in­cluded in net­ting pur­su­ant to Art­icle 36;

b.

con­ver­sion amounts after per­mit­ted net­ting pur­su­ant to Art­icle 36; and

c.

con­ver­sion amounts from per­mit­ted in­vest­ment tech­niques.

⁴The fol­low­ing trans­ac­tions may be dis­reg­arded when de­term­in­ing the con­ver­sion amount for the over­all ex­pos­ure arising from de­riv­at­ives pur­su­ant to para­graph 3:

a.

swaps by means of which the per­form­ance of the un­der­ly­ings dir­ectly held by the se­cur­it­ies fund is swapped with the per­form­ance of oth­er un­der­ly­ings (total re­turn swaps), provided that:

1.

the mar­ket risk of the swapped un­der­ly­ings is com­pletely elim­in­ated from the se­cur­it­ies fund so that these as­sets have no im­pact on the change in the value of the se­cur­it­ies fund, and

2.

the swap does not grant op­tion rights or con­tain lever­age or oth­er ad­di­tion­al mar­ket risks that ex­ceed those of a dir­ect in­vest­ment in the rel­ev­ant un­der­ly­ings;

b.

de­riv­at­ives to which cor­res­pond­ing highly li­quid as­sets are as­signed so that the com­bin­a­tion of de­riv­at­ive and highly li­quid as­sets is equi­val­ent to a dir­ect in­vest­ment in the un­der­ly­ing as­set and neither an ad­di­tion­al mar­ket risk nor lever­age is gen­er­ated. The highly li­quid as­sets used to cov­er the de­riv­at­ive po­s­i­tion may not be used for more than one com­bin­a­tion sim­ul­tan­eously.

⁵Se­cur­it­ies lend­ing and re­pur­chase trans­ac­tions must be taken in­to ac­count when cal­cu­lat­ing the over­all ex­pos­ure if these gen­er­ate lever­age on the fund as­sets through the re­in­vest­ment of col­lat­er­al. Where col­lat­er­al is re­in­ves­ted in fin­an­cial as­sets that provide a re­turn in ex­cess of the risk-free in­terest rate, the amount re­ceived must be in­cluded when de­term­in­ing the over­all ex­pos­ure if cash col­lat­er­al is held.