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.


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Art. 48 Inclusion of claims against counterparties at the maximum limits

1Claims against coun­ter­parties arising from de­riv­at­ive trans­ac­tions must be cal­cu­lated on the basis of the cur­rent pos­it­ive re­place­ment val­ues.

2Pos­it­ive and neg­at­ive re­place­ment val­ues arising from trans­ac­tions in de­riv­at­ives with the same coun­ter­party may be net­ted if a net­ting agree­ment ex­ists that meets the cur­rent leg­al re­quire­ments and is leg­ally en­force­able.

3Claims arising from de­riv­at­ive trans­ac­tions against a cent­ral coun­ter­party of an ex­change or an­oth­er reg­u­lated mar­ket open to the pub­lic must not be taken in­to ac­count if:

a.
such a unit is sub­ject to an ap­pro­pri­ate su­per­vis­ory body; and
b.
the de­riv­at­ives and col­lat­er­al are sub­ject to daily mark­ing to mar­ket and daily mar­gin­ing.
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