Art. 99

(Art. 109 FinMIA)

1. Market conditions that do not permit the valuation of OTC derivatives transactions are deemed to hold sway if:
   1. the market in question is inactive; or
   2. the range of plausible fair value estimates is significant and the probabilities of the various estimates cannot be reasonably assessed.
2. A market for an OTC derivatives transaction is viewed as inactive if:
   1. the quoted prices are not automatically and regularly available; and
   2. the prices available do not represent market transactions that take place regularly and under standard market conditions.
3. If a valuation is permissible on the basis of model prices, the model must:
   1. take into consideration all factors that the counterparties would take into account when determining a price, including the greatest possible use of market valuation information;
   2. be in line with recognised economic processes for determining the prices of financial instruments;
   3. be calibrated using the prices of observable latest market transactions with the same financial instrument, be reviewed with respect to its validity or be based on available and observable market data;
   4. be monitored and validated independently as part of internal risk management processes;
   5. be properly documented and approved by the management body, the executive management or a risk committee delegated by the latter, and be reviewed at least once a year.