Thresholds apply by derivatives category to non-financial counterparties' average gross positions in outstanding OTC derivatives transactions.
A single threshold shall apply to the average gross positions in all outstanding OTC derivatives transactions of financial counterparties.
If the counterparty is part of a fully consolidated group, all of the intra-group OTC derivatives transactions concluded by the counterparty or by other counterparties shall also be factored into the calculation of the average gross positions.
The Federal Council shall determine:
for non-financial counterparties, the level of the thresholds for each derivatives category and how they are calculated;
which derivatives transactions of non-financial counterparties are not to be taken into account when calculating the thresholds;
the threshold for financial counterparties.
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