As regards IRS (interest rate swap) derivative contracts, the validity of the contract requires the parties’ agreement on the extent of the risk, to be ascertained through the indication of the mark to market value and the probabilistic scenarios; the latter are to be identified with the factors entering the mathematical formula underlying the determination of the mark to market, and not with predictions as to the future movement of interest rates.
The level of detail required in specifying the mark to market and probabilistic scenarios varies according to the complexity of the derivative contract: in plain vanilla contracts, a lesser degree of information suffices compared with contracts of complex structure.
The mark to market and probabilistic scenarios primarily pertain to the worthiness of the derivative contract under art. 1322 co. 2 cod. civ., and not to the subject-matter of the contract under art. 1346 cod. civ.
On a challenge to an arbitral award for breach of the rules of law under art. 829 co. 3 cod. proc. civ., the review of the court of appeal is limited to verifying the correct application of legal principles by the arbitrators and does not extend to a re-examination of the merits of the dispute, a reassessment of the evidence being precluded.