Federal Act on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading

¹The cent­ral coun­ter­party shall re­quire its par­ti­cipants to provide ap­pro­pri­ate col­lat­er­al, par­tic­u­larly in the form of ini­tial mar­gins, vari­ation mar­gins and de­fault fund con­tri­bu­tions.

²This col­lat­er­al shall be cal­cu­lated at least in such a way that:

a.

a par­ti­cipant's vari­ation mar­gins cov­er the cur­rent cred­it ex­pos­ures based on real­ised mar­ket price move­ments;

b.

a par­ti­cipant's ini­tial mar­gins will, with a high de­gree of con­fid­ence, cov­er the po­ten­tial cred­it ex­pos­ures arising for a cent­ral coun­ter­party upon the par­ti­cipant's de­fault based on ex­pec­ted mar­ket price move­ments;

c.

the ini­tial mar­gins, vari­ation mar­gins and de­fault fund con­tri­bu­tions will be suf­fi­cient to cov­er the loss res­ult­ing un­der ex­treme but plaus­ible mar­ket con­di­tions from the de­fault of the par­ti­cipant to which the cent­ral coun­ter­party has its greatest ex­pos­ure.

³The cent­ral coun­ter­party shall ac­cept only li­quid col­lat­er­al with low cred­it and mar­ket risks. It shall value the col­lat­er­al prudently.