Ordinance
on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading
(Financial Market Infrastructure Ordinance, FinMIO)

(Art. 110 Fin­MIA)

¹ The ini­tial mar­gin is cal­cu­lated as a per­cent­age dis­count on the gross po­s­i­tions of the in­di­vidu­al de­riv­at­ives trans­ac­tions. De­riv­at­ives trans­ac­tions that form the ob­ject of a net­ting agree­ment con­cluded between the coun­ter­parties («net­ting set») may be pooled.

² It shall amount to the fol­low­ing for each de­riv­at­ive cat­egory:

a.

1% for in­terest rate de­riv­at­ives with a re­sid­ual term of up to two years;

b.

2% for cred­it de­riv­at­ives with a re­sid­ual term of up to two years and in­terest rate de­riv­at­ives with a re­sid­ual term of two to five years;

c.

4% for in­terest rate de­riv­at­ives with a re­sid­ual term of more than five years;

d.

5% for cred­it de­riv­at­ives with a re­sid­ual term of two to five years;

e.

6% for for­eign cur­rency de­riv­at­ives;

f.

10% for cred­it de­riv­at­ives with a re­sid­ual term of more than five years;

g.

15% for equity, com­mod­ity and all oth­er de­riv­at­ives.

³ If a trans­ac­tion can be clas­si­fied in more than one de­riv­at­ive cat­egory in ac­cord­ance with para­graph 2, it shall be as­signed:

a.

to the de­riv­at­ive cat­egory with the greatest risk factor in­so­far as this can be clearly iden­ti­fied in the trans­ac­tion in ques­tion;

b.

to the de­riv­at­ive cat­egory with the highest per­cent­age dis­count if the greatest risk factor can­not be clearly iden­ti­fied in the trans­ac­tion in ques­tion.

⁴ The ini­tial mar­gin for a net­ting set is cal­cu­lated in ac­cord­ance with An­nex 3.

⁵ Fin­an­cial coun­ter­parties that use a mar­ket risk mod­el ap­proach ap­proved by FINMA in ac­cord­ance with Art­icle 88 CAO³⁵ for cal­cu­lat­ing po­s­i­tions ac­cord­ing to risk weight­ing, or that use a mar­ket mod­el ap­proved by FINMA in ac­cord­ance with Art­icles 50a to 50d of the In­sur­ance Over­sight Or­din­ance of 9 Novem­ber 2005³⁶ for cal­cu­lat­ing solvency as part of the Swiss Solvency Test (SST), may cal­cu­late the ini­tial mar­gin pay­ment on that basis so long as no in­ter­na­tion­ally har­mon­ised stand­ard mod­el that is re­cog­nised throughout the in­dustry has been es­tab­lished. FINMA shall reg­u­late the tech­nic­al cri­ter­ia that the mod­el ap­proach or the mar­ket mod­el must meet.

⁶ ...³⁷