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

(Art. 110 Fin­MIA)

¹ If coun­ter­parties have to ex­change col­lat­er­al, this shall take the form of:

a.

an ini­tial mar­gin that is suit­able for pro­tect­ing the trans­ac­tion part­ners from the po­ten­tial risk that there could be mar­ket price changes dur­ing the clos­ing and re­place­ment of the po­s­i­tion in the event of de­fault on the part of a coun­ter­party; and

b.

a vari­ation mar­gin that is suit­able for pro­tect­ing the trans­ac­tion part­ners from the on­go­ing risk of mar­ket price changes fol­low­ing ex­e­cu­tion of the trans­ac­tion.

² The duty to sup­ply an ini­tial mar­gin ap­plies only to coun­ter­parties whose ag­greg­ated month-end av­er­age gross po­s­i­tion of OTC de­riv­at­ives not cleared through a cent­ral coun­ter­party, in­clud­ing de­riv­at­ives in ac­cord­ance with Art­icle 107 para­graph 2 let­ter b of the Fin­MIA, is great­er than CHF 8 bil­lion at group or fin­an­cial or in­sur­ance group level for the months of March, April and May of the year; in this re­gard, in­tra-group trans­ac­tions are not coun­ted sev­er­al times from the view­point of each group com­pany.

³ The duty un­der para­graph 2 al­ways ap­plies for the en­tirety of the sub­sequent cal­en­dar year.