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

(Art. 110 Fin­MIA)

¹ Vari­ation mar­gins are to be re­cal­cu­lated at least every busi­ness day.

² The basis of the cal­cu­la­tion is the valu­ation of the out­stand­ing trans­ac­tion in ac­cord­ance with Art­icle 109 of the Fin­MIA. For all oth­er mat­ters, Art­icle 101 para­graph 2 is ap­plic­able by ana­logy.

³ Vari­ation mar­gins are to be paid on the re­spect­ive cal­cu­la­tion day ac­cord­ing to para­graph 1. The cus­tom­ary time­frames ap­ply for set­tle­ment.

⁴ Not­with­stand­ing para­graph 3, vari­ation mar­gins may be paid up to two busi­ness days after the cal­cu­la­tion day if:

a.

A coun­ter­party not ob­liged to pay an ini­tial mar­gin provided ad­di­tion­al col­lat­er­al be­fore the cal­cu­la­tion day and the fol­low­ing con­di­tions are met:

1.

the ad­di­tion­al col­lat­er­al was cal­cu­lated tak­ing ac­count of a 99% one-tailed con­fid­ence in­ter­val for the valu­ation of the OTC de­riv­at­ives trans­ac­tions to be se­cured for the rel­ev­ant mar­gin peri­od of risk,

2.

the mar­gin peri­od of risk is at least as many days as the num­ber of days between the cal­cu­la­tion day and the vari­ation mar­gin pay­ment day, whereby the cal­cu­la­tion day and pay­ment day also have to be coun­ted; or

b.

the coun­ter­parties paid ini­tial mar­gins tak­ing ac­count of a mar­gin peri­od of risk span­ning at least the fol­low­ing peri­ods:

1.

the peri­od from the last vari­ation mar­gin pay­ment day to the pos­sible coun­ter­party de­fault, plus the days from the cal­cu­la­tion day to the vari­ation mar­gin pay­ment day, and

2.

the peri­od deemed ne­ces­sary to re­place the OTC de­riv­at­ives trans­ac­tion con­cerned or to hedge the res­ult­ing risks.