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

Art. 101a Timing of variation margin calculation and payment 35

(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.

35 In­ser­ted by No I of the O of 5 Ju­ly 2017, in force since 1 Aug. 2017 (AS 2017 3715).