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

Art. 103 Calculation of initial margins

(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 CAO37 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 200538 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 ...39

37 SR 952.03

38 SR 961.011

39 Re­pealed by No I of the O of 5 Ju­ly 2017, with ef­fect from 1 Aug. 2017 (AS 2017 3715).

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