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:
3 If a transaction can be classified in more than one derivative category in accordance with paragraph 2, it shall be assigned:
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 FINMA shall regulate the technical criteria that the model approach or the market model must meet. 6 ...39 39 Repealed by No I of the O of 5 July 2017, with effect from 1 Aug. 2017 (AS 2017 3715). |