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Ordinance on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading (Financial Market Infrastructure Ordinance, FinMIO)
Art.103Calculation 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.