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

(Art. 100 Fin­MIA)

The fol­low­ing rules ap­ply to the cal­cu­la­tion of the av­er­age gross po­s­i­tion of out­stand­ing OTC de­riv­at­ives trans­ac­tions:

a.

The latest ex­change rates shall be used in the cal­cu­la­tion.

b.

Po­s­i­tions from OTC de­riv­at­ives trans­ac­tions are factored in­to the cal­cu­la­tion even if they are vol­un­tar­ily cleared cent­rally.

c.

Po­s­i­tions of fully-con­sol­id­ated group com­pan­ies, in­clud­ing those with their re­gistered of­fice out­side Switzer­land, shall be factored in ir­re­spect­ive of the re­gistered of­fice of the par­ent com­pany if these group com­pan­ies would count as fin­an­cial or non-fin­an­cial coun­ter­parties in Switzer­land.

d.

Ad­just­ments to the nom­in­al amount dur­ing the term shall be factored in if these were con­trac­tu­ally en­vis­aged at the start of the trans­ac­tion.

e.

Trans­ac­tions in the sub­sequent trans­ac­tion chain of hedging trans­ac­tions of a non-fin­an­cial coun­ter­party like­wise count as hedging trans­ac­tions.

f.

The net­ting of op­pos­ing po­s­i­tions in de­riv­at­ives is per­mit­ted in­so­far as these po­s­i­tions re­late to the same un­der­ly­ing in­stru­ment, are de­nom­in­ated in the same cur­rency and have the same ma­tur­ity date. In such case, the ref­er­ence in­terest rates for vari­able-in­terest po­s­i­tions, the fixed in­terest rates and the in­terest-set­ting ref­er­ence dates must be identic­al.

g.

De­riv­at­ives not covered by the clear­ing duty un­der Art­icle 101 para­graph 3 let­ter b Fin­MIA shall not be factored in.