(Art. 103 para. 4)
1 The initial margin for a netting set is calculated using the formula: Net initial margin = 0.4 * gross initial margin + 0.6 * NGR * gross initial margin 2 The following apply in this respect: 2.1 The net initial margin is deemed to be the reduced amount of the initial margin requirements for all derivatives contracts with a counterparty included in a netting set; 2.2 The NGR is the net gross ratio, calculated as the ratio between the net replacement value of a netting set with a counterparty (numerator of ratio) and the gross replacement value of this netting set (denominator of ratio); 2.3 The net replacement value of a netting set is the sum of the market values of all transactions, whereby no negative values are permitted; 2.4 The gross replacement value of a netting set is the sum of the market values of all transactions in accordance with Article 109 FinMIA and Article 99 FinMIO with positive values in the netting set.
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