Standard IM

Description Schedule-based Margin
Hierarchies required in the view
Formula Standard IM = Multiplier1 * Gross initial margin + Multiplier2 * NGR * Gross initial margin

Please note, that to obtain a meaningful result, you need to add a hierarchy representing netting set into the view. The hierarchy representing the netting sets is configurable, usually it is PortfolioID or NettingSetID.

The multipliers in the formula are configurable.

See also