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For each Netting Set, the initial margin is computed in the “Post” and “Collect” modes:
  • in “Collect” mode the sensitivities and PV1 are taken from the CRIF files as is,
  • in “Post” mode the sensitivities and PV1 are multiplied by -1.
Add the hierarchy Mode into the view to filter for “Collect” or “Post” or display the calculations side-by-side.

  1. see Schedule for more information on PV. ↩︎