Gross IM
Formula
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.
Gross Replacement Cost
Formula
sum of positive market values across trades in the netting set of max(0, PV) (in-the-money trades)
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.
Net Replacement Cost
Formula
max(0, sum across trades in the netting set PV)
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.
NGR
Formula
NGR = net replacement cost / gross replacement cost
Please note, that when gross replacement cost is 0 (all PVs are negative for a netting set) then the NGR will default to 1.
Notional
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.
PV
Standard IM
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.