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Roland Lichters

Hi Jaroslav,

apologies for the late reply. The Independent Amount in formula (17) that can be specified in the nettingset.xml is in fact taken into account in the variation margin process in ORE, as described in the user guide’s appendix. To be honest, I haven’t seen nonzero IA used in practice, where we have used ORE for XVA with real CSAs. It would be interesting to hear feedback from others in the forum on the use of independent amounts in the variation margin process.
But note that this Independent Amount is meant to be e.g. different from the Initial Margin that needs to be posted in the bilateral OTC derivatives business since 2016. This Initial Margin is certainly not to be mixed with Variation Margin, and held in different accounts.

Best regards,

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