# ANNEX IV **Commission Delegated Regulation (EU) 2016/2251 · binding · OJ L 340, 15.12.2016 · dated 4 Oct 2016 [in force]** *In force · Consolidated version of 14 February 2023 · Checked against EUR-Lex on 20 Oct 2026 · [Official source](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:02016R2251-20230214)* Standardised Method for the calculation of initial margin for the purposes of Articles 9 and 11 **1.** The notional amounts or underlying values, as applicable, of the \|OTC derivative contracts in a netting set shall be multiplied by the percentages in the following Table 1: Table 1 | Category | Add-on factor | | --- | --- | | Credit: 0-2 year residual maturity | 2 % | | Credit: 2-5 year residual maturity | 5 % | | Credit: 5+ year residual maturity | 10 % | | Commodity | 15 % | | Equity | 15 % | | Foreign exchange | 6 % | | Interest rate and inflation: 0-2 year residual maturity | 1 % | | Interest rate and inflation: 2-5 year residual maturity | 2 % | | Interest rate and inflation: 5+ year residual maturity | 4 % | | Other | 15 % | **2.** The gross initial margin of a netting set shall be calculated as the sum of the products referred to in paragraph 1 for all OTC derivative contracts in the netting set. **3.** The following treatment shall be applied to contracts which fall within more than one category: (a) where a relevant risk factor for an OTC derivative contract can be clearly identified, contracts shall be assigned to the category corresponding to that risk factor; (b) where the condition referred to in point (a) is not met, contracts shall be assigned to the category with the highest add-on factor among the relevant categories; (c) the initial margin requirements for a netting set shall be calculated in accordance with the following formula: Net initial margin = 0,4 \* Gross initial margin + 0,6 \* NGR \* Gross initial margin. where: (i) net initial margin refers to the reduced figure for initial margin requirements for all OTC derivative contracts with a given counterparty included in a netting set; (ii) NGR refers to the net-to-gross ratio calculated as the quotient of the net replacement cost of a netting set with a given counterparty in the numerator, and the gross replacement cost of that netting set in the denominator; (d) for the purposes of point (c), the net replacement cost of a netting set shall be the bigger between zero and the sum of current market values of all OTC derivative contracts in the netting set; (e) for the purposes of point (c), the gross replacement cost of a netting set shall be the sum of the current market values of all OTC derivative contracts calculated in accordance with [Article 11(2)](../../articles/11.md) of Regulation (EU) No 648/2012 and Articles 16 and 17 of Delegated Regulation (EU) No 149/2013 with positive values in the netting set; (f) the notional amount referred to in paragraph 1 may be calculated by netting the notional amounts of contracts that are of opposite direction and are otherwise identical in all contractual features except their notional amounts.