Margin Matrix

$100,000,000 Notional (in USD).

BUY
SELL
STRADDLE
BUY
Tenor Swaption Swap Combined Savings Par Rate
1M1Y $49,968.65 $109,610.59 $19,582.33 87.729% 0.7786%
3M1Y $79,771.85 $139,068.91 $24,889.51 88.627% 0.8211%
1Y1Y $175,134.40 $246,047.22 $51,815.59 87.698% 0.9928%
1M2Y $134,254.47 $354,342.57 $39,908.46 91.832% 0.8953%
3M2Y $199,950.57 $401,945.34 $52,209.05 91.326% 0.9338%
1Y2Y $360,922.50 $478,909.99 $124,295.92 85.200% 1.0978%
2Y2Y $416,208.93 $470,524.91 $166,370.97 81.238% 1.3071%
1M5Y $429,722.46 $919,235.60 $142,433.31 89.441% 1.2133%
3M5Y $553,862.17 $927,302.52 $142,230.64 90.397% 1.2503%
1Y5Y $793,564.19 $1,044,733.64 $250,237.58 86.388% 1.4093%
2Y5Y $976,388.18 $1,167,875.63 $325,103.44 84.838% 1.6096%
1M10Y $837,429.23 $1,871,757.74 $241,352.29 91.091% 1.6480%
3M10Y $1,072,484.22 $1,909,691.71 $261,990.52 91.215% 1.6764%
1Y10Y $1,380,544.81 $2,054,962.32 $415,420.41 87.908% 1.7995%
2Y10Y $1,546,244.40 $1,976,114.66 $451,215.72 87.190% 1.9479%
1M30Y $2,035,151.97 $3,748,276.03 $604,400.81 89.549% 2.1470%
3M30Y $2,623,992.29 $3,770,859.85 $693,785.27 89.151% 2.1582%
1Y30Y $3,304,942.87 $3,954,449.19 $844,361.11 88.369% 2.2059%
2Y30Y $3,616,935.93 $3,838,503.17 $966,215.71 87.040% 2.2617%
RECEIVE
Tenor Swaption Swap Combined Savings Par Rate
1M1Y $43,113.24 $90,782.50 $19,995.07 85.067% 0.7786%
3M1Y $66,277.31 $112,087.86 $24,842.67 86.072% 0.8211%
1Y1Y $132,037.14 $180,016.62 $50,208.62 83.910% 0.9928%
1M2Y $126,341.78 $251,921.05 $40,246.66 89.360% 0.8953%
3M2Y $186,826.49 $266,188.68 $52,013.59 88.518% 0.9338%
1Y2Y $291,983.33 $336,698.73 $126,507.80 79.877% 1.0978%
2Y2Y $368,564.72 $361,136.22 $166,935.34 77.123% 1.3071%
1M5Y $423,864.18 $686,202.73 $141,136.10 87.286% 1.2133%
3M5Y $532,188.72 $698,450.27 $142,023.57 88.459% 1.2503%
1Y5Y $762,064.00 $790,769.56 $249,745.84 83.917% 1.4093%
2Y5Y $958,884.62 $881,692.53 $324,742.47 82.356% 1.6096%
1M10Y $844,043.78 $1,464,151.44 $240,193.41 89.594% 1.6480%
3M10Y $1,139,607.65 $1,482,487.33 $263,369.67 89.956% 1.6764%
1Y10Y $1,535,711.68 $1,602,078.44 $415,084.93 86.771% 1.7995%
2Y10Y $1,661,967.67 $1,721,060.86 $454,651.56 86.561% 1.9479%
1M30Y $1,999,725.93 $4,159,615.88 $606,545.13 90.152% 2.1470%
3M30Y $2,648,684.58 $4,179,645.14 $693,252.15 89.847% 2.1582%
1Y30Y $3,387,018.80 $4,218,217.04 $843,283.95 88.912% 2.2059%
2Y30Y $3,704,764.62 $4,291,181.46 $966,182.74 87.917% 2.2617%
SELL
Tenor Swaption Swap Combined Savings Par Rate
1M1Y $189,011.32 $87,298.12 $81,490.35 70.508% 0.7786%
3M1Y $222,207.09 $108,903.02 $91,705.48 72.304% 0.8211%
1Y1Y $393,520.27 $178,882.96 $152,350.74 73.384% 0.9928%
1M2Y $591,244.79 $255,031.52 $242,720.67 71.319% 0.8953%
3M2Y $615,855.46 $277,612.41 $220,327.21 75.340% 0.9338%
1Y2Y $736,847.56 $333,776.48 $254,615.73 76.218% 1.0978%
2Y2Y $709,277.39 $350,778.10 $238,752.48 77.477% 1.3071%
1M5Y $1,411,682.81 $706,621.35 $531,560.08 74.906% 1.2133%
3M5Y $1,346,595.60 $712,493.89 $473,645.06 76.997% 1.2503%
1Y5Y $1,443,954.50 $800,391.83 $469,700.58 79.072% 1.4093%
2Y5Y $1,596,660.57 $885,987.62 $455,465.00 81.654% 1.6096%
1M10Y $2,877,288.85 $1,524,048.57 $1,096,237.76 75.093% 1.6480%
3M10Y $2,674,498.30 $1,544,653.02 $867,589.18 79.437% 1.6764%
1Y10Y $2,637,094.13 $1,684,959.80 $752,751.02 82.583% 1.7995%
2Y10Y $2,489,881.22 $1,788,435.28 $671,752.89 84.299% 1.9479%
1M30Y $5,370,327.78 $4,401,692.56 $2,763,062.64 71.725% 2.1470%
3M30Y $4,930,334.18 $4,421,257.90 $2,284,091.07 75.575% 2.1582%
1Y30Y $4,521,783.10 $4,563,902.57 $2,037,333.41 77.576% 2.2059%
2Y30Y $4,173,814.42 $4,682,919.87 $2,176,690.17 75.423% 2.2617%
RECEIVE
Tenor Swaption Swap Combined Savings Par Rate
1M1Y $141,405.55 $113,985.54 $78,187.71 69.385% 0.7786%
3M1Y $155,587.78 $143,135.94 $88,440.52 70.394% 0.8211%
1Y1Y $220,049.36 $247,606.53 $148,532.24 68.239% 0.9928%
1M2Y $392,504.39 $350,020.85 $239,202.57 67.785% 0.8953%
3M2Y $397,268.45 $385,405.32 $218,173.25 72.125% 0.9338%
1Y2Y $457,138.20 $483,102.90 $255,148.35 72.864% 1.0978%
2Y2Y $487,906.85 $484,419.03 $238,189.84 75.503% 1.3071%
1M5Y $1,008,199.76 $892,673.26 $531,482.59 72.040% 1.2133%
3M5Y $967,037.92 $909,024.91 $472,060.90 74.838% 1.2503%
1Y5Y $1,041,666.65 $1,032,173.90 $469,441.32 77.364% 1.4093%
2Y5Y $1,152,380.06 $1,162,213.99 $457,702.16 80.225% 1.6096%
1M10Y $2,290,991.74 $1,798,195.17 $1,091,716.26 73.302% 1.6480%
3M10Y $2,199,569.67 $1,832,834.76 $871,207.23 78.395% 1.6764%
1Y10Y $2,122,592.66 $1,953,880.94 $750,739.67 81.584% 1.7995%
2Y10Y $2,288,214.38 $1,901,669.93 $672,317.97 83.954% 1.9479%
1M30Y $6,861,943.76 $3,542,134.83 $2,776,303.06 73.315% 2.1470%
3M30Y $6,386,423.84 $3,564,790.03 $2,294,731.21 76.940% 2.1582%
1Y30Y $6,082,505.81 $3,654,925.74 $2,043,754.97 79.011% 2.2059%
2Y30Y $6,396,595.40 $3,517,402.41 $2,183,408.11 77.977% 2.2617%
STRADDLE
Tenor Sell Margin Buy Margin % of Notional (Sell) % of Notional (Buy) Par Rate
1M1Y $155,999.89 $39,195.11 0.156% 0.039% 0.7786%
3M1Y $176,472.08 $49,293.99 0.176% 0.049% 0.8211%
1Y1Y $300,168.44 $101,786.27 0.3% 0.102% 0.9928%
1M2Y $487,821.05 $80,199.89 0.488% 0.08% 0.8953%
3M2Y $455,376.65 $105,812.12 0.455% 0.106% 0.9338%
1Y2Y $514,030.23 $255,394.34 0.514% 0.255% 1.0978%
2Y2Y $487,818.02 $336,517.41 0.488% 0.337% 1.3071%
1M5Y $1,094,163.00 $285,034.00 1.094% 0.285% 1.2133%
3M5Y $964,964.10 $288,211.53 0.965% 0.288% 1.2503%
1Y5Y $957,911.25 $508,955.48 0.958% 0.509% 1.4093%
2Y5Y $927,211.00 $659,715.10 0.927% 0.66% 1.6096%
1M10Y $2,246,859.75 $483,213.04 2.247% 0.483% 1.6480%
3M10Y $1,716,363.20 $533,294.55 1.716% 0.533% 1.6764%
1Y10Y $1,616,192.29 $841,302.90 1.616% 0.841% 1.7995%
2Y10Y $1,375,023.75 $923,829.46 1.375% 0.924% 1.9479%
1M30Y $5,349,012.73 $1,226,367.60 5.349% 1.226% 2.1470%
3M30Y $4,423,934.82 $1,384,353.82 4.424% 1.384% 2.1582%
1Y30Y $3,806,736.91 $1,728,345.87 3.807% 1.728% 2.2059%
2Y30Y $3,906,777.63 $2,028,318.38 3.907% 2.028% 2.2617%

Account Summary

Account ID USDE Current Trades Current
CPNBLNDG15 $90,603,891 $90,239,972 408 408
CPNBLNDG21 $1,384,843 $460,351 9 9
CPNBLNDG20 $ $ 8 8
SWOPT4 $0 $ 0 0
SAUL33I $384,240 $774,626,073 11 76916
CORETEST2I $590,109 $582,723 1 1
CORETEST3I $38,905,497 $ 96 5