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Real time marign over the API requests are supported by Schema 1.4. 

Features of the margin matrix: 

  • IRS- Vanilla & OIS
    • Displays pay and receive margin requirements for standard swap tenors 
    • Displays FX and Par Rates (ATM rates)
    • Margin requirements in local currency and USDE. 
  • IRS- Swaptions (Buy, Sell, and Straddle) 
    • Displays buy, sell, and straddle margin reuirements requirements for stnadard standard swaption tenors 
    • Displays the benefits of clearing a swaption and swap portfolio 
      • Individual margin requirement for a swaption and swap used to delta hedge the swaption 
      • Combined margin requirement for the combined swap and swaption portfolio 
      • Savings percentage of the combined portfolio vs the sum of the individual margins of the swaption and swap 
      • Margin as a percentage of notional (straddle margin matrix only)