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% |