Estimated 2 minute read

A leading bank has created a central margin calculation utility for OTC Clearing powered by OpenGamma to address a number of requirements. This case study shows how they did it.


The bank currently runs a margin buffer at the CCPs where most of their client swaps are cleared. The buffer is in place to facilitate client intraday trading where a client will post margin post execution of the trade.

The challenge:

The bank wants to be able to calculate intraday margin to demonstrate full visibility and control of the amount of margin required to cover client positions, with the ultimate goal to reduce and optimize the size of the buffer.

The solution:

The bank has launched a what-if margin calculation application to calculate predictive margin of the OTC Cleared (rates & credit) positions held by clients.

Benefits for the bank:

CCP-provided tools do not meet this requirement. Using OpenGamma Margining (OTC Rates and Credit) enables the bank to proactively manage intraday margin buffers. Furthermore they will improve client service with a ‘what-if’ margin capability tool available through their client portal. This tool will enable a clearing client to view on-demand calculation of margin across all of their positions, and also to load in position from other FCMs to give a client a single view of margin.

Recent Posts

Sign up to get our insights straight to your inbox >

Privacy Settings
We use cookies to enhance your experience while using our website. If you are using our Services via a browser you can restrict, block or remove cookies through your web browser settings. We also use content and scripts from third parties that may use tracking technologies. You can selectively provide your consent below to allow such third party embeds. For complete information about the cookies we use, data we collect and how we process them, please check our Privacy Policy
Consent to display content from Youtube
Consent to display content from Vimeo
Google Maps
Consent to display content from Google
Consent to display content from Spotify
Sound Cloud
Consent to display content from Sound