Margin Service API - Margin - Get

Owned by Space Sync for Confluence
yesterday at 11:07 AM
5 min read



The get margin request returns the status and results of a margin request by its identifier.



Description

The request allows the Client to get the margin of an already margined portfolio which was added and margined in CME CORE (Add Portfolio and Margin Portfolio). The Client must submit the unique CME CORE assigned margin request identifier in the request URL. The server then returns the identifier along with the status and the result (margin) requested.   

Request

Parameter

Name

Type

Required

Notes

Parameter

Name

Type

Required

Notes

reqUserId

Requesting User ID

String

No








Entity

Margin

Action

Get

URL

/margins/{id}

HTTP Method

GET

Parameter Input

Yes

XML Input

No

Multiple Output

No

Synchronous

Yes




Response

XPath

Name

Type

Required

Notes

XPath

Name

Type

Required

Notes

/marginRpt@status

Status

Async Status

Yes



/marginRpt/error@code

Error Code

String

No



/marginRpt/error@msg

Error Message

String

No



/marginRpt/margin@asOfTime

As-of Time

Date/Time

No



/marginRpt/margin@createTime

Create Time

Date/Time

Yes



/marginRpt/margin@id

ID

String

Yes



/marginRpt/margin@portfolioId

Portfolio ID

String

Yes



/marginRpt/margin@settleQual

Settlement Qualifer

Settlement Qualifer

No



/marginRpt/margin@settleInd

Settlement Indicator

Settlement Indicator

No



/marginRpt/margin@updateTime

Update Time

Date/Time

Yes



/marginRpt/margin/amounts@ccy

Amount Currency

Currency

Yes



/marginRpt/margin/amounts@ccyRate

Currency Exchange Rate

Decimal

No

Exchange rate used to convert base currency to USDE

/marginRpt/margin/amounts@conc

Concentration Margin Amount

Decimal

No

Concentration margin requirement

/marginRpt/margin/amounts@init

Initial Margin Amount

Decimal

Yes

Initial margin requirement

/marginRpt/margin/amounts@maint

Maintenance Margin Amount

Decimal

Yes

Maintenance margin requirement

/marginRpt/margin/amounts@base

Base Margin Amount

Decimal

Yes*

Base margin amount

/marginRpt/margin/amounts@skew

Skew Margin Amount

Decimal

No

Skew margin requirement

/marginRpt/margin/amounts@concDelta

Concentration Delta Amount

Decimal

No

The concentration margin apportioned to Delta risk

/marginRpt/margin/amounts@concGamma

Concentration Gamma Amount

Decimal

No

The concentration margin apportioned to Gamma risk

/marginRpt/margin/amounts@concSkew

Concentration Skew Amount

Decimal

No

The concentration margin apportioned to Skew risk

/marginRpt/margin/amounts@concVega

Concentration Vega Amount

Decimal

No

The concentration margin apportioned to Vega risk

/marginRpt/margin/amounts@npv

NPV Amount

Decimal

Yes*

Net Present Value

/marginRpt/margin/amounts@nonOptVal

Non-option Value Amount

Decimal

No

Net Futures Value (Long Futures Value - Short Futures Value). This only applies to futures and options portfolios.

/marginRpt/margin/amounts@optVal

Option Value Amount

Decimal

No

Net Options Value (Long Options Value - Short Options Value). This only applies to portfolios with future and options. Negative if net short, positive if net long.

/marginRpt/margin/amounts/scPt@amt

Scenario Point Amount

Decimal

No

These points will no longer be returned after 5/12/2014

*Required field for Schema 1.3 and above users only 

Notes:

  1. ConcDelta + ConcGamma + ConcSkew + ConcVega = Concentration margin amount 

  2. Base + Skew + Concentration = Maintenance margin amount 

  3. Maintenance * 1.1 = Initial margin amount 

Examples

Basic

This assumes that margin request for portfolio has already been submitted. The id used (2345 should be the CME CORE generated unique id returned in response to a Margin Calculate request.

CME

Request
GET /MarginServiceApi/margins/1234567



Response For IRS + Swaptions (schema 1.2)
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS"> <margin settleQual="COMP" settleInd="N" portfolioId="1111" updateTime="2015-08-05T16:22:09+00:00" createTime="2015-08-05T16:21:57+00:00" id="8623649"> <amounts maint="71153.693650291942415" init="71153.693650291942415" conc="0" ccy="USD"/> </margin> </ns2:marginRpt>



Response For IRS + Swaptions (schema 1.4)
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.4" status="SUCCESS"> <margin portfolioId="45966833" settleQual="COMP" id="34638788" createTime="2016-12-06T17:45:29+00:00" updateTime="2016-12-06T17:45:32+00:00"> <amounts ccy="USD" base="5305554.1358774021500721573829650878906250" conc="123539.8884095410467125475406646728515625" init="5934940.51346684060990810394287109375" maint="5934940.51346684060990810394287109375" npv="42397116.571767" skew="505846.4891798974131233990192413330078125"> <currencyAmounts ccy="CHF" ccyRate="0.9934432744000000203854483515897300094366" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="HKD" ccyRate="0.1289540536999999875700240181686240248382" conc="0" concDelta="0" init="1898.117229876445890113245695829391479492" maint="244.76991119038243027716816868633031845"/> <currencyAmounts ccy="MXN" ccyRate="0.0485345006999999967201020467655325774103" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="EUR" ccyRate="1.07619457600000001384898951073409989476" conc="0" concDelta="0" init="7908.263298755378855275921523571014404296" maint="8510.830067700406289077363908290863037109"/> <currencyAmounts ccy="DKK" ccyRate="0.1446717398000000043278845396343967877328" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="CAD" ccyRate="0.7536362950999999643642013325006701052188" conc="0" concDelta="0" init="7439.572432625474903034046292304992675781" maint="5606.731805251956757274456322193145751953"/> <currencyAmounts ccy="USD" ccyRate="1" conc="123539.8884095410467125475406646728515625" concDelta="0" concGamma="0" concSkew="52782.21809049486182630062103271484375" concVega="70757.6703190461848862469196319580078125" init="5278915.606078372336924076080322265625" maint="5908301.983667810447514057159423828125" skew="505846.4891798974131233990192413330078125"/> <currencyAmounts ccy="ZAR" ccyRate="0.0728586833000000044791022446588613092899" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="NOK" ccyRate="0.1194743129999999986523562256479635834693" conc="0" concDelta="0" init="25061.6983267905634420458227396011352539" maint="2994.22919020655217536841519176959991455"/> <currencyAmounts ccy="AUD" ccyRate="0.7468259895000000092579739430220797657966" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="SGD" ccyRate="0.7041757623000000076984861152595840394496" conc="0" concDelta="0" init="4457.799443212667938496451824903488159179" maint="3139.074321104796126746805384755134582519"/> <currencyAmounts ccy="JPY" ccyRate="0.00878889080000000086356770623297052225098" conc="0" concDelta="0" init="4473.535654369627081905491650104522705078" maint="39.31741635616119623364284052513539791107"/> <currencyAmounts ccy="PLN" ccyRate="0.2392401731999999892064323603335651569068" conc="0" concDelta="0" init="24016.926817352046782616525888442993164" maint="5745.813731515027939167339354753494262695"/> <currencyAmounts ccy="GBP" ccyRate="1.27275041360000007450992143276380375027" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="CZK" ccyRate="0.0397930759999999966725070521533780265599" conc="0" concDelta="0" init="8990.593129947714260197244584560394287109" maint="357.763355705087235492101171985268592834"/> <currencyAmounts ccy="HUF" ccyRate="0.0034297081000000000962357749045850141556" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="SEK" ccyRate="0.1096575394999999980560900780801603104919" conc="0" concDelta="0" init="0" maint="0"/> <currencyAmounts ccy="NZD" ccyRate="0.7137758744000000099561020761029794812202" conc="0" concDelta="0" init="0" maint="0"/> </amounts> </margin> </ns2:marginRpt>
Response for Futures and Options - when riskFramework = CURRENT(schema 1.12)

This response is intended for futures & options users interacting with CORE API SPAN 2 feature. There will be one single payload in each response - one where riskFramework = CURRENT containing SPAN 2 framework results including the Greeks sensitivities for Futures and Options.

Payloads in the response will be consistent with Risk API JSON message. Additional detail regarding parsing the Risk API JSON format can be found here.

Response for Futures and Options - Historic Margin Use Case

This response is intended for futures & options users interacting with historic margin use case. 

Payloads in the response will be consistent with Risk API JSON message. Additional detail regarding parsing the Risk API JSON format can be found here.





Response for OTC FX
Response for IRS cross-margined with PM elgible Futures & Options (schema 1.2)
Response for IRS cross-margined with PM eligible Futures & Options (schema 1.4)

No schema specified Margin Request
No Schema specified Response
Schema 1.1  specified Margin Request
Schema 1.1 specified Response
Schema 1.3  specified Margin Request
Schema 1.3 specified Response



See response table above for xpath and definition of these values.

Futures and Options Margin Parameter

Report

API

Example Value

How to Calculate

Futures and Options Margin Parameter

Report

API

Example Value

How to Calculate

Initial Margin

Total Portfolio Initial Margin

init

65594488.5



Maintenance Margin

Total Maintenance Margin

maint

61109337.5



Maintenance

Base Margin Amount

base

61109337.5

Provided to you

Long Option Value (LOV)

Long Option Value (LOV)

LOV

10337.5

Provided to you

Short Option Value (SOV)

Short Option Value (SOV)

SOV

16268175

Provided to you

Net Option Value (NOV)

Net Option Value (NOV)

optVal

-16257837.5

Provided to you and NOV = LOV - SOV

Additional

Not applicable to F & O

conc

0

Not applicable to Futures and Options, always 0

Concentration

Not applicable to F & O

conc

0

Not applicable to Futures and Options, always 0.

Long Futures Value (LFV)

Long Futures Value (LFV)

LFV

24633750000

Provided to you

Short Futures Value (SFV)

Short Futures Value (SFV)

SFV

0

Provided to you

Net Futures Value (NFV)

Net Option Value (NFV)

nonOptVal

24633750000

Provided to you and NFV = LFV - SFV

 

Errors

Code

Description

Code

Description

403

Returned if the user does not have permission to access the specified margin.

404

Returned if the requested margin could not be found.

500

The server was not able to process the request. More information (if available) will be provided in the error message.



Entity

Margin

Action

Get

URL

/margins/{id}

HTTP Method

GET

Parameter Input

Yes

XML Input

No

Multiple Output

No

Synchronous

Yes







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