Initial Margin for all assets and agreements. Pre and Post Trade. Cleared and Uncleared OTC, ETD and PB portfolios.
What is margin calculation?
The Cassini Margin Calculation service supports IM calculation for all asset classes and margin agreements. IM can be calculated for official end of day positions, or at pre-trade and intra day times for upfront management of margin exposure
Four different markets require initial margin calculation:
Prime Broker Portfolios
The Cassini Margin Estimation service provides IM calculations for all these markets with wide product coverage.
CLEARED OTC DERIVATIVES
IM calculated using models provided by Clearing Houses
LCH, CME, Eurex, ICE
IRS, Swaptions, Inflation Swaps, CDS, NDF / CSF
SPAN based margin supported by Cassini using Risk Array feeds supplied by exchanges
90+ exchanges covered
Bespoke exchange margin models also supported
UNCLEARED OTC DERIVATIVES
SIMM™ based margin using Cassini calculator
Calculate sensitivities or pass in from in-house pricers
Supports bespoke uncleared IM models via workflow and API plugins
Prime Broker bespoke margin models also offered with third party partner
PB methodology replicated and required data is supplied and managed
cassini supports cleared otc markets
For cleared OTC markets Cassini supports:
LCH SwapClear & CDSClear
CME OTC Clearing
Eurex OTC Clearing
ICE CDS Clearing
Our service utilises the official APIs and calculation services from those CCPs to exactly match their IM calculations.
We support products including:
Interest Rate Swaps
Interest Rate Swaptions
Credit Default Swaps
Cleared Swap Futures.
cassini supports the uncleared otc market
Cassini is an official licensee of ISDA SIMM™ and can calculate your Initial Margin exactly in line with the way SIMM™ is specified.
Regulations allow firms to use the grid or scale approach for IM. This uses notional values to derive the IM amount and in almost all cases will result in an IM figure far higher than using ISDA SIMM™. The Cassini services covers a wide product range, keeping as many trades as possible within SIMM™ and minimising the IM amount.
IM and SIMM Calculation For Uncleared OTC
Our service can take your own calculated sensitivities in a CRIF file format
Our service can also calculate your sensitivities for you
Runs at any time during the day to support the entire trade lifecycle. Not just end of day as some services offer
Two-way calculation – both for your firm and the expected IM from your counterparties
our simm™ calculator supports
Pre-trade decision making
Pre-trade limit checks
Pre-trade routing and optimal execution
Margin attribution by strategy, desk, trade or portfolio
Margin scenario analysis for long term portfolio optimization
Portfolio novation into clearing
Portfolio compression into IMM Swaps or Swap Futures
Monitoring and management of the 50 million UMR IM threshold
Explanation of IM drivers and long-term behaviour from market moves and portfolio composition changes
Help reconcile IM disputes with counterparties
cassini supports exchange traded markets
Our service supports the IM models from 90+ exchanges using SPAN and risk arrays. We also support custom exchange models too.
CASSINI SUPPORTS PRIME BROKER MARGIN RELATIONSHIPS
Via a third-party partner we support margin calculations for firms using Prime Brokers. We replicate and test the PB models and can receive and manage the data required to complete the calculations.