Margin analysis and attribution

drill down into margin changes at any level. attribute margin costs back to the originators of risk

What is margin analysis and attribution?

Cassini provides a set of tools that enable you to understand the drivers behind your margin requirements and capital consumption, risk manage IM levels, and explain large changes in IM requirements.


See a consistent view across all products and agreements, for ETDs, Cleared OTC, and Bilateral trades.

These tools include:


Margin Analytics Dashboard

A unified dashboard that covers all yoru legal agreements across cleared, ETD and bilateral

  • See IM movement analysis, day on day or intra day
  • See breakdown by CCP, currency, asset class
  • See SIMM and CRIF detail in same view
  • See limits and headroom in one place

A great Front Office tool to see key exposures, limits and margin headroom at Start of Day and as trading activity happens intra day.


Attribution

A calculation model that can attribute margin consumption down to any level of the portfolio hierarchy including at strategy, and trade level. See below for more detail on attribution models.


Margin Unwind Risk

A funding risk management tool that highlights the impact of close out or expiry of different trades.


Limit Monitoring

Limit monitoring on IM, risk or notional levels across portfolios, counterparties, or legal agreements


features

Our Margin Analysis and Attribution service can:


Display a high level dashboard for entities, portfolios and strategies

Drill down to trade level or any structure you choose


Show an IM movement analysis for Base IM, CCP add-ons and Broker add-ons


Show a limits overview including consumption and headroom




Be updated at any time of day – not just end of day


Handle multi-asset class portfolios across cleared, uncleared, OTC and futures


Support attribution models including pro-rating and Incremental


learn more about our margin attribution models

benefits

This set of tools provide a range of benefits through greater business control and funding transparency including:


Track IM consumption by portfolio, strategy, and trade

Allocate the cost of capital back to trading books and strategies


Identify potential funding shortfalls

Real time monitoring of IM, Collateral, Cost and Risk limits with dynamic alerts

IM move explanations – day on day and intra-day movements


Enforce IM analytics as part of your trade controls front to back

margin attribution models

With any approach to margin, deciding how trades contribute to total legal entity IM needs careful thought. Trades offset each other when grouped in strategies or portfolios.  

The way in which your organization is structured may have an effect on margin – a portfolio needs to carry the underlying cost of margin even if it happens to be offset by other trades.


The Marginal Approach


This method derives portfolio margin by calculating the effect of removing a selected portfolio and calculating the change in IM. By subtracting the portfolio, you see the effect of adding the portfolio back into the overall legal agreement IM.


This method determines the amount of margin the portfolio brings to the overall legal agreement. It allows for offsets between the chosen portfolio and the whole legal entity agreement IM.

The Pro-rating Approach


This method comes from another direction and calculates the IM for each portfolio on a standalone basis, then attributes the margin as a ratio of each portfolio contribution to the whole.


Compared to the Marginal approach, this ignores offsets between portfolios, as they are calculated individually and treats each portfolio separately as if they were their own businesses.

which method fits your business?
Image

Breakdown IM by any portfolio structure to map costs to originators

Get in touch with one of our experts

Click below and learn how Cassini can benefit you and your firm.