Margin calcultion

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:


Uncleared OTC


Cleared OTC


Cleared ETD


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


ETD DERIVATIVES

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



PB MARGIN

Prime Broker bespoke margin models also offered with third party partner


PB methodology replicated and required data is supplied and managed


Image

View the IM for OTC and ETD products, combined with execution route comparisons

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


Inflation Swaps


Credit Default Swaps


Non-Deliverable Forwards


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.

Get in touch with one of our experts

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