Margin calculAtion

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.


IM calculated using models provided by Clearing Houses

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


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 offered

PB methodology replicated and required data is supplied and managed


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

cassini supports cleared otc markets

For cleared OTC markets Cassini supports OTC IM across major CCPs and use the native model and data provided by the CCP where available.

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.


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.