Best UMR service of the year: Cassini Systems

Liam Huxley, Cassini Systems
Liam Huxley, Cassini Systems

Cassini Systems provides pre- and post-trade margin analytics for derivatives markets, and specialises in best-practice uncleared margin rules (UMR) compliance. The platform provider has significant experience helping implement UMR systems for asset managers, insurance firms and top-tier hedge funds.

Cassini has given buy- and sell-side firms that fell in-scope in UMR phases four and five, and those potentially falling in-scope in phase six, the ability to meet UMR compliance or remain under the threshold for exchanging initial margin (IM).

In 2021, Cassini’s analytics were chosen for integration into BlackRock’s Aladdin platform, which has been widely adopted by buy-side firms. The integration makes Cassini’s margin and collateral analytics, and optimisation tools available to Blackrock and all of its clients from directly within Aladdin.

The margin analytics allow firms to calculate and monitor average aggregate notional amount (AANA) exposure to determine if they would be in-scope in UMR phases five or six. Many phase five and six firms want to stay below the UMR threshold to avoid needing to post IM. Cassini’s standard initial margin model (Simm) novation analytics allows firms to maintain an optimal portfolio against their counterparties that stays below the threshold.

Beyond compliance, the platform helps firms reduce their derivatives trading costs by leveraging pre- and post-trade optimisation of Simm. The pre-trade UMR/Simm threshold monitoring service covers margin, collateral and cost analytics for all derivatives classes. It integrates the front office into post-trade collateral management, treasury and risk systems, bringing post-trade data into the pre-trade process on a real-time basis. In this way, Cassini allows firms to make strategic trading decisions in a pre-trade environment that factors in post-trade metrics.

Cassini Systems provides a new layer of transparency over margin impact drivers and optimisation of margin consumption, and supports the entire Simm calculation workflow. In particular, the service allows firms to calculate sensitivities and Simm requirements for all assets under UMR. Calculating bilateral margin under Simm is a complex task that requires the calculation of sensitivities for all bilateral trade types. And the IM requirement under UMR can create a portfolio drag. So portfolio managers need to understand Simm margin consumption and optimise their margin wherever possible.

To address these challenges, firms can access intraday margin and Simm results and drivers rather than batch overnight margin calculations. The platform offers modelling of all post-trade costs, pre-trade, allowing clients to integrate optimisation into all steps of the trade lifecycle and minimising the impact of derivatives trading costs.

Judges said:

  • “Great to see endorsement from BlackRock.”
  • “Impressive that the AANA monitoring service is available via Aladdin.”
  • “The novation analytics tool means this is more than just a margin calculator.”

Liam Huxley, Chief Executive and Founder of Cassini Systems, says:

“We are thrilled to have won this award – especially given the range and quality of the other nominees. Our focus has always been on the bigger picture: providing the buy side with a Simm solution to help proactively manage collateral levels and the costs of trading derivatives. We have been able to help some of the biggest asset managers manage the impact of UMR on their business and gain competitive advantage. We are particularly proud that the value of this fully embedded margin and collateral approach has been recognised by”

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