Aurora buys Cygnifi Analytics

Aurora Software, a New York-based technology firm for fixed-income trading, has bought the Cygnifi Analytics Library. Cygnifi, the New York-based online derivatives service provider spun-off from JP Morgan in 1999, filed for Chapter 11 bankruptcy protection in October last year, after the firm failed to secure its second round of financing, thought to be around $20 million.

Cygnifi's Analytics Library, based on the JP Morgan Analytics Library, took seven years and millions of dollars to develop. With a wide range of analytical functions, the library acts as a building block for the valuation and risk management of fixed-income derivatives products.

Aurora said it will integrate the Analytics Library into its WinFITS platform, an over-the-counter options trading system. WinFITS manages portfolios of treasury, agency, futures and mortgage options. The integration of Cygnifi's analytics should mean that Aurora will be able to add support for swap-related derivatives.

Neil Arora, chief executive of Aurora Software, refused to disclose the price paid for Cygnifi’s library, but added that his company would consider other acquisitions.

"We felt that as swaps and swaptions are now becoming the preferred hedging vehicle, we needed to get hold of some analytics to continue to service the fixed-income market, and Cygnifi has a very good reputation in this area,” said Arora.

Cygnifi was facing problems well before the firm filed for Chapter 11 in October last year. In July 2001 it terminated its ambitious plans to become a leading third-party provider of collateral and counterparty credit risk management services, resulting in the redundancies of at least 25 of its 110-strong workforce.