Charles River Development and Cassini Systems have formalised a business alliance to automate the calculation of margin estimates and provide pre- and post-trade analytics in the Charles River Investment Management Solution (IMS) for OTC and exchange-traded derivatives.
Emerging regulations and clearing rules mandate that investment firms post initial margin (IM) when trading cleared and non-cleared OTC derivatives, futures, and options on futures. Together with Charles River’s post-trade processing and settlements, IBOR, and GIPS-compliant performance measurement, expanded collateral management capabilities provide investment managers with a complete front and middle office solution, the firm says.
Cassini Systems provides pre-trade IM estimates in real time for exchange-traded, cleared OTC, and non-cleared OTC derivatives and enables what-if analysis to help firms gauge the impact of IM on their portfolios, trades, and legal agreements. For cleared derivatives, firms can also determine the lowest cost central counterparties and futures clearing merchants to clear through. For non-cleared derivatives, Cassini estimates IM impact on portfolios by applying the ISDA Standard Initial Margin Model. It also provides end-of-day margin estimates for OTC and exchange traded derivatives.
“We focus solely on providing analytics that integrate trading, risk, margin, collateral and carry costs to buy-side firms,” says Liam Huxley, founder of Cassini Systems. “The ability to obtain pre-trade and end-of-day margin estimates directly from the Charles River IMS improves trading decisions by providing an accurate and consistent view of margin impact and lifetime trade costs across the trade lifecycle.”
Peter Lambertus, CEO, Charles River, adds, “We have been working with leading providers of collateral management services to complete our middle office solution. The alliance with Cassini Systems is an important step forward to help our clients automate collateral management functions including margin calculations and determine the most efficient use of margin.”