Eris Exchange announced a partnership with Cassini Systems to give market participants a better way to assess the costs of trading swap futures as an alternative to OTC swaps. Customers will be able to submit sample portfolios of OTC swaps and run an analysis to identify whether the swap futures listed on Eris will result in lower margins.
The key factor driving demand for this system is the adoption of clearing, which introduces a whole slate of new factors into the decision process. Cassini's system takes a number of inputs, including risk, limits, fees, margin and collateral, into a decision support engine that sizes up the all-in cost of a potential trade, making it easier for derivatives traders to run a cost comparison before choosing which product to trade.
According to the two companies, customers can submit a sample portfolio of OTC contracts or a delta ladder and the Cassini-powered calculator will generate a report that specifies a matching replacement portfolio of margin-efficient Eris positions, along with an estimate of the margin cost savings.
“At Cassini, we have focused on creating systems for pre-trade decision making that change the way users trade LIBOR risk and use listed derivatives in their portfolios,” said Marc Knaap, head of sales for Cassini Systems. “Our focus on innovation to improve trading decisions in the post Dodd-Frank and Basel III environment is underscored by our new relationship with an industry leader, Eris Exchange.”
Eris is not the only exchange that Cassini is working with. The company can test the impact of proposed trades against all available clearing options, and recommend which collateral within the customer's inventory is cheapest to deliver. The company also has a partnership with CME Group to provide initial margin estimation for swaps, swaptions and future, and integrates LCH.Clearnet's margin optimization tool to provide initial margin estimation intra-day for interest rates and FX products, including portfolio margin offsets.
