Cassini Adds Eris Data to Recommendation Engine to Optimize Swaps Trades

Kevin Wolf, chief business and product development officer at Eris, says the exchange hopes the tool will provide a compelling case to anyone trading swaps that they should trade on Eris. 

“We have our interesting and relatively new product that has advantages over some of the other products out there in terms of lower margin and lower clearing costs from FCMs (futures commission merchants), as well as product design. And our mission is to educate potential end users. But what Cassini’s tools do is…make that more customized and show a potential end user what the numbers look like for their trades and portfolios,” Wolf says.

“The premise of Cassini is that—especially in the derivatives world—the market is changing and evolving rapidly, such as how new regulations are affecting processes. And it seemed to us that these markets would move to a more structured style of trading… where the cost and funding factors of a trade would become more significant,” says Liam Huxley, founder of Cassini Systems. “For the end-client, Cassini allows them to trade more cheaply and to manage collateral more effectively.”

“A portfolio manager specifies target trades, and we analyze that… to show the costs and funding requirements over the life of the trade,” Huxley says. “Another tool allows a client to send us a portfolio of trades, and we can identify a smaller list of cheaper trades using Eris Futures that give equivalent exposure.”

Cassini already connects to CME Group and LCH Clearnet, and is currently testing connectivity to Eurex, giving it sufficient market coverage to model data and identify potential better trades on Eris in real time.

The vendor also uses its connection to CME to source Eris market data, since CME redistributes Eris’ data via a channel on its MDP data platform. Because Cassini already connects to CME data, it had already done the bulk of work to also access Eris data, Huxley says.

Both sides acknowledge that they are in the “early days” of figuring out how they can work more closely together to help clients leverage the recommendation engine for portfolio analysis and perhaps over time as a more trade-specific tool, using Eris data.

“We don’t have a commercial agreement [with Cassini]…. Clients might be able to upload their swaps portfolio to Cassini’s tool without Eris’s involvement,” Wolf says. “What we find very powerful about their tools is that they really capture cost analysis in terms of the way that the market is, and how it is moving forward. A few years ago, people weren’t talking about margins, clearing costs, or using replacement products to reduce costs. So rather than that traditional view, Cassini’s tools are designed for where the market is going… as the buy side pays more attention to these costs.”