isda simm™ & UMR
Calculate your sensitivities and SIMM™ margin requirements for all assets with Cassini Systems, an official licensee of ISDA SIMM®™.
Calculating bilateral margin under SIMM™ requires the calculation of sensitivities for all asset classes covered by UMR. For many buy-side institutions, this can seem like a daunting and laborious task.
Cassini solves these problems with a fully featured end to end SIMM™ Calculation Service which can calculate your sensitivities and SIMM™ margin requirements for all assets covered by UMR.
With Cassini you can:
Calculate SIMM™ for your collateral management process at end-of-day
Calculate SIMM™ on demand – pre-trade, intra-day and end-of-day, to help you reevaluate trading strategies to reduce the capital impact of SIMM™
Generate sensitivities in required CRIF format for a complete end-to-end SIMM™ calculation
Supply your own existing sensitivities in any format if required. Cassini will transform these into CRIF for you
Estimate SIMM™ intra-day on a live portfolio, or on new trades at pre-trade with ‘What-if’ analysis
cassini supports cleared otc markets
For cleared OTC markets Cassini supports OTC IM across major CCPs and use the native model and data provided by the CCP where available.
We support products including:
Interest Rate Swaps
Interest Rate Swaptions
Inflation Swaps
Credit Default Swaps
Non-Deliverable Forwards
Cleared Swap Futures.
cassini supports the uncleared otc market
Cassini is an official licensee of ISDA SIMM®™ and can calculate your Initial Margin exactly in line with the way SIMM™ is specified.
Regulations allow firms to use the grid or scale approach for IM. This uses notional values to derive the IM amount and in almost all cases will result in an IM figure far higher than using ISDA SIMM®™. The Cassini services covers a wide product range, keeping as many trades as possible within SIMM™ and minimising the IM amount.
IM and SIMM Calculation For Uncleared OTC
Our service can take your own calculated sensitivities in a CRIF file format
Our service can also calculate your sensitivities for you
Runs at any time during the day to support the entire trade lifecycle. Not just end of day as some services offer
Two-way calculation – both for your firm and the expected IM from your counterparties
improved returns with cassini simm™ on-demand
The Cassini SIMM™ service is real-time – that means individuals and teams can find out the SIMM™ amount across funds, portfolios and strategies at any time – on demand – during the trading day, not just end of day.
Cassini is the only vendor able to provide this level of analytics and optimisation for you and your firm.
While posting Initial Margin is an End-of-Day process – and a key step to compliance – being able to understand your IM impact “On Demand”, throughout the day, with real and hypothetical portfolios, will allow for improved decision making and increased portfolio returns.
With Cassini:
A portfolio manager can model a strategy and test for lifetime IM impact
The credit risk team can monitor IM during the day and carry out limit checks
Treasury can forecast IM for T+1 to build their funding requirements
Your collateral team get full SIMM™ post and call figures at the end-of-day
UMR AND SIMM™: STAYING UNDER THE $50MM THRESHOLD LIMIT
If your firm can successfully – and continuously – monitor, manage and demonstrate that your IM will stay beneath the $50mm threshold, you need not implement the margin agreements and settlement arrangements for IM.
But, how will you ensure your portfolios will not breach the UMR 50 million Threshold, now and in the long term?
Remember, should your firm go over the 50 million threshold, you must achieve compliance with UMR immediately, including all necessary margin agreements with your counterparties and suitable custody arrangements for settlement.
With Cassini, you can better understand when your portfolios may breach the 50million threshold with our Margin Limit Monitoring Service.
This service also enables you to:
Use our SIMM™ calculator for pre-day, intra-day and end of day calculations
Find out the total IM required for your portfolios under UMR
Monitor the IM amount due to portfolio changes
Determine whether you can stay under the 50 million in the long term by running ‘what-if’ scenarios
Even if you are eligible to stay under the IM threshold you still need to:
Implement an approved IM model (such as ISDA SIMM®™)
Receive regulatory approval for your IM implementation (depending on jurisdiction)
Establish operational procedures for running the IM model and managing the results
Communicate with your counterparties on this approach
Establish an operational threshold which triggers mitigating action
Cassini can ease the burden of these problems with a powerful, fully featured margin limit monitoring service.
Click the button below to further understand when you may breach thresholds, as well as how to remain compliant, if, and when you do.
THE CASSINI SIMM™ SOLUTION
Cassini offers a fully featured SIMM™ calculation service that can be seamlessly integrated into your workflow.
With Cassini you can:
Calculate SIMM™ for your collateral management process at end-of-day
Calculate SIMM™ on demand – pre-trade, intra-day and end-of-day, to help you reevaluate trading strategies to reduce the capital impact of SIMM™
Generate sensitivities in required CRIF format for a complete end-to-end SIMM™ calculation
Supply your own existing sensitivities in any format if required. Cassini will transform these into CRIF for you
Estimate SIMM™ intra-day on a live portfolio, or on new trades at pre-trade with ‘What-if’ analysis
WANT TO FIND OUT MORE ABOUT HOW SIMM™ IMPACTS YOU?
See our software in action
See our software in action. Ask for a demo and we can explain how to get going with the Cassini services.
