UMR, SIMM and AANA Optimization and Reporting tools
UMR & SIMM™ Threshold Monitoring & Optimization
Monitor your SIMM Initial Margin (IM) levels and proactively manage your relationships to stay under the Uncleared Margin Rules (UMR) $50m (or jurisdictional equivalent) margin posting thresholds.
UMR Phase 5 and Phase 6 bring many asset managers into scope but there is a separate threshold that determines whether or not margin has to be posted. If your firm can monitor and demonstrate that your IM will stay beneath the threshold, you need not implement the operational arrangements to post collateral on those agreements
Cassini’s SIMM Threshold Monitoring tools enables:
Independent calculation of SIMM & GRID so you don’t have to rely on your dealer’s values
View daily or weekly monitoring of IM levels vs thresholds on all your counterparty relationships
Receive automated alerts on Thresholds, via email or reports
Test portfolio growth to forecast possible future breaches
Identify novation opportunities to remain below the threshold
For more advanced analytics and functionality you can also:
Specify standard growth scenarios and include in daily testing
Setup an automated SIMM optimization and receive proposed portfolio changes to remain below the SIMM posting threshold
Use Cassini UI to run novation or monitor IM in dashboard.
Download the factsheet
How does Threshold Monitoring work?
You can use the quick sign-up SaaS service or access via your own
dedicated cloud instance via Amazon Web Services, or be deployed
on premise. Either way the process is simple:
1. Send Cassini your trades
2. We will calculate all CRIF, SIMM and GRID IM results
3. We will compare these results to your limits and thresholds
4. We will generate a report or alert emails
AANA Reporting Service
Cassini will process a one-time snapshot of your current active derivative trades and provide a full AANA report, for free. This will also provide guidance on where you have opportunities to reduce AANA levels.
- Calculate your Average Aggregate Notional Amount (AANA) as of today across all your entities for free with the Cassini AANA Snapshot report. Then, calculate your AANA on a recurring basis and across your regulatory observation period in 2021 or 2022 with the Cassini AANA Regulatory Monitoring Report.
- Analyze your AANA by tracking the calculation and warning thresholds over time, to ensure you can plan ahead and manage when your firm may move in or out of scope for UMR.
- Reduce your AANA with recommended trade moves to get below the AANA threshold, delay your in-scope phase and minimize the impact of UMR on your firm.
The AANA Reporting Service contains:
The AANA calculation for each of your entities
Total notional of excluded trades
Count of included and excluded trades
The reduction in AANA you could achieve through optimizing your portfolio
Features of the Cassini AANA Reporting Service:
Quick and simple to run
Easy upload of data
Identify the lowest AANA level possible with simple trade moves
Delay your in-scope phase for UMR
Download the factsheet
More to discover
Talk to us and take control of AANA and UMR:
Download our paper on AANA Monitoring and Optimisation Strategies:
IM Optimization and much more
As well as offering pre-trade transparency on IM costs, Cassini offers a full front to back analytics platform for margin and collateral. Discover our products below