simm™ on demand
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:
Deploy SIMM™ calculator on premises and integrate into all your own workflows. Complete control over all your trade data, or used our dedicated hosting service
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
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.
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.
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
WANT TO FIND OUT MORE ABOUT HOW SIMM™ IMPACTS YOU?