The current environment 2021 was an unprecedented year for market performance, where broad-based indices across major markets outperformed long-term averages. Heightened volatility observed in 2020 subsided with the VIX reverting to its long-term average. The US Large Cap, Mid Cap, … Read More
PRA Reviews the ISDA SIMM Model: What it means and what to expect
PRA Review on ISDA SIMM – Background With the upcoming (Uncleared Margin Rules) UMR Phase 6 deadline in mind, the Prudential Regulation Authority (PRA) has carried out a comprehensive review of the ISDA SIMM model. The focus of this has … Read More
Collateral Optimization: Take Control of Your Trading Costs – From Pre-Trade to Post-Trade
Ingvar Sigurjonsson, State Street’s Financing and Collateral Solutions Head of Analytics and Optimization, and Marc Knaap, Head of Business Development and Partnerships at Cassini, take a look at front-to-back collateral management optimization frameworks – from pre-trade to post-trade, and why … Read More
UMR Phase 6: Easy steps to rethinking margin management ahead of the deadline
Uncleared Margin Rules When previously discussing Phase 6 of the Uncleared Margin Rules (UMR), we have mainly considered the derivatives industry’s challenge in bringing the final round of firms into compliance with the regulation. We delved into pre-trade analytics and … Read More
Phase 6 UMR: SIMM vs GRID, and which approach is best for your firm
Written by Vardaan Kohli, Senior Product Specialist, Cassini Phase 6 UMR: SIMM vs GRID, and which approach is best for your firm The Uncleared Margin Rules (UMR) Phase 6 deadline is fast approaching, with the International Swaps Derivatives Association (ISDA) … Read More
Hedge Fund Statistical Arbitrage Strategies – Pairs Trading in the Post-UMR World
Written by Vardaan Kohli, Senior Product Specialist, Cassini SIMM Margin can be 300% higher than PB Margin for pairs trades. Below, we explain why this is, and how this will impact Hedge Funds going forward. Background One of the key … Read More
Pre-trade Analytics: The Precursor to UMR Threshold Monitoring and Cross Asset Margin Management
Whether you are a Phase 6 firm working to monitor your margin to keep under the UMR threshold come September, or a Phase 4, 5, or 6 firm looking to support cross-asset margin management; pre-trade analytics is essential to support … Read More
UMR in scope, or not in scope – that is the question?
UMR in scope, or umr not in scope – that is the question? Nine months may seem like a long time to prepare for phase 6 of the Uncleared Margin Rules (UMR), but if regulatory history is any guide, it … Read More
ASFA Webcast: Collateral is now an asset class – controlling margin and funding costs
Beyond 2020 Webcast Series, Episode 22 “Collateral is now an asset class” In ASFA’s latest webcast, CEO Martin Fahy is joined by Greg Ballesty, APAC lead – Product Specialist and Marc Knaap, Head of Business Development, at global margin analytics specialist, … Read More
UMR Backtesting: Here to stay
For years, Phase 5 and 6 firms captured by the Uncleared Margin Rules (UMR) have been anticipating that the regulation’s backtesting-benchmarking requirements were to be dropped. Now, those firms have to act, as the draft Regulatory Technical Standards (RTS) on … Read More
