UMR Compliance and Beyond in 6 steps
As Margin Analytics specialists, Cassini’s team are experts in Uncleared Margin Rules (UMR) compliance and best practice. We have significant experience in deploying our SIMM solution to buyside and sellside firms, specifically in assisting firms to deploy UMR solutions that fit their business model. Simply follow our 6 steps to UMR Compliance and beyond.
1
Calculate AANA for 3-month period
Over the $8 billion threshold? Move to step 2
Cassini Solution
Our Average Aggregate Notional Amount (AANA) Regulatory Monitoring Report provides full AANA calculations acrosss all jurisdictions. This step is to be repeated each year.
2
Calculate your Initial Margin under UMR
Cassini Solution
We offer a fully featured SIMM Calculation Service available at End of Day, Intraday or On-Demand.
Apply SIMM and/or GRID.
Move to step 3
3
Monitor your SIMM / GRID Threshold
You need tools in place to continuously monitor your IM
IM exposure over $50 million?
Move to step 4
Cassini Solution
- 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
4
Include your IM exposures in your collateral management process
You must now have:
Cassini Solution
Cassini’s Threshold tools allows you to monitor andforecast your IM levels so you can demonstrate compliance while avoiding the cost of IM posting.
Legal agreements for IM with your counterparties
Ability to move
non-cash collateralAccess to custodian or TPA (third party administrator)
CONGRATULATIONS
YOU ARE NOW COMPLIANT UNDER UMR
5
But why not move past simply being compliant, and trade smarter?
Add your OTC cleared and ETDs (F&Os) and use Cassini to determine the margin of all your derivatives trades at pre trade, to reduce your overall IM.
6
Create a margin & collateral optimization hub
Include your collateral pool, fees (CCP and broker fees) and funding costs to create a true margin and collateral optimization hub, resulting in optimized carry costs on all your trades.
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