WHAT IS REQUIRED FOR UMR COMPLIANCE?
Risk Factors Greeks
- Calculate sensitivities
- Import from service provider
- Import trades and calculate
Regulatory ISDA
- ISDA weights and correlations
- 10-day margin, 99% confidence level
- Regulator multipliers
Calculate IM
- Parametric VaR
- Regulator add-on
- Grid margin
- 2-way IM
- What-if IM
- ISDA SIMM
Collateral Management
- Wrong-way risk
- Concentration
- Cross-currency haircut
- Collateral segregation
Reconciliation Backtesting
- CRIF file
- AcadiaSoft MarginManager
- Exposure manager
- Hypo PL
- Margin explain
Onboarding Optimize
- 50m threshold?
- Margin currency?
- Regulators?
- Settlement?
- Time to market?
- Trouble shooting?
STEP-BY-STEP UMR COMPLIANCE WITH CALYPSO
- Margin agreements and CSA margin parameters
- Regulatory parameters
- Calculated in Calypso or imported
- Raw sensitivities can be sent to Calypso without regulator information
- CSA regulator information stored
- POST/COLLECT regulator margin information automatically enriched
- Regulator-specific margin requirements included
- Calculated from ‘pay and receive’ perspective
- Detailed margin decomposition on screen and as CSV
- Margin calculation under each local regulator
- Easy rerun in case of risk factor change
- Backtesting to comply with ISDA Governance framework
- CRIF and market standard reconciliation files generated
- Pre-trade analysis on existing portfolios by CSA agreement
- Incremental intraday update
- Simulation for optimal CSA and margin currency
- 2-way movement and segregation of collateral
- IOSCO regulatory concentration limits, wrong way risk checking and cross-currency haircuts
- Collateral rehypothecation control
- Out-of-box connectivity to Acadiasoft MarginManager
- BNP Paribas Securities Services, BNY Mellon, Clearstream, Euroclear and JP Morgan Chase
- MT527, MT558, MT569 message processing
- Agent allocation validation (valuation, eligibility, haircuts)
WHY CALYPSO
EXPERTISE
A key part of Calypso, our margin solutions have been battle-tested since 2010, when we started working with leading CCPs on their OTC Clearing offering.
PROVEN
End-to-end collateral management in an IOSCO-compliant system, including out-of-the-box connectivity to AcadiaSoft MarginManager and triparty agents. More than 70 clients use Calypso Collateral Management.
HIGHEST STP
Because IM is integrated with Calypso Collateral Management and Back Office, our clients benefit from the highest levels of STP in margin and collateral processes.
CSA ENRICHMENT
As a fully end-to-end system, CSA information required for margin adjustments (regulator multipliers/add-ons) is stored and can easily be combined with front-office trade information.
PERFORMANT WHAT IF
‘What if’ capabilities are provided for IM calculations from pre-trade stage. ‘What if’ is also available across clearing options to help to optimize IM funding costs.
TRANSPARENCY
Calypso’s end-to-end processing flow allows the tracking of every IM number, enabling drill down into the numbers if there is a discrepancy in the IM quoted by each party.
IMPLEMENTATION
We supported firms through IM implementation in the first three phases and helped them achieve sign-off from their local regulators, including FRB in the US, Japan’s JFSA and APRA in Australia.
ISDA LICENSED VENDOR
We have access to 500+ ISDA test cases with expected benchmarks, and the latest margin methodology white papers. These are part of the Calypso regression suite.
THE UMR CLOCK IS TICKING
CONTACT US NOW
For phase 5 entities time is running out, which is why we would like to share with you some insights we collected from financial institutions on how Calypso’s UMR solution can help build true operational and business advantages beyond the short-term compliance needs.
In these videos we go over the challenges that Phase 5 firms currently face and explain the importance of implementing a reliable and robust end-to end solution instead of a quick fix to manage UMR compliance.
If you have any planned or active projects around this area, we would welcome the opportunity to discuss how we can help your company achieve September 2021 compliance.
Part I
Part II
Additional Resources
Related Articles
Meeting The Initial Margin Challenge
A 3-part series of articles:
- Why you should have started the process now if you need to comply in 2020
- The advantages of using SIMM™ - a tried and tested standard IM methodology
- You don’t have to go it alone: Let Calypso Professional Services support you through IM compliance
Are you ready for UMR Compliance?
Download our brochure to discover how Calypso’s end-to-end BCBS/IOSCO uncleared margin rules (UMR) solution helps you.