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Articles & Reports

29 SEP 2020

Initial margin threshold monitoring

By CME Group

Calculate, Monitor and Prepare – with a single trade file, TriOptima can calculate your IM exposure and give you the transparency you need to effectively monitor your IM thresholds.

A BCBS IOSCO statement in March 2019 provided guidance that firms in-scope for subsequent phases of the initial margin rules are not required to have legal documentation and custodial agreements in place, ahead of breaching the 50M threshold per counterparty group.

For larger firms, who expect to quickly breach the 50M threshold, there is no change. They need to continue preparing for the deadline as planned; selecting an IM calculation method and engine, establishing an IM collateral workflow and putting in place documentation with counterparties and custodians.

For smaller firms, who are likely to be under the threshold for a long time, or even indefinitely, this presents an opportunity to focus their resources on calculating and monitoring IM exposure. Active daily monitoring of IM exposure versus an internal tolerance amount will help firms to identify when, if at all, they need to prioritise CSA documentation and custody account setup.

A Holistic IM Monitoring Solution

TriOptima offers different IM threshold monitoring options – you can choose the one that suits your firm’s requirements; easily moving from one method to another as your business needs change:

SCHEDULE

1a. Schedule: triResolve report

  • Uses the trades you upload today in triResolve
  • triResolve calculates IM exposure for in-scope trades using a Schedule-based approach
  • Download your IM exposure report in triResolve for free

1b. Schedule: Automated monitoring

  • Uses the trades you upload today in triResolve
  • triResolve calculates IM exposure for in-scope trades using a Schedule-based approach, and feeds the results directly to triResolve Margin
  • triResolve Margin monitors IM exposure vs. your internal tolerance
  • Receive automatic email alerts when your internal tolerance amount is breached – allowing you to prioritize the deferred documentation tasks

SIMM

2a. SIMM: triCalculate report

  • triCalculate calculates SIMM sensitivities in the CRIF file format
  • SIMM IM pledgor and secured amounts are determined across all in-scope relationships
  • triCalculate SFTP’s results back to the client for in-house monitoring

2b. SIMM: Automated monitoring

  • triCalculate calculates IM exposure for in-scope trades using SIMM, and feed the results directly to triResolve Margin
  • triResolve Margin monitors IM exposure vs. your internal tolerance
  • Receive automatic email alerts when your internal tolerance amount is breached – allowing you to prioritize the deferred documentation task

Regardless of which monitoring option you use, once an internal tolerance is breached, and assuming an IM CSA is then signed, you can easily switch from IM monitoring to IM margining with your counterparty.

Key Features

  • One automated solution to calculate, validate and monitor your IM exposure - no implementation required
  • Seamlessly transition from IM monitoring to IM margining when a CSA is executed
  • Everything you need upon threshold breach at no extra cost (automated call exchange, securities collateral pledge/accept, settlement connectivity)
  • Pay as you go pricing inclusive of MarginSphere fees. Fees are charged only in respect of in-scope IM trades and agreements
  • All ongoing support, maintenance and upgrades included
  • Fully automated IM monitoring workflow reduces operational burden and allows you to save valuable resources

For more information, please email info@trioptima.com or contact your local TriOptima office.