Since Uncleared Margin Rules (UMR) went live in 2016, only a small number of firms have been impacted by Phases 1-4. But by September 2022, an estimated 1,000+ additional entities will be subject to UMR for initial margin (IM).
Learn why capital efficiency is more critical than ever in choosing instruments to gain equity exposure, accelerating the adoption of listed derivatives.
Getting ready for UMR can be a significant, time-intensive undertaking for firms not familiar with posting initial margin. Knowing if your firm is impacted is critical to plan accordingly.
Thresholds in the US & EU
| Thresholds | ||
|---|---|---|
| UMR Phase | US (in USD), EU (in EUR) | Initial Margin Compliance Date |
| Phase 5 | 50 billion | 1-Sep-21 |
| Phase 6 | 8 billiion | 1-Sep-22 |
Observation Phases 5 & 6 in the US & EU
| Phase 5 - Sept 1, 2021 Compliance Date | Phase 6 - Sept 1, 2022 Compliance Date |
|---|---|
Observation Period: March, April and May 2021 |
Observation Period: March, April and May 2022 |
| Calculated daily on US, monthly in EU | Calculated daily on US, monthly in EU |
| AANA threshold: > 50 billion (USD, EUR) | AANA threshold: > 8 billion (USD, EUR) |
*New dates released by BCBS & IOSCO, and each are subject to respective jurisdictions.
AANA is what regulators use to determine whether a firm is in scope for IM in Phases 5 & 6. Asset managers, banks, hedge funds, corporates, pensions and more may be subject to the requirements.
AANA is based on the open gross notional value of all non-centrally cleared derivatives during the designated calculation observation period for the phase.
Included: |
Not Included: |
|---|---|
|
|
This is not an exhaustive list. For a detailed list, visit ISDA.
Asset class |
Initial margin requirement |
|---|---|
Credit: 0–2 year duration |
2 |
Credit: 2–5 year duration |
5 |
Credit 5+ year duration |
10 |
Commodity |
15 |
Equity |
15 |
Foreign exchange |
6 |
Interest rate: 0–2 year duration |
1 |
Interest rate: 2–5 year duration |
2 |
Interest rate: 5+ year duration |
4 |
Other |
15 |
Where you are located (US or EU) will help determine how your firm’s AANA is calculated, when/if you will be captured under UMR Phases 5 & 6, and when you must start posting IM.
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Uncleared margin: The changing needs of buy-side firms
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UMR: can participants capitalise on extra time?
For financial institutions, the recent decision by regulators to delay the final two phases of the uncleared margin rules (UMR) certainly provides additional time, but it needs to be used effectively to seek out operational efficiencies across the business.
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Webinar: Getting ready for initial margin compliance
Watch this webinar to hear discussions on key topics to help you determine if you’re captured by the requirements, and if you are, how to successfully navigate the implications for your business.
Register >
Find out how our global solutions can help you throughout the entire UMR process, from meeting IM requirements, adding capital efficiencies, to reducing costs and core business disruptions.
If your firm is close to a UMR threshold, explore multiple ways to lower your AANA.
Use compression services
Use triReduce to compress notional outstanding and line items in your OTC derivatives portfolio, via multilateral compression cycles.
Scalable for use in multiple asset classes for cleared and non-cleared relationships:
- Rates
- FX
- Credit
- Commodities
Part of the market-leading TriOptima suite of solutions
Read more >
Voluntarily clear OTC products
Use our multi-asset OTC cleared offering to add the margin efficiencies of clearing to your OTC portfolio.
Rates
Cleared IRS in 24 currencies USD swaptions
Read more >
FX
11 NDFs, 26 CSFs, 7 FX options
Read more >
Cleared
Use CME CORE to calculate and compare IM for listed and cleared OTC CME Group products.
Read more >
Additional tools
Portfolio margining, coupon blending, compression services
Read more >
Move vanilla bilateral exposures to futures
Use our diverse futures and options lineup to replicate vanilla bilateral OTC exposures and reduce in-scope notional outstanding, as follows.
Rate swaps
Eurodollar and Treasury futures and options, MAC swap futures
Read more >
FX forwards
FX monthlies, FX options, FX Link
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Equity total return swaps
S&P 500 Total Return futures including new Adjusted Interest Rate (AIR) Total Return futures, Dividend futures, Select Sector futures
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Explore solutions to integrate daily IM calculation, communication and reconciliation tasks into the collateral management process for your derivatives portfolio.
Calculate daily margin requirements
Bilateral
Use triCalculate, which has licensed the ISDA SIMM margin model, to calculate IM exposure.
Read more >
Cleared
Use CME CORE to calculate and compare IM for listed and cleared OTC CME Group products.
Read more >
Agree to margin calls with your counterparties
Bilateral
Use triResolve Margin to calculate and automatically agree to your Initial Margin calls and collateral movements with your counterparties.
Read more >
Resolve margin disputes with ease
Bilateral
Use Acadia’s IM Exposure Manager to help identify exposure differences and resolve disputes.
Read more >
Minimizing exposure against each counterparty and optimizing net funding amounts can help lower bilateral margin requirements.
Optimize counterparty risk exposures
Use triBalance to rebalance bilateral and cleared counterparty risk for greater margin efficiencies and to keep your portfolio market-risk neutral.
triBalance takes the next step in portfolio optimization by innovating a trusted, simple, uniform process for managing your portfolio risk and counterparty exposure.
Read more >
Use voluntary clearing
Use CME Group cleared OTC products where possible to lower requirements from 10-day margin on uncleared bilateral exposures to the 5-day margin on cleared OTC.
You also can add counterparty netting benefits by clearing all trades in a single account instead of bilaterally across multiple counterparties (UMR margins are calculated at the counterparty level).
Read more >
Shift to futures
Use CME Group futures and options where possible in place of vanilla swaps to further reduce requirements to the 1-2 day margin of standardized listed products.
As with voluntary clearing, CME Group futures and options offer counterparty netting benefits.
Read more >
See the difference UMR solutions can make to your IM costs. The example below shows a real portfolio of FX options. By applying one of our solutions to address IM costs, the client can add significant potential savings. Clearing delta hedges would add to the IM efficiencies of using OTC clearing or exchange-traded derivatives.
FCA Fact Checker
Find out more about the margin requirements for uncleared derivatives that started to be phased in 2017.
ISDA Checklist
View ISDA’s 8-Step Guide to getting ready for Initial Margin regulatory requirements.
UMR FAQ
Get answers to common questions on UMR and compliance.
Greenwich TCA Study
Buyside firms may save up to 70% in execution costs on some trades by using listed FX options.
ISDA Resource Hub
View tools, thought leadership articles and guides for your non-cleared margin rules needs
Learn More About Our Initial Margin Solutions
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