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ARE YOU READY FOR THE UNCLEARED MARGIN RULES?
Calypso provides an end-to-end integrated solution for UMR compliance - and beyond
Download the brochure       Watch our UMR Webinar Recording

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?

CALYPSO CAN HELP YOU

 

ACHIEVE

UMR compliance with ISDA-licensed, proven solution used by banks already in-scope

 

LEVERAGE

UMR compliance to minimize collateral cost by optimizing collateral management across cleared/uncleared trades

STEP-BY-STEP UMR COMPLIANCE WITH CALYPSO

Member Photo
  • 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
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Additional Resources

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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.