“The original intent of the G20 – to promote central clearing – has translated into bilateral margin requirements that can be twice as high as those for cleared…”
UMR will capture firms with at least $50bn in uncleared derivatives notional exposure in 2020 – and expand to all those with at least $8bn of exposure in 2021. As a result, trading derivatives is becoming more expensive for an increasing number of firms.
This research report summarises the findings from OpenGamma’s UMR impact analysis, performed on behalf of 15 clients over the last 6 months. The anonymised results help to quantify the margin impact of UMR on the industry, and we outline the steps firms can take to minimise the impact of UMR.
Download the full report to read:
- Full UMR impact analysis for 15 firms, including 6 hedge funds, 6 asset managers and 3 pensions funds.
- How SIMM and Cleared margin requirements impact funding costs.
- How to optimise margin under UMR, including:
- The regulatory schedule approach
- ‘Cherry-picked’ backloading
- Synthetic risk moves
- Remaining below the $50m threshold.
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