2019 UMR Impact Analysis Research Report

Our team of margin experts

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What's Inside

Trading derivatives is becoming more expensive for an increasing number of firms.

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.

But whilst 2020 and 2021 will be the first time many firms with a cleared exemption will be impacted by post-crisis rules, regulation does gives market participants different options. For instance, legacy bilateral trades may be clearable, presenting firms with an opportunity to optimise their portfolio and reduce their margin requirements.

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.

The Impact of UMR

We analyse 15 firms to test the impact of Uncleared Margin Rules on margin requirements.

SIMM vs Cleared

We assess SIMM and Cleared margin requirements to compare their impact on funding costs.

Margin Optimisation Under UMR

We investigate how firms can reduce margin being posted, for trades or risk that can be cleared.

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