UMR Compliance: IM Monitoring Case Study

Client type: European Regional Bank
Regulatory impact: UMR Phase 5 – AANA $/€50bn

Client summary

Existing user of both OSTTRA triResolve and OSTTRA triResolve Margin to support portfolio reconciliation and collateral requirements. Firm required to comply with uncleared margin rules (UMR) in phase 5. Primary focus was new support for calculation and monitoring of initial margin and support for potential exchange of IM calls in the future.


UMR compliance required new daily calculation of initial margin, and the firm needed support for both SIMM and schedule methods. To better understand the impact of UMR – and the potential need for new legal documentation and opening of custodian accounts – the firm wanted to estimate IM exposure per portfolio as early as possible. Based on initial portfolio estimates and a review of trading strategies, it was projected that IM exposure would not exceed the 50M threshold with any counterparty for a while following the September deadline. With IM expected to increase over time, the goal was to actively monitor all portfolios and only begin legal negotiation when tolerances were exceeded.

The UMR project goal was to deliver a solution that could support both calculation and monitoring of initial margin. At the same time, it needed to provide support for potential future exchange of collateral and connectivity to custodians and triparty, should future IM increase above threshold levels.



The firm decided to extend its existing use of OSTTRA services for an integrated UMR solution. The addition of OSTTRA triCalculate provided SIMM sensitivity and initial margin calculation capability and, combined with their existing use of OSTTRA triResolve Margin, allowed them to easily monitor IM exposure.


As a licensed ISDA SIMM™ vendor OSTTRA was able to support all IM calculation requirements off the shelf. The firm was able to onboard easily, with  OSTTRA triCalculate requiring only a single Excel trade file to begin calculations. Our team of valuation experts were able to quickly perform data normalization and provide IM results for validation by the Bank. This exercise provided both high-level IM results as well as a SIMM breakdown, allowing the firm to easily compare numbers with counterparties.

OSTTRA triCalculate results feed automatically into OSTTRA triResolve Margin, allowing the client to see IM exposure in their existing dashboard, eliminating any integration effort on the part of the firm. OSTTRA triResolve Margin IM tolerances are defined for each relationship, allowing the firm to set their own custom monitoring limits. Should IM tolerances be exceeded, automated alerts are issued to notify the Bank to take action, for example to begin legal document negotiation.

For additional transparency, OSTTRA triResolve Margin’s threshold monitoring service also provides the Bank with a view of any initial margin calculations shared by their counterparties via Acadias Initial Margin Threshold Monitor (IMTM) service. Active monitoring of IM via the Bank’s existing use of OSTTRA triResolve Margin is designed to simplify processing for users, removing the need for use of multiple platforms or additional data setup.

In the future, should the Bank exceed IM threshold amounts, they are able to easily switch from IM monitoring to active margin call management, using the same dashboard they use today for VM, with integration to both Acadia’s IM Exposure Manager (IMEM) for sensitivity reconciliation and SWIFT for collateral settlement via custodian or triparty.


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