With a simple trade file and rapid onboarding, we enable you to meet your IM obligations with ease. Our comprehensive preparation guide highlights the seven simple steps you need to take to facilitate compliance. No costly consultant fees, no lengthy project plans – just IM compliance made easy.

Step 01 The Ground Work


Is my firm in-scope for initial margin, and if so, when?

The first task is to determine if your firm is in-scope for regulatory initial margin (IM). This depends on the structure of your group and the overall size of your derivatives portfolio.

*New IM rules apply from:

1 September 2024:

US CFTC, Japan, Canada, Hong Kong, Singapore, Australia, Korea, Brazil, South Africa, Saudi Arabia

31 December 2024:


1 January 2025:

US Prudential Regulators, UK, EU, Switzerland

To determine when you are subject to IM you must calculate your aggregate average notional amount (AANA) outstanding for all non-centrally cleared derivatives during the months of March, April and May. The frequency of your AANA calculation will vary depending on your location; in the US the calculation is done on a daily basis during the specified time period, whereas in the EU it is calculated monthly. Regardless of where you are located, all non-cleared bilateral derivatives including physically settled FX forwards and swaps, as well as non-cleared intra-group transactions, should be included in the AANA.


Do you use OSTTRA triResolve? We can help you with your AANA calculation. With the data you are already sending us we can help you quickly and easily estimate your AANA. Contact us today, it’s free and will only take a few minutes of your time.
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For corporate groups, the above calculation must be performed and aggregated across all members of the group. It’s important to note that investment funds are generally considered distinct legal entities, as long as they are not collateralised by or otherwise guaranteed by other entities, funds or advisors for insolvency purposes.

Once you have done the calculation, refer to the chart below to determine whether you exceed the threshold set by your regulator(s). Note, if you are below the threshold, it is necessary to repeat the AANA calculation in subsequent years to check whether your compliance status has changed.






USD 8 billion



JPY 1.1 trillion



CAD 12 billion



EUR 8 billion



CHF 8 billion



SGD 13 billion



EUR 8 billion


UDI 20 billion

Step 02 The Practicalities

Which counterparties do I need to contact?

Once you have determined your firm’s compliance date, it’s now time to confirm which counterparties you need to interact with.

While it is likely you may need to contact all counterparties in order to confirm whether they too are impacted by UMR, subsequently you will only need to work with those counterparties who are also in-scope – either in a prior phase, or who will be in-scope at the same time as you. Not only should each party confirm their compliance status and date, but they should also confirm the relevant jurisdictions that each party is subject to.

Note, in 2019, global regulators offered regulatory relief which exempts in-scope firms from some of the key UMR preparation steps should their IM exposure remain below €50 million (or equivalent). As such, this will impact your conversation with each counterparty, and firms must agree whether legal documentation and custody accounts are required ahead of the relevant compliance date*, or whether you agree to defer. Even in cases where firms agree to take advantage of relief, some counterparties may still require some form of documentation in order to ‘monitor’ IM.

For firms who want to prepare fully or who expect to exchange collateral, you should also select a custodian/triparty agent. Given that the rules require the bilateral exchange of IM collateral, you also need to take into account the agent chosen by each of your counterparties too. You should discuss with each firm to determine which triparty/custodian each will use.

You should also consider that custodians often set deadlines well in advance of the UMR compliance date*, so custodian selection & onboarding should be done early. This is to ensure that the necessary account control agreements are in place, enabling the custodian to operationally on-board your firm well ahead of any collateral exchange. This insight is often mentioned by firms already in-scope as an important ‘lesson learned’. 


Do you use OSTTRA triResolve? As with the AANA calculation, we have your trade data and the expertise to help. Contact us today and we can provide automated reports which will help you understand which of your counterparties you should consider contacting as a priority. We can also estimate your number of in-scope IM trades and what that might look like in the first quarter and year post compliance.
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Step 03 The Number Crunching


How do I calculate initial margin?

The regulation stipulates that you can calculate initial margin in two different ways:

1. Schedule-based calculation

2. Regulatory approved model-based calculation (e.g. ISDA SIMM™)

With the netting and funding advantages it can deliver, phase 1-6 firms generally adopted a model-based calculation, choosing to use ISDA’s Standard Initial Margin Model (SIMM™) to calculate initial margin. In phases 5 & 6 there was increased use of the schedule method, perhaps driven by smaller, or more directional, portfolios.

The SIMM model was developed by ISDA through strong industry collaboration. The sensitivity-based approach is designed to provide ease of calculation, transparency and effective dispute resolution. Risk factors form the inputs, whilst risk weights, correlations and aggregation formulae produce initial margin amounts.

As a starting point for the initial margin calculation, the model requires firms to calculate sensitivities in accordance with ISDA SIMM™ for all in-scope trades. This can be a significant data exercise in itself. Trades need to be identified as being in-scope, labelled correctly and appropriate sensitivities must be calculated for each trade. With an average of 20 sensitivities applicable to each trade, and 150 or more sensitivities applicable for more exotic trades, the effort required for this step should not be underestimated and preparation is essential (see step four).

Once the task of calculating sensitivities has been completed, you need to undertake the calculation of initial margin exposure by feeding the sensitivities into the latest version of the SIMM model (comprising the risk weights, correlation tables and aggregation formulae) to produce a total IM exposure amount from both the perspective of the secured party (where you collect IM) and the pledgor (where you must pay IM). The requirement to calculate IM twice for each counterparty (from perspective of both pledgor, and secured) is something that many firms initially overlook in their original analysis.

Firms must evaluate whether their existing systems are able to calculate SIMM sensitivities, or whether they require building new internal processes to calculate them, or whether they wish to have a vendor provide this service. Furthermore, firms should note that once SIMM sensitivities have been created, they must be fed into the SIMM model in a specific file format, known as CRIF (Common Risk Interchange Format).


Do you use OSTTRA triCalculate? Our centralised web-based service, OSTTRA triCalculate, can calculate trade sensitivities for you. Easy to adopt and requiring limited data, we can identify in-scope trades, label trades as per SIMM convention and calculate the sensitivities & create a CRIF file – allowing us to easily calculate your IM exposure.
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Step 04 Pre-Go-live Analytics

What can I do in advance to ensure a smooth go-live?

Ahead of initial margin calculation and exchange, it’s important to consider some key questions.

First, you need to decide if your firm will use the schedule or SIMM calculation methodology, or a combination of both. Once this is done you then need to agree and communicate this with each counterparty.


OSTTRA triCalculate supports both methodologies and can help in the SIMM™ vs. schedule decision-making process, with analytics on the effects of each methodology on your IM exposure.


Next, you should estimate what your initial margin cost will be both per counterparty, and in total, so as to understand the potential impact on funding. In addition, this step can be helpful to identify those portfolios where you expect IM to exceed €50m, and thus can provide a crucial indicator of what additional documentation steps you require per counterparty. Only by understanding the future size of IM exposure can you truly determine your overall technology solution, and whether your operational focus will be margining, monitoring, or a combination of both.


By working with OSTTRA triCalculate, you can identify a suitable proxy portfolio to represent your actual trading post go-live, and use this to simulate your potential IM cost across all eligible relationships. This will provide you with a more accurate depiction of what you can expect when you go-live.


Finally, it’s important to recognise where you stand with thresholds for exchanging initial margin (€50m or currency equivalent with each counterparty). You will have to actively exchange IM with all in-scope counterparties that exceed the threshold. Note, in some instances you may agree a threshold with your counterparty that is below the regulatory amount, hence time to breach may be faster. Note, where a beneficial owner uses multiple investment managers the regulatory threshold will be shared across all managers. If you are an investment manager, talk to beneficial owners to determine how they plan to allocate the threshold.


We can measure your IM exposure amounts versus a threshold for each relationship. OSTTRA triCalculate can calculate the IM amount per counterparty, which can then be pro-actively monitored in OSTTRA triResolve Margin. When a threshold is breached, calls will be generated and automatically sent to your counterparties. Firms can also use this approach to ‘monitor’ IM exposure in the scenario where they do not yet have an IM CSA in place, and want to prioritise which counterparty to begin negotiation with, or which accounts needs a custodian account setting up.
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Step 05 Collateral System Requirements

How do I monitor IM exposure, exchange margin calls and instruct payments with my counterparties?

Calculating IM is the first step in your daily process. Regardless of whether you have chosen to take advantage of regulatory relief or not, firms must then validate this exposure each day. For firms who have signed IM documentation with counterparties, they must perform a margin calculation to check whether a call can be issued, or whether they can expect to receive a margin call. Similarly, for firms without IM documentation in place, they must ‘monitor’ IM by validating that exposure remains below the regulatory threshold (although in practice many firms may choose to monitor against a lower pre-agreed tolerance).

IM margining

For firms with signed IM documentation, they need to integrate the IM calculator with their collateral process; manage IM agreements; establish a margin calculation process, support an IM call workflow and establish a dispute resolution workflow.

A new type of margin call

For most firms, their collateral management system (CMS) will not have been built to handle regulatory IM margin calls (with both pledgor and secured calls), so the first challenge is to add that capacity. These margin calls must be calculated on a non-netted basis and separate from variation margin (VM) calls.

Going electronic

A key theme among those firms already in-scope for UMR, is that they are exchanging IM calls electronically via Acadia’s Margin Manager service, without reliance on email. If you wish to follow this path (and your counterparty may require you to do so), you must then build connectivity between Margin Manager and your CMS. You’ll have a head-start if you have already done this for VM, but you must still consider any nuances specific to IM pledgor & secured calls.

Securities support

Under the rules, collateral collected and posted for IM needs to be held in a segregated account by a third party. You need to consider whether you want to use a triparty agent or a custodian for that segregation. Whichever way you go, you need to consider that custodian banks are generally reluctant to accept cash as it may negatively impact their leverage ratio. Therefore, if you are coming in to scope for IM but have only ever exchanged cash collateral, you need to consider how you will agree and handle securities.

  • How will you get a view of your available securities collateral?
  • How will you value your inventory?
  • How will you value incoming pledges and check for eligibility?
  • How will you agree movements with your counterparty?
  • How will you monitor collateral concentration?

Regardless of the collateral used – or the segregation model you select (custodian or triparty) – a key challenge is how firms will interact with their chosen provider(s). Use of non-cash collateral is further complicated in terms of instructing these payments. Firms should develop automated processes that allow collateral movements (or RQV amounts in the case of a triparty) to be instructed automatically, ideally via SWIFT message, and provide insight the assets allocated and settlement status.


OSTTRA triResolve Margin, our award winning collateral management solution, automatically captures IM amounts from OSTTRA triCalculate or Acadia’s IMEM to provide an automated and transparent IM collateral workflow.
All calls and collateral movements can be exchanged in real-time using MarginSphere, Acadia’s electronic messaging service. Fully flexible securities support is included, there is no implementation required and you only pay for margin calculations we perform.


Dispute resolution

Perhaps the biggest challenge for the industry is resolving disputes when your IM amounts differ from those of your counterparty. Due to the way that SIMM is structured, disagreements will naturally arise when you or your counterparty provide different inputs. The sheer volume of sensitivity data – and the more complex type of data involved – will mean investigation of differences creates a new set of challenges. To be able to resolve disputes efficiently you need to be able to understand where these differences reside and what is driving them.


Acadia’s IM Exposure Manager, which is powered by TriOptima, reconciles sensitivities and calculates IM on a multitude of different levels, enabling you and your counterparty to work together to quickly understand what is driving your dispute.
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IM monitoring

For firms who are able to take advantage of regulatory relief – either as a short, or long-term solution – you will still be required to validate their exposure each day by performing IM ‘monitoring’.

Lighter approach

While monitoring removes the need to exchange margin calls and instruct collateral payments, it still requires that firms check levels of IM exposure each day. Typically, firms should pre-agree a tolerance, under which IM should remain. However, once the tolerance is exceeded this indicates the point at which parties should negotiate IM documentation and open a custodian account. Note, the time from breach of tolerance to IM exceeding €50m, should therefore be sufficient to complete the required paperwork.

Step 06 SIMM Governance

How can I keep pace with the evolving SIMM model and demonstrate my compliance?

Once you are set-up with your SIMM IM daily workflow, you then need to consider your ongoing commitment to your SIMM governance.

ISDA carry out revisions to the SIMM model at least once a year. As a SIMM user you will be obligated to keep up-to-date with an implementation of the latest SIMM model. If you are using our solution, this obligation is taken care of for you.

Further, as a SIMM user you are likely to be required by ISDA, or by your regulator, to demonstrate suitability of the SIMM model for your trading portfolio. This can be achieved through backtesting and benchmarking.

Two different methods for performing backtesting have been proposed by ISDA:

  1. Comparison of actual portfolio level P&L moves with IM generated from SIMM
    • Ten-day SIMM vs. ten-day actual P&L moves, or
    • One-day SIMM vs. one-day actual P&L moves
  2. 1+3 Standard: To assess whether a spike in risk factor volatility causes a SIMM margin coverage shortfall under the “1+3 Standard”, backtesting is needed that reflects 1 year of stress and 3 years of most recent continuous portfolio market conditions
OSTTRA triCalculate supports backtesting based on comparison of actual portfolio level P&L moves with SIMM IM. With a simple trade file submission, OSTTRA triCalculate can run backtesting for you and generate the respective reports in the format recommended by ISDA. OSTTRA triCalculate further ensures that your portfolio is always using the most updated version of ISDA’s SIMM model
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Step 07 Bringing It All Together

How can I make all this easy?

OSTTRA has helped many firms in phases one to six to meet their IM requirements. We understand the complexities and are best placed to help you overcome them with our seamless solution that requires only one simple trade file.

Our team of experts will help you with each step of preparation, from advising on data requirements, to validation of IM calculations and facilitating connectivity to your custodian(s). Our experience across prior phases, combined with a hands-on approach, provides the support you need to prepare ahead of your compliance date*. Our team will work your project team to advise on key steps and answer questions as they arise, ensuring rapid onboarding. Working with a single vendor can simplify the process for you, ensuring your data flows seamlessly from calculation to settlement.


“We use the applications of OSTTRA to manage the back/middle office activities on OTC derivatives trades and among these we use OSTTRA triCalculate to determine the daily value of Initial Margin. Access is simple, the upload of trades can be performed manually or via FTP and the record layout used is the same as used for updating OSTTRA triResolve. The outcome is given to us after about 30 minutes from the upload, we display it directly on OSTTRA triResolve Margin and generally use it as a comparison with what has been calculated by various counterparties.”


– Intesa Saopaulo Vita – Phase 4 Initial Margin Firm

Why choose OSTTRA? Get started today with the market’s leading initial margin solution

Why choose OSTTRA? Get started today with the market’s leading initial margin solution

One Simple Trade File Only

Only one data file and upload is required for calculating your risk sensitivities and Initial Margin, managing your margin process and resolving your disputes with our seamless solution.


One-stop solution

Single vendor approach means less complexity for you and out-of-box integration of all components.


Operational Efficiencies

With unrivalled automation and an exception-based process, you can free up resources to focus on your risk.


Cost Efficient

Our transparent pricing model is pay-as-you-go with no hidden fees.


Facilitates Regulatory Compliance

We enable firms to meet the demands of the new non-cleared margin regulation without additional resources

Contact our team of Initial Margin experts

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