A SIMM webinar series: ‘SIMM: More than just end of day’ & ‘IM Cliff Edge: Avoid the 50mm Threshold’
IM & SIMM should now be part of front office decision making, and long-term portfolio management. Our panel intends to discuss the extent to which initial margin should be part of all trading and portfolio decisions. For UMR firms who are above the average notional threshold but potentially beneath the 50mm IM threshold on a relationship, can scale down their compliance plans. But, knowing the amount of IM needs work and managing the IM amount isn’t simple.
Are you posting IM under UMR? We have a webinar for you. Are you under the 50m threshold for posting IM under UMR? We have another webinar for you too.
Two webinars with Cassini intend to dive into a deeper set of questions about how SIMM and margin affects the entire lifecycle of a firm. IM & SIMM should now be part of front office decision making, and long-term portfolio management. Our panel intends to discuss the extent to which initial margin should be part of all trading and portfolio decisions.
Part 1 will cover SIMM in context of the trading and back-office workflow. Part 2 will advise firms – who are in-scope under UMR due to their AANA threshold but are below or nearing the 50mm threshold to post IM – on how to manage and monitor their margin. Join us and become better informed about the effects of margin on your business.
Part 1 – July 9th at 15:00 UK / 10am EST
Phase 5 of the uncleared margin rules (UMR), coming into effect on September 1, 2020, will bring all firms with an average aggregate notional amount (AANA) in excess of $8 billion into scope for mandatory exchange of initial margin (IM).
Firms with significant derivatives books – on one or all their agreements – must implement operational and overnight procedures and will undoubtedly see an impact on their funding and liquidity because of the extra collateral posted.
Consequently, IM and SIMM should now be part of front office decision making, and long-term portfolio management. The need to understand IM consumption used to be an 'end of day' requirement to feed into the following days margin calls. This is now not appropriate when the cost of IM can drive up quickly during a trading day.
The ability to understand what a trade is going to cost is a fundamental part of trading in the capital markets and having that transparency pre-trade is key. Therefore, having real-time IM analytics for all margined markets is essential to inform decision making; for portfolio managers and traders, through to the middle and back office.
Our panel will discuss:
• Why should firms be using SIMM rather than any other model?
• Should IM & SIMM be available in real-time within a business? Why not just ‘end of day’?
• In what way should portfolio managers or traders be using IM & SIMM when planning or executing trades?
• Why should firms be back-testing their SIMM calculations?
• What steps can firms take to manage IM over the long term for a portfolio?
• How should the cost of margin be attributed and managed within the front office?
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Part 2 – July 16th at 15:00 UK / 10am EST
Firms in-scope under UMR – due to their average notional being above the threshold- but are below or nearing the 50mm threshold on a counterparty relationship basis, do not initially need to post IM.
While these firms are not required to set up operational processes, they do have an obligation to monitor and manage their IM levels to make sure they do not breach the 50mm threshold.
Remember, should your firm surpass the 50mm threshold, you must achieve compliance with UMR immediately, including all necessary margin agreements with your counterparties and suitable custody arrangements for settlement.
Therefore, pre-trade controls are essential and gives firms the ability to check the IM impact on their portfolio to ensure it stays comfortably below that 50mm threshold; not only to ensure they do not breach but to also make sure any other portfolio or market movement will not change the IM profile on that agreement.
Our panel will discuss
- How can firms use the $50m/€50m threshold to reduce their UMR compliance approach?
- How should a firm determine the IM threshold amount both for themselves and their counterparties?
- What are the consequences of going over the $50mm threshold?
- How should a firm organise themselves to monitor and manage their approach to the $50m threshold?
- What options are available to firms to reduce their IM?