With less than six months to go before the implementation of Phase 6 of the BCBS-IOSCO Uncleared Margin Rules (UMR), in-scope buy-side firms should now be in the advanced stages of their preparations. Firms that fail to meet their margin requirements under the new rules face the prospect of regulatory fines.
计划于9月1日上线, UMR Phase 6 will lower the average aggregate notional amount (AANA) threshold for in scope firms to $8 billion, 与第五阶段引入的500亿美元的AANA门槛相比. This lower threshold will mean that even more market participants will be impacted by these rules —between 700 and 1,全球新增200家公司, a significantly larger number than the estimated 300 firms which were in-scope for Phase 5.
至关重要的事实是, 这一较低的门槛将把较小的公司纳入范围, which typically have fewer middle and back-office resources and differing levels of automation. Automating collateral management systems will be essential in enabling all firms to meet the upcoming UMR requirements.
你们公司在范围之内吗?
但首先，所有公司都需要知道自己是否在范围内. 公司需要采取的第一步是进行范围内评估. Some buy-side firms prefer to conduct their own high-level analysis of AANA ahead of their regulator’s mandated observation period, as this provides them with an early heads-up on the potential impact of the rules. 一旦买方公司确定它在第六阶段的范围内, it should communicate to its trading counterparties that they are required to prepare for the implementation of the regulation. This communication should prioritize the firm’s key counterparties since it is likely that these will most rapidly reach the $50 million initial margin (IM) threshold for exchanging collateral. IM exposure is calculated based upon the risk sensitivity of in-scope trades - as part of this process, buy-side firms will be required to agree the basis for the calculation Standard IM Model (SIMM), 或Grid，然后计划提交各自的数据来测试该过程.
第1 -5阶段, the majority of in-scope market participants opted to calculate and compare initial margin exposures using vendor solutions. Such services also offer ‘trigger’ services which monitor initial margin exposure on an ongoing basis and advise clients when certain pre-determined levels are reached. 虽然建议采用这种方法进行初始保证金计算, margin disputes can occur and counterparties need to be prepared for this potential outcome by establishing a dispute investigation and resolution process.
现在自动化抵押品管理流程
一旦确认有公司在范围内, it is recommended that they consider the automation of their collateral management process in order to achieve the levels of efficiency required to meet UMR Phase 6 requirements. An automated collateral management system will provide firms with the ability to calculate exposure across all outstanding derivatives contracts; match and agree on exposure with counterparties; agree eligibility and haircuts of proposed initial margin and variation margin; and finally, 接收和结算初始保证金和变动保证金. Automated collateral management processes can also assist market participants in monitoring and tracking concentration risk which can arise when limits of a certain class of collateral are exceeded or when they accrue excessive exposure to a specific issuer.
同时, automation can also help with the new settlement requirement related to UMR, mandating the use of third-party segregated accounts to secure counterparties.
There are two types of third-party segregated accounts – one of which is a fully-managed service offered by tri-party agents. The other is a simpler service based upon instructions sent by the pledgor to deliver or recall specific pieces of collateral. The real issue with this requirement is that opening either one of these account-types at a custodian bank and ensuring your counterparty has all the relevant details can be a long process. 除此之外，还需要文档, there is an ongoing requirement for both parties to be able to send and receive instructions and confirmations to and from the custodian.
The good news is that the significant number of Phase 6 firms which may have little or no experience of setting up the required account structures or the associated messaging would benefit from automated vendor solutions. In fact, automated solutions have been widely adopted by buy-side firms impacted by Phases 1-5. 自动计算, matching and settlement options offered by third-party providers are all being applied to existing margin agreements where firms see benefits in speed, 完成保证金过程的准确性和确定性.
While in-scope firms are faced with the need for extensive preparations to get ready for the implementation of UMR Phase 6, it provides impacted firms with an opportunity to increase automation and introduce best practices in their collateral management processes. These improvements will not only help to deliver greater operational efficiencies and assist firms in complying with the regulatory mandate, 但也将导致更有效地利用抵押品, therefore improving their overall capital and liquidity management capabilities.
本文最初发表于 贸易将于2022年3月8日举行.