Course Description

Global markets continue to rapidly evolve in response to advances in technology, product development, and the increased demands of market regulation. It is critical in today’s environment that financial institutions, asset managers, and traders can efficiently analyze their regulatory exposure, both cross- asset and multi-currency, to ascertain their regulatory requirements in the capital markets. These sophisticated requirements, especially regarding the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) Uncleared Margin Rules (UMR), demand a robust and scalable software solution for firms to assess their investments and portfolios accurately in real-time.

Since implementation of the first phase of initial margin requirements in 2016 for non-cleared derivatives, jurisdictions across the globe have implemented margin requirements largely in line with the standards agreed by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO). These jurisdictions include the US, European Union (EU), and Japan, who have extended the requirements in line with the phase-in schedule agreed by BCBS/IOSCO.

To address these requirements Calypso has developed the Calypso Bilateral Initial Margin solution for UMR Compliance, a richly featured component of the Calypso front to back office software platform. The Calypso Bilateral Initial Margin solution is an end-to-end integrated solution which provides our clients the capability to achieve BCBS and IOSCO UMR compliance with an ISDA compliant proven solution. Additionally, the Calypso Margin solution is integrated with the CalypsoCollateral Management platform enabling clients to minimize collateral costs across their portfolio.

The architecture incorporating the Calypso UMR Compliance solution with the Calypso Collateral Manager leverages the valuation methodology incorporated in the Calypso Front Office and Official P&L solutions for full cross- application consistency regarding performance and risk management.

Additionally, the Calypso Bilateral Initial Margin solution for UMR Compliance software solution provides for our client’s simple user-friendly interfaces for efficiently displaying the data required for UMR compliance and Collateral Management.

The enclosed set of Modules will introduce the Calypso Bilateral Initial Margin solution for UMR Compliance, and its integration with the Calypso Collateral Management Platform. These documents will display and define the Calypso framework, processes, components, and configurations necessary for the user to construct an end to end Initial Margin for UMR Compliance solution - integrated with a Collateral Management platform. Readers will gain hands-on experience defining the analyses, reports, and processes necessary to integrate the Calypso Bilateral Margin Solution for UMR Compliance and Calypso Collateral Management system to their business requirements for being ISDA compliant.

Calypso Learning Services

Course curriculum

  • Introduction & Configuration

    • Introduction to UMR Compliance for Bilateral Initial Margin

    • Calypso Platform Configuration

    • Margin Account and Regulator Configuration

    • Margin Account from UI

    • Assessment

  • Initial Margin Calculation

    • Bilateral Initial Margin: Risk Factors

    • Bilateral Initial Margin: Margin Calculation

    • Bilateral Initial Margin: File Generation

    • Bilateral Initial Margin: Appendix #1 - Risk Factor Sensitivities

    • Bilateral Initial Margin: Appendix #2 - Import and CRIF Files

    • Assessment

  • Bilateral Margin User Interface

    • Margin User Interface

    • Margin User Interface Assessment

  • Collateral Management Configuration

    • Collateral Agreements - Parties, Details, Dates

    • Collateral Agreements - Exposure Groups

    • Collateral Agreements - Eligibility

    • Collateral Agreements - Linking Margin Accounts

    • Assessment

  • Collateral Management Processing

    • Collateral Example - Generating Exposures

    • Collateral Example - Processing Collateral

    • Appendix: Collateral Manager Access Permissions

    • Assessment

  • UMR & Compliance FAQ

    • UMR FAQ

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