Uncleared Margin Rules

Since its inception in 2016, the first four phases of UMR impacted just a small number of firms. However, phases 5 and 6 are likely to impact more than 1,000 firms on initial margin requirements. These UMR phases can impact many market participants such as asset managers, hedge funds, corporates and pension funds.

By looking at the Average Aggregate Notional Amount (AANA) holistically, market participants can decide which products and services are the best fit to optimize UMR-based margin requirements:

  • By centrally clearing in-scope trades at Eurex Clearing, you can remove transactions from your AANA calculation
  • By substituting your uncleared OTC derivatives for exchange-traded derivatives at Eurex, you can also remove trades from the scope of your AANA calculation
  • Using the EurexOTC Clear Compression Service in cooperation with TriOptima or Capitalab, you can reduce your overall gross notional and the number of OTC IRD trade lines, thereby lowering your AANA exposures.

AANA exposures

The first step to complying with UMR is determining if your firm is in scope by calculating your AANA. For EU firms, this is done by summing the total amount of outstanding non-cleared derivative notional over the observation period and dividing this by the number of months in the observation period (3).

Any centrally cleared and exchange-traded products are exempt from the calculation.

UMR product scope

Which derivatives count towards my AANA?


Fixed Income, Funding & Financing




Equity & Index