SGX partners with Cassini systems in preparation for 2021 UMR regulation

The partnership between Singapore Exchange (SGX) and Cassini Systems will allow market participants free analyses of their average aggregated notional amount (AANA).

The Singapore Exchange (SGX) has partnered with derivatives margin analytics provider Cassini Systems to prepare market participants for incoming uncleared margin rules (UMRs).

SGX will use Cassini’s domain expertise to provide participants with free analyses of their average aggregated notional amount (AANA), representing the gross value of open, non-centrally cleared derivatives positions.

Regulators globally will use AANA will determine which phase of the new UMR each participant falls within the scope of.

Phase five of UMR is due to come into effect in September next year and participants likely to be affected include banks, asset managers, hedge funds, and pension funds.

If a participant is found to be within scope it is subject to a mandatory exchange of Initial Margin (IM) with their counterparties for their bilateral over-the-counter (OTC) agreements over the $50 million IM threshold per counterpart.

The partnership with Cassini Systems by SGX will offer participants an opportunity to prepare for this outcome.

“By September 2022, more than a thousand firms will be impacted by UMR, thus it is important to start planning for it now. Once a SGX market participant provides us with information on its OTC positions, we will work with Cassini to turn around a timely and comprehensive analysis,” said head of FX rates and rates at SGX, KC Lam.

“UMR will inevitably increase the cost burden for many of our clients. SGX’s FX Futures (including FlexC FX Futures) that are traded and cleared on exchange was our first solution offered to clients to help them manage UMR. We are now taking a step further by assisting them to take steps to lower their AANA, simply by understanding how they can alter the balance of exchange-traded and non-centrally cleared products within their portfolios.”