SGX partners with Cassini Systems to aid in UMR preparations

The firms will provide participants complimentary analyses to determine their AANA.

Singapore Exchange (SGX) and UK-based margin analytics platform Cassini Systems have partnered to provide a free service for SGX market participants, to help them prepare to meet the Uncleared Margin Rules (UMR) requirements, an announcement revealed.

Under the agreement, SGX will leverage Cassini’s domain expertise to provide market users with complimentary analyses to determine their average aggregated notional amount (AANA), representing the gross value of open, non-centrally cleared derivatives positions.

International regulators use the AANA to determine whether a firm falls in scope for each phase of UMR, with Phase 5 scheduled to take effect in September 2021. In-scope entities are subject to a mandatory exchange of Initial Margin (IM) with their counterparties for their bilateral over-the-counter (OTC) agreements over the $68.43m (US$50m) IM threshold per counterpart.

Whilst the consecutive three-month period for officially determining in-scope status for Phase 5 will be in 2021, SGX and Cassini are offering the service in advance so firms potentially meeting the $68.43m (US$50m) AANA threshold can take steps now to assess their status, adjust their positions and look for alternatives to certain non-cleared products.

Firms affected by Phase 5 include banks, asset managers, hedge funds and pension funds. Phase 6, scheduled to take effect in September 2022, has a threshold of $10.95b (US$8b) AANA.

SGX and Cassini will also team up to educate and raise awareness amongst market participants on the process for complying with UMR, through webinars that will take place in the coming months.