Singapore: What derivatives contracts are relevant for the calculation of the aggregate gross notional amount?

With effect from 1 April 2021*, a reporting entity is required to include all specified  derivatives contracts in the calculation of aggregate gross notional amount. This means  that a reporting entity who is assessing its aggregate gross notional amount on  30 June 2021 is to recalculate the gross notional amount for the quarters ending  30 June 2021, 31 March 2021, 31 December 2020 and 30 September 2020 to include all specified derivatives contracts. 

For example, when an entity computes the aggregate gross notional amount on 30 June 2021, the entity is to sum – (i) the gross notional amount for the quarter ending  30 June 2021 which includes all specified derivatives contracts, and (ii) the recalculated gross notional amount of the three preceding quarters ending 31 March 2021,  

^* Prior to 1 April 2021, the calculation for aggregate gross notional amount had only included interest rate and credit  derivatives contracts because MAS took a phased approach in implementing the reporting requirements. With effect  from 1 April 2021, the calculation for aggregate gross notional amount includes all specified derivatives contracts.  Hence, any previous calculation of gross notional amount for quarters ending before 1 April 2021 needs to be  recalculated to include all specified derivatives contracts.

31 December 2020 and 30 September 2020, which must include all specified derivatives  contracts.  

References:  

• Regulation 6(4A) of the SF(RDC)R 
• Second Schedule to the SF(RDC)R