Singapore: How is the aggregate gross notional amount calculated?

The calculation of aggregate gross notional amount is relevant for identifying an SDH  under regulation 6 of the SF(RDC)R, and may be relevant to a CMSL, a subsidiary of a bank  incorporated in Singapore, and a licensed insurer for assessing applicable exemptions  under regulations 10A and 10C of the SF(RDC)R.  

The aggregate gross notional amount is calculated by summing the gross notional amount  of relevant derivatives contracts for four calendar quarters. The gross notional amount  for each quarter is to be assessed on the last day of that quarter. 

In the case of an SDH, the calculation of the aggregate gross notional amount includes  only derivatives contracts to which the SDH is a party. 

In the case of a CMSL for the purpose of regulation 10A, the calculation of the aggregate  gross notional amount – 

1. excludes derivatives contracts where a party to the contract is not an  accredited investor or institutional investor; and
2. includes both derivatives contracts to which the CMSL is a party and which  the CMSL has executed or caused to be executed as an agent of a party to  the contract, as set out in regulation 10A(6).  

In the case of a subsidiary of a bank incorporated in Singapore and a licensed insurer for  the purpose of regulation 10C, the calculation of the aggregate gross notional amount  includes both derivatives contracts to which the bank subsidiary or insurer is a party and  which the bank subsidiary or insurer has executed or caused to be executed as an agent  of a party to the contract. 

For the avoidance of doubt, the calculation of the aggregate gross notional amount  includes intra-group transactions but excludes inter-branch transactions. 

References:  

• Regulations 6, 10A(4)(b), 10A(5), 10A(6), 10C(4), 10C(5) and 10C(6) of the  SF(RDC)R