Rulebooks: Contents

Rulebooks
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SGX-ST Rules
CDP Clearing Rules
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CDP Depository Rules
Futures Trading Rules
SGX-DC Clearing Rules
Chapter 1 Application of Rules
Chapter 2 Clearing Membership
Chapter 3 Committees
Chapter 4 Enforcement of Rules
Chapter 5 Arbitration
Chapter 6 Delivery and Related Matters
Chapter 7 Clearing and Margins
Chapter 7A Suspension and Default
Chapter 7B Payments
Chapter 8 Mutual Offset System
Chapter 9 Definitions and Interpretation
Chapter 10 Transitional Provisions
Directives
Practice Notes
Practice Note 7.11.1.1 — Daily Settlement Procedures for Eligible Non-Relevant Market Contracts
Appendices
Schedules
SIAC DT Arbitration Rules
SIAC DC Arbitration Rules
Rule Amendments

  Versions
(2 versions)
 
Up to Nov 7 2012Nov 8 2012 onwards

Practice Note 7.11.1.1 — Daily Settlement Procedures for Eligible Non-Relevant Market Contracts

Issue Date Cross Reference Enquires
Added on 22 September 2006 and amended on 23 November 2009 and 8 November 2012. Rule 7.11.1.1 Please contact:

Operations, Clearing and Depository
Clearing Hotline Tel: (65) 6236 5319
Email: otclear@sgx.com

SGX OTC Clearing Business
Email: sgxotc@sgx.com

1. Introduction

1.1 This Practice Note describes the procedures for determining Daily Settlement Prices for Eligible Non-Relevant Market Contracts.
1.2 Daily Settlement Price is the official daily closing price of a Contract determined in accordance with SGX-DC Clearing Rule 7.11.1.1. An Eligible Non-Relevant Market Contract is any Non-Relevant Market Contract accepted by the Clearing House for clearing, subject to SGX-DC Clearing Rules, as prescribed by the Clearing House from time to time.
1.3 The procedures in this Practice Note shall only be applicable for determining the Daily Settlement Price of an Eligible Non-Relevant Market Contract from the first trading day to one day before last trading day.
The formulas for the computation of Daily Settlement Prices on the last trading day, otherwise also known as Final Settlement Prices, are provided in Appendix 1 of SGX-DC Clearing Rules.

Refer to Appendix 1.

2. Procedures

2.1 Clearing House shall prescribe a list of Price Contributors for each Eligible Non-Relevant Market Contract.
2.2 Clearing House shall obtain daily price assessments for each Eligible Non-Relevant Market Contract from each Price Contributor.
2.3 The Daily Settlement Price for a contract month shall be the weighted average price assessments provided by each Price Contributor, whose weight shall be decided by Clearing House. Clearing House may discard the lowest or highest assessments before averaging.
2.4 In the event that no price assessment is obtained for a contract month, the Daily Settlement Price for that contract month shall be interpolated using the following but not limited to:
a) available price assessments for preceding months and following months;
b) current month's spot assessments;
c) prices of registered transactions.

3. Price Contributors

3.1 The Price Contributors for each Eligible Non-Relevant Market Contracts group are:

Oil Swaps
a) Platts
b) Forward Market Curve Limited
c) Market Participants
Freight Forward Contracts
a) The Baltic Exchange Limited
Iron Ore Swaps
a) Market Participants