Practice Note 7.11.1.1 — Daily Settlement Procedures for Eligible OTC Contracts

Past version: Effective up to 07 Nov 2012

Issue Date Cross Reference Enquires
Added on 22 September 200622 September 2006 and amended on 23 November 200923 November 2009. 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 OTC 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 OTC Contract is any OTC 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 OTC 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 OTC Contract.
2.2 Clearing House shall obtain daily price assessments for each Eligible OTC 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 OTC 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