Practice Note 8.2A.2 — Closing Price of Prescribed Instrument
|Issue Date||Cross Reference||Enquiries|
|Issued on 24 February 201424 February 2014, amended on 8 October 20188 October 2018.||Rule 8.2A.2||
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1.1 Rule 8.2A.2 of the Rules states that the closing price of a Prescribed Instrument shall be determined in accordance with the relevant formula and procedure applicable to each Prescribed Instrument, as determined by SGX-ST from time to time. In arriving at such formula and procedure, SGX-ST may take into account factors, including but not limited to:
(1) the last traded price;
(2) prevailing bids and offers during the trading phase and/or closing routine; and/or
(3) price data derived from pricing models, as selected or established by SGX-ST from time to time.
1.2 This Practice Note sets out the formulas and procedures used by SGX-ST to determine the closing price of Prescribed Securities as contemplated in the above Rule.
1.3 Unless the context requires otherwise, the following terms shall have the meanings ascribed to them in Practice Note 8.2.1:
(1) "Closing Routine"; and
(2) "Trading Phase".
1.4 The following securities, futures contracts or products or classes of securities, futures contracts or products shall be a Prescribed Instrument for the purpose of Rule 8.2A.1:
(1) Exchange traded funds.
2 Closing Price of Prescribed Instruments
2.1 Unless otherwise specified, SGX-ST may use any of the following as the closing price of a Prescribed Instrument for a Market Day:
(1) the single price at which orders are matched at the end of the Closing Routine as set out in Practice Note 8.2.1;
(2) the last traded price that occurred in the Closing Range;
(3) a price determined by SGX-ST taking into account the bid and offer prices present in the Trading System during the Closing Range;
(4) the last traded price that occurred prior to the Closing Range; or
(5) the closing price of the previous Market Day.
2.2 The Closing Range, for the purposes of this Practice Note, shall be the last 15 minutes of the Trading Phase, or such other time as may be determined by SGX-ST and notified to the market from time to time.
2.3 Where SGX-ST deems it necessary or desirable for ensuring a fair, orderly and transparent market or the integrity of the market, or for proper management of systemic risk in the market, SGX-ST may use an alternative formula and/or procedure to determine the closing price of a Prescribed Security.
2.4 SGX-ST shall, as soon as practicable, notify the Authority of any action taken by SGX-ST pursuant to paragraph 2.3 of this Practice Note.