SGX Rulebooks
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Past version: Effective up to 29 May 2023

1. Introduction

1.1

Rule 11.5.5(c) provides that SGX-ST may, in its discretion, use an alternative price as the Reference Price for the no-cancellation range if (a) the price of the last good trade is not available; or (b) SGX-ST deems the price of the last good trade to be unreliable or inappropriate as a Reference Price.

Added on 3 June 20193 June 2019.

1.2

In normal market conditions, the price of the last good trade is adopted as the Reference Price. However, SGX-ST has considered that there may be situations where the price of the last good trade is not available or not appropriate. In such situations, SGX would seek to establish a Reference Price from alternative sources.

Added on 3 June 20193 June 2019.

1.3.

This Practice Note sets out the alternative prices that SGX-ST may consider in establishing the Reference Price when the price of the last good trade is inappropriate.

Added on 3 June 20193 June 2019.

2. Alternative prices

2.1.

For all securities except bonds and structured warrants, SGX-ST may use any of the following alternative prices as the Reference Price for the no-cancellation range.

(a) The previous closing price.
(b) The average of the last quoted bid price and the last quoted offer price for the security immediately preceding the error trade. The selection will not include the quotes provided by the parties who are involved in the error trade that is under review.
(c) A price derived from a pricing model established by SGX-ST. For example, in the case of a share consolidation, SGX-ST may use the last traded price prior to the effective date of the consolidation, adjusted for the consolidation ratio.

Added on 3 June 20193 June 2019 and amended on 30 May 2023.

2.2.

In addition, SGX-ST may also use the alternative prices set out in the table below for the instruments stated:

InstrumentAlternative prices that may be used as the Reference Price
Extended settlement contracts
•    The price of the last good trade in the underlying stock.
Depository receipts
•    The previous closing price of the underlying instrument in home market.
•    In the case of ADRs, the previous closing price of the ADR in the US market.
Exchange traded funds
•    The previous closing price as determined in accordance with Rule 8.3.
•    The average of the last quoted bid price and the last quoted offer price for the exchange traded fund immediately preceding the error trade. The selection will not include the quotes provided by the Designated Market-Maker who is involved in the error trade that is under review.
•    The indicative net asset value.
Exchange traded notes
•    The average of the last quoted bid and the last quoted offer price for the exchange traded note immediately preceding the error trade. The selection will not include the quotes provided by the Designated Market-Maker who is involved in the error trade that is under review.
•    The price of other debt papers with a similar credit rating.

Added on 30 May 2023.

2.3.

Where any of the prices set out in paragraphs 2.1 and 2.2 is denominated in a currency different from that of the instrument on SGX-ST, SGX-ST may apply such exchange rate factor as it deems appropriate.

Added on 30 May 2023.

3. Alternative prices unsuitable

3.1.

Where SGX-ST determines that an appropriate Reference Price cannot be established, it will not establish a no-cancellation range.

Added on 3 June 20193 June 2019.