(a) the establishment of capacity estimates for systems performing automated order routing, execution and market data functions. Such estimates should be based on a suitably long look-back period and historical activity;

(b) assurance that the system and its functions, including risk controls and error-prevention alerts, have been tested in accordance with prudent business practices before use and following any material change;

(c) periodically conducting capacity stress tests to determine the behaviour of automated systems under a variety of simulated conditions;

(d) seeking on a periodic basis the assessment of independent reviewers with regard to whether Members' systems are performing adequately and whether these systems have adequate security. Such independent reviewers may be any persons not involved in the operation of Members' systems who have sufficient technical expertise; and

(e) implementation of policies for the hiring and training of qualified technical personnel.

(a) for electronic storage of audit trail data :

(b) for non-electronic storage of audit trail data, the Member has paper records showing all the actions of an order (from the point the order is entered) and the respective times and dates, and there are paper records to reflect the print time and date.

3.2.1 Record of all Fields Relating To Order Entry

(details of an order)

1.	Trading System ID
1A.	Order date — date order is entered into the OMS
2.	Trade date — date order is executed in the Trading System
3.	Commodity
4.	Commodity month
5.	Commodity year
6.	Call/ put
7.	Strike price
8.	Traded premium
9.	Original quantity — original order size
10.	Transmitted quantity — actual size transmitted to the Trading System or an accessible foreign market
11.	Traded quantity — actual size of order filled
12.	Original order price — price at which order is to be executed
13.	Original trigger price (for stop orders)
14.	Traded price — actual price at which order is executed
15.	Trade type (e.g. outright order, spread order)
16.	Approved Trader/ User id — unique identifier for each user of the OMS. In the case of Direct Market Access, Member should be able to identify where the order is coming from
17.	Order number — unique number assigned to each order sequentially
18.	Clearing Member code
19.	Account number
20.	Status of order at all stages (e.g. original order, amended, filled, unfilled, withdrawn or cancelled, rejected, re-routed for review)
21.	Order type (e.g. Market Order, Limit Order, Stop Order)
22.	Combined order type (e.g. Market — If — Touched order, Market — On — Close order, One — Cancels — the — Other Order)
23.	Order qualifier (e.g. day order, fill or kill, good — till — cancelled, good — till — date, good — till — session)
24.	Buy/ Sell
25.	Time of entry through all processors in the OMS (e.g. time at which order entered into the OMS , time at which order reached the Member's network, time at which order reached the Trading System)
26.	Time of execution
26A.	Counterparty Member identity — for executed orders
27.	Origin
28.	Timestamp for changes made to audit trail records (e.g. to record the time at which the account number, price or quantity of a filled trade in the audit trail file/ record is changed)

3.2.2 Record of amendment of orders

1.	Details of the change that is made (the newly amended order should be easily traced to the original order)
2.	Time of amendment
3.	User id of the person who enters the original order into the OMS
4.	User id of the person who amends the order (if the order is amended by another user)

3.2.3 Record of Withdrawal of Orders

1.	Details of the order
2.	Time of withdrawal
3.	User id of the person who enters the original order into the OMS
4.	User id of the person who withdraws the order (if the order is withdrawn by another user)

3.2.4 Record of Orders Rejected

1.	Details of the order
2.	Time at which order was rejected by the OMS
3.	Time at which order was rejected by the Trading System
4.	Reasons for the rejection of order

3.2.5 Record of Orders Entered into the Local Order Pad of the OMS

(where orders that are not released to the Trading System are stored)

1.	Details of the order (as described in paragraph 3.2.1, wherever applicable)
2.	Time at which order was entered into, amended and/or withdrawn from the local order pad
3.	Time at which order was released to the Trading System
4.	Time at which order in the queue was moved back to the local order pad

3.2.6 Record of Customers' Orders Deferred/ Re-routed to the Member

(if the OMS allows interception of Customers' orders before releasing the orders to the Trading System)

1.	Details of the order (as described in paragraph 3.2.1, wherever applicable)
2.	Time at which order was intercepted by the Member
3.	Time and details of any subsequent amendment/ withdrawal of the intercepted order
4.	Time at which order was released to the Trading System
5.	User id of the Member's employee who handled the intercepted order

3.2.7 A "Relative" Key

1.	A unique identifier that will tie together all actions relating to a specific order. This identifier will remain unchanged throughout the lifespan of the order and should be able to link the order to the trade number assigned by the Trading System.

1.1 This Regulatory Notice sets out additional reporting and other requirements in relation to Dairy Contracts (defined below).

1.2 For the purposes of this Regulatory Notice, “Dairy Contracts” refers to Contracts in relation to dairy products which are listed and traded on the SGX-DT Market

2.1 Each Trading Member shall report to the Exchange if it fulfills the requirements of any of sub-paragraphs 2.1(a) or 2.1(b) below:

2.2 For the purposes of paragraph 2.1 above, the Dairy Contracts are considered to be offered in New Zealand if an offer is received by a person in New Zealand regardless of where any resulting issue or transfer occurs and regardless of where the issuer or offeror is resident, incorporated, or carries on business.

2.3 Each Trading Member shall report the information pursuant to paragraph 2.1 above to the Exchange within fourteen (14) calendar days of the effective date of this Regulatory Notice. Thereafter, any application for Trading Membership must include the information to be reported pursuant to paragraph 2.1 above.

2.4 Each Trading Member shall report to the Exchange any change to its circumstances previously reported pursuant to paragraph 2.1 above, within fourteen (14) calendar days of such change.

2.5 If a Trading Member fulfills either of the requirements in paragraph 2.1 above, it shall ensure that all trades of Dairy Contracts are cleared through one or more dedicated disclosed account(s) (i.e. not through an undisclosed Omnibus Account) under its relevant Clearing Member.

(a) obtain particulars of the Customer (and any person authorised to trade for the Customer), including the full name, a copy of the identity card/passport, specimen signature, residential and mailing addresses, telephone numbers, occupation, and the name, address and telephone number of the Customer's employer, and investment objectives (if applicable); and

(b) take suitable steps to verify the Customer's identity and intention if the Customer does not open the account in person.

(a) obtain particulars of the Customer, including the full name, registered and mailing addresses, names and signatures of persons authorised to trade, and investment objectives (if applicable);

(b) obtain a certified true copy of the certificate of incorporation of the Customer; and

(c) obtain either (i) or (ii) below, failing which it must note in writing the basis upon which it believes that the Customer may open the account and engage in transactions and that the persons acting for the Customer have been duly authorised to trade on the Customer's behalf:

(a) A Member may allow Customers to open a joint trading account if:—

(b) A joint account may be operated by not more than two (2) individuals. However, if it is an estate account, it may be operated by all the personal representatives.

(c) A Member shall maintain the following information:

(d) A Member shall require each joint account holder to specify whether the joint account holder is jointly or severally liable for all debts incurred in a joint account.

1.1 In this Regulatory Notice, unless the context requires otherwise, the following capitalised terms shall have the meanings set forth below:
“Dairy Contracts” refers to Contracts in relation to dairy products which are listed and traded on the SGX-DT Market.
“New Zealand Client” refers to any Person, who is resident, incorporated or domiciled in New Zealand.

1.2 This Regulatory Notice sets out additional details which a Trading Member must disclose to its Customer who is a New Zealand Client in relation to trading in Dairy Contracts.

2.1 Before a Trading Member accepts the first order from a Customer who is a New Zealand Client to trade in any Dairy Contract on the Exchange, the Trading Member must disclose to the Customer who is a New Zealand Client the significant differences between trading derivatives on the Exchange and trading derivatives on a New Zealand-based market.

2.2 The matters that must be disclosed include, but are not limited to, the following:

(a) the Customer's designation, which shall readily identify the account for which the order was given;

(b) the date and time that the Customer's order, amendment or cancellation was passed from the Registered Representative to the Approved Trader;

(c) the contract for which the Customer's order was given;

(d) the contract month of that futures contract;

(e) the quantity of that futures contract;

(f) the order type;

(g) the price (if any) to buy or sell that futures contract;

(h) in the case of an option contract, the class of options and the strike price; and

(i) the date and time that the order or amended order was executed

2.1.1 The Standard Portfolio Analysis of Risk Margin System ("SPAN") is the risk margin system adopted by the Exchange and the Clearing House. Margin requirements generated by SPAN shall constitute the Exchange's and the Clearing House's minimum margin requirements ("minimum margin requirements").

2.1.2 SPAN is a risk-based, portfolio approach margining system used to compute minimum overall margin requirements for a portfolio of positions in Contracts, including the Connect Contracts. SPAN requirements are computed using risk parameter files which are distributed at least daily by the Clearing House.

2.1.3 The margin requirements computed under SPAN have two components: the risk component, which accounts for potential changes in the market price and volatility of the Futures Contract, and the equity component, which is the value of the Option Contract marked to the current day's settlement price. If the net option value in a Customer Account is short, it is added to the risk margins to increase the margin requirements. If the net option value is long, it may be applied towards reducing the risk margin requirements.

2.1.4 All corporate Members are advised to use SPAN for Contracts, including the Connect Contracts. Members may use margining systems other than SPAN to compute the minimum margin requirements provided the Members can demonstrate that their systems will always produce margin requirements equal to or greater than the SPAN margin requirements.

2.2.1 Margin rates and requirements on Contracts, including the Connect Contracts, are prescribed by the Clearing House. Under Rule 3.3.12, Members are required to procure Initial Margins from their Customers and ensure that their Customers comply with Maintenance Margins for such amounts as required by the Clearing House.

2.2.2 For contracts listed in other exchanges, excluding the Connect Contracts, Members shall ensure that they comply with Initial Margins and Maintenance Margins prescribed by the relevant exchanges or clearing houses.

2.2.3 [Deleted].

2.2.4 Members may, at their discretion, set higher margin rates/requirements than that required by the Relevant Rule. Members shall review their internal margin rates/requirements on a continual basis to ensure compliance with the required minimum Initial Margins and Maintenance Margins prescribed under the Relevant Rule.

2.3.1 Pursuant to Rule 3.3.12, the Clearing House has prescribed a list of instruments which Members may accept from Customers for meeting their required Initial Margins and Maintenance Margins.

2.3.2 The list of the acceptable instruments and their prescribed maximum valuations can be found on the Exchange's website (http://www.sgx.com).

2.3.3 Where a Member does not have physical possession of Japanese Government Bonds or securities listed on the First Section of Tokyo Stock Exchange, the Member shall be deemed to have complied with the requirements of Rule 3.3.12 if the Member can obtain written confirmation from a financial institution in Singapore or in Japan, that the financial institution is holding such securities from the Customers, as custodian for the Member concerned.

2.3.4 Bank certificates of deposits, including fixed deposits, may be accepted as good security under the following terms and conditions:

2.3.5 The Clearing House has prescribed that where gold certificates issued by banks approved by MAS or gold bars are used to margin open short gold futures positions, the maximum valuation of these instruments shall be one hundred (100) percent of market value. If these instruments are used for margining positions other than open short gold futures positions, the maximum valuation of these instruments shall be seventy (70) percent of market value.

2.3.6 Members are allowed to apply a more conservative valuation (that is, less than the maximum valuation prescribed) on the acceptable instruments.

3.1.1 Margin calls are issued to collect the required margins to ensure the performance of a contract. A margin call is a request from a Member to a Customer to deposit additional margins.

3.1.2 Pursuant to Rule 3.3.12, whenever a Customer's Total Net Equity falls below the Maintenance Margins, the Customer Account shall be deemed to be under-margined. The under-margined amount is equal to the difference between the Customer's Initial Margins and the Customer's Total Net Equity. This is the minimum amount that the Member must call from the Customer in order to restore the Customer's Total Net Equity to the Initial Margins level.

3.1.3 Margin calls shall be made within one Trading Day after the occurrence of the event giving rise to the margin calls.

3.1.4 A Member may, at their discretion, call for additional margins or issue margin calls on a more frequent basis, including the issuance of intra-day margin calls.

3.2.1 In determining margin calls, Customer Accounts shall be reviewed at the close of the Trading Day. All Customer Accounts opened by the same Customer, for the benefit of its own clients shall be combined in one group. All other Customer Accounts opened by the same Customer shall be combined in a separate group. Below is an example to illustrate the treatment of the accounts opened by Customer XYZ under the following scenarios:

3.2.2 If Customer Accounts are not combined in accordance with paragraph 3.2.1 above, there is a risk that the Member may either fail to issue a margin call or understate the amount required under a margin call. This is illustrated below:

Assume proprietary A/C A & proprietary A/C B are owned by the same Customer:
 

	A/C A $	A/C B $	Combined $
Total Net Equity	8,000	42,000	50,000
Initial Margins	26,000	50,000	76,000
Maintenance Margins	21,000	40,000	61,000
Under-margined	18,000	Nil	26,000
Margin Call Required	18,000	Nil	26,000

In the above example, if the two accounts are not combined, the Customer as a whole would be subjected to a lesser margin call of $18,000 instead of $26,000.

3.3.1 A Member may:

3.3.2 A Member shall reduce a Customer's oldest outstanding margin call first. Individual margin calls shall be aged separately throughout their existence. A Customer's total margin call is the sum of all individually aged margin calls. A Member's records shall clearly indicate the age of all margin calls issued and outstanding.

3.3.3 In order to protect the age of outstanding margin calls for re-established positions, the liquidation and re-establishment of positions during the same Trading Day to circumvent the Relevant Rule is not allowed.

3.4.1 A Member is required to keep written records which should include the following in respect of each Customer:

3.4.2 Any manual adjustments made to equity system reports to determine a Customer's margin status (e.g. adjustments to margin requirements, margin calls, etc.) shall be maintained on file.

3.4.3 Members shall maintain a proper monitoring system to ensure that all Customers who are under-margined are subject to prompt margin calls and that such calls are being properly monitored and followed up in order to restore the relevant Customers' Total Net Equity to the Initial Margins levels.

3.5.1 In ageing margin calls, for the purpose of determining whether calls are met within the reasonable period:

T = trade date/ date that the Customer's Total Net Equity falls below the Maintenance Margins

1 = first Trading Day after the date that the Customer's Total Net Equity falls below the Maintenance Margins

2 = second Trading Day after the date that the Customer's Total Net Equity falls below the Maintenance Margins

3 = third Trading Day after the date that the Customer's Total Net Equity falls below the Maintenance Margins

Reasonable period shall have the meaning ascribed to it in Rule 3.3.12.

(1) Customer's Total Net Equity and margin requirements are as of the close of the respective Trading Days indicated.

(2) The Customer was properly margined on the previous Trading Day (Friday).
If an individual margin call is required to be issued, the margin call shall equal:
Initial Margins — Total Net Equity

4.1.1 Pursuant to the Relevant Rule, a Member shall only allow a Customer to incur a new trade when the required margins are on deposit or forthcoming within a reasonable period.

4.1.2 In a situation where a Customer has failed to place margins within the reasonable period, such that the Customer's Total Net Equity is not restored to the Initial Margins level, the Member concerned:

4.1.3 Where a Customer is meeting a margin call by remitting cash funds, Members shall take into consideration only those funds that they have actually received when determining whether the Customer's Total Net Equity has been restored to the Initial Margins level. Members shall not treat cash funds as received even though the Customer's remittance indicates that the funds would be forthcoming on a future value date. Members are not allowed to use the Customer's confirmation that the funds are forthcoming within the reasonable period to reduce or delete a margin call as the funds have yet to be received.

4.1.4 For example, if a Member has received indication from the Customer's banker on T + 1, that the Customer has remitted cash of US$1 million for value date T + 4, the Member shall not treat the US$1 million as part of the Customer's ledger balance on T + 1, as the funds would actually be received by the Member only on the value date of T + 4. The amount shall be accounted as part of Customer's ledger balance only on close of business T + 4. In the above example, since the Customer's funds are not forthcoming within the reasonable period (i.e. by the close of business T + 2), the Customer is not allowed to incur any new trade during this period (T + 1 and T + 2) except for trades which reduce the Customer's Maintenance Margins requirements.

4.1.5 In a situation where a Customer has liquidated all its positions resulting in a negative Total Net Equity, the Member shall not accept orders for the Customer until sufficient funds or acceptable instruments are deposited such that Total Net Equity is no longer negative.

4.1.6 The following indicates what is the allowable trading activity for a Customer whose Total Net Equity is not restored to the Initial Margins level after a margin call:

4.2.1 Under no circumstances shall a Member enter into any financing arrangement with any Customer to allow the Customer to trade without placing the required minimum margins. This shall not apply to a Bank Trading Member.

4.3.1 A Member is required to maintain proper monitoring and internal control procedures to ensure that the requirements under the Relevant Rule are complied with at all times.

Assumptions:

(1) All accounts are Customer Accounts.

(2) All margin calls are properly issued and aged for the full amount.

(3) The Customer's Initial Margins and Maintenance Margins remain unchanged.

(4) The Customer was properly margined on the previous Trading Day (Friday).

(5) The Customer has indicated that margins are forthcoming within the reasonable period.

5.1.1 Omnibus Accounts generally contain concurrent long and short positions. Members shall ensure that positions in an Omnibus Account are carried and margined on a gross basis.

5.1.2 A Member shall obtain and maintain written instructions from undisclosed Omnibus Account holders for positions which are entitled to be margined as spread positions.

5.1.3 For purchase and sale offsets, a Member shall obtain and maintain written instructions from undisclosed Omnibus Account holders on a daily basis. If no such instructions are received, the Member must assume that the positions belong to separate owners. These positions must be margined on a gross basis.

5.2.1 For the purpose of margin computation, positions in accounts belonging to the same beneficial owner who may be the Customer or a client of the Customer, may be combined. Concurrent speculative long and short positions may also be netted in such accounts.

5.2.2 Accounts which are owned by different legal entities e.g. Related Corporations must be treated separately for margin computation purposes.

5.3.1 Pursuant to Rule 3.3.12, a Member may allow its Customers to withdraw Excess Margins. The withdrawal of Excess Margins must be supported by proper documentation.

5.3.2 If the net option value is long, it may be applied towards reducing the risk margin requirements. However, option value in excess of Initial Margins cannot be treated as Excess Margins available for disbursement. The computation of Excess Margins available for disbursement treats option value differently from all other margins. This is because option value is not a cash asset and does not form part of Customer's Total Net Equity.

5.3.3 For example, Customer deposits $1,000 in its account. It then purchases an option contract where the option premium is $1,000. At the time of purchase, the full premium of $1,000 is deducted from its account resulting in zero Total Net Equity. Thus, there are no funds available for withdrawal. The option value of the long option position, which at the time of purchase is $1,000 (option value would vary with passage of time), cannot be available for withdrawal as it does not form part of the Customer's Total Net Equity. Furthermore, the Member would be deemed to be financing the Customer's trades, which is prohibited under these guidelines, in the purchase of the option contract if the option value is allowed to be withdrawn.

5.3.4 If Total Net Equity is zero or negative, a disbursement cannot be made as there are no funds available. The Member shall use the Customer's latest available Total Net Equity and latest required Initial Margins to determine the amount of Excess Margins available for disbursement, notwithstanding that the Customer (e.g. a Customer in different time zone) has yet to receive the latest Customer statement sent out by the Member. In determining the Excess Margins available for disbursement, the Member shall take into consideration the Customer's incoming remittance and the Member's disbursement based on value dates. If an incoming remittance is accounted for in determining the amount of Excess Margins to be released, the Member shall effect the disbursement only after the receipt of the funds. This means that the value date for the disbursement shall be subsequent to the value date of the Customer's incoming remittance.

5.3.5 For the purpose of determining the amount of Excess Margins available for disbursement, all Customer Accounts opened by the same Customer, for the benefit of its own clients shall be combined in one group ("Group A"). All other Customer Accounts opened by the same Customer shall be combined in a separate group ("Group B"). If the Member does not combine such accounts, it runs the risk of allowing a Customer to withdraw more funds than what the Customer actually has available with the Member [see Example 4 below for illustration]. Available Excess Margins from Group A cannot be used for disbursement for Group B and vice versa.

5.4.1 A Member shall not accept orders for the purchase of option contracts unless the full amount of premium is on deposit or forthcoming within a reasonable period. For settlement currency denominated in Japanese Yen, 'reasonable period' means a period which shall not exceed three (3) Trading Days from the trade date (T+3). For all other settlement currencies, it means a period which shall not exceed two (2) Trading Days from the trade date (T+2).

5.6.1 Concurrent long and short positions are long and short positions traded on the same market in the same futures or option contract for the same delivery month or expiration date and, if applicable, having the same strike price.

5.6.2 A Member may carry concurrent long and short positions as follows:

5.6.3 A Member may carry concurrent long and short hold-open positions for speculative and hedge accounts. Hold-open positions are positions offset at the Exchange but have been held open on the Member's internal bookkeeping records for the convenience of the Customer. As hold-open positions only remain open on the Member's internal records and have been offset at the Exchange, no margin is required. The Member's internal bookkeeping records shall clearly indicate all hold-open positions.

(a) the limit on the amount of margin credit granted to a Customer shall be set, approved and regularly reviewed by an authorised staff independent of trading, dealing and marketing functions;

(b) in setting the limit on the amount of margin credit granted to a Customer, the Member shall take into account possible Maintenance Margin calls and settlement variation losses to be paid to the Clearing House and any other relevant clearing house;

(c) it strictly observes the limit on the amount of margin credit granted to each Customer; and

(d) it has proper systems and control procedures to monitor, on a daily basis, the usage of margin credits and the adequacy of its liquidity facilities (bank lines and cash balances) to meet obligations arising from positions held with the Clearing House and any other relevant clearing house, including:

(e) remedial procedures are in place should there be any breach of controls, limits and thresholds.

(a) Price/Time Priority Allocation. Orders at the best price (i.e. highest bid/lowest offer) would receive priority over other orders in the same Contract Month/spreads. Orders entered at the same price will then be matched based on time priority.

(b) Price Point Maker Allocation ("PPM"). Orders which are the first to improve the prevailing bid/offer prices (known as orders with price point maker status) would receive priority over other orders at the same price.

(c) Market Maker Allocation ("MM"). Orders of designated market makers would receive priority over other orders at the same price.

(d) Pro-Rata Order and Matching Allocation ("Pro-Rata Order"). Orders entered at the same price would be matched based on the orders' volume contribution to the aggregate volume of all resting orders at that price.

2.1.1 An error trade occurs when a transaction is effected on the Trading System as a result of an error in the entry of a bid or offer that was subsequently matched.

2.1.2 Subject to sub-paragraph 2.1.4, the Exchange will only exercise its discretion to:

2.1.3 However, there will be no trade price adjustments for:

2.1.4 Notwithstanding sub-paragraph 2.1.2 and 2.1.3 above, the Exchange retains the power to cancel an error trade partially or fully or adjust the trade price of an error trade if, in the Exchange's opinion, it is desirable to do so, to protect the financial integrity, reputation or interests of the Markets established or operated by the Exchange. The Exchange's discretion to adjust the trade price or cancel a trade, either partially or fully, may be exercised even where the trade is within the error trade price range.

2.1.5 For the avoidance of doubt, error trades will not be cancelled except as provided for under sub-paragraphs 2.1.3 and 2.1.4.

2.1.6 A Member shall take all necessary steps and exercise due diligence in monitoring trades done for any errors.

2.1.7 A Member requesting an error trade cancellation or price adjustment shall promptly take all necessary mitigating actions to minimize the losses suffered.

2.2.1 The Exchange will approve a list of designated Futures Contracts as set out in Appendix A. For designated Futures Contracts traded when the underlying cash market is open for trading, the dynamic futures reference price shall be the average of the high and low traded prices in the minute before the error trade. If there are no trades in the minute before the error trade, the dynamic futures reference price will be determined by theoretical pricing models using, among other variables, the latest cash index value before the error trade.

Refer to Appendix A of Regulatory Notice 4.1.8.

2.2.2 If an error trade occurs in connection with a Futures Contract which is not a designated Futures Contract, or when the error trade occurs in connection with a designated Futures Contract when the underlying cash market is not open for trading, the opening price shall be assigned as the static futures reference price. If the opening price is not available, the Exchange may use other prices that it thinks in its discretion are reasonable. For instance, the Exchange may use the previous day's closing price.

2.2.3 The Exchange computes the error trade price range for a Futures Contract by taking into account the trading and closing prices of the Contract or any other relevant information (for example, relevant market information in a recent three (3) month period). The upper and lower limits of the error trade price range are determined in relation to the relevant futures reference price.

2.2.4 The following is an example for the calculation of the dynamic futures reference price in relation to a designated Futures Contract.

For designated Futures Contracts, it is possible to establish a fairly accurate dynamic reference price when the underlying cash market is open. Therefore, the Exchange will apply a smaller error trade price range, with reference to the dynamic futures reference price. A dynamic futures reference price may be calculated as follows:

2.2.5 The following is an example for the calculation of the error trade price range in relation to a designated Futures Contract.

This example uses the Yen-denominated SGX Nikkei Stock Average Futures Contract. Based on an evaluation of historical data the Exchange could set the following:

Error Trade Price Range of +/- 50 points for the spot quarter month

Error Trade Price Range of +/- 100 points for other contract months

The spot quarter month has a narrower error trade price range because its dynamic futures reference price, calculated using market traded prices, will be relatively accurate. The other contract months have a wider error trade price range because the dynamic futures reference price would likely have a theoretical component. A wider range is needed to ensure that bona-fide trades do not fall within the error trade price range. The Exchange may periodically adjust the error trade price range to reflect prevailing market conditions. DMC will broadcast the necessary information to Members in accordance with sub-paragraph 2.2.10.

Based on the dynamic futures reference price, an erring party's losses from error trades should be limited to fifty (50) points (¥25,000) per lot in the spot quarter month or one hundred (100) points (¥50,000) per lot in other contract months.

2.2.6 The Exchange will approve a list of designated Option Contracts as set out in Appendix A. The option reference price for designated Option Contracts when the underlying cash market is open for trading shall be determined by theoretical pricing models using:

2.2.7 The Exchange computes the error trade price range for designated Option Contracts when the underlying cash market is open, by taking into account the trading and closing volatility of the Option Contract or any other relevant information (for example, relevant market information in a recent three (3) month period) to determine a volatility range. The Exchange may, in its discretion, determine different volatility ranges for the purpose of calculating the error trade price range. The option error trade price range shall be determined by theoretical pricing models using, among other variables, the dynamic futures reference price of the underlying Futures Contract and the volatility range. The Exchange may adjust the trade price of an error trade involving designated Option Contracts when the underlying cash market is open for trading in accordance with sub-paragraph 2.1.2(b).

2.2.7A If an error trade occurs in connection with an Option Contract which is not a designated Option Contract, or when the error trade occurs in connection with a designated Option Contract when the underlying cash market is not open for trading, the opening price shall be assigned as the static option reference price. If the opening price is not available, the Exchange may use other prices that it thinks in its discretion are reasonable. For instance, the Exchange may use the previous day's closing price. The Exchange computes the error trade price range for such Option Contracts by applying a percentage to the option reference price referred to in this sub-paragraph. The Exchange may cancel an error trade involving Option Contracts referred to in this paragraph in accordance with sub-paragraph 2.1.2(a).

2.2.8 The following is an example for the calculation of the error trade price range in relation to a designated Option Contract.

For designated Option Contracts, it is possible to establish a fairly accurate dynamic futures reference price when the underlying cash market is open. The option error trade price range is calculated using a theoretical option pricing model with variables including the dynamic reference price of the underlying Futures Contract and a volatility range.

This example uses the SGX Option Contract on Nikkei Stock Average Futures. The Exchange could set the following volatility range (with reference to the previous day settlement implied volatility):

	Within 1,000 points from at-the-money	Other Strikes
Spot Month	+/- 4%	+/- 6%
Other Months	+/- 5%	+/- 8%

The option reference price will be calculated using the option pricing model with variables including the dynamic futures reference price of the underlying Futures Contract and the previous day settlement implied volatility.

In addition, the option error trade price range is subject to a minimum level (to prevent frivolous price adjustments) and a maximum level (to cater to special circumstances for Option Contracts).

This example uses the SGX Option Contract on Nikkei Stock Average Futures. Based on evaluation of its historical data, the Exchange could set:

Maximum price range of	+/- 100 points for contracts with 6 months or less to expiry
	+/- 200 points for other contract months
Minimum price range of	+/- 30 points

The Exchange may apply the maximum price range to all Option Contracts that are more than 1,500 points in-the-money and all expiring options on the Monday of the week of expiration to the Last Trading Day. Deep in-the-money Option Contracts have high delta and thus the price change largely mirrors the price change of the underlying. It is thus appropriate to use a fixed error trade price range. In addition, as the Option Contract approaches expiry, small changes in traded option prices cause relatively large changes in traded implied volatility. The result is that the volatility range may not be sufficient to encompass the volatility changes near the expiry of the contract. Based on historical data, the traded implied volatility of the Option Contract would start to change rapidly during the week of expiration. Hence, the maximum price range will generally be imposed during this period. The Exchange may adjust, with prior notice, the maximum price range and applicable circumstances as market conditions change.

2.2.9 Notwithstanding sub-paragraphs 2.2.1 to 2.2.8 above, the Exchange retains the discretion to take into account other relevant market information to determine the error trade price range or the reference price, and determine error trade price ranges using any other methodology, if, in the Exchange's opinion, it is desirable to do so to protect the financial integrity, reputation or interests of the Markets established or operated by the Exchange.

2.2.10 The Exchange will notify all Members of the error trade price range in terms of absolute prices or percentages, as the case may be, on a daily basis. The Exchange will notify all Members of the volatility range on a quarterly basis. In addition, the Exchange will inform all Members, via circular, of any changes in the size of the error trade price range or volatility range at least one (1) week before effecting such change.

2.3.1 The Exchange may consider the following factors when deciding whether to adjust the trade price or cancel any trades:

2.4.1 Under sub-paragraph 2.1.3, certain error trades may be cancelled if the counterparties consent to the cancellation. The terms of the cancellation of the error trade (including any compensation payable) are for the relevant parties to agree on. The Exchange will not be involved in this process or in any disputes arising from this process.

2.5.1 A trade review administration fee ("Administrative Fee") of SGD$500 will be imposed on every request received to adjust the price of or cancel an error trade.

If the Exchange deems the error trade to be serious, it may charge a higher amount than the Administrative Fee.

2.5.2 The Member shall pay the Administrative Fee to the Exchange within such time specified by the Exchange following its determination of the fee.

2.6.1 The Member's authorised co-ordinator¹ intending to report an error trade shall:

2.6.2 Once an error trade has been brought to the attention of the DMC in accordance with this Regulatory Notice, the following procedures will apply:—

2.6.3 The Exchange will not consider any requests to review its decision following an announcement under 2.6.2(c).

3.1.1 All NLTs executed during or before the Contract "T" trading hours shall be "T Trades" while NLTs executed after the Contract "T" trading hours shall be "T+1 Trades".

3.2.1 All NLTs shall be registered in accordance with the Clearing Rules.

3.2.2 [Deleted]

3.2.3 [Deleted]

3.2.4 For Contracts with an Underlying based on a single security traded on SGX-ST, a Member shall ensure that there shall be no registration of NLTs that were executed during a trading halt or suspension of the Contract due to a trading halt or suspension of the Underlying. Except with SGX-DT’s approval, a Member must not execute any transactions by way of NLTs for a Contract that is subject to such a trading halt or suspension.

3.2.5 Any registration of Connect Contracts as NLTs will be subject to such additional conditions as prescribed by the Clearing House or the Exchange from time to time. This includes registration timings and when such NLTs can be executed and registered.

3.3.1 For the purpose of Rule 3.4.9, Members may submit NLT orders from two (2) separate Customers under the same Omnibus Account, provided that the Members' record keeping and audit trails are able to demonstrate the separate beneficial ownership.

3.3.2 A Member shall ensure that its Customers are aware of and have given their approval for the execution of the Customers' orders via the NLT facility. Where a Member receives a Customer's order that is not a NLT order but meets the requirements of the NLT facility, such Member may execute the Customer's order via the NLT facility provided that such Member has obtained the prior approval from the Customer, either specifically for the transaction or as a general blanket approval (and such blanket approval has not been terminated by the Customer). If a Customer's approval is obtained verbally, the Member shall ensure that a tape recording of the conversation where the Customer's approval was obtained is retained for record keeping purposes. A Member shall also inform its Customers if the Member may be or is a counterparty to the Customer's NLT and obtain the Customer's prior written approval.

3.3.3 Members may obtain a general blanket approval from their Customers provided the conditions below are met. Members shall disclose to their Customers all NLTs executed pursuant to the general blanket approval. The conditions for obtaining a general blanket approval from the Customer are as follows:

3.3.4 In order to ensure that Customers' interests are not compromised, the Members shall, unless their Customers specifically request for a trade to be done through the NLT facility, place all Customers orders on the Trading System for execution. After the Customers' orders have been placed on the Trading System for execution, Members' employees may then seek their Customers' approval to accept the order as an NLT. However, Members may only withdraw an order from the Trading System for subsequent execution as a NLT if the price for the NLT is at least equal to or better than the prevailing bid/offer quoted in the Trading System at the time the order is withdrawn, unless otherwise instructed by Customers.

3.3.5 Members shall not combine individual Customers' orders in order to meet the NLT minimum volume threshold requirements. Members shall not combine separate Customers' orders of different Contracts, including Connect Contracts, to create an inter-commodity spread or strategy transaction. However, individual orders greater than or equal to the minimum volume threshold may be combined by Members to match a larger NLT counter bid/offer, subject to the condition that the NLTs should, upon execution, be individually reported.

3.3.6 Various price combinations within the same NLT, or within the same leg of an NLT in the case of spreads or combinations, may be used to set an 'average' price, provided that the trade is for the same entity and that each respective price must meet the minimum tick for NLTs as set out in Appendix B.

Refer to Appendix B of Regulatory Notice 4.1.11.

3.3.7 [Deleted]

3.3.8 The Clearing House and/or the Exchange shall have the sole and absolute discretion to cancel or adjust the price of any NLT, even after the registration of the NLT.

3.6.1 [Deleted]

3.6.2 [Deleted]

3.7.1 [Deleted]

3.7.2 [Deleted]

3.7.3 [Deleted]

3.7.4 [Deleted]

3.7.5 [Deleted]

(a) Rule 3.3.17 : Reporting of Account Identity (BC4A)

(b) Rule 3.3.18 : Reporting of Open Positions (BC3A)

A Member shall record, using Form BC3A, a daily report of Open Positions in all accounts at the end of each Trading Day. The Form BC3A shall be submitted to the Exchange in accordance with the operational procedures and timelines set out in Appendix 2. For disclosed Omnibus Accounts, a Member shall report the Open Positions in each sub-account.

Refer to Appendix 2 of Regulatory Notice 3.3.17; 3.3.18; 3.3.26; 3.3.27.

(c) Rule 3.3.26 : Computations of Financial and Capital Requirements; and Rule 3.3.27 : Submission of Financial Statements and Other Information to the Exchange

General Trading Members and Bank Trading Members shall submit financial returns in the format that the Exchange prescribes. The financial returns shall be submitted by the 14^th calendar day of each month, or such longer period as the Exchange may allow. Requests for extensions of time shall be submitted to the Exchange at least three (3) Business Days prior to the due date for submission of the monthly financial returns.

Members shall submit audited financial returns in the forms prescribed herein on an annual basis, pursuant to Rule 3.3.28.

(a) AUTHORISED SIGNATORY

(b) USER ID COORDINATOR