Practice Note 18.104.22.168 — Daily Settlement Price Methodology
|Issue date||Cross Reference||Enquiries|
|Added on 22 September 200622 September 2006 and amended on 1 October 20091 October 2009.||Rule 22.214.171.124||
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Rule 126.96.36.199 of the Clearing Rules states that the Daily Settlement Price for Contracts other than OTC Contracts shall be determined by the Clearing House in accordance with the relevant formula and procedures applicable to each Contract. In arriving at such formula, the Clearing House may, in consultation with the Exchange, take into account factors, including but not limited to:
This Practice Note sets out the formulas and methodologies used by the Clearing House to compute the Daily Settlement Price as contemplated in the above Rule.
2. Methodology for Computation of Daily Settlement Price
Save for exceptional situations, the Clearing House shall use any one of the following methodologies, in descending order of preference, to compute the Daily Settlement Price:
In exceptional cases when none of the methodologies set forth in paragraph 2.1 above yields a Daily Settlement Price that is reflective of market conditions, the Clearing House may use any of the following alternative methodologies for the computation of the Daily Settlement Price:
In respect of Contracts traded on the Singapore Commodity Exchange ("SICOM"), the Clearing House shall use the Daily Settlement Price as derived by SICOM (or its clearing house).