Regulatory Notice 11.4.2(d) — Computation of Monetary Loss
1.1 Rule 11.4.2(d) states that SGX-ST may consider the monetary loss involved when deciding whether to cancel an Error Trade.
1.2 This Regulatory Notice sets out how monetary loss will be computed under Rule 11.4.2(d).
2. Computation of monetary loss
2.1 Subject to paragraph 2.2, the monetary loss referred to in Rule 11.4.2(d) will be the difference between the value of the Error Trade and the value of the intended trade. The value of the intended trade will be determined as:
(a) in the case of an error in the entry of the volume of the order, the value of a trade for the actual intended volume, at the price at which the order was entered;
(b) in the case of an error in the entry of the price of a structured warrant, the value of a trade for the volume of the order which was entered, at the Reference Price as determined in accordance with Rule 11.5.4(b);
(c) in the case of an error in the entry of the price of all other securities or futures contracts, excluding bonds, the value of a trade for the volume of the order that was entered, at the Reference Price in accordance with Rule 11.5.5(b) or Rule 11.5.5(c); and
(d) in the case of an error in the entry of the price of a bond, the value of a trade for the volume of the order that was entered, at:
(i) the last traded price immediately preceding the Error Trade, where such preceding trade was executed on the same trading day as the Error Trade; or
(ii) the best bid or best offer price at the time of the execution of the first share of the Error Trade.
2.2 Where an erroneous order results in more than one Error Trade, monetary loss will be the aggregate monetary loss of all such Error Trades executed at prices outside the upper and lower limits of the no-cancellation range applied pursuant to Rule 11.5.1, that are referred to SGX-ST for review under Rule 11.3.3.