Trading Protocol 14 June 2013

Transcription

1 Trading Protocol 14 June 2013 (Updated 5 July 2013) Trading Protocol Page 1

2 Trading Protocol Table of Contents I. Proposed Changes to Current Benchmarks... 3 Background, Principles and Summary II. Calculation Methodology for Traded Benchmarks... 6 Key Components and Characteristics... 6 Key Processes... 8 Calculation Methodology for IDR Spot FX... 9 Calculation Methodology for THB Spot FX Calculation Methodology for SGD Spot FX Calculation Methodology for SGD SOR III. Frequently Asked Questions (FAQs) Appendices Appendix A: Calculation Methodology for SGD SIBOR Appendix B: Singapore Benchmark Fallbacks Trading Protocol Page 2

3 I. Proposed Changes to Current Benchmarks Background With a view to strengthen the financial benchmarks it administers ( Benchmarks ), the Association of Banks in Singapore ( ABS ), in conjunction with the Singapore Foreign Exchange Market Committee ( SFEMC ), have conducted a review of all 11 Benchmarks under its administration 1. The review considered the conditions in the underlying rates that the Benchmarks measure and was guided by the draft IOSCO Principles for Financial Benchmarks 2. Main themes of proposed changes The main themes of the proposed changes are as follows: 1. Discontinuation of certain benchmarks: It is proposed that THB SOR, IDR SOR, VND Spot FX, USD SIBOR and SGD IRS be discontinued. For the avoidance of doubt, while the polling and publication of SGD IRS benchmark is proposed to be discontinued, the trading of SGD IRS will continue (please see FAQ No.24). 2. Discontinuation of certain maturities: It is also proposed that certain less liquid maturities be discontinued. Accordingly, it is proposed that 1W, 2M, 9M and 12M maturities for SGD SOR, and 2M and 9M maturities for SGD SIBOR be discontinued. 3. Use of alternative financial benchmark: It is recommended that the market settles its MYR NDF transactions going forward using the onshore MYR/USD Spot Rate determined by Persatuan Pasaran Kewangan Malaysia (ACI - Malaysia) ( PPKM ). The current ABS MYR Spot FX published on ABSIRFIX01 will subsequently be discontinued. USD SIBOR will also be discontinued as USD LIBOR is available as an alternative. 4. Transition from Surveyed Benchmark 3 to Traded Benchmark 4 : It is proposed that the calculation methodology for SGD Spot FX, IDR Spot FX, THB Spot FX and SGD SOR be changed from a trimmed arithmetic mean of submissions contributed by a panel of banks ( Contributor Banks ) to a rate based on the Volume Weighted Average Price ( VWAP ) of actual interbank transactions which are electronically routed and captured through certain Approved Brokers. An Approved Broker refers to any money broker in the list of approved money brokers in the Monetary Authority of Singapore ( MAS ) Directory of Financial Institutions. 5. No change: The calculation methodology for SGD SIBOR will remain unchanged. The benchmark will continue to be based on the trimmed arithmetic mean of submissions received from Contributor Banks. However, it is proposed that the governance over submitters and the submission process be strengthened. Although SGD SIBOR is not transiting to a traded benchmark, the calculation methodology for SGD SIBOR is re-stated in Appendix A for information purposes. 1 These are: SGD Singapore Interbank Offered Rate ( SIBOR ), USD SIBOR, SGD Swap Offer Rate ( SOR ), THB SOR, IDR SOR, IDR Spot FX, MYR Spot FX, SGD Spot FX, THB Spot FX, VND Spot FX, SGD Interest Rate Swap ( IRS ). 2 Consultation Report on Principles for Financial Benchmarks published by The International Organization of Securities Commissions (IOSCO), April Surveyed Benchmark refers to a benchmark that is determined by, inter alia, reference to survey or estimate based submissions or contributions. 4 Traded Benchmark refers to a benchmark that is determined by, inter alia, reference to transactions and/or trade data. Trading Protocol Page 3

4 Principles The proposals are based on the following principles: 1. Where a reasonably liquid market exists, benchmarks should be computed from underlying transactions. Illiquid benchmarks that are not widely referenced should be eliminated. 2. If a benchmark can be derived from a trading marketplace based on actual transactions, then transactional data from the trading venue should be used directly to construct the benchmark (i.e. transit to the Traded Benchmark). 3. If transactional data from a trading venue is not possible, then ABS will follow the IOSCO Principles and strengthen governance for surveyed benchmarks, including developing a code of conduct for submitters. 4. Where a suitable alternative benchmark exists (such as onshore PPKM MYR/USD spot rate), such an alternative benchmark should be used. 5. For benchmarks that are predominantly referenced by professional markets (e.g. the NDF market), the transition periods can be shorter so as to minimize market disruption. For benchmarks that have wider non-financial corporates and retail reach, transition periods will be longer to ensure broad public understanding before the change is implemented. 6. Banks continue to have a responsibility to contribute to all benchmarks during the transition period, and to Surveyed Benchmarks thereafter. 7. All professional market participants have a responsibility to uphold the highest standards of conduct in facilitating submission, calculation and publication of benchmarks. 8. Institutional culture has a critical role in maintaining standards. Trading Protocol Page 4

5 Summary A summary of the proposed changes is as follows: Benchmark Outcome Last Date of Publication of Old Benchmark Start Date of Publication of New Benchmark* 1. SGD Spot FX 2. THB Spot FX Transit to Traded Benchmark 5 Aug Aug IDR Spot FX 4. SGD SOR 5. SGD SIBOR Transit to Traded Benchmark: O/N,1m,3m,6m 30 Sep Oct 2013 Discontinue: 1w,2m,9m,12m 30 Sep 2013 n/a Continue as Surveyed Benchmark but with Improved Governance: 1m,3m,6m,12m Discontinue: 2m,9m 30 Sep 2013 n/a n/a n/a 6. MYR Spot FX Transit to Alternative Benchmark: PPKM 5 Aug 2013 n/a 7. USD SIBOR Transit to Alternative Benchmark: USD LIBOR 31 Dec 2013 n/a 8. VND Spot FX Discontinue 9. SGD IRS 10. THB SOR 11. IDR SOR Discontinue: All Maturities 12 Jul 2013 n/a *Note: Where a Benchmark moves from Old to New, the Old Benchmark will cease publication one day prior to the Start Date of Publication of New Benchmark (i.e. 6 Aug for FX, and 1 Oct for SGD SOR) ( start date ). There is intentionally no overlap between the Old Benchmark and the New Benchmark. On or after the start date, the valuation or calculation of all transactions should be based on the New Benchmark, regardless of whether the transaction was traded on, before or after the start date. This will allow a seamless transition from a market trading and price making perspective. Please see FAQ No.19 for additional information. Trading Protocol Page 5

6 II. Calculation Methodology for Traded Benchmarks Key Components and Characteristics: 1. Administrator: The benchmarks are administered by ABS ( Administrator, which term shall include any successor to ABS as administrator or sponsor of the Benchmarks). The calculation and determination of the benchmarks will be governed by the laws of Singapore, and the relevant parties are subject to the laws and jurisdiction of the courts of Singapore. 2. Calculating Agent: Thomson Reuters, as calculation agent ( Calculation Agent ) for the Administrator, will calculate and determine the Benchmarks on behalf of the Administrator. With consent of the Administrator, the Calculation Agent may disseminate the Benchmarks to any other third party information provider requesting the publication of the Benchmarks on its platform. 3. Trade Capture of the Benchmarks: a. For current Surveyed Benchmarks that will transit to Traded Benchmarks, the final Benchmarks will be calculated and determined by the Calculation Agent based on the VWAP of actual interbank transactions which are electronically routed and captured through Approved Brokers. b. The Calculation Agent shall capture the relevant transactional data from Approved Brokers. The capture mechanism and the source of the transactional data will be reviewed on an ongoing basis by the Administrator in consultation with the Calculation Agent. 4. Data Confidentiality: All transactional data captured by the Calculating Agent will remain confidential, provided however, that transactional data may be made available to the Administrator, any relevant regulatory authority, or any other party appointed by the Administrator or MAS. The market participants shall only have access to the final Rates upon determination and publication, and not the transactional data used to construct the Rates. 5. Calculation Methodology: The Benchmarks will be calculated in accordance with the procedures and calculation methodology determined by the Administrator. The determination by the Administrator with regard to the calculation methodology or the Benchmarks shall be final. Please see Part II (C) (Calculation Methodology) for the proposed new calculation methodology to determine IDR Spot FX, THB Spot FX, SGD Spot FX and SGD SOR. Trading Protocol Page 6

7 Figure 1: Difference between Surveyed Benchmark and Traded Benchmark Trading Protocol Page 7

8 Key Processes: A. Electronic Capture of Broker Trades: The Calculation Agent shall capture the relevant transactional data electronically from Approved Brokers through the capture mechanism provided by the Calculation Agent. In the event of any Approved Broker not having the relevant capture mechanism set up, the Administrator will instruct that Approved Broker to implement the system provided by the Calculation Agent. The Calculation Agent shall provide the capture mechanism service to Approved Brokers free of cost for the purpose of determination and reporting the Benchmarks. Standard commercial rates shall apply for all other uses. The transactional data electronically captured through the capture mechanism will be used for the calculation and determination of the Benchmarks. B. Time Stamp: Transactional data provided by the Approved Brokers to the Calculation Agent shall be time stamped with the Trade Time by each broker prior to input into the capture mechanism. Trading Protocol Page 8

9 C. Calculation Methodology: C1. Calculation Methodology for IDR Spot FX Rate: Rate Description: Valuation Description: IDR Spot FX The implied USD/IDR spot rate for the Valuation Date expressed as the amount of IDR per one USD. The Calculation Agent shall calculate and determine the Rate for each Valuation Date based on the Volume Weighted Average Price ( VWAP ) of Qualifying Transactions. The Rate will be determined as follows: VWAP of 1M IDR NDF Outright VWAP of 1M IDR NDF against the Fix Qualifying Transaction: Type of Trades: Any Type of Trade which satisfies all of the following conditions: (a) having a notional amount equal to or exceeding the Minimum Notional; (b) electronically routed and captured through an Approved Broker; (c) traded during the Qualifying Window; and (d) traded between interbank counterparties. (a) 1M IDR NDF Outright (b) 1M IDR NDF against the Fix Minimum Notional: USD 1,000,000 Valuation Date: Qualifying Window: No. of Decimal Points: Publication Time # : Each Business Day from Monday to Friday. 1M IDR NDF Outright: 7:30 am to 11:00 am, Singapore time 1M IDR NDF against the Fix: 7:30 am to 11:00 am, Singapore time Zero decimal places, round to nearest 11:30 am, Singapore time In addition to the Rate (IDR Spot FX), the Calculation Agent shall also publish the VWAP of 1M IDR NDF Outright & VWAP of 1M IDR NDF against the Fix Publication Page: Correction to Rate: Business Day for Valuation Date: Fallback in the event of insufficient transactional data for VWAP calculation: Reuters Screen ABSFIX01 Any correction of errors to the Rate shall be published within 30 minutes following the Publication Time. Singapore and Jakarta Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction (either 1M IDR NDF Outright or 1M IDR against the Fix) traded during the Qualifying Window. Fallback Procedure: If a Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if the Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. Trading Protocol Page 9

10 Note: The publication of the Rate for the preceding Business Day is a calculation methodology fallback procedure to address periods where transactional data may not be available and is not intended to invoke any contractual fallback in transactions between counterparties that reference the Rate as the Rate is still published. # Publication Time refers to the estimated time which Thomson Reuters will publish the Rate. Trading Protocol Page 10

11 C2. Calculation Methodology for THB Spot FX Rate: Rate Description: Valuation Description: Qualifying Transaction: Type of Trades: THB Spot FX The USD/THB spot rate for the Valuation Date expressed as the amount of THB per one USD. The Calculation Agent shall calculate and determine the Rate for each Valuation Date based on the Volume Weighted Average Price ( VWAP ) of Qualifying Transactions. Any Type of Trade which satisfies all of the following conditions: (a) having a notional amount equal to or exceeding the Minimum Notional; (b) with at least one counterparty outside Thailand; (c) electronically routed and captured through an Approved Broker; (d) traded during the Qualifying Window; and (e) traded between interbank counterparties. USD/THB spot foreign exchange transactions Minimum Notional: USD 1,000,000 Valuation Date: Qualifying Window: No. of Decimal Points: Publication Time # : Publication Page: Each Business Day from Monday to Friday. 10:30 am to 11:00 am, Singapore time 3 decimal places, round to nearest 11:30 am, Singapore time Reuters Screen ABSFIX01 Correction to Rate: Any correction of errors to the Rate must be published within 30 minutes following the Publication Time. Business Day for Valuation Date: Fallback in the event of insufficient transactional data for VWAP calculation: Singapore and Bangkok Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction traded during the Qualifying Window. Fallback Procedure: If Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. Note: The publication of the Rate for the preceding Business Day is a calculation methodology fallback procedure to address periods where transactional data may not be available and is not intended to invoke any contractual fallback in transactions between counterparties that reference the Rate as the Rate is still published. # Publication Time refers to the estimated time which Thomson Reuters will publish the Rate. Trading Protocol Page 11

12 C3. Calculation Methodology for SGD Spot FX Rate: SGD Spot FX Rate Description: Valuation Description: Qualifying Transaction: Type of Trades: The USD/SGD spot rate for the Valuation Date expressed as the amount of SGD per one USD. The Calculation Agent shall calculate and determine the Rate based on the Volume Weighted Average Price ( VWAP ) of Qualifying Transactions. Any Type of Trade which satisfies all of the following: (a) having a notional amount equal to or exceeding the Minimum Notional; (b) electronically routed and captured through an Approved Broker; (c) traded during the Qualifying Window; and (d) traded between interbank counterparties. USD/SGD spot foreign exchange transactions Minimum Notional: USD 1,000,000 Valuation Date: Qualifying Window: No. of Decimal Points: Publication Time # : Each Business Day from Monday to Friday. 10:30 am to 11:00 am, Singapore time 4 decimal places, round to nearest 11:30 am, Singapore time Publication Page: Reuters Screen ABSFIX01 Correction to Rate: Any correction of errors to the Rate must be published within 30 minutes following the Publication Time. Business Day for Valuation Date: Fallback in the event of insufficient transactional data for VWAP calculation: Singapore Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction traded during the Qualifying Window. Fallback Procedure: If Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. Note: The publication of the Rate for the preceding Business Day is a calculation methodology fallback procedure to address periods where transactional data may not be available and is not intended to invoke any contractual fallback in transactions between counterparties that reference the Rate as the Rate is still published. # Publication Time refers to the estimated time which Thomson Reuters will publish the Rate. Trading Protocol Page 12

13 C4. Calculation Methodology for SGD SOR Rate: Rate Description: Rate Setting: SGD SOR The synthetic rate for deposits in SGD, which represents the effective cost of borrowing the SGD synthetically by borrowing USD for the same maturity, and swap out the USD in return for the SGD. The Calculation Agent shall calculate and determine the Rate, for each maturity matching each Tenor specified below (each a calculation period ), on each Business Day as follows: SGD SOR = Where: USD Rate means the rate for deposits in USD for a period of the calculation period which appears on Reuters Screen LIBOR01 (or successor page displaying USD LIBOR) as of 11:00 am, London time, on the same Business Day. #days means the actual number of days in the calculation period. Spot Rate means, in relation to all Qualifying Transactions, the volume weighted average rate calculated as follows: (SGD Principal i *Spot Rate i ) / SGD Aggregate Principal SGD Principal i means, in relation to a Qualifying Transaction, the notional amount of that Qualifying Transaction. SGD Aggregate Principal means the aggregate notional amounts of all Qualifying Transactions. Spot Rate i means, in relation to a Qualifying Transaction, the spot rate (or currency exchange rate) for the near leg of that Qualifying Transaction. Forward Points means, in relation to all Qualifying Transactions, the volume weighted average rate calculated as follows: (SGD Principal i * Forward Point i ) / SGD Aggregate Principal SGD Principal i means, in relation to a Qualifying Transaction, the notional amount of that Qualifying Transaction. SGD Aggregate Principal means the aggregate notional amounts of all Qualifying Transactions. Forward Point i means, in relation to a Qualifying Transaction, the difference between the spot rate (or currency exchange rate) for the near leg and the forward rate (or currency exchange rate) for the far leg of that Qualifying Transaction. Trading Protocol Page 13

14 Please refer to the Example 1 below for an illustration of the calculation of Spot Rate and Forward Points Qualifying Transactions: Type of Trades: Any Type of Trade which satisfies all of the following conditions: (a) having a notional amount equal to or exceeding the Minimum Notional; (b) with at least one counterparty in Singapore; (c) electronically routed and captured through an Approved Broker; (d) traded during the Qualifying Window; (e) with maturities matching the Tenors specified below; and (f) traded between interbank counterparties. SGD FX Swaps (with maturities matching the Tenors specified below) Minimum Notional: USD 1,000,000 Tenors: Business Day: Overnight, 1 month, 3 months and 6 months Singapore and London Day Count: SGD Actual/365 USD Actual/360 No. of Decimal Points: SGD SOR: 5 decimal places, round to nearest SGD Spot Rate: 4 decimal places, round to nearest Forward Points: 6 decimal places, round to nearest Qualifying Window: SGD FX Swaps: 7:30 am to 4:30pm, Singapore time Publication Time # : Spot Rate: 4:45pm, Singapore time Forward Points: 4.45pm, Singapore time SGD SOR: 12:00 noon, London Time (7:00pm or 8:00pm, Singapore time) Publication Page: In addition to the Rate (SGD SOR), the Calculation Agent shall also publish the Spot Rate and Forward Points, for each Tenor. Reuters Screen ABSFIX01 Correction to Rate: Fallback in the event of insufficient transactional data for VWAP calculation and/or USD Rate is not available: Any correction of errors to the Rate must be published within 30 minutes following the Publication Time. Fallback Trigger: In respect of any maturity, a Fallback Trigger occurs if (a) there is no Qualifying Transaction traded during the Qualifying Window; and/or (b) USD Rate is not available. Fallback Procedure: If Fallback Trigger occurs in respect of any maturity, the Rate for that maturity for the preceding Business Day shall be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate for that maturity shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. Note: The publication of the Rate for the preceding Business Day is a calculation methodology fallback procedure to address periods where transactional data may not be available and is not intended to invoke any contractual fallback in transactions between counterparties that reference the Rate as the Rate is still published. # Publication Time refers to the estimated time which Thomson Reuters will publish the Rate. Trading Protocol Page 14

15 Example 1: 6-mth SGD SOR calculation Method: VWAP of Spot Rate and VWAP of Forward Points Spot Forward Spot Forward Point Forward Principal (in USD) SGD Principal Term Day Count Weighted Spot (= Spot Rate I * SGD Principal i) Weighted Forward Points (=Forward Point i*sgd Principal i) /03/ /09/ ,000,000 62,300,000 6 Months /03/ /09/ ,697, ,999,042 6 Months /03/ /09/ ,747, ,995,185 6 Months /03/ /09/ ,149,456 60,018,297 6 Months /03/ /09/ ,718, ,987,674 6 Months /03/ /09/ ,039, ,969,631 6 Months /03/ /09/ ,249,093 99,990,370 6 Months /03/ /09/ ,980,642 90,984,966 6 Months /03/ /09/ ,115,533 50,000,000 6 Months Total Total Calculation of 6-month SGD SOR 'USD Rate' on 12th March = % '#days' = 184 'Spot Rate' (blue cell) = 'Forward Points' (green cell)= SGD SOR = "SGD Aggregate Principal" Volume Weighted Average of Spot Rate i Volume Weighted Average of Forward Point i "Spot Rate" in the formula (This figure to be published at 4:45pm SG Time) "Forward Points" in the formula (This figure to be published at 4:45pm SG Time) = ( ) ( %) X (184) (1.2461) (184) = To be published at 1200hrs London Time (7pm or 8pm SG Time) Trading Protocol Page 15

16 III. Frequently Asked Questions (FAQs) 1. Why are we changing the calculation methodologies? Singapore is a leading financial centre and constantly strives to employ global best practices in terms of governance. Given current industry discussions regarding financial benchmarks and the forthcoming publication of the Principles of Financial Benchmarks by the IOSCO, ABS, in conjunction with SFEMC, is reviewing the Benchmarks under its administration to keep abreast with the latest global best practices and principles. 2. What are the advantages of new calculation methodology for Traded Benchmark? The new calculation methodology uses actual market-based transactional data captured from trading venues. Constructing a benchmark solely based on actual transactions mitigates the likelihood of the Benchmark being skewed by the judgemental views of a rate contributor, thereby increasing transparency and efficiency. 3. Why are we abolishing VND Spot FX Benchmark? The underlying VND foreign exchange market has insufficient liquidity for a VND valuation to be meaningfully maintained. 4. Why do we capture trades with at least one counterparty outside Thailand to calculate THB Spot FX Benchmark? Although there is currently no divergence between onshore and offshore THB spot rate, it is possible that a divergence can occur in future. Given that the THB Spot FX Benchmark is typically used to calculate the settlement of offshore transactions, it would be more appropriate for offshore transactions to be used in determining the Benchmark. 5. Why is MYR valuation going onshore? There is sufficient customer and industry support for onshore MYR spot rate benchmark to enable the transition. 6. How is the onshore MYR spot rate benchmark determined? The onshore MYR spot rate benchmark is a trimmed arithmetic mean of tradable spot rates contributed by banks during a qualifying window. It is managed by the Persatuan Pasaran Kewangan Malaysia (ACI - Malaysia). 7. Why are we using implied IDR spot rate calculated from 1M NDF Outright and 1M IDR NDF against the Fix? Both 1M IDR NDF Outright and 1M IDR NDF against the Fix are already traded in the offshore market. By subtracting the forward points of 1M NDF against the Fix from 1M IDR NDF Outright, we are able to derive the implied IDR spot rate based on transactional data. 8. What happens if there are insufficient Qualifying Transactions? In the event that there are insufficient Qualifying Transactions to construct the VWAP of any Rate on any Business Day, the Rate for the preceding Business Day will be published as the day s Rate. This is a calculation methodology fallback to address periods where there are insufficient transactional data on that Business Day to determine the Rate. When a calculation methodology fallback is triggered, there will be an indication on the Rate published that day. There is a cap to the look back of a maximum of 2 consecutive Business Days. If there continues to be insufficient Qualifying Transactions on the 3 rd consecutive Business Day, then no Rate will be published and the contractual fallbacks agreed between the parties shall apply. For SGD SOR, in addition to the Qualifying Transactions (SGD FX Swaps), USD LIBOR is also a component used to determine SGD SOR. If there is no Qualifying Transaction and/or if USD Trading Protocol Page 16

17 LIBOR is not available for any particular Tenor, SGD SOR for that Tenor for the preceding Business Day shall be published. Please see Appendix B for a summary of the internal benchmark fallbacks and the contractual fallbacks for standard NDF and derivative transactions referencing the Rates. 9. How will SGD SOR trade in the market under the different rate setting timing? Previously, SGD SOR was traded as T+2 up to 11am and T+3 after 11am, Singapore time. Now, with the SGD SOR rate setting moving to as of 11:00 am, London time (and published at around 12:00 noon, London time), it will now trade as T+2 throughout the day. 10. What trades are we including in the VWAP calculation, and what are we excluding? We are including all transactions that satisfy the conditions in the definition of Qualifying Transactions under the Calculation Methodology. These include actual interbank transactions that are electronically routed and captured through Approved Brokers as such transactions are observable and are formed by the competitive forces of supply and demand. Transactions that are voice-brokered and are similarly electronically routed and captured are also included. Direct interbank transactions, as well as non-interbank transactions are not captured. In addition, only transactions with a minimal notional amount are included, and there is no cap on such notional amounts. 11. Will we include trades from Thomson Reuters Matching? Transactions routed through Thomson Reuters Matching, which is an Approved Broker s platform, will be included as long as the transactions satisfy the other conditions of a Qualifying Transaction. 12. What happens if a new electronic trading platform gains market share, for example ParFX? The capture mechanism and the source of the transactional data will be reviewed on an ongoing basis by the Administrator, in consultation with the Calculation Agent and relevant stakeholders (as appropriate), to include transactions traded through any new platform deemed significant. 13. How is the timestamp defined? The timestamp refers to the execution time of the deals, as opposed to the time at which the deals are entered into the system. 14. What are the relevant banking days or business days for the new SGD SOR? Currently, the Calculation Agent calculates SGD SOR for each Singapore banking day. However, as USD LIBOR will become a component to calculate the new SGD SOR (and USD LIBOR is determined on a London banking day), the Calculation Agent will calculate the new SGD SOR on each day that is a banking day in both Singapore and London. We will work with ISDA to amend the definition of SGD SOR such that the screen rate which appears on the day that is two Singapore and London banking days preceding the reset date will be used for the purposes of calculating the floating amounts. The inclusion of London banking day is only for the purposes of rate determination. The business day for payment dates and the calculation periods should not be affected. 15. What happens if the Calculation Agent fails to publish the Benchmark on a particular day? If the Calculation Agent fails to publish the Benchmark, the contractual fallbacks agreed among the parties referring such Benchmark will kick in. 16. What will happen to outstanding transactions or contracts referencing 2m & 9m SGD SIBOR? Given that these rates will be discontinued, it is recommended that parties amend their outstanding transactions such that the discontinued rate will be replaced by a rate determined by straight-line interpolation of the next shorter and next longer remaining maturities. Parties should Trading Protocol Page 17

18 consult their legal advisers as to the appropriate amendment agreements. For derivatives transactions that are documented under the ISDA Definitions, we are working with ISDA to publish a form of amendment agreement that market participants may use to amend outstanding transactions. 17. What will happen to outstanding transactions referencing 1w & 2m SGD SOR? Same as above, by replacing the discontinued rate with a rate determined by straight-line interpolation of the next shorter and next longer maturities of the new SGD SOR. 18. What will happen to outstanding transactions referencing 9m & 12m SGD SOR? Parties will need to bilaterally agree how to deal with such transactions if they wish to alter any contractual fallbacks already provided for in their contracts. Options include (a) amending the affected transactions such that the discontinued rate will be replaced by the new SGD SOR rate of a shorter maturity; or (b) extrapolating the rate using rates determined by reference to the new SGD SOR rate for such maturities as the parties deem appropriate; or (c) terminating the affected transactions. We make no recommendation in relation to such transactions. 19. What do Last Date of Publication of Old Benchmark and Start Date of Publication of New Benchmark mean? Last Date of Publication of Old Benchmark means the last day on which an Old Benchmark will be published, and Start Date of Publication of New Benchmark means the first day on which a New Benchmark will be published. Where a Benchmark moves from Old to New, the Old Benchmark will cease to be published one day prior to the Start Date of Publication of New Benchmark (i.e. 6 Aug for FX, and 1 Oct for SGD SOR) ( start date ). There is intentionally no overlap between Old Benchmark and the New Benchmark. On or after the start date, the valuation or calculation of all transactions should be based on the New Benchmark, regardless whether the transaction was entered into on, before or after the start date. This will allow seamless transition from a market trading and price making perspective. Consistent with this approach, transactions that will be outstanding on or after the start date should be amended with effect from the start date to reference the New Benchmark. SFEMC will work together with ISDA, EMTA and FXC (as appropriate) to publish forms of amendment agreements that market participants may use to amend outstanding transactions. 20. Are we going to publish the transactional data used to construct the Benchmarks (such as trade volumes and notional amounts)? No, we do not intend to publish raw transactional data used for the VWAP calculation to determine the final Benchmark. Only the final Benchmarks (and, if applicable, its VWAP components) will be published. 21. Are we publishing the VWAP for the two components from which we will derive the IDR SPOT FX? Yes, we intend to publish the VWAP of the two components (1M IDR NDF Outright & 1M NDF IDR against the Fix) together with the publication of the final IDR Spot FX. However, we do not intend to publish the raw transactional data used for VWAP calculation to determine the final IDR Spot FX. 22. Why are we publishing the SGD Spot FX and Forward Points at 4:45pm, Singapore time, when SGD SOR will only officially come out later at 7:00pm or 8:00pm Singapore time (12:00 noon, London time)? Similar to IDR, we intend to publish the VWAP components that make up the Rate to the extent possible for purposes of transparency. Since SGD Spot FX and Forward Points are available earlier in the day after the Qualifying Window closes at 4:30 pm, Singapore time, these two components of SGD SOR can be published earlier at 4:45pm, Singapore time. On the other hand, Trading Protocol Page 18

19 SGD SOR can only be calculated and published later in the day when USD LIBOR is available, which is after 11:00 am, London time. 23. Will cancelled and error trades be captured? In accordance with the Calculation Methodology, all Qualifying Transactions that are traded during the Qualifying Window will be captured. Transactions that would have been Qualifying Transactions but which are cancelled during the Qualifying Window will be excluded. Modifications to Qualifying Transactions will be captured provided that the modifications are made during the Qualifying Window. The Calculation Agent will have controls and processes in place to filter out/exclude error trades. Transactions with obvious mis-keyed prices (e.g. fat-finger errors with instead of ) will be excluded. In addition, there will be a price filtering where all prices will be subject to a threshold check. If the price of a transaction falls outside a specified tolerance level price range, that transaction will be rejected and excluded from the calculation. The Calculation Agent will also have controls and processes in place to filter and check large notional amounts. Any trade with notional amount larger than a specified notional level will be filtered and capped at such specified notional level prior to its inclusion into the calculation. 24. Will the industry continue to trade SGD Interest Rate Swaps (SGD IRS)? Yes, the industry will still continue to trade and quote SGD IRS (fixed vs. floating) with floating rates of overnight (O/N), 1m, 3m and 6m SGD SOR, and with terms typically ranging from 1yr onwards. What ABS will discontinue is the calculation and publication of 1w, 2m, 9m and 12m maturities for SGD SOR on the basis that these maturities are not liquid. Currently, ABS also publishes the fixed rate for SGD IRS (fixed vs. 6m SGD SOR) for terms ranging from 1y to 15y. This fixed rate is the trimmed arithmetic mean of fixed rates (mid-point) polled from contributing banks. ABS will discontinue the calculation and publication of these rates. Notwithstanding this, the industry can continue to trade SGD IRS. For marking-to-market, the industry can rely on broker pages displaying bid and offer prices, which will continue to be available. The industry will also continue to trade and quote clients in cross currency basis swaps i.e. from USD LIBOR into SGD SOR and vice versa for tenors O/N, 1m, 3m and 6m SOR. Similarly, broker pages are also available if parties choose to use such pages for mark-to-market purposes. 25. What is Valuation Date? The term Valuation Date is used in the 1998 FX and Currency Option Definitions (published by ISDA, EMTA and FXC) to refer to the date on which the spot rate for a transaction such as a Non- Deliverable Forward (NDF) is determined for the purposes calculating the settlement amount. The term fixing is common parlance used in the trading community to refer to calculation and determination of a particular rate, and the term fixing date refers to the day on which a particular rate is calculated and determined. Thus, the terms Valuation Date and fixing date have similar meaning. 26. What is Settlement Date? The term Settlement Date is used in the 1998 FX and Currency Option Definitions (published by ISDA, EMTA and FXC) to refer to the date on which a transaction (such as NDF) is settled i.e. when the settlement amount is due to be paid. The term value date is common parlance used in the trading community to refer to the day on which payment for a particular transaction is due. Thus, the terms Settlement Date and value date have similar meaning. Trading Protocol Page 19

20 Appendices Trading Protocol Page 20

21 Appendix A Calculation Methodology for SGD SIBOR Rate: Rate Description: Contributed Rates: Rate Setting: Contributor Bank: Minimum Number of Contributor Banks: Maturities: Frequency of Rate Setting: Business Day: Day Count: No. of Decimal Points: Contribution Time: Publication Time # : SGD SIBOR The rate at which an individual Contributor Bank could borrow funds, were it to do so by asking for and then accepting the interbank offers in reasonable market size, just prior to 11:00 a.m. Singapore time. On each Business Day, Contributor Banks will contribute rates for the Singapore interbank offered rate (SIBOR) for deposits as follows: 1. Contributor Banks will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting the interbank offers in reasonable market size, just prior to 11:00 a.m. Singapore time. 2. The rates shall be for deposits in Singapore Dollars, for such maturities and according to the agreed conventions. 3. Each Contributor Bank shall input their rates without reference to rates contributed by other Contributor Banks. 4. The rates shall be for deposits: in reasonable market size; that are simple and unsecured; and governed by the laws of Singapore, where the parties are subject to the jurisdiction of the courts of Singapore. 5. Maturity dates for the deposits shall be subject to the ISDA Modified Following Business Day Convention, which means that if the maturity date of a deposit falls on a day that is not a Business Day, the maturity date shall be the first following day that is a Business Day, unless that day falls in the next calendar month, in which case the maturity date will be the first preceding day that is a Business Day. 6. The rates shall be contributed up to five decimal places. On each Business Day, the Calculation Agent shall calculate and determine the Rate using trimmed arithmetic mean of the contributed rates. The contributed rates will be ranked in order, the top and bottom quartiles will be removed, with the remaining rates averaged arithmetically. The Calculation Agent shall publish the arithmetic mean as the Rate. Each bank in the panel of Contributor Banks selected and determined by the Administrator. A minimum of 12 Contributor Banks shall submit rates for each maturity. 1 month, 3 months, 6 months and 12 months Each Business Day from Monday to Friday Singapore Actual/365 5 decimal places, round to nearest 11:00 am to 11:10 am, Singapore time am, Singapore time Trading Protocol Page 21

22 Publication Page: Correction to Rate: Insufficient Contributed Rates: Reuters Screen ABSIRFIX01 Any correction of errors to the Rate must be published within 30 minutes following the Publication Time. If, on any Business Day, the Calculation Agent receives submissions from less than 12 Contributor Banks for any maturity, the Calculation Agent shall issue a notice that SGD SIBOR for that maturity and that Business Day cannot be published due to insufficient number of submissions. # Publication Time refers to the estimated time which Thomson Reuters will publish the Rate. Trading Protocol Page 22

23 Rate Appendix B Singapore Benchmark Fallbacks (FAQ No. 8) Internal Benchmark Fallbacks which apply prior to the rate being published on relevant screen. 1. THB SOR [To be eliminated] [To be eliminated] Contractual Benchmark Fallbacks if the rate does not show up on screen on the Valuation Date (or rate setting date). 2. IDR SOR [To be eliminated] (already ceased publication) [To be eliminated] (already ceased publication) 3. SGD IRS [To be eliminated] [To be eliminated] 4. VND NDF [To be eliminated] [To be eliminated] 5. USD SIBOR [To be eliminated] [To be eliminated] 6. MYR NDF [To be eliminated] 1. Valuation Postponement: Postpone valuation to the following Business Day that a rate is available for up to maximum of 14 calendar days. If rate is still unavailable on the Business Day after Maximum Days of Postponement, which is 14 calendar days, the next fallback shall apply. 7. IDR NDF Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction (1M IDR NDF Outright or 1M IDR against the Fix) traded during the Qualifying Window. Fallback Procedure: If Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. 8. THB NDF Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction (THB Spot FX) traded during the Qualifying Window. Fallback Procedure: If Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. 9. SGD Spot FX Fallback Trigger: A Fallback Trigger occurs if there is no Qualifying Transaction (SGD Spot FX) traded during the Qualifying Window. Fallback Procedure: If Fallback Trigger occurs, the Rate for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. 2. Fallback Reference Price: SFEMC Indicative Survey Rate as published on SFEMC Website at about 3.30 pm. 3. Fallback Survey Valuation Postponement. Try polling (SFEMC Indicative Survey) as above for 3 Business Days. 4. Calculation Agent Determination of Settlement Rate. There is no published industry standard, but market participants usually have similar fallbacks as above, without the SFEMC Indicative Survey. There is no published industry standard. SGD NDF is not traded. Trading Protocol Page 23

24 10. SGD SOR Fallback Trigger: In respect of any maturity, a Fallback Trigger occurs if (a) there is no Qualifying Transaction (SGD FX Swap) traded during the Qualifying Window (i.e. no Spot Rate and Forward Points); and/or (b) USD LIBOR is not available. Fallback Procedure: If Fallback Trigger occurs in respect of any maturity, SGD SOR for that maturity for the preceding Business Day will be published. Provided that if Fallback Trigger continues to occur for 2 consecutive Business Days, then no Rate for that maturity shall be published on the 3 rd and each following Business Day that the Fallback Trigger continue to occur. SGD SOR Reference Banks, if rate does not appear on ABSIRFIX01 and ABS does not announce any substitute rate by 4 pm. Determination by Calculation Agent following a methodology set out on page 55/56 of 2006 ISDA Definitions based on a formula using Spot Rate, Forward Points and USD Rate. Spot Rate and Forward Points are determined by polling 4 banks in Singapore as of 11 am. Average of quotes after disregarding highest and lowest values if at least 3 quotes are received. If more than one quote has the same highest or lowest value, one such quote is disregarded. If only two quotes are received it is the average of the two. USD Rate is determined from USD SIBOR as of 11 AM on ABSRIFIX05, failing which Reference Bank polling for USD SIBOR. [NOTE: the above are based on existing ISDA Definition of SGD SOR. Under new SGD SOR, USD Rate will be determined from USD LIBOR as of 11am London time. Accordingly, the ISDA definition of SGD SOR and its fallbacks will need to be amended to reflect such changes.] 11. SGD SIBOR If the Calculation Agent receives submissions from less than the minimum 12 Contributor Banks for any maturity, the Calculation Agent shall issue a notice that SGD SIBOR for that maturity cannot be published due to insufficient number of submissions. Contractual Fallback will then apply. SGD SIBOR Reference Banks, if rate does not appear on ABSIRFIX01 as of am, Singapore time. Determination by Calculation Agent following a methodology set out on page 54/55 of 2006 ISDA Definitions. Polling of 4 major banks in Singapore of the rate at which deposits are offered by them to prime banks in Singapore at approximately 11 am, Singapore time, and if at least 2 quotes are received, the arithmetic mean. If less than two quotes are received the average of rates quoted by major banks in Singapore on loans to leading banks in Singapore for same designated maturity as underlying transaction for the representative amounts. Note: Blue fonts denote the proposed changes. DISCLAIMER: Please note that the above is a summary of the internal fallbacks under the proposed benchmark calculation methodology, and the relevant contractual fallbacks under the 1998 FX and Currency Option Definitions, 2006 ISDA Definitions and/or published industry standard templates for relevant foreign exchange and derivatives transactions. It is set out for information purposes only. Each market participant remains responsible for considering its own documentation and the specific terms of its own trades. Trading Protocol Page 24

25 THE END Trading Protocol Page 25