SEBI set to revise derivatives settlement price methodology after CAS feedback; expected in about a week
SEBI’s proposed review is aimed at addressing the concerns raised during the initial phase of CAS implementation while incorporating feedback from market participants.
The Securities and Exchange Board of India (SEBI) is set to introduce changes to the methodology used to determine settlement prices for derivative contracts following the implementation of the newly introduced Closing Auction Session (CAS). The regulator is expected to announce the changes in about a week.
SEBI said it has engaged with market participants and other stakeholders after receiving feedback and suggestions on the CAS through multiple channels, including social media and other media platforms, according to its statement.
“Among the issues raised, a significant area of feedback relates to the determination of settlement prices of derivative contracts on expiry based on the closing price determined through CAS,” it said.
Having considered the experience of the initial period of CAS implementation and the feedback received from various stakeholders, SEBI said it may propose changes to the methodology for determining settlement prices of derivative contracts.
The regulator said the proposed changes would be taken up for consultation with stakeholders before being finalised.