Sebi to review settlement price methodology for derivative contracts after CAS rollout
A month after rolling out the Closing Auction Session, the market regulator Sebi plans to review the derivative settlement methodology at expiry amid concerns over using the CAS-determined closing price as the settlement basis.
A month after rolling out the Closing Auction Session, the market regulator Sebi plans to review the derivative settlement methodology at expiry amid concerns over using the CAS-determined closing price as the settlement basis.
In a statement on Thursday, Sebi said it may propose changes to the existing methodology, with a consultation paper on the proposed framework likely to be released in about a week.
"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," the regulator said in a statement.
