Description

NSE introduces Standard Operating Procedure for Settlement Price Computation under the new Closing Auction Session (CAS) in the Equity Segment, detailing price determination rules for CAS-applicable and non-applicable stocks.

Summary

NSE has issued operational guidelines and a Standard Operating Procedure (SOP) for the introduction of the Closing Auction Session (CAS) in the Equity Segment. The circular details how settlement prices will be computed differently depending on whether a stock is subject to CAS or not, replacing or supplementing the existing last-30-minutes VWAP methodology.

Key Points

  • Settlement price computation rules differ for CAS-applicable and non-CAS stocks
  • For CAS-applicable stocks, the Equilibrium Price determined during CAS replaces the last-30-minutes VWAP as the settlement price
  • If multiple stock exchanges provide equilibrium price and quantity, a VWAP of those prices is used as the settlement price
  • If only one stock exchange provides the equilibrium price, that price is used directly
  • For non-CAS stocks, the existing last-30-minutes VWAP methodology continues to apply
  • Settlement prices with more than 2 decimal places are rounded using standard mathematical rounding
  • If a stock does not trade during CAS and no equilibrium price is determined but traded during the day, the Reference Price is used as the close price
  • If a stock has not traded at all during the day, the previous trading day’s settlement price is used

Regulatory Changes

  • Introduction of Closing Auction Session (CAS) as a new post-market trading session in the Equity Segment
  • New settlement price computation framework for CAS-applicable stocks using Equilibrium Price instead of VWAP of last 30 minutes
  • Reference Price replaces Last Traded Price (LTP) as the fallback close price for CAS stocks that traded during the day but not in CAS
  • Three-tiered fallback hierarchy for CAS stocks: (1) CAS Equilibrium Price, (2) Reference Price (if traded intraday), (3) Previous day’s settlement price

Compliance Requirements

  • Stock Exchanges must provide traded quantity and equilibrium price for CAS stocks where equilibrium price is determined
  • Stock Exchanges must provide Reference Price as close price for CAS stocks that did not trade in CAS but traded during the day
  • Where multiple exchanges provide settlement data, exchanges must coordinate to compute VWAP across provided prices
  • All settlement prices must be rounded to 2 decimal places using simple mathematical rounding

Important Dates

  • Circular date: 2026-03-19
  • Effective date: Not explicitly stated in the available content; refer to the full circular for implementation timeline

Impact Assessment

  • Broad Market Impact: Affects all equity segment participants including brokers, clearing members, custodians, and investors as settlement prices for CAS-applicable stocks will now be determined via auction equilibrium rather than VWAP
  • Price Discovery: CAS is expected to improve end-of-day price discovery by concentrating liquidity into an auction mechanism, potentially reducing price manipulation in the closing minutes
  • Operational Impact: Trading and risk systems will need to be updated to handle the new settlement price computation logic, including the distinction between CAS and non-CAS stocks
  • Multi-Exchange Coordination: Requires coordination between stock exchanges (NSE, BSE) for cross-exchange VWAP computation when both provide equilibrium prices
  • Derivatives Settlement: Settlement prices from the equity segment feed into derivatives settlement, so this change will have downstream impact on F&O settlement as well

Impact Justification

Introduces a structural change to how settlement prices are computed in the equity segment via a new Closing Auction Session, affecting all listed equity stocks and market participants.