Closing Auction Session here to stay, says Sebi chairman Pandey

Even as there have been multiple complaints over the closing auction session (CAS) that was introduced recently, the Securities and Exchange Board of India Chairman Tuhin Kanta Pandey has stressed that CAS will not be done away with.

"CAS is not going anywhere. CAS is here to stay," Pandey told reporters on Thursday at the Global Fintech Fest.

The closing price auction was rolled out in August for efficient discovery of closing stock prices. This replaced the earlier VWAP (volume weighted average price) system.

However, there have been complaints about large, sudden swings and last minute order imbalances, with the impact more on derivative expiry days. Liquidity issues too have been flagged.

But, Pandey said that MSCI had in fact acknowledged that the recent rebalancing went well under CAS.

"Many market participants have told us that initially everywhere the CAS was brought in, liquidity was always an issue and it builds up over time," he pointed.

Pandey's statement comes on a day sharp swings were observed in the final minutes of trade on Thursday, with the CAS again in focus.

SEBI had stated last week that it would review the methodology for determining settlement prices of derivative contracts on expiry. A consultation paper is to be issued soon.