Norms for Base Price, Price Bands, and Closeout for ETFs · 20260904-19

[Image omitted. See the official document.]

NOTICE

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[Image omitted. See the official document.]

In continuation to the Exchange notice 20260616-23 dated June 16, 2026, and Exchange notice 20260828-11 dated August 28, 2026, market participants are requested to note the changes in Exchange Traded Funds (ETFs) parameters which will be effective from Monday September 7, 2026.

A) Base Price for ETFs

The base price for determination of price-bands of ETFs shall be T-1 day closing price i.e last 30 minutes of volume weighted average price (VWAP) of the ETF.

In case, there is no trading in the ETF during the last 30 minutes of T-1 day, then base price shall be the Last Traded Price (LTP) of the day. Further, in case there is no trade on T-1 day, then base price shall be the latest available closing NAV of the ETF.

B) Price Band for ETFs

Equity and Debt ETFs (Other than Overnight ETFs and Liquid ETFs)

For Equity ETFs and Debt ETFs (Other than Overnight ETFs and Liquid ETFs) with an initial price bands +/- 10 % , which can be flexed upto +/- 20% after a cooling period.

There will be no upper or lower cap of the price bands and no restriction on the number of times the price bands can be flexed during the trading session.

C) Overnight ETFs and Liquid ETFs

Overnight ETFs and Liquid ETFs shall have fixed price band of +/- 5%

D) Commodity ETFs (Gold / Silver):

For Commodity ETFs, there shall be dynamic price bands, with an initial price band of +/- 6 %. The price band would be flexed by 3% of the base price, after a cooling off period.

E) Introduction Pre-Open session for Commodity ETFs (Gold/Silver)

Call Auction in the pre-open session shall be conducted for Commodity ETFs (Gold / Silver)

Trading member may note that above parameters which will be effective from Monday September 7, 2026 shall be available for testing on mock trading day (notice number 20260903-26) scheduled on Saturday, September 5, 2026.

F) Close-Out Procedure for ETFs

For Overnight ETFs and Liquid ETFs

• a. The close-out price will be the highest price recorded in that ETF on the exchange in the settlement in which the concerned contract was entered into and up to the date of auction or close out

OR

• b. 5% above the latest available closing price at the exchange on the day on which auction offers are called on

The close-out will be higher of a or b as stated above.