Closing Price Determination


In order to understand how the closing price is determined, it is necessary to explain the concept of "Representative Nominal Value".

1.- Representative Nominal Value


The "Representative Nominal Value" is different for each trading code (purchase-sale, repo, "caución", repo with haircut, option or forward) instrument, coupon, term and trading currency. Furthermore, it changes on a monthly basis and is determined as follows:

  • 1. At the end of the trading day on the last business day of each month, (by instrument) all the sales of the month but those of the last 3 business days are added .
  • 2. Thus, two values for each instrument are obtained: the sum of the nominal values and the number of sales.
  • 3. The nominal values are divided by the number of trades and the result is the average of nominal values per sale.
  • 4. This number, called basis parameter, is multiplied by 0.70 o by 0.50 (depending on whether or not the instrument is in the list of instruments under the control of the strict Stock Watch System). The resulting number will be the valid "Representative Nominal Value" during the following month.

2.- Closing price formation.


The price of a trade becomes the closing price if:
  • 1. It is the last sale entered into MAE's electronic trading platform and;
  • 2. The Nominal Value (number of securities) of the trade is equal to or higher than the Representavie Nominal Value.*

If there is no closing price because these conditions were not fulfilled, the column "Closing Price Today" may present the following information:

Event

Column "Closing price today"

Note (*)

Code

1

At least one sale has nominal values equal to or higher than the "representative nominal value".

The price of the last trade that satisfies these features.

 

2

No sales have nominal values equal to or higher than the "representative nominal value".

The price of the last sale, irrespective of its nominal values

NR

3

There are no sales.

The weighted average price of all purchases.

PP

4

No sales or purchases were found

0.

SC

* Displayed on the right of the price that appears in the column "closing price".




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