CIRCULAR
SEBI/HO/CFD/CFD-PoD-2/P/CIR/2024/51 May 21, 2024
To,
All listed entities
All the recognized Stock Exchanges
Dear Sir/Madam,
Sub: Framework for considering unaffected price for transactions upon
confirmation of market rumour
1. In terms of Regulation 30(11) of SEBI (Listing Obligations and Disclosure
Requirements) Regulations, 2015 (“LODR Regulations”), as amended by SEBI
(Listing Obligations and Disclosure Requirements) (Amendment) Regulations,
2024 (link), listed entity is required to verify market rumours, upon material price
movement. The stock exchanges shall issue the framework for material price
movement on their websites.
2. As per second proviso to Regulation 30(11) of LODR Regulations, unaffected
price shall be considered for transactions on which pricing norms specified by
SEBI or the stock exchanges are applicable, provided that the rumour pertaining
to such transaction has been confirmed within 24 hours from the trigger of
material price movement.
Further, it has been specified that the unaffected price shall be considered by
excluding the effect on the price of the equity shares of the listed entity due to
the material price movement and confirmation of the rumour. Accordingly, the
framework for considering unaffected price is placed as ANNEXURE to this
circular and the same shall be applicable to top 100 listed entities with effect from
June 01, 2024 and to top 250 listed entities (i.e., next top 150) with effect from
December 01, 2024.
3. The Stock Exchanges are advised to bring the contents of this circular to the
notice of their listed entities and ensure its compliance.
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4. This circular is issued in exercise of the powers conferred under Section 11(1)
and 11A of the Securities and Exchange Board of India Act, 1992 read with
regulation 101 of LODR Regulations.
5. This circular is available on SEBI website at www.sebi.gov.in under the category:
‘Legal → Circulars’.
Yours faithfully,
Raj Kumar Das
Deputy General Manager
Corporation Finance Department
Tel. No.: +91 22 2644 9253
Email id: rajkd@sebi.gov.in
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ANNEXURE
FRAMEWORK FOR CONSIDERING UNAFFECTED PRICE
1. The calculation of adjusted volume weighted average price (“VWAP”) for
considering unaffected price is given below:
1.1. The variation in daily WAP from the day of material price movement till the
end of the next trading day after confirmation of the rumour shall be attributed
to the rumour and confirmation of the rumour (“WAP variation”).
1.2. The adjusted daily WAP shall be calculated by excluding the WAP variation
from the daily WAP in the look back period from the day of the material price
movement onwards. The adjusted daily WAP from the day of material price
movement till the end of the next trading day after confirmation of the rumour
shall be same as the daily WAP on the trading day preceding the day of
material price movement.
1.3. The adjusted VWAP for the look back period shall be calculated based on
the adjusted daily WAP calculated as mentioned at para 1.1 and 1.2 above,
and as illustrated below.
2. Illustration for calculation of VWAP under the above proposed framework in case
of preferential issue to qualified institutional buyers (QIBs) under SEBI (Issue of
Capital and Disclosure Requirements) Regulations, 2018 is given in the table
below:
Table 1: Illustration for calculation of VWAP
Trading Daily Adjusted No. of Remarks
Day WAP Daily WAP Shares (E)
(A) (B) (C) traded (D)
20-Jul 1,045.06 1,045.06 47,004
21-Jul 1,053.26 1,053.26 24,750
24-Jul 1,047.07 1,047.07 37,262 T-10
25-Jul 1,054.90 1,054.90 15,000
26-Jul 1,060.76 1,060.76 44,519
27-Jul 1,164.47 1,060.76 7,60,853 Date of material price movement
28-Jul 1,173.45 1,060.76 2,38,320 Date of rumour confirmation
31-Jul 1,178.90 1,060.76 88,450 Next trading day after rumour
confirmation
01-Aug 1,173.16 1,055.02 68,613
02-Aug 1,165.71 1,047.57 41,954
03-Aug 1,163.36 1,045.23 56,267
04-Aug 1,212.36 1,094.23 5,99,197 T-1
07-Aug 1,208.33 1,090.20 1,08,762 Relevant Date (T) – Date of Board
approval to preferential issue to QIBs
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2.1. The variation in daily WAP (in column B) from the day of material price
movement (July 27, 2023) till the end of the next trading day after
confirmation of the rumour (July 31, 2023) is the VWAP variation. The WAP
variation is Rs. 118.14.
2.2. Adjusted daily WAP (in column C) has been calculated from the day of
material price movement onwards (i.e. from July 27, 2023). The adjusted
daily WAP from the day of material price movement (July 27, 2023) till the
end of the next trading day (July 31, 2023) after confirmation of the rumour
is same as the daily WAP on the trading day preceding the day of material
price movement (i.e. July 26, 2023) viz. Rs. 1060.76.
2.3. Adjusted daily WAP (in column C) from August 1, 2023 onwards has been
calculated by subtracting the WAP variation (i.e. Rs. 118.14) from the daily
WAP.
2.4. VWAP in the look back period (T-1 to T-10) calculated under existing ICDR
Regulations using the daily WAP is Rs. 1,175.78. Adjusted VWAP in the look
back period (T-1 to T-10) calculated using the adjusted daily WAP is Rs.
1,069.80.
3. In case the price variation due to confirmation of the rumour, hits the price band
limit on the next trading day post rumour confirmation, the price variation in the
subsequent trading days shall be included for adjustment till such day the price
does not hit the band limit.
4. The unaffected price shall be applicable only if the listed entity has confirmed the
rumour pertaining to the transaction within 24 hours from the trigger of material
price movement.
5. The unaffected price shall be applicable for a period of 60 days or 180 days, as
applicable based on the stage of transaction, from the date of confirmation of the
market rumour till the ‘relevant date’ under the existing regulations (public
announcement, board approval, etc., as the case may be). The stages of
transaction and applicability period of the unaffected price shall be specified in the
Industry Standards on Regulation 30(11) of LODR Regulations.
6. In case rumour pertaining to a transaction has been confirmed by the listed entity
and subsequent rumour(s) are reported in the mainstream media with material
update to the transaction which require confirmation under Regulation 30(11) of
LODR Regulations, then the unaffected price shall be applicable for each instance
of confirmation of rumour. The following illustration is given for clarity:
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6.1. In the illustration given in Table 1 above, the rumour has been confirmed on
July 28, 2023 and the unaffected price calculated is applicable till September
26, 2023 (i.e. 60 days from the confirmation of the rumour, based on the
stage of the transaction).
6.2. Subsequently, rumour pertaining to the same transaction may be reported in
the mainstream media with material update to the transaction which require
confirmation under Regulation 30(11) of LODR Regulations. The unaffected
price subsequent to confirmation of rumour on, say August 28, 2023 shall be
applicable till October 27, 2023 (i.e. 60 days from the confirmation of the
rumour, based on the stage of the transaction).
6.3. The different scenarios for applicability of unaffected price are illustrated in
the table below:
Table 2: Illustration for applicability of unaffected price
S. Relevant date (i.e. Applicability of Applicability of
No. Date of approval by unaffected price for unaffected price for
board of directors to the rumour the rumour
preferential issue to confirmation on July confirmation on
QIBs) 28, 2023 August 28, 2023
1. July 29, 2023 to Applicable Not applicable
August 28, 2023
2. August 29, 2023 to Applicable Applicable
September 26, 2023
3. September 27, 2023 to Not applicable Applicable
October 27, 2023
4. October 28, 2023 Not applicable Not applicable
onwards
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