Framework for considering unaffected price for transactions upon confirmation of market rumour
Summary
SEBI mandates that listed entities must verify market rumors upon material price movements and consider an unaffected price for transactions if the rumor is confirmed within 24 hours. The circular provides a specific framework for calculating this unaffected price by adjusting the Volume Weighted Average Price (VWAP) to exclude the impact of the rumor and its confirmation. This framework applies to top 100 listed entities from June 1, 2024, and top 250 entities from December 1, 2024.
Text
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.
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.
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.
framework for considering unaffected price... 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.
The Stock Exchanges are advised to bring the contents of this circular to the notice of their listed entities and ensure its compliance.
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”).
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.
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.
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.
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.
Source: SecMarx — Framework for considering unaffected price for transactions upon confirmation of market rumour. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.