Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 1 of 14
NATIONAL STOCK EXCHANGE OF INDIA LIMITED
DEPARTMENT : CAPITAL MARKET SEGMENT
Download Ref No :NSE/CMTR/19982 Date : February 09, 2012
Circular Ref. No : 011/ 2012
All NSE Members
Sub: Dissemination of Index on trading system in Capital Market Segment
The Exchange proposes to incorporate following indices on trading system for its on-line
dissemination in multiple index broadcast screen under the names as given below:
Sr No Index Name Name on trading system
1 CNX Commodities Index CNX Commodities
2 CNX Consumption Index CNX Consumption
3 CNX Finance index CNX Finance
The details and factsheet of these indices are given in the following annexures:-
Annexure 1 – CNX Commodities Index
Annexure 2 – CNX Consumption Index
Annexure 3 – CNX Finance Index
Further, the Exchange shall provide details of these indices in end of day press files and market
activity report available on Exchange website and extranet.
The date of implementation of proposed changes will be intimated separately.
For and on behalf of
National Stock Exchange of India Limited
Suprabhat Lala
Vice President- CM Trade
Telephone No Fax No Email id
022-26598153/56/57 022-26598155 [email protected]
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 2 of 14
ANNEXURE – 1
CNX Commodities Index
Base Date and Value
The CNX Commodities Index has a base date of January 1, 2004 and indexed to a base value of
1000.
Constituents of CNX Commodities Index as on January 31, 2012
Sr. No. Company Name Symbol Series
1 ACC Ltd. ACC EQ
2 Adani Power Ltd. ADANIPOWER EQ
3 Ambuja Cements Ltd. AMBUJACEM EQ
4 Bharat Petroleum Corporation Ltd. BPCL EQ
5 Cairn India Ltd. CAIRN EQ
6 Coal India Ltd. COALINDIA EQ
7 Grasim Industries Ltd. GRASIM EQ
8 Hindalco Industries Ltd. HINDALCO EQ
9 Hindustan Petroleum Corporation Ltd. HINDPETRO EQ
10 JSW Energy Ltd. JSWENERGY EQ
11 JSW Steel Ltd. JSWSTEEL EQ
12 Jindal Steel & Power Ltd. JINDALSTEL EQ
13 NHPC Ltd. NHPC EQ
14 NTPC Ltd. NTPC EQ
15 National Aluminium Co. Ltd. NATIONALUM EQ
16 Oil & Natural Gas Corporation Ltd. ONGC EQ
17 Oil India Ltd. OIL EQ
18 Reliance Industries Ltd. RELIANCE EQ
19 Reliance Infrastructure Ltd. RELINFRA EQ
20 Reliance Power Ltd. RPOWER EQ
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 3 of 14
21 Sesa Goa Ltd. SESAGOA EQ
22 Shree Renuka Sugars Ltd. RENUKA EQ
23 Steel Authority of India Ltd. SAIL EQ
24 Sterlite Industries (India) Ltd. STER EQ
25 Tata Chemicals Ltd. TATACHEM EQ
26 Tata Power Co. Ltd. TATAPOWER EQ
27 Tata Steel Ltd. TATASTEEL EQ
28 Torrent Power Ltd. TORNTPOWER EQ
29 UltraTech Cement Ltd. ULTRACEMCO EQ
30 United Phosphorus Ltd. UNIPHOS EQ
FACTSHEET
The CNX Commodities Index is designed to reflect the behaviour and performance of a
diversified portfolio of companies representing the commodities segment which includes sectors
like Oil, Petroleum Products, Cement, Power, Chemical, Sugar, Metals and Mining. The CNX
Commodities Index comprises of 30 companies that are listed on the National Stock Exchange
(NSE).
Methodology:
The index is calculated using free float market capitalization methodology with a base date of
January 1, 2004 indexed to a base value of 1000 wherein the level of the index reflects the total
free float market value of all the stocks in the index relative to the particular base market
capitalization value. The index is capped at stock level of 10% i.e. no individual stock should
have a weightage of more than 10% in the index at any given point of time.
Market Representation:
The CNX Commodities Index represents about 18.83% of the free float market
capitalization of the stocks listed on NSE and 85.91 % of the free float market
capitalization of the stocks forming part of the Commodities segment universe as on Dec.
30, 2011.
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 4 of 14
The traded value for the last six months of all index constituents is approximately 17.20%
of the traded value of all stocks on NSE and 83.83 % of the traded value of the stocks
forming part of the Commodities segment universe.
Selection Criteria:
The criteria for the CNX Commodities Index include the following:
1. Companies must rank within the top 500 companies ranked by average free-float market
capitalisation and aggregate turnover for the last six months.
2. Company should form part of Commodities sector.
3. The company’s trading frequency should be at least 90% in the last six months.
4. The company should have reported a positive net worth.
5. The company should have an investable weight factor (IWF) of at least 10%
6. The company should have a listing history of 6 months. A company, which comes out
with an IPO will be eligible for inclusion in the index, if it fulfils the normal eligibility
criteria for the index for a 3 month period instead of a 6 month period.
7. Final selection of 30 companies shall be done based on the free-float market capitalization
of the companies.
8. The review will take place on a semi-annual basis.
Index Performance:
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 5 of 14
Statistics:
Period
Returns
(%)
Volatility
(%)
Avg. Daily
Return (%)
1 year -34.12 1.23 -0.12
3 years 39.92 1.93 0.04
5 years 24.39 2.01 0.05
Since
Inception 111.38 1.95 0.06
* As on Dec. 30, 2011
Company Size (Rs. Cr.):
Largest 30461
Smallest 990
Average 10154
Median 6273
* Capped Free Float Market Capitalization as on Dec. 30, 2011
Top 10 Constituents
Sr.
No. Company Name
Mkt. Cap.*
Rs. Cr.
Weight
(%)
1 Reliance Industries Ltd. 30461 10.00
2
Oil & Natural Gas Corporation
Ltd. 30461 10.00
3 Tata Steel Ltd. 22287 7.32
4 NTPC Ltd. 20558 6.75
5 Coal India Ltd. 18990 6.23
6 Jindal Steel & Power Ltd. 17532 5.76
7 Grasim Industries Ltd. 15797 5.19
8 Hindalco Industries Ltd. 14900 4.89
9 Tata Power Co. Ltd. 14120 4.64
10 Sterlite Industries (India) Ltd. 12593 4.13
* Capped Free Float Market Capitalization as on Dec. 30, 2011
Sector Break-up:
Sr.
No. Sector
Mkt. Cap.*
Rs. Cr.
Weight
(%)
1 ALUMINIUM 16440 5.40
2
CEMENT AND CEMENT
PRODUCTS 49493 16.25
3 CHEMICALS - INORGANIC 5488 1.80
4 METALS 12593 4.13
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 6 of 14
5 MINING 25363 8.33
6
OIL
EXPLORATION/PRODUCTION 45531 14.95
7
PESTICIDES AND
AGROCHEMICALS 4304 1.41
8 POWER 53615 17.60
9 REFINERIES 40822 13.40
10 STEEL AND STEEL PRODUCTS 49969 16.40
11 SUGAR 990 0.32
Total 304610 100.00
* Capped Free Float Market Capitalization as on Dec. 30, 2011
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 7 of 14
ANNEXURE – 2
CNX Consumption Index
Base Date and Value
The CNX Consumption Index has a base date of January 2, 2006 and indexed to a base value of
1000.
Constituents of CNX Consumption Index as on January 31, 2012
Sr. No. Company Name Symbol Series
1 Apollo Hospitals Enterprises Ltd. APOLLOHOSP EQ
2 Asian Paints Ltd. ASIANPAINT EQ
3 Bajaj Auto Ltd. BAJAJ-AUTO EQ
4 Bharti Airtel Ltd. BHARTIARTL EQ
5 Colgate Palmolive (India) Ltd. COLPAL EQ
6 Dabur India Ltd. DABUR EQ
7 GlaxoSmithkline Consumer Healthcare Ltd. GSKCONS EQ
8 Glaxosmithkline Pharmaceuticals Ltd. GLAXO EQ
9 Glenmark Pharmaceuticals Ltd. GLENMARK EQ
10 Godrej Consumer Products Ltd. GODREJCP EQ
11 Hero Motocorp Ltd. HEROMOTOCO EQ
12 Hindustan Unilever Ltd. HINDUNILVR EQ
13 I T C Ltd. ITC EQ
14 Idea Cellular Ltd. IDEA EQ
15 Indian Hotels Co. Ltd. INDHOTEL EQ
16 Mahindra & Mahindra Ltd. M&M EQ
17 Marico Ltd. MARICO EQ
18 Maruti Suzuki India Ltd. MARUTI EQ
19 Pantaloon Retail (India) Ltd. PANTALOONR EQ
20 Piramal Healthcare Ltd. PIRHEALTH EQ
21 Reliance Communications Ltd. RCOM EQ
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 8 of 14
22 Reliance Infrastructure Ltd. RELINFRA EQ
23 Shree Renuka Sugars Ltd. RENUKA EQ
24 Sun Pharmaceutical Industries Ltd. SUNPHARMA EQ
25 Sun TV Network Ltd. SUNTV EQ
26 Tata Global Beverages Ltd. TATAGLOBAL EQ
27 Tata Power Co. Ltd. TATAPOWER EQ
28 Torrent Power Ltd. TORNTPOWER EQ
29 United Spirits Ltd. MCDOWELL-N EQ
30 Zee Entertainment Enterprises Ltd. ZEEL EQ
FACTSHEET
The CNX Consumption Index is designed to reflect the behaviour and performance of a diversified
portfolio of companies representing the domestic consumption sector which includes sectors like
Consumer Non-durables, Healthcare, Auto, Telecom Services, Pharmaceuticals, Hotels, Media &
Entertainment, etc. The CNX Consumption Index comprises of 30 companies listed on the National
Stock Exchange (NSE).
Methodology:
The index is calculated using free float market capitalization methodology with a base date of
January 2, 2006 indexed to a base value of 1000. The index is capped at stock level of 10% i.e. no
individual stock should have a weightage of more than 10% in the index at any given point of time.
Market Representation:
The CNX Consumption Index represents about 19.26 % of the free float market
capitalization of the stocks listed on NSE and 62.07 % of the free float market
capitalization of the companies forming part of the Consumption sector universe as on
December 30, 2011.
The traded value for the last six months of all CNX Consumption Index constituents is
approximately 13.51 % of the traded value of all stocks on NSE and 47.72 % of the traded
value of the companies forming part of the Consumption sector universe.
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 9 of 14
Selection Criteria:
The criteria for the CNX Consumption Index include the following:
1. Companies must rank within the top 500 companies ranked by average free-float market
capitalisation and aggregate turnover for the last six months.
2. More than 50% of the company’s revenue must come from domestic markets (other than
export income).
3. The company’s trading frequency should be at least 90% in the last six months.
4. The company should have reported a positive net worth.
5. The company should have an investable weight factor (IWF) of at least 10%.
6. The company should have a listing history of 6 months. A company which comes out with
an IPO will be eligible for inclusion in the index, if it fulfills the normal eligibility criteria
for the index for a 3 month period instead of a 6 month period.
7. Final selection of 30 companies shall be done based on the free-float market capitalization
of the companies.
8. The review will be carried out on a semi-annual basis.
Index Performance:
500.00
750.00
1000.00
1250.00
1500.00
1750.00
2000.00
2250.00
Jan-0
6
Mar
-06
May
-06
Jun-0
6
Au
g-0
6
Oct
-06
Dec
-06
Feb
-07
Apr-
07
Jun-0
7
Au
g-0
7
Oct
-07
Dec
-07
Feb
-08
Apr-
08
Jun-0
8
Aug
-08
Oct
-08
Dec
-08
Feb
-09
Apr-
09
Jun-0
9
Aug
-09
Oct
-09
Dec
-09
Feb
-10
Apr-
10
Jun-1
0
Aug
-10
Oct
-10
Dec
-10
Feb
-11
Ap
r-1
1
Jun-1
1
Aug
-11
Oct
-11
Dec
-11
Ind
ex V
alu
e
Date
Statistics:
Period Returns (%) Volatility
(%)
Avg. Daily
Return (%)
1 year -10.81 0.99 -0.04
3 years 63.59 1.27 0.07
5 years 27.70 1.60 0.03
Since Inception 70.96 1.61 0.05
*As on Dec. 30, 2011
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 10 of 14
Company Size (Rs. Cr.):
Largest 30477
Smallest 990
Average 10072
Median 5748
*As on Dec. 30, 2011
Top 10 Constituents:
Sr.
No. Company Name
Mkt.
Cap.
Rs. Cr.
Weight
(%)
1 Bharti Airtel Ltd. 30186 10.00
2 I T C Ltd. 30186 10.00
3 Mahindra & Mahindra Ltd. 30186 10.00
4 Hindustan Unilever Ltd. 29747 9.85
5 Bajaj Auto Ltd. 21357 7.07
6 Sun Pharmaceutical Industries Ltd. 18699 6.19
7 Hero MotoCorp Ltd. 18180 6.02
8 Tata Power Co. Ltd. 14120 4.68
9 Maruti Suzuki India Ltd. 12148 4.02
10 Asian Paints Ltd. 11742 3.89
* Free Float Market Capitalization as on Dec. 30, 2011
Sector Break Up:
Industry Name Mkt. Cap.
Rs. Cr.
Weight
(%)
Consumer Non-Durables 106271 35.17
Auto 81738 27.05
Telecom - Services 41669 13.79
Pharmaceuticals 33737 11.16
Power 22087 7.31
Media & Entertainment 8926 2.95
Healthcare Services 3499 1.16
Hotels 2741 0.91
Retailing 1504 0.50
* Free Float Market Capitalization as on December 30, 2011
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 11 of 14
Annexure - 3
CNX Finance Index
Base Date and Value
The CNX Finance Index has a base date of January 1, 2004 and indexed to a base value of 1000.
Constituents of CNX Finance Index as on January 31, 2012
Sr. No. Company Name Symbol Series
1 Axis Bank Ltd. AXISBANK EQ
2 Bajaj Finserv Ltd. BAJAJFINSV EQ
3 HDFC Bank Ltd. HDFCBANK EQ
4 Housing Development Finance Corporation Ltd. HDFC EQ
5 ICICI Bank Ltd. ICICIBANK EQ
6 Infrastructure Development Finance Co. Ltd. IDFC EQ
7 Kotak Mahindra Bank Ltd. KOTAKBANK EQ
8 LIC Housing Finance Ltd. LICHSGFIN EQ
9 Mahindra & Mahindra Financial Services Ltd. M&MFIN EQ
10 Power Finance Corporation Ltd. PFC EQ
11 Punjab National Bank PNB EQ
12 Reliance Capital Ltd. RELCAPITAL EQ
13 Rural Electrification Corporation Ltd. RECLTD EQ
14 Shriram Transport Finance Co. Ltd. SRTRANSFIN EQ
15 State Bank of India SBIN EQ
FACTSHEET
The CNX Finance Index is designed to reflect the behaviour and performance of the Indian
financial market which includes banks, financial institutions, housing finance and other financial
services companies. The CNX Finance Index comprises of 15 stocks that are listed on the National
Stock Exchange (NSE).
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 12 of 14
Methodology:
The CNX Finance Index is computed using free float market capitalization method with a base
date of January 1, 2004 indexed to a base value of 1000, wherein the level of the index reflects the
total free float market value of all the stocks in the index relative to particular base market
capitalization value. The method also takes into account constituent changes in the index and
importantly corporate actions such as stock splits, right issue, new issue of shares etc. without
affecting the index value.
Market Representation:
The CNX Finance Index represents about 17.69% of the free float market capitalization of the
stocks listed on NSE and 76.47 % of the free float market capitalization of the stocks forming
part of the Finance segment universe as on December 30, 2011.
The traded value of all index constituents for the last six months (ending Dec 2011) is
approximately 18.89% of the traded value of all stocks on NSE and 78.56% of the traded value
of the stocks forming part of the Finance segment universe.
Selection Criteria:
The criteria for the CNX Finance Index include the following:
1. Companies must rank within the top 500 companies by average free-float market
capitalization and aggregate turnover for the last six months.
2. The company's trading frequency should be at least 90% in the last six months.
3. The company should have reported a positive net worth.
4. The company should have an investable weight factor (IWF) of at least 10%.
5. The company should have a listing history of 6 months. A company, which comes out with
an IPO will be eligible for inclusion in the index, if it fulfills the normal eligibility criteria
for the index for a 3 month period instead of a 6 month period.
6. Final selection of 15 companies shall be done based on the free float market capitalization
of the companies.
7. The review will take place on a semi-annual basis.
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 13 of 14
Index Performance:
Statistics:
Period Returns (%) Volatility (%)
Avg. Daily
Return
(%)
1 year -28.19 1.67 -0.13
3 years 71.66 1.98 0.08
5 years 42.81 2.39 0.03
Since Inception 236.77 2.19 0.06
* As on Dec. 30, 2011
Company Size (Rs. Cr.):
Largest 86601
Smallest 2356
Average 24783
Median 10389
* As on Dec. 30, 2011
Market Capitalization and Weightage:
Company Name
Mkt.
Cap.*
Rs. Cr.
Weight
(%)
Housing Development Finance Corporation Ltd. 86601 23.30
ICICI Bank Ltd. 78889 21.22
HDFC Bank Ltd. 76651 20.62
State Bank of India 41738 11.23
Axis Bank Ltd. 20928 5.63
Kotak Mahindra Bank Ltd. 15937 4.29
Infrastructure Development Finance Co. Ltd. 10832 2.91
Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai – 400 051 Page 14 of 14
Punjab National Bank 10389 2.79
LIC Housing Finance Ltd. 6668 1.79
Shriram Transport Finance Co. Ltd. 5575 1.50
Rural Electrification Corporation Ltd. 5041 1.36
Power Finance Corporation Ltd. 4792 1.29
Mahindra & Mahindra Financial Services Ltd. 2703 0.73
Reliance Capital Ltd. 2647 0.71
Bajaj Finserv Ltd. 2356 0.63
Total 371749 100
* Free Float Market Capitalization as on Dec. 30, 2011