This is in partial modification of the Exchange notice no. 20181027-1 dated October 27, 2018, 20191108-36 dated November 08, 2019, 20200120-34 dated January 20, 2020, 20200214-60 dated February 14, 2020, 20200722-25 dated July 22, 2020 and 20210604-41 dated June 04, 2021 regarding Additional Surveillance Measure (ASM) Framework.
As per the joint Surveillance meeting of Exchanges and SEBI held on April 21, 2022, the following revised criteria shall be applicable for inclusion of stocks under the Long Term ASM framework:
1. High–Low Price Variation (based on corporate action adjusted prices) in 3 months ≥ (150% + Beta (β) of the stock * S&P BSE Sensex variation).
AND
Concentration of Top 25 clients account ≥ 25% of combined trading volume of BSE & NSE in the stock in last 30 days.
AND
Market Cap > Rs.100 Crore.
2. Close–to–Close Price Variation (based on corporate action adjusted prices) in the last 60 trading days ≥ 100% + (Beta (β) of the stock * S&P BSE Sensex variation).
AND
Concentration of Top 25 clients account ≥ 25% of combined trading volume of BSE & NSE in the stock in last 30 days.
AND
Market Cap > Rs.100 Crore.
3. Close–to–Close Price Variation (based on corporate action adjusted prices) in 365 days greater than ≥ 100% + (Beta (β) of the stock * S&P BSE Sensex variation).
AND
High–Low Price Variation (based on corporate action adjusted prices) in 365 days ≥ (200% + (Beta (β) of the stock * S&P BSE Sensex variation).
AND
Market Cap > Rs.500 Crore.
AND
Concentration of Top 25 clients account ≥ 25% of combined trading volume of BSE & NSE in the stock in last 30 days.
4. Average daily Volume in a month is ≥ 10,000 shares & > 500% of Average volume in preceding 3 months at BSE & NSE.
AND
Concentration of Top 25 clients account ≥ 25% of combined trading volume of BSE & NSE in the stock in last 30 days.
AND
Average Delivery% is < 50% in last 3 months.
AND
Market Capitalisation is > Rs.500 Crore.
AND
Close–to–close price variation (based on corporate action adjusted prices) in last one month is > (50% + Beta (β) of the stock * S&P BSE Sensex variation).
5. Close- to -Close price variation > 25% + (Beta * S&P BSE Sensex Variation) in a month
AND
PE negative OR > 2 times of S&P BSE Sensex PE
AND
Market Cap < 500 Crs as on review date
6. Close-to-Close price variation of the SME stock ≥ ±25% + (Beta of the SME stock * SME Index Variation at respective Exchange) in 15 days
OR
Close-to-Close price variation of the SME stock ≥ ±50% + (Beta of the SME stock * SME Index Variation at respective Exchange) in 30 days
OR
Close-to-Close price variation of the SME stock ≥ ±90% + (Beta of the SME stock * SME Index Variation at respective Exchange) in 3 months
AND
PE of the SME stock is negative OR PE of the SME stock ≥ 2 times the PE of SME Index at the respective stock exchange
Note:
For stagewise surveillance action of SME stock after inclusion in Long Term ASM criteria 6:
I. Price variation > (+ 25% + Beta of the SME stock * SME Index Variation at respective Exchange) shall be considered.
II. Concentration of top 25 clients excluding market makers shall be considered
7. Scrips with price band of ±10%, ±5%, ±2%
AND
Close-to-Close Price Variation (based on corporate action adjusted prices) in 365days ≥ (200% + Beta (β) of the stock * S&P BSE Sensex variation)
AND
High-Low Price Variation (based on corporate action adjusted prices) in 365 days ≥ (300% + Beta (β) of the stock* S&P BSE Sensex variation)
AND
Market Capitalisation > Rs. 1000 Crores as on review date
AND
Concentration of Top 25 clients ≥ 25% of combined trading volume of NSE & BSE in the stock in last 30 days.
Action on the stocks shortlisted as per Criteria 7:
i. The shortlisted scrips shall be placed directly in Stage IV of Long Term ASM w.e.f. beginning of T+3 days (T day being the day on which scrip was shortlisted).
ii. The shortlisted scrips shall be retained in Stage IV for a minimum period of 90 calendar days.
iii. Post completion of 90 calendar days, such scrips shall be subjected to stage-wise review (that is at present undertaken on weekly basis by the Stock Exchanges).
Securities completing 90 calendar days in Long-term ASM Framework would be eligible for exit from the framework subject to stage-wise exit.
In addition to the above, Stocks satisfying the below criteria after inclusion / stage-wise movement under Long Term ASM shall be placed in Stage IV of Long Term ASM and shall be retained in Stage IV till such time the stock satisfies the criteria:
Non-promoter holding in the stock < 25%
AND
Price Variation as under:
High-Low Price Variation (based on corporate action adjusted price) in 1 month ≥ (50% + Beta (β) of the stock * S&P BSE Sensex variation)
OR
High-Low Price Variation (based on corporate action adjusted price) in 3 months ≥ (100% + Beta (β) of the stock * S&P BSE Sensex variation)
OR
High-Low Price Variation (based on corporate action adjusted price) in 6 months ≥ (200% + Beta (β) of the stock * S&P BSE Sensex variation)
The aforesaid revised criteria for shortlisting stocks shall be effective from May 02, 2022.
In case of any clarifications, members may contact on following numbers 022 2272 5001/ 1717/5158.
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Yogendra Daxini
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Saji Sunilkumar
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Asst. Gen. Manager
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Sr. Manager
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Surveillance
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Surveillance
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April 22, 2022 |