BSE-Price Monitoring
S&P BSE SENSEX
हिन्दी     मराठी     ગુજરાતી


Price Monitoring Cell
The function of this Cell is to detect potential market abuses at a nascent stage to reduce the ability of the market participants to unduly influence the price of the scrips traded at BSE by taking surveillance actions like reduction of circuit filters, imposition of special margin, transferring scrips on a trade-to-trade settlement basis, suspension of scrips/ members, etc.

These pro-active measures are taken based on the analysis/ processing of alerts generated based on various parameters and other inputs like news, company results, etc. The broad parameters considered for generation and analysis of alerts are price movement, top 'n' turnover, scrips traded infrequently, scrips hitting new high/ low, scrips picked up for rumour verification, etc.

The scrips picked up based on the preliminary analysis/ enquiries are forwarded to the Investigation cell for further examination/ investigation.

The detail rationale of the surveillance actions taken by BSE from time to time are as follows :

Special Margins

Special margins are imposed on such scrips which have witnessed an abnormal price/ volume movement. Special margin is imposed by BSE @ 25% or 50% or 75% as the case may be, on the client wise net outstanding purchase or sale position (or on both side).

Reduction of Circuit Filters

The circuit filters are reduced in case of illquid scrips or as a price containment measures. The circuit filters are reduced to 10 % or 5 % or 2 % as the case may be, based on the criteria decided by the Surveillance Department. No circuit filters are applicable on scrips on which derivative products are available. However, BSE imposes 10% dynamic circuit filter on these scrips to avoid punching errors, if any.

A list of equity stock on which dynamic circuit filter applied is attached.

Circuit Filter of 20 % is applicable on other scrips which are not included in the above-mentioned category.


Trade-to-Trade

As a part of Surveillance measure the Exchange transfers various scrips for settlement on a Trade-to-Trade basis. The said action is reviewed on Monthly basis based on market capitalization, price earnings ratio, price variation vis-à-vis the market movement, volatility, volume variation, client concentration and number of non promoter shareholders etc. The criteria for shifting scrips to/fro for settlement on T2T basis are decided jointly by the stock exchanges in consultation with SEBI and reviewed periodically. Scrips on which derivatives products are available are not considered for transfer to Trade for Trade segment.

If a scrip is shifted for settlement on Trade-to-Trade basis, selling/ buying of shares in that scrip results into giving/ taking delivery of shares at the gross level and no intra day netting off/ square off facility is permitted. The scrips which form part of the 'Z group' are compulsorily settled on a trade-to-trade basis.

In order to bring greater transparency and to eliminate various allegations about manner of shifting of scrips to/from the T2T segment criteria for shifting scrips to/fro Trade for Trade segment is given below :

The process of identifying the scrips for moving to Trade to Trade will be done on a monthly basis along with the price band review process based on the following criteria ;

Securities satisfying the following criteria on the date of review shall be moved to trade to trade.

As on review date, the security should be in 5% price band for atleast 22 trading days*

AND

The securities satisfying any of the following criteria A, B, C or D shall be transferred to Trade for Trade segment.

Category A:

  • PE Criteria

  • If S& P BSE SENSEX PE Multiple on the relevant date is in the range of 15-20 then scrips having PE greater than 30 will be considered.

  • If S & P BSE SENSEX PE Multiple on the relevant date is greater than 20 or less than 15 than difference will be rounded off to nearest number and same will be added / subtracted from 30. However, minimum base of PE Multiple shall be 25. Accordingly scrips having PE greater than this bench mark will be considered.

  • Methodology of Calculation of Scrips PE

    For the purpose of calculation of PE, summation of quarterly profit figures of latest four trailing quarters available with the Exchange out of last five financial quarters will be considered. If less than four trailing quarterly results are available then the profits shall be annualized for PE calculation.

  • All scrips having negative PE shall be considered.


AND

  • Volatility

    Volatility greater than three times S& P BSE SENSEX volatility over a period of three months.


  • AND

  • Price Variation Criteria

    All scrips where the price variation is in positive direction as below will be considered:

  • 20% plus S& P BSE 500 / Sectoral Index variation subject to a minimum of 10%.


Category B:
  • PE Criteria

  • If S&P BSE SENSEX PE on the relevant date is in the range of 15-20 then scrips having PE multiple greater than 0 but less than 30 will be considered.
  • If S& P BSE SENSEX PE Multiple on the relevant date is greater than 20 or less than 15 than difference will be rounded off to nearest number and same will be added / subtracted from 30. However, minimum base of PE Multiple shall be 25. Accordingly scrips having PE greater 0 but less than this bench mark will be considered.

  • o Methodology of Calculation of Scrips PE

    For the purpose of calculation of PE, summation of quarterly profit figures of latest four trailing quarters available with the Exchange out of last five financial quarters will be considered. If less than four trailing quarterly results are available then the profits shall be annualized for PE calculation.


AND
  • Volatility

    Volatility greater than three times S& P BSE SENSEX volatility over a period of three months.

  • AND
  • Price Variation Criteria

    All scrips where the price variation is in positive direction as below will be considered:

  • 40% +/- S& P BSE 500 / Sectoral Index.


OR

Category C:
  • Market Capitalization

  • Criteria C shall be applicable to scrips having market capitalization less than 2 times of the market capitalization arrived at for the review.

  • Market capitalization threshold shall be linked to the S&P BSE SENSEX movement between December 1, 2003 (taking base as Rs. 200 Cr on Dec 01, 2003) and present quarterly relevant date, after rounding off to the nearest Rs. 50 Cr of higher of S&P BSE SENSEX movement.

  • Volume Variation

    Average daily volume variation month over a previous month greater than 200% + Average volume variation of S & P BSE 500 constituents. (Computed as average of average volume variation across the constituents as on relevant date, rounded off to the nearest 5%), subject to minimum of 200%. (Average daily volume in the recent month being more than 1000 shares).

  • AND
  • Concentration (Gross Purchase plus Gross Sales) of top 10 Clients on the basis of PAN Number during the month greater than 25%.

  • AND
  • Price Variation Criteria

    20% plus S & P BSE 500 / Sectoral Index variation subject to a minimum of 10%.


OR

Category D:

Number of non promoter shareholders less than 500 as per the latest shareholding pattern available with the Exchange.

Exemptions:-

Newly listed scrips (IPO) and the securities which are made available for trading in Trade for Trade segment for the first 10 trading days with applicable price band, while keeping the price band open on the first day of trading as per SEBI circular bearing no SEBI/Cir/ISD/1/2010 dated September 2, 2010 shall be dropped till the time they declare their first Quarterly results.

The calendar for monthly trade to trade review for the period August 2014 to January 2015 is attached herewith for reference.

* NOTE : The price band criteria shall be made applicable from the review due on August 1, 2014 and onwards.

Rumour Verification

The Surveillance Department liaises with the Compliance Officers of the listed companies to obtain their comments on various price-sensitive corporate news items appearing in the media. Comments received from the companies are disseminated to the market by way of BOLT Ticker and/ or Notices on the BSE website. If the company denies the news / information, a letter is sent to the company asking them to take up the matter with the concerned media.