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 and 20200214-60 dated February 14, 2020 regarding Additional Surveillance Measure (ASM) Framework.
As per the joint Surveillance meeting of Exchanges and SEBI held on July 22, 2020, 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 ≥ 30% 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 ≥ 30% 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 ≥ 30% 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 ≥ 30% 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
In addition to the above, the stock satisfying the below criteria after inclusion / stage-wise movement under the 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:
High-Low Price Variation (based on corporate action adjusted prices) in 6 months ≥ (200% + Beta (β) of the stock * S&P BSE Sensex variation) AND Non-promoter holding in the stock < 10%
All other provisions of the aforesaid Notices remain unchanged.
The aforesaid revised criteria for shortlisting stocks shall be effective from July 23, 2020.
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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Manager
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Surveillance
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Surveillance
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July 22, 2020 |