The function of On-line Surveillance is to monitor the market activity and undertake necessary surveillance actions inter-alia including price band monitoring and review, transferring securities on a trade-to-trade settlement basis, imposition of surveillance frameworks.
The details of the surveillance actions taken by BSE from time to time are as follows:
Reduction of Price Bands In order to maintain the market integrity and curb excessive price movement in the securities listed / traded on its Trading Platform, a surveillance framework of Price band prescribed by SEBI, has been implemented and its details are given as under:

• Dynamic Price bands:
  Securities on which derivative products are available have dynamic price bands wherein the initial threshold of 10% on the previous closing price is applied.
• Fixed Price bands:
  Securities which are not having derivative products have fixed price bands which are based on the previous closing price of the respective stocks. The maximum price band prescribed is 20 %. Exchanges revise the price bands 10 % and 5 % as a Surveillance action.

List of equity stocks on which dynamic price band are applied is attached.

Trade-to-Trade

As a part of Surveillance measure the Exchange transfers various Securities for settlement on a Trade-to-Trade basis (T2T). The said action is reviewed on periodic 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. The criteria for shifting Securities to/from for settlement on T2T basis has been decided jointly by the stock exchanges in consultation with SEBI and is reviewed periodically.

Securities on which derivatives products are available are not considered for transfer to settlement on Trade for Trade basis.

If a Security is shifted for settlement on Trade-to-Trade basis, selling/ buying of shares in that Security results into giving/ taking delivery of shares at the gross level and no intra-day netting off/ square off facility is permitted.

The process of identifying the Securities for moving to Trade to Trade is done on a fortnightly basis and identifying Securities for shifting to/from Trade for Trade segment on a quarterly basis based on the following criteria;

Fortnightly Review Criteria
The detailed fortnightly review criteria for shifting of securities to Trade for Trade settlement is given below. The securities satisfying all the Criteria I, II and III shall be transferred to Trade for Trade settlement.

Criteria I

• PE Multiple Criteria
  
  • If SENSEX PE Multiple on the relevant date is in the range of 15-20 then securities having PE greater than 30 will be considered.
  • If 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, securities having PE greater than this benchmark will be considered.
  • Methodology of Calculation of Securities 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 securities having PE <= 0 shall be considered.
    AND

Criteria II

• Price Variation Criteria
  All securities where the price variation is in positive direction as below will be considered:
  
  • 25% plus S & P BSE 500 / Sectorial Index variation subject to a minimum of 10%. (*In case a particular Sectorial Index is available only on one exchange the other exchange shall also use the same to compare price variation in securities of the concerned sector for the purpose of shifting to Trade for Trade segment).
    AND

Criteria III

• Market Capitalization
  Market Capitalization of Rs.500 crore or lower as on relevant date.

Exemptions

• Securities with Dynamic Price Bands.
• Newly listed securities (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.
• Securities transferred out of T2T settlement to Rolling settlement as per quarterly T2T Review Exercise will not be considered in immediately following fortnightly T2T review for shifting it back to Trade to Trade.

Quarterly Review for shifting securities to / from Trade to Trade:

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

Category A:

• PE Criteria
  
  • If S& P BSE SENSEX PE Multiple on the relevant date is in the range of 15-20 then Securities 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 Securities having PE greater than this bench mark will be considered.
  • Methodology of Calculation of Securities 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 securities -having PE <= 0 shall be considered. AND
• Volatility
  Volatility greater than three times S& P BSE SENSEX volatility over a period of six fortnights.
  AND
• Price Variation Criteria (*)
  25% plus S& P BSE 500 / Sectorial Index variation ** subject to a minimum of 10%.
  OR

Category B:

• PE Criteria
  
  • If S&P BSE SENSEX PE on the relevant date is in the range of 15-20 then Securities having PE multiple greater than 0 but <= 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 Securities having PE greater 0 but less than this bench mark will be considered.
  • Methodology of Calculation of Securities 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 six fortnights.
  AND
• Price Variation Criteria (*)
  50% +/- S& P BSE 500 / Sectorial Index variation **.
  OR

Category C:

• Market Capitalization
  
  • Criteria C shall be applicable to Securities 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 two fortnights over a previous two fortnight 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 Criteria
  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 (*)
  25% plus S& P BSE 500 / Sectorial 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.

(*All Securities where the price variation is in positive direction will be considered)
(**In case a particular Sectoral Index is available only on one exchange the other exchange shall also use the same to compare price variation in securities of the concerned sector for the purpose of shifting to Trade for Trade settlement).
(***Market capitalization threshold shall be linked to the Nifty / Sensex movement between December 01, 2003 taking base as Rs. 200 crores and present quarterly relevant date (after rounding off to the nearest Rs. 50 crores of higher of Nifty / Sensex movement) but restricted to an upper limit of 500 crores.)

Dropping Criteria:

To the securities selected according to the above four Category, the following dropping criteria will be applied if they have a Market Capitalization of more than Rs.500 Crs on the relevant date:

• The companies having record of paying dividends in last two years out of three years (in case a company has issued bonus shares (and no dividend) shall be excluded. As companies can declare results till six months from the date of year ending, any declaration regarding dividend payment received by the Exchange will be considered as dividend paid. OR
• Securities having Institutional holding of more than 20%. OR
• Securities with Dynamic Price Bands will be excluded. OR
• Initial Public offers - IPOs having a market capitalization of more than Rs. 500 crores will be given benefit of the dropping criteria pertaining to past dividend record till such time that they declare their first annual results.

Exemptions:

Newly listed Securities (IPO) and the securities which are made available for trading in Trade for Trade settlement 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 nos. SEBI/Cir/ISD/1/2010 dated September 2, 2010 & Cir/MRD/DP/02/2012 dated January 20, 2012.

The tentative calendar for trade to trade review for 2023 is attached herewith for reference.

Surveillance Framework :

Pursuant to discussions held in Joint surveillance meetings with SEBI, in addition to the aforesaid measures, other surveillance measures viz. Graded Surveillance Measures [GSM] and Additional Surveillance Measure [ ASM] have been introduced.
The main objective of these measures is to;

alert and advice investors to be extra cautious while dealing in these securities and advice market participants to carry out necessary due diligence while dealing in these securities.

Graded Surveillance Measure (GSM):
GSM is a surveillance measure on securities whose price is not commensurate with financial health and fundamentals.
The criteria for shortlisting of securities under GSM and applicable surveillance actions are available at the following weblink:
https://www.bseindia.com/markets/equity/EQReports/graded_surveil_measure.aspx

Additional Surveillance Measure (ASM): ASM is a surveillance measures on securities with surveillance concerns viz. Price /Volume variation, Volatility etc.

The shortlisting of securities for placing in ASM is based on an objective criteria as jointly decided by SEBI and Exchanges covering the parameters viz :High Low Variation, Client Concentration, Close to Close Price Variation, Market Capitalization, Volume Variation, Delivery Percentage, No. of Unique PANs

The criteria for shortlisting of securities for the aforementioned framework and applicable surveillance actions are available at the following weblink:
https://www.bseindia.com/markets/equity/EQReports/additional_surveillance_measure.aspx

Periodic Call Auction Mechanism (PCAS)

SEBI vide circular no. CIR/MRD/DP/6/2013 dated February 14, 2013 issued guidelines for trading in the illiquid securities through Periodic Call Auction Mechanism which was introduced at BSE w.e.f. April 8, 2013 and thereafter rationalized the framework vide its circular no. CIR/MRD/DP/38 /2013 dated December 19, 2013. Stock Exchanges, as per the provisions of SEBI circular dated December 19, 2013, identifies illiquid securities at the beginning of every quarter and move such securities under PCAS.

The detailed write up and list of securities under PCAS is available at the following weblink
https://www.bseindia.com/static/markets/equity/illiquid_securities.html#!#abt1

Rumour Verification

The Surveillance Department liaises with the listed companies to obtain their comments on various price-sensitive corporate news items appearing in the media, for which no disclosures have been received by the Exchange from the company. Comments received from the companies are disseminated to the market 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.

Click on below link for the details of clarification for Rumour Verification sent to the Company under subject " Clarification received from the company on news article"
&
for the details of Clarification in case of Spurt in Price/Volume, under subject " Clarifications received from the companies"
https://www.bseindia.com/markets/MarketInfo/NoticesCirculars.aspx