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Additional Surveillance Measure (ASM)


Securities and Exchange Board of India (SEBI) and Exchanges in order to enhance market integrity and safeguard interest of investors, have been introducing various enhanced pre-emptive surveillance measures such as reduction in price band, periodic call auction and transfer of securities to Trade for Trade segment from time to time.

In continuation to various surveillance measures already implemented, SEBI and Exchanges, pursuant to discussions in joint surveillance meetings, have decided that along with the aforesaid measures there shall be Additional Surveillance Measures (ASM) on securities with surveillance concerns based on objective parameters 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 following parameters:

  • High Low Variation
  • Client Concentration
  • Close to Close Price Variation
  • Market Capitalization
  • Volume Variation
  • Delivery Percentage
  • No. of Unique PANs

 

The criteria for shortlisting & review of securities under ASM Framework is as given below.

A) The following four criteria shall be made applicable for selection of securities in the Long Term ASM framework.

Exemption: Bulk/Block (maximum of buy /sell value), i.e., Average Volume of Bulk or Block Quantity/Average Volume of the Security greater than 50%.

Note: The Beta (ß) factor shall be applicable only in case of positive index variation. The securities satisfying any of the above four criteria shall be shortlisted under Long Term ASM.

  • Criteria 1
    High–Low Price Variation (based on corporate action adjusted prices) in 3 months = (150% + Beta (ß) of the stock * Nifty 50 variation)
    AND
    Concentration of Top 25 clients = 30% of combined trading volume of NSE+BSE in the stock in last 30 days.
    AND
    Market Cap Rs. 200 Crore as on review date.
  • Criteria 2
    Close–to–Close Price Variation (based on corporate action adjusted prices) in the last 60 trading days = (100% + Beta (ß) of the stock * Nifty 50 variation)
    AND
    Concentration of Top 25 clients = 30% of combined trading volume of NSE+BSE in the stock in last 30 days.
    AND
    Market Cap Rs. 200 Crore as on review date.
  • Criteria 3
    Close–to–Close Price Variation (based on corporate action adjusted prices) in 365 days greater than = (100% + Beta (ß) of the stock * Nifty 50 variation) 
    AND
    High–Low Price Variation (based on corporate action adjusted prices) in 365 days > (200% + Beta (ß) of the stock * Nifty 50 variation)
    AND
    Market Cap > Rs. 500 Crore as on review date 
    AND
    Concentration of Top 25 clients = 30% of combined trading volume of NSE+BSE in the stock in last 30 days. 
  • Criteria 4
    Average daily Volume in a month is = 10,000 shares & greater than 500% of Average volumes in preceding 3 months at both Exchanges (NSE and BSE) 
    AND
    Concentration of Top 25 clients = 30% of combined trading volume of NSE+BSE in the stock in last 30 days.
    AND
    Average Delivery% is less than 50% in last 3 months 
    AND
    Market Capitalisation is > Rs. 500 Crore as on review date
    AND
    Close–to–close price variation (based on corporate action adjusted prices) in last one month = (50% + Beta (ß) of the stock * Nifty 50 variation)
  • Criteria 5
    Close to Close price variation > 25% + (Beta * Nifty Variation) in a month
    AND
    PE negative OR > 2 times of PE of Nifty 50
    AND

    Market Cap < Rs. 500 Crores as on review date.

ASM Beta value for the quarter (.xlsx)

The following securities shall be excluded from the process of shortlisting of securities under ASM:

  • Public Sector Enterprises and Public Sector Banks
  • Securities already under Graded Surveillance Measure (GSM)
  • Securities on which derivative products are available
  • Securities already under Trade for Trade

B.The applicable surveillance action on shortlisted scrips based on the above criteria shall be as follows:

  Entry Action
I Identification of securities based on entry criteria Applicable margin shall be 80% from T+3 day for all clients
II Stocks which are already in Stage I of Long term ASM, satisfying the following conditions in 5 consecutive trading days:
Close–to–Close Variation (based on corporate action adjusted prices) = (25% + Beta (ß) of the stock * Nifty 50 variation)
 
AND
Concentration of Top 25 clients = 30% of combined trading volume of NSE & BSE in the stock in last 30 days.
Reduction of price band to next lower level and applicable margin shall be 100% from T+3 day for all clients
III Stocks which are already in Stage II of Long term ASM, satisfying the following conditions in 5 consecutive trading days: 
Close–to–Close Variation = ( 25% + Beta (ß) of the stock * Nifty 50 variation) 
 
AND
Concentration of Top 25 clients account = 30% of combined trading volume of NSE & BSE in the stock in last 30 days
Further reduction of price band to next lower level and applicable margin shall be 100% from T+3 day for all clients
IV Stocks which are already in Stage III of Long term ASM, satisfying the following conditions in 5 consecutive trading days:
Close–to–Close Variation (based on corporate action adjusted prices) = (25% + Beta (ß) of the stock * Nifty 50 variation)
 
AND
Concentration of Top 25 clients = 30% of combined trading volume of NSE & BSE in the stock in last 30 days
Settlement shall be on Gross basis with 100% margin for all clients and 5% price band.

C. Review Period and Exit

  • Securities completing 60 calendar days in long term ASM Framework would be eligible for exit from the framework subject to stage-wise exit as mentioned below.
  • The stage-wise review of stocks shall be on a weekly basis.
  • Exit for stocks shall be in stages as under:
    • Stocks in stage I shall be eligible for exit from Long-term ASM framework subject to such stocks not meeting the entry criteria of long term ASM;
    • Stocks in Stage IV shall move to Stage III if such stocks do not meet the entry criteria for stage IV ;
    • Stocks in Stage III shall move to Stage II if such stocks do not meet the entry criteria for stage III ;
    • Stocks in Stage II shall move to Stage I if such stocks do not meet the entry criteria for stage II .

1. Stage I

Criteria for Identification of stocks:

Stocks witnessing Close-to-Close Price Variation = (± 25% + Beta (ß) of the stock x Nifty 50 variation) in 5 trading days.
 
AND
Concentration of Top 25 clients = 30% of combined trading volume of NSE & BSE in the stock in 5 trading days.
OR Stocks witnessing Close-to-Close Price Variation = (± 40% + Beta (ß) of the stock x Nifty 50 variation) in 15 trading days.
AND
Concentration of Top 25 clients account = 30% of combined trading volume of NSE & BSE in the stock in 15 trading days.

 

Action on the shortlisted stocks:

 

  • On identification of above stocks, clarification shall be sought from the company about any corporate announcement, if any that has not been disseminated to market. The clarification, so received shall be disseminated to the market.
  • A surveillance dashboard shall also be displayed on the Exchange website mentioning the names of such stocks and other relevant details for the information of the investors.
  • Applicable margin rate for the shortlisted stock shall be the existing margin OR 40%, whichever is higher, subject to maximum rate of margin capped at 100%.
  • Top 10 clients based on gross traded value, subject to their gross traded value being greater than Rs.10 lakhs, shall be levied 100% margin on their gross traded value at End-of-Day (EoD).

2. Stage II

Criteria:

Stocks witnessing Close-to-Close Price Variation = (± 25% + Beta (ß) of the stock x Nifty 50 variation) in any 5 consecutive trading days during the 15 days following the inclusion in Stage I.
 
AND
Concentration of Top 25 clients = 30% of combined trading volume of NSE & BSE in the stock during the above mentioned 5 days period.
OR Stocks witnessing Close-to-Close Price Variation = (± 25% + Beta (ß) of the stock x Nifty 50 variation) in any 15 consecutive trading days during the 45 days following the inclusion in Stage I.
AND
Concentration of Top 25 clients = 30% of combined trading volume of NSE & BSE in the stock during the above mentioned 15 days period.

 

Additional Criteria for Short-term ASM:

 

For Stocks with a market capitalization more than INR 100 crore and less than or equal to INR 500 crore   For Stocks with a market capitalization greater than INR 500 crore
High Low Variation on a one-month basis greater than 75%
 
AND
Average unique PANs trading in the scrip in last one month < 100
  High Low Variation on a one-month basis greater than 75%
AND
Average unique PANs trading in the scrip in last one month < 200

 

Action on the shortlisted stocks:

 

  • Applicable margin rate for the shortlisted stock shall be the existing margin OR 80%, whichever is higher, subject to maximum rate of margin capped at 100%.
  • Top 10 clients based on gross traded value, subject to their gross traded value being greater than Rs.10 lakhs, shall be levied 100% margin on their gross traded value at End-of-Day (EoD).

3. Exit Criteria

  • The stocks shall be retained in each stage as applicable for a minimum period of 5/15 trading days and shall be eligible for review from 6th / 16th Trading day onwards.
  • Accordingly, if a stock is not meeting entry criteria on the review date, it would be moved out of Short-term ASM framework.
  • As long as a stock continues to meet the criteria for Short-term ASM without attracting the criteria for Long-term ASM, the stock will continue to be subjected to the Stage II ASM framework.
  • If the stock moves to Long-term ASM framework, the above mentioned Short-term ASM provisions shall not apply to the stock.

Note: Exchanges shall also be monitoring the PE ratios of stocks and in case of stocks having relatively/abnormally high valuations compared to sectoral/broad indices, additional surveillance measure in conjunction with Short term / Long term ASM shall be imposed.
The aforementioned criteria is dynamic in nature and subject to change from time to time.
Market participants may note that ASM framework shall be in conjunction with all other prevailing surveillance measures being imposed by the Exchanges from time to time.
Further, it may also be noted that the shortlisting of securities under ASM is purely on account of market surveillance and it should not be construed as an adverse action against the concerned company / entity.

Updated on: 06/02/2020 12:00
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