Apart from the GSM, SEBI and Exchanges also use ASM 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 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 are given below.

Section I: Long-term Additional Surveillance Measure (Long-term ASM)

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

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)

The only exemption is in case 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.