SME stocks to come under additional surveillance, T2T framework: NSE

National Stock Exchange (NSE) on Monday said that stocks in the small and medium enterprises (SME) segment will be brought under the framework of Trade for Trade (TFT) settlement and Additional Surveillance Measure (ASM).

"As per Joint Surveillance Meeting of exchanges and Sebi, the extant Trade for Trade (TFT) Framework shall be extended to Small and Medium Enterprises (SME) stocks subject to certain changes," NSE said in a press release.

NSE said that the TFT framework will be deployed along with other surveillance measures used by the exchanges from time to time. Securities will be shortlisted under the TFT framework on account of market surveillance, and it should not be construed as an adverse action against the particular entity, NSE added.

The TFT framework for SME stocks will be made available from October 3. The process of identifying stocks moving to the TFT segment will be done fortnightly and stocks moving to and from the segment shall be on a quarterly basis.

Entities moved to TFT settlement can only be bought and sold for delivery, and they will not be available for intra-day trading.

The following criteria will be applied to review stocks under TFT settlement on a fortnightly basis:

1) Price Earnings Multiple (P/E) less than or equal to 0 or greater than or equal to the upper limit subject to a minimum of 25 as of the end date of the relevant fortnightly review period.
 

2) Fortnightly Price Variation is greater than or equal to 25 per cent plus Nifty 500/ S&P BSE 500 Index Variation subject to a minimum of 10 per cent.
 

3) Market capitalisation less than or equal to Rs 100 crore on the end date of the relevant fortnightly review period.

The following criteria will be applied to review stocks under TFT settlement on a quarterly basis:
 

Criteria A

1) Price Earnings Multiple (P/E) less than or equal to 0 OR greater than or equal to the upper limit subject to a minimum of 25 as of the end date of the relevant quarterly review period

2) Price variation greater than or equal to 25 per cent plus Nifty 500/ S&P BSE 500 Index variation in the last 2 fortnights; subject to a minimum of 10 per cent

3) Volatility greater than three times Nifty 50/ S&P BSE SENSEX volatility over a period of 6 fortnights. Volatility is computed as standard deviation of log normal close-to-close returns.

Criteria B

1) Price Earnings Multiple (P/E) greater than 0 but less than the upper limit subject to a minimum of 25 as of the end date of the relevant quarterly review period.

2) Price Variation greater than or equal to 50 per cent plus Nifty 500/ S&P BSE 500 Index variation in the last two fortnights.

3) Volatility greater than three times Nifty 50/S&P BSE SENSEX volatility over a period of 6 Fortnights. Volatility is computed as the standard deviation of log normal close-to-close returns

Criteria C

1) Market capitalisation of less than Rs 100 crore.

2) Average daily volume variation for 2 fortnights over the previous 2 fortnights greater than 200 per cent + Average volume variation of Nifty 500/ S&P BSE 500 Index constituents, subject to a minimum of 200% (average daily volume in the recent 2 fortnights being more than 1,000 shares).

3) Concentration (gross purchase plus gross sales) of Top 10 Clients on the basis of PAN during the 2 fortnights more than 25 per cent (concentration excluding market makers shall be considered).

4)  Price variation greater than or equal to 25 per cent plus Nifty 500/ S&P BSE 500 Index variation in the last 2 fortnights, subject to a minimum of 10 per cent.

Criteria D

Number of non-promoter shareholders less than 100 as per the latest shareholding pattern

available with the Exchange.