Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

<ul>
<li>
<a href="https://www.smartkarma.com/entities/amp-ltd" target="_blank" data-smartkarma-citation="entities:678:1" rel="noopener">AMP Ltd (AMP AU)</a> and <a href="https://www.smartkarma.com/entities/a2-milk-co-ltd-95d4fbed-afa1-41e9-bafb-a5f1ef97622e" target="_blank" data-smartkarma-citation="entities:22775:1" rel="noopener">A2 Milk Co Ltd (A2M AU)</a> could be deleted as the lowest ranked current index constituents.</li>
<li>There are three other stocks that are close to the deletion threshold and a change in the free float could result in the stocks being deleted.</li>
<li>With the exception of <a href="https://www.smartkarma.com/entities/a2-milk-co-ltd-95d4fbed-afa1-41e9-bafb-a5f1ef97622e" target="_blank" data-smartkarma-citation="entities:22775:1" rel="noopener">A2 Milk Co Ltd (A2M AU)</a>, shorts have been increasing on nearly all the potential and close deletions.</li>
</ul>



AMP Ltd (AMP AU) and A2 Milk Co Ltd (A2M AU) could be deleted as the lowest ranked current index constituents.
There are three other stocks that are close to the deletion threshold and a change in the free float could result in the stocks being deleted.
With the exception of A2 Milk Co Ltd (A2M AU), shorts have been increasing on nearly all the potential and close deletions.


MVIS Australia Equal Weight Index Rebalance Preview: Stocks Close to Deletion Zone

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Nov 17th (reported today) which has an aggregated short interest worth USD18.5bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in ANZ, CSL, Domino's Pizza, BHP, Rio Tinto, Telstra.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Nov 17th (reported today) which has an aggregated short interest worth USD18.5bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in ANZ, CSL, Domino's Pizza, BHP, Rio Tinto, Telstra.


ASX Short Interest Weekly (Nov 17th): ANZ, CSL, Domino's Pizza, BHP, Rio Tinto, Telstra

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

<ul>
<li>AMP released 1H23 numbers with 24-26% underlying NPAT growth in 2 key divisions</li>
<li>AUD610m of returned capital in past 12 months will see AUD140m added by October</li>
<li>AMP Bank is unlike peers, which is deposit-funded, small, focused on mortgages</li>
</ul>


AMP released 1H23 numbers with 24-26% underlying NPAT growth in 2 key divisions
AUD610m of returned capital in past 12 months will see AUD140m added by October
AMP Bank is unlike peers, which is deposit-funded, small, focused on mortgages


AMP - Strong Numbers Released,, Returning Capital, Paying Down Debt, Deposit Funded, Mortgage Bank

National Australia Bank / Equity Bottom-Up

<ul>
<li>NAB holds significantly more maturing debt in the coming year than its largest 3 peer banks in Australia and also more than the 3 banks in Singapore, by comparison</li>
<li>The bank has grown its business loans aggressively, which can see lumpy bad loans in a poor economy, with high unseasoned loans, yet its HoH credit costs were flat</li>
<li>CRE loans are meaningful at NAB, adding another risk to maturing debt at the top of the rate cycle with what appears to optimistic credit costs in recent results</li>
</ul>


NAB holds significantly more maturing debt in the coming year than its largest 3 peer banks in Australia and also more than the 3 banks in Singapore, by comparison
The bank has grown its business loans aggressively, which can see lumpy bad loans in a poor economy, with high unseasoned loans, yet its HoH credit costs were flat
CRE loans are meaningful at NAB, adding another risk to maturing debt at the top of the rate cycle with what appears to optimistic credit costs in recent results


NAB - Maturing Debt AUD40bn | At Top of Rate Cycle | With High Unseasoned Loans, CRE Loans

Australia

AMP Limited provides life insurance, superannuation, asset management products, pensions, retirement planning and other diversified financial services throughout Australia and New Zealand.  The Company services individual customers, small businesses, corporations and associated superannuation funds.

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AMP Ltd (AMP AU)

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance Preview: Stocks Close to Deletion Zone

There are 2 potential deletes and another 3 stocks that are close deletes for the MVIS AU Equal Weight Index. Just the capping changes back to...

Brian Freitas

ASX Short Interest Weekly (Nov 17th): ANZ, CSL, Domino's Pizza, BHP, Rio Tinto, Telstra

We analyzed ASX short interest report for the past week and highlight short interest changes in ANZ, CSL, Domino'S Pizza E, BHP, Rio Tinto, Telstra.

Ke Yan, CFA, FRM

AMP - Strong Numbers Released,, Returning Capital, Paying Down Debt, Deposit Funded, Mortgage Bank

AMP is now launching an online bank, and this is a real concern. A the same time, its margin pressure at its AMP Bank is not strong, new guidance...

Daniel Tabbush

NAB - Maturing Debt AUD40bn | At Top of Rate Cycle | With High Unseasoned Loans, CRE Loans

NAB has more maturity debt than large peers, which can mean worse NIM impact when refinancing at the top of the rate cycle. Business loan growth...

Daniel Tabbush

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