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>Last week we had the implementation of the first two tranches of the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> rebalance with the third tranche to be implemented at the close on Monday.</li>
<li>Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.</li>
<li>There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.</li>
</ul>


Last week we had the implementation of the first two tranches of the Nikkei 225 (NKY INDEX) rebalance with the third tranche to be implemented at the close on Monday.
Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.
There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.


Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

Delta Electronics Thailand  / Index Rebalance

<ul>
<li>The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET50 INDEX</a>.</li>
<li>The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.</li>
<li>Separately, the <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">Total Access Communication (DTAC TB)</a> / <a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">True Corp Pcl (TRUE TB)</a> merger could result in an ad hoc inclusion prior to the regular rebalance in December.</li>
</ul>


The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from the SET50 INDEX.
The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.
Separately, the Total Access Communication (DTAC TB) / True Corp Pcl (TRUE TB) merger could result in an ad hoc inclusion prior to the regular rebalance in December.


SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

Asset World Corporation / Index Rebalance

<ul>
<li>The market cap review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">Stock Exchange of Thailand SET 50 Index (SET50 INDEX)</a> started on 1 September and will end 30 November.</li>
<li>We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.</li>
<li>There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.</li>
</ul>


The market cap review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) started on 1 September and will end 30 November.
We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.
There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.


SET50 Index Rebalance Preview: Three Potential Changes in December

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> raised over US$1bn in its IPO and has started trading on the SET today.</li>
<li>At the last trade price of THB 16/share, <a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> is a borderline Fast Entry add to the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">Stock Exchange of Thailand SET 50 Index (SET50 INDEX)</a>.</li>
<li>If <a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> is added to the index, <a href="https://www.smartkarma.com/entities/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance (BLA TB)</a> is the most likely deletion.</li>
</ul>



Thai Life Insurance (TLI TB) raised over US$1bn in its IPO and has started trading on the SET today.
At the last trade price of THB 16/share, Thai Life Insurance (TLI TB) is a borderline Fast Entry add to the Stock Exchange of Thailand SET 50 Index (SET50 INDEX).
If Thai Life Insurance (TLI TB) is added to the index, Bangkok Life Assurance (BLA TB) is the most likely deletion.


Thai Life Insurance (TLI): Borderline SET50 Fast Entry

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Equity Capital Markets

Thai Life Insurance  / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> will start trading on 25 July. Thai Life raised US$975 million at the IPO price of THB16.00 per share.</li>
<li>We previously discussed the IPO in <a href="https://www.smartkarma.com/insights/thai-life-insurance-ipo-the-bull-case" target="_blank" data-smartkarma-citation="insights:71653" rel="noopener">Thai Life Insurance IPO: The Bull Case</a>, <a href="https://www.smartkarma.com/insights/thai-life-insurance-ipo-the-bear-case" target="_blank" data-smartkarma-citation="insights:71693" rel="noopener">Thai Life Insurance IPO: The Bear Case</a> and <a href="https://www.smartkarma.com/insights/thai-life-insurance-ipo-valuation-insights" target="_blank" data-smartkarma-citation="insights:71995" rel="noopener">Thai Life Insurance IPO: Valuation Insights</a>. </li>
<li>The average of our DDM and relative valuation methodology suggests a price of THB15.43 per share. Remain on the sidelines as the IPO price is fair. </li>
</ul>



Thai Life Insurance (TLI TB) will start trading on 25 July. Thai Life raised US$975 million at the IPO price of THB16.00 per share.
We previously discussed the IPO in Thai Life Insurance IPO: The Bull Case, Thai Life Insurance IPO: The Bear Case and Thai Life Insurance IPO: Valuation Insights. 
The average of our DDM and relative valuation methodology suggests a price of THB15.43 per share. Remain on the sidelines as the IPO price is fair. 


Thailand

Bangkok Life Assurance PCL offers life insurance services.

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Bangkok Life Assurance (BLA TB)

Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

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

Brian Freitas

SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

We look at potential index changes following SET's proposal to reduce the monthly turnover ratio from 5% to 2%. Separately, the DTAC/TRUE merger...

Brian Freitas

SET50 Index Rebalance Preview: Three Potential Changes in December

There could be 3 changes to the SET50 at the December rebalance. One is a high probability change while two others are potential adds/deletes. Some...

Brian Freitas

Thai Life Insurance (TLI): Borderline SET50 Fast Entry

Thai Life Insurance (TLI) started trading today and is a close Fast Entry add to the SET50 Index. If TLI is added to the index, Bangkok Life (BLA)...

Brian Freitas

Thai Life Insurance IPO: Trading Debut

The average of our DDM and relative valuation methodology suggests a price of THB15.43 per share. Remain on the sidelines as the IPO price is fair.

Arun George

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