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

Event-Driven

Housing and Urban Development Corporation / Event-Driven

Housing and Urban Development Corporation (HUDCO IN)

Housing and Urban Development Corporation

<ul>
<li>We see 7 stocks moving from MidCap to LargeCap and vice versa, 17 stocks from SmallCap to MidCap, 19 stocks from MidCap to SmallCap and 2 new additions to MidCap.</li>
<li>The expected migrations from SmallCap to MidCap have outperformed the other potential migrations with all stocks moving higher over the last six months.</li>
<li>Momentum on the upward migrations could sustain as active managers reposition their portfolios. Some stocks will have passive flows over the next few months.</li>
</ul>


We see 7 stocks moving from MidCap to LargeCap and vice versa, 17 stocks from SmallCap to MidCap, 19 stocks from MidCap to SmallCap and 2 new additions to MidCap.
The expected migrations from SmallCap to MidCap have outperformed the other potential migrations with all stocks moving higher over the last six months.
Momentum on the upward migrations could sustain as active managers reposition their portfolios. Some stocks will have passive flows over the next few months.


AMFI Stock Reclassification Preview (June 2024): Potential Changes as Momentum Recovers

Index Rebalance

<ul>
<li>Nearly 90% of the way through the review period of the June rebalance, we see one potential index change with <a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" data-smartkarma-citation="entities:15360:1" rel="noopener">Wipro Ltd (WPRO IN)</a> in deletion zone.</li>
<li>
<a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India Ltd (COAL IN)</a> and <a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a> are potential replacements with sector balance likely to come into play.</li>
<li>Passive trackers will need to trade over 13 days of delivery volume on the potential index changes.</li>
</ul>


Nearly 90% of the way through the review period of the June rebalance, we see one potential index change with Wipro Ltd (WPRO IN) in deletion zone.

Oil &amp; Natural Gas Corp (ONGC IN), Coal India Ltd (COAL IN) and Adani Enterprises (ADE IN) are potential replacements with sector balance likely to come into play.
Passive trackers will need to trade over 13 days of delivery volume on the potential index changes.


SENSEX Index Rebalance Preview: Wipro Deletion to Bring Sector Balance into Play

External broker reports(aggregated public sources), HDFC Securities

HDFC Securities

External broker reports(aggregated public sources)

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Content available is external broker reports authored by a third party outside the Smartkarma network and has been aggregated by an online aggregator through publicly available sources and is displayed by Smartkarma in this format for user's convenience and general informational purposes only. Content does not constitute investment or financial advice and Smartkarma makes no representation or warranty regarding its accuracy or contents. Original third party author retains all copyright and other proprietary rights in the content. Access or use of third party links not controlled by Smartkarma are at the user's own risk.

Equity Bottom-Up

<ul><li>BSE reported a strong quarter, with 31% QoQ revenue growth and healthy margins</li><li>The robust performance was on account of higher transaction revenue, supported by scale-up in derivatives volume and strong cash volumes</li><li>Post the regulatory setback, BSE had to take an immediate price hike of ~35% to offset the impact of higher regulatory costs</li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

BSE reported a strong quarter, with 31% QoQ revenue growth and healthy marginsThe robust performance was on account of higher transaction revenue, supported by scale-up in derivatives volume and strong cash volumesPost the regulatory setback, BSE had to take an immediate price hike of ~35% to offset the impact of higher regulatory costsContent is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

BSE (4QFY24): Limited Scope for Further Rerating. Downgrade to REDUCE

<ul><li>As per the letter dated 26th April 2024, SEBI has asked BSE to pay the regulatory fee on the annual turnover considering “notional value” in the case of options contracts</li><li>BSE was paying the regulatory fee based on annual turnover considering the premium turnover of options for the last many years</li><li>The definition of ‘annual turnover’ is not very clear as per the ‘exchanges and clearing corporations regulations 2018’ but in the ‘SEBI stockbroker regulation 1992’, it clearly states that the ‘turnover’ is calculated based on the premium of options and notional for options contracts that are exercised</li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

As per the letter dated 26th April 2024, SEBI has asked BSE to pay the regulatory fee on the annual turnover considering “notional value” in the case of options contractsBSE was paying the regulatory fee based on annual turnover considering the premium turnover of options for the last many yearsThe definition of ‘annual turnover’ is not very clear as per the ‘exchanges and clearing corporations regulations 2018’ but in the ‘SEBI stockbroker regulation 1992’, it clearly states that the ‘turnover’ is calculated based on the premium of options and notional for options contracts that are exercisedContent is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

<ul><li>BSE has attained a 20/7% notional/premium market share, largely driven by the rising popularity of its derivatives contracts</li><li>Among these, the SENSEX contract has matured, commanding ~40% of the market share, while the BANKEX is in its build phase, currently holding a 12% market share</li><li>We believe the derivative growth for BSE will continue to be led by (1) the scaling of the BANKEX contract, (2) the go-live of large discount brokers, (3) a higher volume of algo and proprietary traders, (4) an increase in active UCCs, and (5) greater participation of FPIs</li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

BSE has attained a 20/7% notional/premium market share, largely driven by the rising popularity of its derivatives contractsAmong these, the SENSEX contract has matured, commanding ~40% of the market share, while the BANKEX is in its build phase, currently holding a 12% market shareWe believe the derivative growth for BSE will continue to be led by (1) the scaling of the BANKEX contract, (2) the go-live of large discount brokers, (3) a higher volume of algo and proprietary traders, (4) an increase in active UCCs, and (5) greater participation of FPIsContent is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

India

BSE Ltd. is Asia's oldest stock exchange, providing a transparent market for trading in equities, debt instruments, derivatives, mutual funds, and other securities. It offers services including listing, trading, clearing, settlement, and data services, and operates platforms for SMEs and mutual fund distribution. The company is headquartered in Mumbai, India, and was founded in 1875.

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BSE (BSE IN)

AMFI Stock Reclassification Preview (June 2024): Potential Changes as Momentum Recovers

We see 7 stocks moving from MidCap to LargeCap and vice versa, 17 stocks from SmallCap to MidCap, 19 stocks from MidCap to SmallCap and 2 new adds...

Brian Freitas

SENSEX Index Rebalance Preview: Wipro Deletion to Bring Sector Balance into Play

The June changes for the SENSEX should be announced post market close today. Adani Enterprises is an expected inclusion and the stock has zoomed...

Brian Freitas

BSE (4QFY24): Limited Scope for Further Rerating. Downgrade to REDUCE

BSE reported a strong quarter, with 31% QoQ revenue growth and healthy marginsThe robust performance was on account of higher transaction revenue

HDFC Securities

BSE - Regulatory Setback. Maintain BUY

As per the letter dated 26th April 2024, SEBI has asked BSE to pay the regulatory fee on the annual turnover considering “notional value” in the...

HDFC Securities

BSE: Gaining Strength. Maintain BUY

BSE has attained a 20/7% notional/premium market share, largely driven by the rising popularity of its derivatives contracts

HDFC Securities

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