Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.</li>
<li>Previously, we had three expected ADDs/DELs but now we have four. However, there is one more month left in the 3-month reference period and expectations can still change.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.
Previously, we had three expected ADDs/DELs but now we have four. However, there is one more month left in the 3-month reference period and expectations can still change.


Quiddity Leaderboard SET50 Dec 24: Some Changes to Expectations; Gulf-Intuch Deal Index Implications

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

<ul>
<li>A third of the way through the 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>, we see four potential index changes.</li>
<li>Passive trackers will need to buy between 0.5-4.3 days of ADV on the inclusions and sell between 0.1-2.9 days of ADV on the deletions.</li>
<li>The forecast adds have outperformed the forecast deletes and 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> over the last 5 months.</li>
</ul>


A third of the way through the review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX), we see four potential index changes.
Passive trackers will need to buy between 0.5-4.3 days of ADV on the inclusions and sell between 0.1-2.9 days of ADV on the deletions.
The forecast adds have outperformed the forecast deletes and the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) over the last 5 months.


SET50 Index Rebalance Preview: Four Changes as Adds Outperform Deletes

Independent Asian Credit Research, Bondcritic

Warut Promboon

Independent Asian Credit Research

Asian Fixed Income/Frontier Market Research

Bondcritic

Bondcritic, established in 2009, is designed to be an independent credit research voice that helps investors gain insights and unbiased analyses on Asian fixed income market. Our mission is to discover deep-value Asian high-yield and distressed bonds with a bottom-up approach, together with the help of our proprietary ESG (Environmental, Social Development, and Governance) model. At the same time, we focus on bringing investment cases of unrated and unloved issuers to the general public.

Credit

<ul>
<li>This flash note is an update for our readers on the indicative probability of default for Energy Absolute Public Company Limited (EA).</li>
<li>We plotted EA’s probability of default, using Criat’s iRAP Global Plus PD Toolkit (iRap), against its peers, and we believe the chart indicated a high probability of default still.</li>
<li>Given a lack of reliable bond quotes in the THB bond market, we continue to issue our report on EA without a recommendation.</li>
</ul>


This flash note is an update for our readers on the indicative probability of default for Energy Absolute Public Company Limited (EA).
We plotted EA’s probability of default, using Criat’s iRAP Global Plus PD Toolkit (iRap), against its peers, and we believe the chart indicated a high probability of default still.
Given a lack of reliable bond quotes in the THB bond market, we continue to issue our report on EA without a recommendation.


Energy Absolute: Trying to Be a B+ Credit

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.</li>
<li>Currently, we see 3 expected ADDs/DELs and given that the 3-month reference period used for average market cap rankings have now started the rankings may be more stable. </li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.
Currently, we see 3 expected ADDs/DELs and given that the 3-month reference period used for average market cap rankings have now started the rankings may be more stable. 


Quiddity Leaderboard SET50 Dec 24: 3 Changes Likely; Some Changes to Expectations

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.</li>
<li>Currently, we see 4 expected ADDs/DELs but the 3-month reference period used for average market cap rankings starts on 1st September and only after that the rankings will become stable. </li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in December 2024.
Currently, we see 4 expected ADDs/DELs but the 3-month reference period used for average market cap rankings starts on 1st September and only after that the rankings will become stable. 


Quiddity Leaderboard SET50 Dec 24: 4 Changes Possible; Reference Period Starts on 1st Sep

Thailand

Energy Absolute Public Company Limited engages in the research, development, and production of biodiesel products in Thailand.

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Energy Absolute (EA TB)

Quiddity Leaderboard SET50 Dec 24: Some Changes to Expectations; Gulf-Intuch Deal Index Implications

The Gulf-Intuch Deal could close in 1H CY25 creating a vacancy in SET 50. The highest-ranked name from the reserve list will be promoted to SET 50...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance Preview: Four Changes as Adds Outperform Deletes

There should be 4 changes to the SET50 in December. Passive trackers will need to buy between 0.5-4.3x ADV on the inclusions and sell between 0.1...

Brian Freitas

Energy Absolute: Trying to Be a B+ Credit

Update on Energy Absolute 's probability of default shows high risk compared to peers using iRAP Global Plus PD Toolkit. No recommendation due to...

Bondcritic

Quiddity Leaderboard SET50 Dec 24: 3 Changes Likely; Some Changes to Expectations

There are names lurking close to border which can still move into and outside the top 50 and cause changes to our list of expected ADDs/DELs. As...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SET50 Dec 24: 4 Changes Possible; Reference Period Starts on 1st Sep

We currently see SAWAD, COM7, BANPU, and TCAP as expected ADDs and EA, TIDLOR, CENTEL, and BCP as expected DELs. A couple of these names have 3-4x...

Janaghan Jeyakumar, CFA

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52-week Range

Market Cap (USDm)

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Dividend (Yield)

Quiddity Leaderboard SET50 Dec 24: Some Changes to Expectations; Gulf-Intuch Deal Index Implications

The Gulf-Intuch Deal could close in 1H CY25 creating a vacancy in SET 50. The highest-ranked name from the reserve list will be promoted to SET 50...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance Preview: Four Changes as Adds Outperform Deletes

There should be 4 changes to the SET50 in December. Passive trackers will need to buy between 0.5-4.3x ADV on the inclusions and sell between 0.1...

Brian Freitas

Energy Absolute: Trying to Be a B+ Credit

​Update on Energy Absolute 's probability of default shows high risk compared to peers using iRAP Global Plus PD Toolkit. No recommendation due to...

Bondcritic

Quiddity Leaderboard SET50 Dec 24: 3 Changes Likely; Some Changes to Expectations

There are names lurking close to border which can still move into and outside the top 50 and cause changes to our list of expected ADDs/DELs. As...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SET50 Dec 24: 4 Changes Possible; Reference Period Starts on 1st Sep

We currently see SAWAD, COM7, BANPU, and TCAP as expected ADDs and EA, TIDLOR, CENTEL, and BCP as expected DELs. A couple of these names have 3-4x...

Janaghan Jeyakumar, CFA

Update on Energy Absolute 's probability of default shows high risk compared to peers using iRAP Global Plus PD Toolkit. No recommendation due to...