Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>AH Premia bounce higher. Spread curve torsion was as expected. Narrow spreads saw Hs suffer more. Wide spreads saw H outperformance. </li>
<li>The last few weeks I said warning signs were flashing and spreads could widen. This week they widened despite big SOUTHBOUND buying.</li>
<li>I expect the right thing to do is hunker down and be flat H/A risk.</li>
</ul>


AH Premia bounce higher. Spread curve torsion was as expected. Narrow spreads saw Hs suffer more. Wide spreads saw H outperformance. 
The last few weeks I said warning signs were flashing and spreads could widen. This week they widened despite big SOUTHBOUND buying.
I expect the right thing to do is hunker down and be flat H/A risk.


A/H Premium Tracker (To 28 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyse the changes of A-H premium on 150 stocks over the last week.</li>
<li>The average A-H premium was 85.0% as of Mar 28th. The average A-H premium changed by 1.8ppt week-on-week, led by real estate, communication services, financials.</li>
<li>We highlight weekly changes in A-H premium for Great Wall Motor, China Oilfield Services, Tsingtao Brewery, Cmoc, Xinhua Winshare Publishing And Media.</li>
</ul>


We analyse the changes of A-H premium on 150 stocks over the last week.
The average A-H premium was 85.0% as of Mar 28th. The average A-H premium changed by 1.8ppt week-on-week, led by real estate, communication services, financials.
We highlight weekly changes in A-H premium for Great Wall Motor, China Oilfield Services, Tsingtao Brewery, Cmoc, Xinhua Winshare Publishing And Media.


A-H Premium Weekly (Mar 28th): Great Wall Motor, China Oilfield Services, Tsingtao Brewery, Cmoc

Guangzhou Automobile Group / Event-Driven

<ul>
<li>AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.</li>
<li>To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.</li>
<li>Lots of spreads see the HA premium less than 15%. That is historically tight.</li>
</ul>


AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.
To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.
Lots of spreads see the HA premium less than 15%. That is historically tight.


A/H Premium Tracker (To 21 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

<ul>
<li>We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 83.3% as of Mar 21st.</li>
<li>The average A-H premium changed by -0.4ppt week-on-week, led by utilities, consumer discretionary, communication services and offset by consumer staples, financials.</li>
<li>We highlight weekly changes in A-H premium for Huadian Power, Livzon Pharma, Joinn Lab, Maanshan Iron&amp;Steel, Datang Intl Power.</li>
</ul>


We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 83.3% as of Mar 21st.
The average A-H premium changed by -0.4ppt week-on-week, led by utilities, consumer discretionary, communication services and offset by consumer staples, financials.
We highlight weekly changes in A-H premium for Huadian Power, Livzon Pharma, Joinn Lab, Maanshan Iron&amp;Steel, Datang Intl Power.


A-H Premium Weekly (Mar 21st): 47 Stocks at 52 Week High A-H Premium

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>With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.</li>
</ul>


With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.
We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.
The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.


SSE50 Index Rebalance Preview: Three Changes; Some Misses

China

Great Wall Motor Company Limited, through its subsidiaries, manufactures and sells pick-up trucks and sport-utility vehicles (SUVs) in China under branded names. The Company also researches and develops, and manufactures principal automotive parts and components for use in the assembly of pick-up trucks and SUVs.

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Great Wall Motor (2333 HK)

A/H Premium Tracker (To 28 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia were up for the week despite net SB buying. Finally, H/A reflects local market benchmarks. A long trend may now be ending (I'm not clear...

Travis Lundy

A-H Premium Weekly (Mar 28th): Great Wall Motor, China Oilfield Services, Tsingtao Brewery, Cmoc

We highlight weekly changes in A-H premium for Great Wall Motor, China Oilfield Services, Tsingtao Brewery, Cmoc, Xinhua Winshare Publishing And...

Ke Yan, CFA, FRM

A/H Premium Tracker (To 21 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia continue to fall on average, but the outperformance is slowing, and the better buying in some sectors (banks) appears to be technically...

Travis Lundy

A-H Premium Weekly (Mar 21st): 47 Stocks at 52 Week High A-H Premium

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Huadian Power, Livzon Pharma, Joinn Lab, Maanshan...

Ke Yan, CFA, FRM

SSE50 Index Rebalance Preview: Three Changes; Some Misses

There could be 3 changes in June. Estimated one-way turnover is 4.7% leading to a round-trip trade of CNY 16.4bn. The adds have outperformed the...

Brian Freitas

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