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 margin trading positions of JPX stocks as of Jul 10th. The aggregated net margin trading position is USD30,748m.</li>
<li>We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.</li>
<li>We highlight net margin buy/sell changes in SoftBank, Taiyo Yuden, Fast Retailing, Advantest, Kioxia, Tokyo Electron, Mitsubishi UFJ Financial, Mizuho Financial, Lasertec, Valor.</li>
</ul>


We analyzed the changes in margin trading positions of JPX stocks as of Jul 10th. The aggregated net margin trading position is USD30,748m.
We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
We highlight net margin buy/sell changes in SoftBank, Taiyo Yuden, Fast Retailing, Advantest, Kioxia, Tokyo Electron, Mitsubishi UFJ Financial, Mizuho Financial, Lasertec, Valor.


JPX Margin Trading Weekly (Jul 10th): SoftBank, Taiyo Yuden, Fast Retailing, Advantest, Kioxia

<ul>
<li>We analyzed the changes in margin trading positions of JPX stocks as of Jul 3rd. The aggregated net margin trading position is USD31,784m.</li>
<li>We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.</li>
<li>We highlight net margin buy/sell changes in Kioxia, Skylark, McDonald's, Taiyo Yuden, Advantest, Nintendo, Japan Tobacco, Pan Pacific International, Tokyo Electron, Monogatari.</li>
</ul>


We analyzed the changes in margin trading positions of JPX stocks as of Jul 3rd. The aggregated net margin trading position is USD31,784m.
We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
We highlight net margin buy/sell changes in Kioxia, Skylark, McDonald's, Taiyo Yuden, Advantest, Nintendo, Japan Tobacco, Pan Pacific International, Tokyo Electron, Monogatari.


JPX Margin Trading Weekly (Jul 3rd): Kioxia, Skylark, McDonald's, Taiyo Yuden, Advantest, Nintendo

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>The TOPIX liquidity factor removal names (upweights) for April 2023 were announced after the close on Friday 7th April 2023 as expected.</li>
<li>According to the announcement, 22 names will see their Liquidity Factors removed and experience index inflows later this month. </li>
<li>Today was the first day of trading post-announcement and the 22 names gained +1.1% (+0.47% vs the TOPIX Index). I feel there could be more upside for some names.</li>
</ul>


The TOPIX liquidity factor removal names (upweights) for April 2023 were announced after the close on Friday 7th April 2023 as expected.
According to the announcement, 22 names will see their Liquidity Factors removed and experience index inflows later this month. 
Today was the first day of trading post-announcement and the 22 names gained +1.1% (+0.47% vs the TOPIX Index). I feel there could be more upside for some names.


TOPIX Big April Basket 23: 100% Hit Rate for High Conviction Basket; Focus on Surprises Next

<ul>
<li>The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. </li>
<li>For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor of 0.75 to derive the final FFW used for index calculation. </li>
<li>Every April, the application of this liquidity factor is reviewed by the TSE for all TSE1 constituents. This situation opens up interesting opportunities for a basket trade. </li>
</ul>


The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. 
For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor of 0.75 to derive the final FFW used for index calculation. 
Every April, the application of this liquidity factor is reviewed by the TSE for all TSE1 constituents. This situation opens up interesting opportunities for a basket trade. 


TOPIX Index Upweights: The Big April Basket 2022 (Pre-Event)

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

A month ago, known active (and occasional activist and concentrated investor) Effissimo Capital Management announced an unsolicited partial Tender Offer to purchase 4,834,343 shares of <a href="https://www.smartkarma.com/entities/sanken-electric-co-ltd" target="_blank" data-smartkarma-citation="entities:6073:1" rel="noopener">Sanken Electric (6707 JP)</a> to take it from 9.97% to 30.00% at ¥5210/share. The announcement was deliberately couched in terms to make it seem friendly. Effissimo is not going for negative control, or seeking to interfere with management in any way. They say they just want more stock. The shares, which had recently traded from the area of the Tender Offer Price down to sub-¥4500/share, immediately bounced, trading 10% through terms on the first full day of trading after going limit up on Day 1.<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/192/998/original/Screenshot+2021-03-09+at+3.51.32+PM.png?1615276314" class="editor-image img-responsive" data-smartkarma-image-id="192998"></figure></section>Since then, <a href="https://www.smartkarma.com/entities/allegro-microsystems" target="_blank" data-smartkarma-citation="entities:29707:1" rel="noopener">Allegro MicroSystems (ALGM US)</a> shares - Sanken's 52% subsidiary which it listed in November (and the key value driver for Sanken Electric), have fallen nearly 20% from just under US$31/share on 8 Feb the day after the announcement to US$25.14 yesterday.And Sanken itself has fallen back down to ¥5300/share, ~1.7% above the Tender Offer Price.In my first insight on the deal, I did not address "the stub trade" (Sanken's holding in Allegro, which was originally Sanken North America) and where I thought it should trade - as such - in the insight because frankly, it's difficult. The future is tough to predict. Below is a brief look at the parameters and the modalities.

A month ago, known active (and occasional activist and concentrated investor) Effissimo Capital Management announced an unsolicited partial Tender Offer to purchase 4,834,343 shares of Sanken Electric (6707 JP) to take it from 9.97% to 30.00% at ¥5210/share. The announcement was deliberately couched in terms to make it seem friendly. Effissimo is not going for negative control, or seeking to interfere with management in any way. They say they just want more stock. The shares, which had recently traded from the area of the Tender Offer Price down to sub-¥4500/share, immediately bounced, trading 10% through terms on the first full day of trading after going limit up on Day 1.Since then, Allegro MicroSystems (ALGM US) shares - Sanken's 52% subsidiary which it listed in November (and the key value driver for Sanken Electric), have fallen nearly 20% from just under US$31/share on 8 Feb the day after the announcement to US$25.14 yesterday.And Sanken itself has fallen back down to ¥5300/share, ~1.7% above the Tender Offer Price.In my first insight on the deal, I did not address "the stub trade" (Sanken's holding in Allegro, which was originally Sanken North America) and where I thought it should trade - as such - in the insight because frankly, it's difficult. The future is tough to predict. Below is a brief look at the parameters and the modalities.

Effissimo, Sanken, and Allegro - Thinking About the Future

Japan

Keihanshin Building Co., Ltd. leases office buildings, computer and telecommunication equipped buildings, off-track-betting, and other commercial facilities.  The Company also provides building management services and undertakes construction works.

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Keihanshin Building (8818 JP)

JPX Margin Trading Weekly (Jul 10th): SoftBank, Taiyo Yuden, Fast Retailing, Advantest, Kioxia

We analyzed JPX margin trading positions report for the past week and highlighted SoftBank (9984 JP), Taiyo Yuden (6976 JP), Fast Retailing (9983...

Ke Yan, CFA, FRM

JPX Margin Trading Weekly (Jul 3rd): Kioxia, Skylark, McDonald's, Taiyo Yuden, Advantest, Nintendo

We analyzed JPX margin trading positions report for the past week and highlighted Kioxia (285A JP), Skylark (3197 JP), McDonald's (2702 JP), Taiyo...

Ke Yan, CFA, FRM

TOPIX Big April Basket 23: 100% Hit Rate for High Conviction Basket; Focus on Surprises Next

There could be around US$450mn of flows and an average of 12 days of ADV to buy for the 13 names which I identify as "surprise" names. I expect...

Janaghan Jeyakumar, CFA

TOPIX Index Upweights: The Big April Basket 2022 (Pre-Event)

Every April, the application of this liquidity factor is reviewed by the TSE for all TSE1 constituents. This situation opens up interesting...

Janaghan Jeyakumar, CFA

Effissimo, Sanken, and Allegro - Thinking About the Future

Effissimo launched a partial tender for Sanken (6707) and it went through terms as people noted the "stub trade" for Allegro Microsystems. It's...

Travis Lundy

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