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

<ul>
<li>With over 80% of the review period complete, there could be 26 adds/deletes across the S&amp;P/ASX family of indices in March.</li>
<li>The largest flow will be on <a href="https://www.smartkarma.com/entities/newmont-corp" target="_blank" data-smartkarma-citation="entities:40416:1" rel="noopener">Newmont (NEM AU)</a> due to the potential S&amp;P/ASX 20 Index deletion and a large decrease in the number of shares held in Australia.</li>
<li>There will be 1.2-38 days of ADV to buy in the inclusions while the impact on the deletions will range between 1-21 days of ADV.</li>
</ul>


With over 80% of the review period complete, there could be 26 adds/deletes across the S&amp;P/ASX family of indices in March.
The largest flow will be on Newmont (NEM AU) due to the potential S&amp;P/ASX 20 Index deletion and a large decrease in the number of shares held in Australia.
There will be 1.2-38 days of ADV to buy in the inclusions while the impact on the deletions will range between 1-21 days of ADV.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Lots of Changes; A$1bn to Sell in Newmont

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>As warned in <a href="https://www.smartkarma.com/insights/newcrest-newmont-merger-fancy-index-shenanigans" target="_blank" data-smartkarma-citation="insights:113359" rel="noopener">Newcrest-Newmont Merger: Fancy Index Shenanigans</a> in October, the merger construct meant flowfront, index flowback, then later index flowback.</li>
<li>We are now between the second and third events. The data on the third is there, but it won't be obvious to everyone. </li>
<li>There should be a large, not publicly announced, downweight on <a href="https://www.smartkarma.com/entities/newmont-corp" target="_blank" data-smartkarma-citation="entities:40416:1" rel="noopener">Newmont (NEM AU)</a> in the March 2024 index review for the major local indices.</li>
</ul>


As warned in Newcrest-Newmont Merger: Fancy Index Shenanigans in October, the merger construct meant flowfront, index flowback, then later index flowback.
We are now between the second and third events. The data on the third is there, but it won't be obvious to everyone. 
There should be a large, not publicly announced, downweight on Newmont (NEM AU) in the March 2024 index review for the major local indices.


Newmont's Upcoming (March 2024) ASX Selldown

<ul>
<li>There could be 3 changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> in December. There are unlikely to be any changes for indices higher up the hierarchy.</li>
<li>Passive trackers will need to buy between 7-11 days of ADV in the inclusions while the impact on the deletions will be larger at between 11-23 days of ADV.</li>
<li>Short interest has decreased on the potential inclusions and increased on the potential deletions. There is significant pre-positioning on some of the stocks.</li>
</ul>


There could be 3 changes for the S&amp;P/ASX 200 (AS51 INDEX) in December. There are unlikely to be any changes for indices higher up the hierarchy.
Passive trackers will need to buy between 7-11 days of ADV in the inclusions while the impact on the deletions will be larger at between 11-23 days of ADV.
Short interest has decreased on the potential inclusions and increased on the potential deletions. There is significant pre-positioning on some of the stocks.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Big Impact; A Week From Announcement

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

National Australia Bank / Equity Bottom-Up

<ul>
<li>NAB holds significantly more maturing debt in the coming year than its largest 3 peer banks in Australia and also more than the 3 banks in Singapore, by comparison</li>
<li>The bank has grown its business loans aggressively, which can see lumpy bad loans in a poor economy, with high unseasoned loans, yet its HoH credit costs were flat</li>
<li>CRE loans are meaningful at NAB, adding another risk to maturing debt at the top of the rate cycle with what appears to optimistic credit costs in recent results</li>
</ul>


NAB holds significantly more maturing debt in the coming year than its largest 3 peer banks in Australia and also more than the 3 banks in Singapore, by comparison
The bank has grown its business loans aggressively, which can see lumpy bad loans in a poor economy, with high unseasoned loans, yet its HoH credit costs were flat
CRE loans are meaningful at NAB, adding another risk to maturing debt at the top of the rate cycle with what appears to optimistic credit costs in recent results


NAB - Maturing Debt AUD40bn | At Top of Rate Cycle | With High Unseasoned Loans, CRE Loans

Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

<ul>
<li>In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run up to the December 2023 Rebalance.</li>
<li>There could be up to four ASX 200 changes including the intra-review changes that could potentially be triggered by M&amp;A events.  </li>
<li>The <a href="https://www.smartkarma.com/entities/origin-energy-ltd" target="_blank" data-smartkarma-citation="entities:797:1" rel="noopener">Origin Energy (ORG AU)</a>, <a href="https://www.smartkarma.com/entities/newcrest-mining-ltd" target="_blank" data-smartkarma-citation="entities:691:1" rel="noopener">Newcrest Mining (NCM AU)</a>, and <a href="https://www.smartkarma.com/entities/allkem-ltd" target="_blank" data-smartkarma-citation="entities:3572:1" rel="noopener">Allkem Ltd (AKE AU)</a> deals also could have interesting index change and/or flow implications over the next few weeks/months.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run up to the December 2023 Rebalance.
There could be up to four ASX 200 changes including the intra-review changes that could potentially be triggered by M&amp;A events.  
The Origin Energy (ORG AU), Newcrest Mining (NCM AU), and Allkem Ltd (AKE AU) deals also could have interesting index change and/or flow implications over the next few weeks/months.


Quiddity Leaderboard ASX Dec 23: InvoCare, Origin Energy, New Crest, Allkem, and More

Australia

QBE Insurance Group Limited is an insurance company which underwrites most forms of commercial and industrial insurance policies, as well as individual policies. QBE also manages Lloyds syndicates and provides investment management services. The Company provides its services both domestically and internationally.

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Qbe Insurance (QBE AU)

S&P/ASX Index Rebalance Preview: Lots of Changes; A$1bn to Sell in Newmont

CGC's privatisation could lead to an adhoc change in Feb. Then there could be 26 changes at the March rebalance. Newmont could be deleted from the...

Brian Freitas

Newmont's Upcoming (March 2024) ASX Selldown

Newmont (NEM AU) will be a big sell in the March S&P/ASX index rebalance with A$1.5bn to sell and a likely ASX20 index deletion to come because...

Travis Lundy

S&P/ASX Index Rebalance Preview: Big Impact; A Week From Announcement

There could be 3 changes for the ASX200 in December. Impact on the adds/deletes varies from 7-23x ADV. Shorts have increased on the potential...

Brian Freitas

NAB - Maturing Debt AUD40bn | At Top of Rate Cycle | With High Unseasoned Loans, CRE Loans

NAB has more maturity debt than large peers, which can mean worse NIM impact when refinancing at the top of the rate cycle. Business loan growth...

Daniel Tabbush

Quiddity Leaderboard ASX Dec 23: InvoCare, Origin Energy, New Crest, Allkem, and More

I expect Boss Resources (BOE AU) to replace Invocare Ltd (IVC AU) at the close of 3rd November 2023. There could be 17.6mn shares to buy in BOE...

Janaghan Jeyakumar, CFA

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52-week Range

Market Cap (USDm)

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S&P/​​​​​​​​​ASX Index Rebalance Preview: Lots of Changes; A$1bn to Sell in Newmont

CGC's privatisation could lead to an adhoc change in Feb. Then there could be 26 changes at the March rebalance. Newmont could be deleted from the...

Brian Freitas

Newmont's Upcoming (March 2024) ASX Selldown

Newmont (NEM AU) will be a big sell in the March S&P/ASX index rebalance with A$1.5bn to sell and a likely ASX20 index deletion to come because...

Travis Lundy

S&P/​​​​​​​​​ASX Index Rebalance Preview: Big Impact; A Week From Announcement

There could be 3 changes for the ASX200 in December. Impact on the adds/deletes varies from 7-23x ADV. Shorts have increased on the potential...

Brian Freitas

NAB - Maturing Debt AUD40bn | At Top of Rate Cycle | With High Unseasoned Loans, CRE Loans

NAB has more maturity debt than large peers, which can mean worse NIM impact when refinancing at the top of the rate cycle. Business loan growth...

Daniel Tabbush

Quiddity Leaderboard ASX Dec 23: InvoCare, Origin Energy, New Crest, Allkem, and More

I expect Boss Resources (BOE AU) to replace Invocare Ltd (IVC AU) at the close of 3rd November 2023. There could be 17.6mn shares to buy in BOE...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview: Lots of Changes; A$1bn to Sell in Newmont

S&P/ASX Index Rebalance Preview: Big Impact; A Week From Announcement