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>There is one set of changes to the S&amp;P/ASX 50, one deletion for the S&amp;P/ASX 100, and four adds/ five deletes 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>. </li>
<li>Passive trackers will need to trade between 2-6 days of ADV on nearly all stocks. Short interest spikes in a few names indicate pre-positioning for the passive flow.</li>
<li>
<a href="https://www.smartkarma.com/entities/core-lithium-ltd" target="_blank" data-smartkarma-citation="entities:14712:1" rel="noopener">Core Lithium Ltd (CXO AU)</a> is a potential inclusion to the MVIS Global Rare Earth/Strategic Metals Index in June and that could add to the passive inflows on the stock.</li>
</ul>


There is one set of changes to the S&amp;P/ASX 50, one deletion for the S&amp;P/ASX 100, and four adds/ five deletes for the S&amp;P/ASX 200 (AS51 INDEX). 
Passive trackers will need to trade between 2-6 days of ADV on nearly all stocks. Short interest spikes in a few names indicate pre-positioning for the passive flow.

Core Lithium Ltd (CXO AU) is a potential inclusion to the MVIS Global Rare Earth/Strategic Metals Index in June and that could add to the passive inflows on the stock.


S&P/​​ASX Index Rebalance (June 2022): Mostly Expected, Some Surprises & Short Interest Spikes

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The index changes for the S&amp;P ASX Index family for the June 2022 Rebalance were announced today.</li>
<li>There will be 4 Adds and 5 Deletes for the ASX 200 Index, mostly in line with our expectations in <a href="https://www.smartkarma.com/insights/s-p-asx-indices-quiddity-leaderboard-for-june-2022-rebalance-2-0" target="_blank" data-smartkarma-citation="insights:69725" rel="noopener">S&amp;P/​​​​ASX Indices: Quiddity Leaderboard for June 2022 Rebalance 2.0</a>.  </li>
<li>There are also changes announced for ASX 50 and ASX 100. Below is a closer look at the details of the names involved in this Rebalance Event.</li>
</ul>


The index changes for the S&amp;P ASX Index family for the June 2022 Rebalance were announced today.
There will be 4 Adds and 5 Deletes for the ASX 200 Index, mostly in line with our expectations in S&amp;P/​​​​ASX Indices: Quiddity Leaderboard for June 2022 Rebalance 2.0.  
There are also changes announced for ASX 50 and ASX 100. Below is a closer look at the details of the names involved in this Rebalance Event.


S&P ASX June 2022 Rebalance: ADDs Are Mostly Mining Companies; DELs Are Mostly Tech/Financials

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/glencore-plc" target="_blank" data-smartkarma-citation="entities:764:1" rel="noopener">Glencore Plc (GLEN LN)</a> is likely to reject <a href="https://www.smartkarma.com/entities/yanzhou-coal-mining-company-limited-h" target="_blank" data-smartkarma-citation="entities:384:1" rel="noopener">Yanzhou Coal Mining Company Limited H (1171 HK)</a>’s H-Share CBs of US$3.60 (HK$28.26/A$5.07) per <a href="https://www.smartkarma.com/entities/yancoal-australia-ltd" target="_blank" data-smartkarma-citation="entities:4145:1" rel="noopener">Yancoal Australia (YAL AU)</a> share, <a href="https://www.reuters.com/markets/europe/glencore-reject-offer-yancoal-australia-stake-too-low-sources-2022-06-02/" target="_blank" rel="noopener">according to Reuters</a>.</li>
<li>If the privatisation succeeds, we estimate that Yankuang’s additional claim on <a href="https://www.smartkarma.com/entities/yancoal-australia" target="_blank" data-smartkarma-citation="entities:8427:1" rel="noopener">Yancoal Australia (3668 HK)</a>’s three-year FCF would broadly cover the total potential consideration of US$1,794 million.</li>
<li>The fixed coupon on the CBs would likely need to match the foregone dividend yield. We think it challenging for Yankuang to bridge the gap to Glencore’s “right price”. </li>
</ul>



Glencore Plc (GLEN LN) is likely to reject Yanzhou Coal Mining Company Limited H (1171 HK)’s H-Share CBs of US$3.60 (HK$28.26/A$5.07) per Yancoal Australia (YAL AU) share, according to Reuters.
If the privatisation succeeds, we estimate that Yankuang’s additional claim on Yancoal Australia (3668 HK)’s three-year FCF would broadly cover the total potential consideration of US$1,794 million.
The fixed coupon on the CBs would likely need to match the foregone dividend yield. We think it challenging for Yankuang to bridge the gap to Glencore’s “right price”. 


Glencore and Yankuang’s Disparate Valuations of Yancoal

<ul>
<li>
<a href="https://www.smartkarma.com/entities/yanzhou-coal-mining-company-limited-h" target="_blank" data-smartkarma-citation="entities:384:1" rel="noopener">Yanzhou Coal Mining Company Limited H (1171 HK)</a>/Yankuang, a 62.26% shareholder, aims to offer H Share convertible bonds for US$3.60 (HK$28.26 or A$5.07) per <a href="https://www.smartkarma.com/entities/yancoal-australia-ltd" target="_blank" data-smartkarma-citation="entities:4145:1" rel="noopener">Yancoal Australia (YAL AU)</a> share.</li>
<li>Yankuang’s implied offer price is -16.6% and -14.5% below the last close price on the ASX and HKEx, respectively. At first glance, the offer seems to be a non-starter.  </li>
<li>Yankuang’s end game is likely to provide large shareholders with a liquidity event to hit the 90% compulsory acquisition threshold. This ploy could work subject to FIRB approval. </li>
</ul>



Yanzhou Coal Mining Company Limited H (1171 HK)/Yankuang, a 62.26% shareholder, aims to offer H Share convertible bonds for US$3.60 (HK$28.26 or A$5.07) per Yancoal Australia (YAL AU) share.
Yankuang’s implied offer price is -16.6% and -14.5% below the last close price on the ASX and HKEx, respectively. At first glance, the offer seems to be a non-starter.  
Yankuang’s end game is likely to provide large shareholders with a liquidity event to hit the 90% compulsory acquisition threshold. This ploy could work subject to FIRB approval. 


Yancoal’s Unusual Low Bid from Yankuang Energy

<ul>
<li>The <a href="https://www.smartkarma.com/entities/crown-resorts-ltd" target="_blank" data-smartkarma-citation="entities:808:1" rel="noopener">Crown Resorts</a> Scheme Meeting is scheduled for 20 May and the last trading day could be 24 May, while <a href="https://www.smartkarma.com/entities/the-lottery-corporation-limited" target="_blank" data-smartkarma-citation="entities:35970:1" rel="noopener">The Lottery Corp</a> is expected to start trading 24 May.</li>
<li>The changes for the S&amp;P/ASX 50 Index and S&amp;P/ASX 100 Index will depend on the market cap of <a href="https://www.smartkarma.com/entities/the-lottery-corporation-limited" target="_blank" data-smartkarma-citation="entities:35970:1" rel="noopener">The Lottery Corp (TLC AU)</a> and new <a href="https://www.smartkarma.com/entities/tabcorp-holdings-ltd" target="_blank" data-smartkarma-citation="entities:6837:1" rel="noopener">Tabcorp Ltd (TAH AU)</a>.</li>
<li>The potential adds have outperformed the potential deletes over the last week and couple of months so there will be some pre-positions in there already.</li>
</ul>


The Crown Resorts Scheme Meeting is scheduled for 20 May and the last trading day could be 24 May, while The Lottery Corp is expected to start trading 24 May.
The changes for the S&amp;P/ASX 50 Index and S&amp;P/ASX 100 Index will depend on the market cap of The Lottery Corp (TLC AU) and new Tabcorp Ltd (TAH AU).
The potential adds have outperformed the potential deletes over the last week and couple of months so there will be some pre-positions in there already.


S&P/​ASX Index Rebalance Preview: Tabcorp, Crown & Potential Changes in June

Australia

Whitehaven Coal Limited mines and sells metallurgical and thermal coals to the global steel, power generation, and metallurgical industries.

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Whitehaven Coal (WHC AU)

S&P/ASX Index Rebalance (June 2022): Mostly Expected, Some Surprises & Short Interest Spikes

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S&P ASX Index changes for June 2022 have been announced. ASX 50, ASX 100, and ASX 200 are about to experience constituent changes. Inclusion...

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Glencore and Yankuang’s Disparate Valuations of Yancoal

Glencore is likely to reject Yankuang’s offer, according to Reuters. While Glencore is said to be a willing seller, we think that Yankuang will...

Arun George

Yancoal’s Unusual Low Bid from Yankuang Energy

Yankuang’s implied offer price is materially below the last close price on both the ASX and HKEx. The strategy is likely to secure large...

Arun George

S&P/ASX Index Rebalance Preview: Tabcorp, Crown & Potential Changes in June

The Crown Resorts privatisation and Tabcorp spinoff will add to the S&P/ASX changes in June. There is a lot to trade on the potential adds/deletes...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

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S&P/​​ASX Index Rebalance (June 2022): Mostly Expected, Some Surprises & Short Interest Spikes

Most changes to the indices were expected, there are some surprises & short interest has spiked on some names. CXO could be added to the REMX....

Brian Freitas

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S&P ASX Index changes for June 2022 have been announced. ASX 50, ASX 100, and ASX 200 are about to experience constituent changes. Inclusion...

Janaghan Jeyakumar, CFA

Glencore and Yankuang’s Disparate Valuations of Yancoal

Glencore is likely to reject Yankuang’s offer, according to Reuters. While Glencore is said to be a willing seller, we think that Yankuang will...

Arun George

Yancoal’s Unusual Low Bid from Yankuang Energy

Yankuang’s implied offer price is materially below the last close price on both the ASX and HKEx. The strategy is likely to secure large...

Arun George

S&P/​ASX Index Rebalance Preview: Tabcorp, Crown & Potential Changes in June

The Crown Resorts privatisation and Tabcorp spinoff will add to the S&P/ASX changes in June. There is a lot to trade on the potential adds/deletes...

Brian Freitas

S&P/ASX Index Rebalance (June 2022): Mostly Expected, Some Surprises & Short Interest Spikes

S&P/ASX Index Rebalance Preview: Tabcorp, Crown & Potential Changes in June