Daily BriefsEvent-Driven

Daily Brief Event-Driven: CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover and more

In today’s briefing:

  • CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover
  • Sembcorp Marine Takeover of Keppel O&M – Almost There
  • SSE180/​​​SSE380 Index Rebalance: Changes & Potential MSCI/FTSE Inclusions & Exclusions
  • KOSPI 200 Sector/Size & KRX 300 Sector: Constituent Changes & Trading Points
  • Merger Arb Mondays (28 Nov) – Yashili, Perpetual/Pendal, Nitro, Warrego, Chip Eng Seng

CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover

By Brian Freitas

  • There are 50 changes a side for the CSI 500 Index at the upcoming rebalance that will be implemented at the close of trading on 9 December.
  • One-Way turnover at the rebalance is estimated at 12.64% leading to a one-way trade of CNY 9.3bn. The Materials, Information Technology and Consumer Discretionary sectors are net gainers.
  • 9 adds to the CSI 500 Index are deletes from the CSI 300 Index while 7 deletes from the CSI 500 Index are adds to the CSI 300 Index.

Sembcorp Marine Takeover of Keppel O&M – Almost There

By Travis Lundy

  • Last Wednesday, Keppel Corp (KEP SP) announced 8 Dec as the EGM date for shareholders to approve the AssetCo Transfer, the Keppel O&M/SMM combo, and the distribution of SMM shares.
  • This should probably sail through. Investors who want to submit questions in advance can email [email protected] by 3pm 30 Nov.
  • I still like Keppel. I think investors will find it attractive post-spin.

SSE180/​​​SSE380 Index Rebalance: Changes & Potential MSCI/FTSE Inclusions & Exclusions

By Brian Freitas

  • There are 18 changes to the SSE180 Index and 38 changes to the SSE380 Index that will be implemented at the close of trading on 9 December.
  • There will be 10 deletions from the MSCI Standard Index and 26 deletions from the FTSE All-World/All-Cap indices at the close on 9 December.
  • Currently, 8 stocks meet the threshold/are close for inclusion in the MSCI China Index while there are 21 stocks that meet the threshold for inclusion in the FTSE All-World/All-Cap indices.

KOSPI 200 Sector/Size & KRX 300 Sector: Constituent Changes & Trading Points

By Sanghyun Park

  • The additional Lotte Confectionery/Samyang Holdings flow will come from K200/KRX 300 Consumer Staples, K200 MidSmallCap, and K200 Ex-Top. However, the actual flow impact wouldn’t be significant.
  • From a flow trading standpoint, the KOSPI 50’s HMM/Hanon System probably deserves our attention because additional inflows come from the pensions that account for more than half of local PASSIVE.
  • Since their rebalancing trading tends to be somewhat dispersed, the return rate was the best when the position holding period was from T-3 to the effective date.

Merger Arb Mondays (28 Nov) – Yashili, Perpetual/Pendal, Nitro, Warrego, Chip Eng Seng

By Arun George


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