In today’s briefing:
- CSI300 Index Rebalance: The Surprises Could Outperform
- STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week
- Index Rebalance & ETF Flow Recap: NKY, FTSE AW/CH50/TW50/Div+, Sensex, KLCI, SET50, HSTECH, Huarong
- SSE50 Index Rebalance: In Line with Forecasts; Trades Performing Well
- JAFCO (8595) Yields to Murakami Greenmail – Big Asset Sale, Big Buyback
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- Socionext (6526 JP) TOPIX Inclusion – Great Performer Deserves Profit-Taking
- Last Week in Event SPACE: Meituan, Link Admin/Pexa, DTAC/True, Medley
- (Mostly) Asia-Pac Weekly Risk Arb Wrap: Chip Eng Seng, Mori Trust, Pendal/Pendal, DTAC/True
- Hong Kong CEO & Director Dealings (25 Nov): JL Mag Rare Earth, Joinn Laboratories, Hopefluent
CSI300 Index Rebalance: The Surprises Could Outperform
- There are 15 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 December.
- While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.
- The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.
STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week
- The index committee has continued to use a 6-month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in December.
- All changes are in line with our forecasts and there appears to be some pre-positioning over the last week as the deletes have sold off hard.
- One-Way turnover is estimated at 5.34% and will result in a one-way trade of CNY 3,766m. The estimated impact on the deletes is higher than that on the adds.
Index Rebalance & ETF Flow Recap: NKY, FTSE AW/CH50/TW50/Div+, Sensex, KLCI, SET50, HSTECH, Huarong
- There were a lot of review cutoffs last Monday and a lot of announcements for China indexes post market close on Friday.
- The coming week has announcements for the FTSE country indices as well as implementation for the MSCI indices and the Hang Seng family of indexes.
- Big inflows to MSCI Korea, iShares MSCI ACWI ETF (ACWI US) and iShares MSCI Emerging Markets (EMXC US); outflows for Tracker Fund of Hong Kong Ltd (2800 HK).
SSE50 Index Rebalance: In Line with Forecasts; Trades Performing Well
- There are 5 changes for the SSE50 Index that will be implemented at the close on 9 December. Passive selling on a few deletions is pretty large.
- We estimate a one-way turnover of 4.07% at the December rebalance leading to a one-way trade of CNY 3.36bn. Index arb activity could add to the impact on the stocks.
- The adds have dropped over the last few months while the deletes have moved higher. There could be a reversion of that trend till implementation of the changes.
JAFCO (8595) Yields to Murakami Greenmail – Big Asset Sale, Big Buyback
- Jafco Co Ltd (8595 JP) has long been known as a “cheap” listed “venture fund” because of its additional large (for it) holding in Nomura Research Institute Ltd (4307 JP).
- Well-Known Japanese activist Yoshiaki MURAKAMI and his related companies bought a stake. JAFCO responded with a “Policy” (poison pill). Murakami-san ducked and dodged then bought more. Now the exit.
- JAFCO will sell its Nomura Research shares in a Secondary Offering, and conduct a large buyback via tender offer. Like other Murakami exits, this one is not designed for you.
EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- Weekly summary of vol changes and moves across Global Markets
- Analysing ATM volatility and skew changes over the last 5 days
- We suggest a few trades to take advantage of the implied vol surfaces
Socionext (6526 JP) TOPIX Inclusion – Great Performer Deserves Profit-Taking
- Socionext (6526 JP) was offered in a range of ¥3,480-3,650, oversubscribed, IPOed at ¥3,650 and closed ¥4200 on Day 1. We can assume that was the “right price.”
- Since then, while peers are up 19.8% in the 6 weeks since then, Socionext is up 66%. This year’s biggest Japan IPO has been a big winner.
- The TOPIX inclusion is on Tuesday at the close. Beware, you don’t know who is in the stock and who is not.
Last Week in Event SPACE: Meituan, Link Admin/Pexa, DTAC/True, Medley
- You could imagine people covering their short in Meituan (3690 HK) now. The Hang Seng sell flow on 4 January 2023 is insignificant. But there will be more overhang later.
- If you buy Link Administration (LNK AU) outright, you are buying a package of three potential future takeout targets.
- It’s not certain the scrip terms will continue as stated in the DTAC /True merger, but if they change at all, that would almost certainly require a new shareholder meeting.
(Mostly) Asia-Pac Weekly Risk Arb Wrap: Chip Eng Seng, Mori Trust, Pendal/Pendal, DTAC/True
- There are 49 – mostly firm, mostly Asia-Pac – transactions currently being discussed and analysed on Smartkarma. Inside is a timetable of upcoming key events for each deal.
- Two new deals were discussed on Smartkarma: the Tangs’ Offer for Chip Eng Seng (CHIP SP); and the Mori Trust Sogo Reit (8961 JP)/Mori Trust Sogo Reit (8961 JP) merger.
- Key updates took place for: Pendal Group (PDL AU)/Perpetual Ltd (PPT AU), Total Access Communication (DTAC TB)/True Corp Pcl (TRUE TB), and Lifestyle International Holdings (1212 HK).
Hong Kong CEO & Director Dealings (25 Nov): JL Mag Rare Earth, Joinn Laboratories, Hopefluent
- The data in this insight is collated from the “shareholding disclosure” link on the HKEx website.
- Often there is a corresponding HKEx announcement on the increase – or decrease – in the shareholding by directors. However, such disclosures are by no means an absolute.
- These insights may flag those companies where shares have been pledged. Stocks mentioned include JL Mag Rare Earth (6680 HK), Joinn Laboratories (6127 HK), and Hopefluent Group (733 HK).
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