Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Event-Driven

<ul>
<li>The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.</li>
<li>Meritz Financial's buyback seems to be making it difficult to build positions on expectations that the price gap relative to Fire and Securities will converge quickly with the swap ratio.</li>
<li>As the actual risk of repaying financial borrows is small, we should start building up positions two weeks before the end of January, aiming to exit in early or mid-February.</li>
</ul>

Meritz Financial Group

Discussing Why Meritz Swap Spread Not Being Narrowed & When to Enter