Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

MSCI Korea: An Early Assessment of February Index Review

How Should We Play with Kakao Pay's MSCI Inclusion Event?

K200 ETFs' Swap Trading on Meritz & Fresh Buy-In JB Financial on Jan 27

Meritz Financial Group: Comprehensive Stock Swap + Delisting of Meritz Sec. And Meritz F&M Insurance

Meritz Merger Event: Swap Conditions, Spread Arb Trade, & K200 Flow Implementation

The Blockchain Delusion. A (Mostly) Bearish Investment Thesis.

Gravity Works As WeWork Doesn't; Now Plan B

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

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>


The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.
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.
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.


Meritz Fire & Marine Insurance (000060 KS)

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