Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

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Index Rebalance

<p>Over the last couple of months, the premium on <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-adr" target="_blank" rel="noopener" data-smartkarma-citation="entities:559:1">HDFC Bank (ADR) (HDB US)</a> has dropped from around 23% to 11%. Over the same period the local stock <a href="https://www.smartkarma.com/entities/hdfc-bank-limited" target="_blank" rel="noopener" data-smartkarma-citation="entities:558:1">HDFC Bank (HDFCB IN)</a> is down 8% and the INR is weaker by 3.5% against the USD.</p><p>In this Insight, we take a look at the historical premium on the ADR and its history, movement in local shares available to Foreign Portfolio Investors (FPI), and estimate the impact of upcoming index flows and potential index inclusions on the ADR premium.</p>

Over the last couple of months, the premium on HDFC Bank (ADR) (HDB US) has dropped from around 23% to 11%. Over the same period the local stock HDFC Bank (HDFCB IN) is down 8% and the INR is weaker by 3.5% against the USD.In this Insight, we take a look at the historical premium on the ADR and its history, movement in local shares available to Foreign Portfolio Investors (FPI), and estimate the impact of upcoming index flows and potential index inclusions on the ADR premium.

HDFC Bank - Case of the Collapsing ADR Premium