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

HSCEI Index Review - Out with the Old, In with the New

Index Rebalance

Hang Seng China Enterprises Index / Index Rebalance

Hang Seng China Enterprises Index (HSCEI INDEX)

<p>Since we published our earlier Insight, the HSCEI dividends futures expiring in December 2020 have rallied around 5% mainly driven by a 1% strengthening in the CNYHKD FX rate and a 3.5% rally in the HSCEI index. Open Interest in the 2020 dividend futures contract has continued to increase as prices push higher.</p><p>In this Insight, we look at the potential impact of the upcoming HSCEI review in December and find that there is a small negative impact on the dividend index points if the expected changes go through. The bigger catalyst will be companies Q3 results that will be published in November.</p>

Since we published our earlier Insight, the HSCEI dividends futures expiring in December 2020 have rallied around 5% mainly driven by a 1% strengthening in the CNYHKD FX rate and a 3.5% rally in the HSCEI index. Open Interest in the 2020 dividend futures contract has continued to increase as prices push higher.In this Insight, we look at the potential impact of the upcoming HSCEI review in December and find that there is a small negative impact on the dividend index points if the expected changes go through. The bigger catalyst will be companies Q3 results that will be published in November.

China National Building Material (3323 HK)

HSCEI Dividends - Small Impact of Upcoming Index Review