Brian Freitas

Pan-Asia Index Rebalances/Events/Delta One

Event-Driven

<ul>
<li>There are 3 stocks migrating from the S&amp;P500 to the S&amp;P400 and vice versa and another 3 stocks migrating from the S&amp;P600 to the S&amp;P400 and vice versa.</li>
<li>The impact of changes in the number of index shares for quite a few index constituents and the funding trade take the one-way trade size to US$18.5bn.</li>
<li>There appear to be pre-positions on some of the stocks. While the flow is large on many stocks, there are only a few that have over 2 days of ADV.</li>
</ul>

Factset Research Systems Inc

S&P500 Index Rebalance: Migrations Across the Indices