Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>In this insight, we take a look at the potential index changes and the resultant capping flows for the HSCEI Index in June 2023.</li>
<li>According to our estimation, there could be two changes for the HSCEI in June 2023 and there could be one-way index flows of US$585mn.</li>
<li>The final index changes along with indicative capping and index weights could be published in Mid/Late-May 2023.</li>
</ul>


In this insight, we take a look at the potential index changes and the resultant capping flows for the HSCEI Index in June 2023.
According to our estimation, there could be two changes for the HSCEI in June 2023 and there could be one-way index flows of US$585mn.
The final index changes along with indicative capping and index weights could be published in Mid/Late-May 2023.


Quiddity Flow Expectations HSCEI Jun 23: 2 ADDs/DELs Possible; Capping Flows US$585mn One-Way

External broker reports(aggregated public sources), CMB International

CMB International

External broker reports(aggregated public sources)

Incorporated in Hong Kong, supported by the mainland and targeting in global market, CMB International Capital Corporation Limited (“CMBI”) is an integrated financial institution providing comprehensive and professional services. As a wholly-owned subsidiary of China Merchants Bank ("CMB"), by leveraging on the Group’s synergy and coordination in domestic and overseas markets, as well as CMB’s strong resources and outstanding social reputation, CMBI and its subsidiaries have been actively implementing diversified business strategies and set up an overall layout of main business segments including Corporate Finance, Asset Management, Wealth Management, Global Markets and Structured Finance, etc. Adhering to the philosophy of “being clients oriented and increasing our own values by the way of creating value for clients”, CMBI endeavors to provide quality and integrated financial services to institutional, corporate and individual customers both domestic and overseas including Hong Kong IPO sponsorship and underwriting, share placement and rights issue for listed companies, financial advisors, bonds issuance services, asset management, direct investment, wealth management, equity sales and trading, etc.

Thematic (Sector/Industry)

<ul><li>NBS 2M23 sales value came flattish YoY, in line with our forecast.</li><li>However, it beat China funds ’ expectation and strongly beat foreign funds’expectation, thus driving today’s sector rally.</li><li>Looking at March, we expect even stronger March data (positive sales YoY) as 1) MTD sales of 30 major cities already recorded 24% growth YoY. 2) Our sales leading indicator GAIN was one of the highest in Feb, indicating very promising March. 3) Recent channel check in major cities suggests sales momentum to continue on stabilized property price and historically low mortgage rate. </li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

NBS 2M23 sales value came flattish YoY, in line with our forecast.However, it beat China funds ’ expectation and strongly beat foreign funds’expectation, thus driving today’s sector rally.Looking at March, we expect even stronger March data (positive sales YoY) as 1) MTD sales of 30 major cities already recorded 24% growth YoY. 2) Our sales leading indicator GAIN was one of the highest in Feb, indicating very promising March. 3) Recent channel check in major cities suggests sales momentum to continue on stabilized property price and historically low mortgage rate. Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

China Property Sector – NBS 2M23 data: Strong as expected

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua Energy Co H (1088 HK)</a> could replace <a href="https://www.smartkarma.com/entities/country-garden-holdings-co" target="_blank" data-smartkarma-citation="entities:5225:1" rel="noopener">Country Garden Holdings Co (2007 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> at the June rebalance.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua Energy Co H (1088 HK)</a> is pretty small while the short interest on <a href="https://www.smartkarma.com/entities/country-garden-holdings-co" target="_blank" data-smartkarma-citation="entities:5225:1" rel="noopener">Country Garden Holdings Co (2007 HK)</a> is large and possibly getting bigger.</li>
<li>The change could result in a big increase in the fair value for the HSCEI 2023 dividend futures. Currently, we estimate an increase of up to 9 DIPS.</li>
</ul>



China Shenhua Energy Co H (1088 HK) could replace Country Garden Holdings Co (2007 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) at the June rebalance.
Short interest on China Shenhua Energy Co H (1088 HK) is pretty small while the short interest on Country Garden Holdings Co (2007 HK) is large and possibly getting bigger.
The change could result in a big increase in the fair value for the HSCEI 2023 dividend futures. Currently, we estimate an increase of up to 9 DIPS.


HSCEI Index Rebalance Preview: China Shenhua (1088) Could Replace Country Garden (2007); Div Impact

Senior Credit Analyst, Lucror Analytics

Leonard Law, CFA

Senior Credit Analyst

High Yield Experts

Lucror Analytics

Lucror Analytics is a leading credit and ESG research specialist and a provider of technology solutions for differentiated fixed income strategies. Our roots are in bottom-up fundamental credit analysis with a specialization in high yield corporate credits from Europe, Asia and Latin America. We are one of few research specialists integrating ESG considerations with fundamental credit research through a dedicated ESG platform. Our ESG assessment covers five key criteria: Disclosure, E,S, & G Pillars, Controversies, ESG Impact on Credit and ESG Momentum.

Recognizing the importance and value-add of Factor Investing in fixed income, Lucror developed the Smart Quant Navigator (SQN), an intuitive platform that helps clients devise and implement factor-based strategies ranging from pure quant to active fundamental, with integrated ESG.

Our company has been at the forefront of developments in the fixed income markets, identifying opportunities and consistently delivering new products and value-adding solutions to clients. Lucror has close relationships with the largest and most reputable asset managers, family offices, hedge funds, investment and wealth managers globally.

Credit

Lucror Analytics Morning Views comprise our fundamental credit analysis, opinions and trade recommendations on high yield issuers in the region, based on key company-specific developments in the past 24 hours. Our Morning Views include a section with a brief market commentary, key market indicators and a macroeconomic and corporate event calendar.<ul><li><a href='#lucror-entity-26712'>Adani Transmission</a></li><li><a href='#lucror-entity-5225'>Country Garden Holdings Co</a></li></ul>

Lucror Analytics Morning Views comprise our fundamental credit analysis, opinions and trade recommendations on high yield issuers in the region, based on key company-specific developments in the past 24 hours. Our Morning Views include a section with a brief market commentary, key market indicators and a macroeconomic and corporate event calendar.Adani TransmissionCountry Garden Holdings Co

Morning Views Asia: Adani Transmission, Country Garden Holdings Co

Asia biased macro & technical analysis, Untying The Gordian Knot

Untying The Gordian Knot

Asia biased macro & technical analysis

A differentiated process with a primary focus on Asia. Technical Analysis as core and Macro drivers that could bring the view to fruition & changes that could make the idea fall apart. The objective is to be the best in class, hence corner shop.

Technical Analysis

Country Garden Holdings Co / Technical Analysis

<ul><li>As a background, can I refer the reader to Substack Note No One Cares 有中国特色 Real Estate Liquidity Spiral to Solvency Challenge 31st October 2022 ?</li><li>It bottoms ticked recovery in the highly leveraged Real estate Index Hang Seng Mainland Property Index (HSPMI) and rallied 103% from trough to peak 27th January 2023.</li><li>The mainland listed Index CSI 300 Real estate (CSI300RE) trough (1st November) to peak (27th November) was 43.5%.</li></ul>

As a background, can I refer the reader to Substack Note No One Cares 有中国特色 Real Estate Liquidity Spiral to Solvency Challenge 31st October 2022 ?It bottoms ticked recovery in the highly leveraged Real estate Index Hang Seng Mainland Property Index (HSPMI) and rallied 103% from trough to peak 27th January 2023.The mainland listed Index CSI 300 Real estate (CSI300RE) trough (1st November) to peak (27th November) was 43.5%.

China

Country Garden Holdings Company Limited is a real estate developer.  The Company builds villas, townhouses and apartments in Mainland China. Country Gardens also develops large-scale community facilities such as schools, hotels, hospitals, and theme parks.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Country Garden Holdings Co (2007 HK)

Quiddity Flow Expectations HSCEI Jun 23: 2 ADDs/DELs Possible; Capping Flows US$585mn One-Way

According to my estimates based on the latest available data, Yum China and BeiGene are ADDs and Country Garden Holdings and Country Garden...

Janaghan Jeyakumar, CFA

China Property Sector – NBS 2M23 data: Strong as expected

NBS 2M23 sales value came flattish YoY, in line with our forecast. However, it beat China funds ’ expectation and strongly beat foreign...

CMB International

HSCEI Index Rebalance Preview: China Shenhua (1088) Could Replace Country Garden (2007); Div Impact

China Shenhua could replace Country Garden in the HSCEI in June. Shenhua has been moving higher, COGARD lower. Shorts are much higher on COGARD...

Brian Freitas

Morning Views Asia: Adani Transmission, Country Garden Holdings Co

Lucror Analytics Morning Views comprise our fundamental credit analysis, opinions and trade recommendations on high yield issuers in the region,...

Lucror Analytics

China Real Estate

It bottoms ticked recovery in the highly leveraged Real estate Index Hang Seng Mainland Property Index (HSPMI) and rallied 103% from trough to peak...

Untying The Gordian Knot

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)