Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Friday night after the close, the TSE <a href="https://www.jpx.co.jp/english/news/1044/20181005-01.html" target="_blank">announced</a> the changes to the revisions to the <a href="https://www.jpx.co.jp/english/markets/indices/topix/tvdivq00000030ne-att/e_mei_12_size.pdf" target="_blank">constituents</a> of the TOPIX New Index Series (i.e. the sub-series of TOPIX (Core 30, Large 70, TOPIX 100, Mid 400, etc). The TSE also released FFWs for companies which have their fiscal year-ends in the first calendar quarter of the year, as described in the <a href="https://www.jpx.co.jp/english/markets/indices/line-up/files/e_ref_1_FFW.pdf" target="_blank">TOPIX Free Float Weight Calculation Methodology</a> file, which is an appendix to the <a href="https://www.jpx.co.jp/english/markets/indices/topix/tvdivq00000030ne-att/e_cal_3_topix.pdf" target="_blank">TOPIX Index Guidebook</a> (most recent version 23 July 2018 at time of writing). 
The five biggest changes on the buy side are not a surprise. The largest INCREASE in dollar value of index weight will be <a href="https://www.smartkarma.com/entities/359" target="_blank" data-smartkarma-citation="entities:359:1">Japan Post Holdings (6178 JP)</a>. This was discussed in the aftermath of the offering last September (in the discussion section after followups with the TSE, and their own changes to treatment). See <a href="https://www.smartkarma.com/insights/japan-post-offer-details-surprises-and-fun-and-ding-games" target="_blank" data-smartkarma-citation="insights:13881">Japan Post: Offer Details, Surprises, and Fun And/-Ding Games</a>. In that situation, the TSE increased the number of shares to which the old FFW was applied, but waited until this year to apply a new FFW. Other changes such as <a href="https://www.smartkarma.com/entities/15915" target="_blank" data-smartkarma-citation="entities:15915:1">Asahi Intecc (7747 JP)</a>, <a href="https://www.smartkarma.com/entities/623" target="_blank" data-smartkarma-citation="entities:623:1">Ntt (Nippon Telegraph &amp; Telephone) (9432 JP)</a>, <a href="https://www.smartkarma.com/entities/7463" target="_blank" data-smartkarma-citation="entities:7463:1">Marubeni Corp (8002 JP)</a>, and <a href="https://www.smartkarma.com/entities/17153" target="_blank" data-smartkarma-citation="entities:17153:1">Yakult Honsha (2267 JP)</a> round out the top five and were all well-signalled. 
The largest DECREASE in dollar terms is <a href="https://www.smartkarma.com/entities/73" target="_blank" data-smartkarma-citation="entities:73:1">Toyota Motor (7203 JP)</a>, which sees its FFW coefficient drop from 0.60 to 0.55. This means that the number of shares included in the TOPIX-calculated free float weight will be 163.15mm shares fewer. Based on the estimates in <a href="https://www.smartkarma.com/insights/japan-passive-who-owns-what" target="_blank" data-smartkarma-citation="insights:22315">JAPAN PASSIVE:  Who Owns What?</a>, that means a sell of approximately ¥170bn.
The top 20 sells in dollar terms are all a one-notch drop in FFW coefficient. That means that some of them may be a surprise. 
The largest three impacts in day count (based on 3mo average volume) in terms of buying are <a href="https://www.smartkarma.com/entities/8174" target="_blank" data-smartkarma-citation="entities:8174:1">Nagawa Co Ltd (9663 JP)</a>, <a href="https://www.smartkarma.com/entities/16395" target="_blank" data-smartkarma-citation="entities:16395:1">Advan Co Ltd (7463 JP)</a>, and <a href="https://www.smartkarma.com/entities/2119" target="_blank" data-smartkarma-citation="entities:2119:1">Tosho Printing (7913 JP)</a> but the amounts are small. The largest sells in terms of ADV are <a href="https://www.smartkarma.com/entities/9104" target="_blank" data-smartkarma-citation="entities:9104:1">Nissan Shatai (7222 JP)</a>, <a href="https://www.smartkarma.com/entities/12698" target="_blank" data-smartkarma-citation="entities:12698:1">Toc Co Ltd (8841 JP)</a>, and <a href="https://www.smartkarma.com/entities/16825" target="_blank" data-smartkarma-citation="entities:16825:1">Asunaro Aoki Construction (1865 JP)</a>.  In general, the top 30-50 names in terms of impact are all small dollar amounts. 
All told, the trade, combined with a couple of inclusions, looks to be something like ¥1.1trln a side, with a reverse-funding trade of ¥300bn or so.
And in any list of 700 changes, there will be some interesting situations to take advantage of, for everyone. Contact in PMs for a full spreadsheet.

Friday night after the close, the TSE announced the changes to the revisions to the constituents of the TOPIX New Index Series (i.e. the sub-series of TOPIX (Core 30, Large 70, TOPIX 100, Mid 400, etc). The TSE also released FFWs for companies which have their fiscal year-ends in the first calendar quarter of the year, as described in the TOPIX Free Float Weight Calculation Methodology file, which is an appendix to the TOPIX Index Guidebook (most recent version 23 July 2018 at time of writing). 
The five biggest changes on the buy side are not a surprise. The largest INCREASE in dollar value of index weight will be Japan Post Holdings (6178 JP). This was discussed in the aftermath of the offering last September (in the discussion section after followups with the TSE, and their own changes to treatment). See Japan Post: Offer Details, Surprises, and Fun And/-Ding Games. In that situation, the TSE increased the number of shares to which the old FFW was applied, but waited until this year to apply a new FFW. Other changes such as Asahi Intecc (7747 JP), Ntt (Nippon Telegraph &amp; Telephone) (9432 JP), Marubeni Corp (8002 JP), and Yakult Honsha (2267 JP) round out the top five and were all well-signalled. 
The largest DECREASE in dollar terms is Toyota Motor (7203 JP), which sees its FFW coefficient drop from 0.60 to 0.55. This means that the number of shares included in the TOPIX-calculated free float weight will be 163.15mm shares fewer. Based on the estimates in JAPAN PASSIVE:  Who Owns What?, that means a sell of approximately ¥170bn.
The top 20 sells in dollar terms are all a one-notch drop in FFW coefficient. That means that some of them may be a surprise. 
The largest three impacts in day count (based on 3mo average volume) in terms of buying are Nagawa Co Ltd (9663 JP), Advan Co Ltd (7463 JP), and Tosho Printing (7913 JP) but the amounts are small. The largest sells in terms of ADV are Nissan Shatai (7222 JP), Toc Co Ltd (8841 JP), and Asunaro Aoki Construction (1865 JP).  In general, the top 30-50 names in terms of impact are all small dollar amounts. 
All told, the trade, combined with a couple of inclusions, looks to be something like ¥1.1trln a side, with a reverse-funding trade of ¥300bn or so.
And in any list of 700 changes, there will be some interesting situations to take advantage of, for everyone. Contact in PMs for a full spreadsheet.

Japan

GOLDWIN INC. manufactures and markets sportswear for skiing, snowboarding, soccer, tennis, swimming, and other outdoor activities.

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

Goldwin Inc (8111 JP)

TOPIX FFW Changes for October 2018

Friday night after the close, the TSE announced the changes to the revisions to the constituents of the TOPIX New Index Series (i.e. the sub-series...

Travis Lundy

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)