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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a>, <a href="https://www.smartkarma.com/entities/jabil-circuit-inc" target="_blank" data-smartkarma-citation="entities:16674:1" rel="noopener">Jabil Circuit (JBL US)</a> and <a href="https://www.smartkarma.com/entities/builders-firstsource-inc" target="_blank" data-smartkarma-citation="entities:4720:1" rel="noopener">Builders Firstsource (BLDR US)</a> will be added to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> at the close on 15 December.</li>
<li>There are a bunch of inclusions. deletions and migrations across the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a>, the S&amp;P Midcap 400 Index, and the S&amp;P SmallCap 600 Index.</li>
<li>We estimate passive trackers will need to buy around US$18bn of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a>. There has been positioning in the stock for just over a month now. </li>
</ul>



Uber Technologies (UBER US), Jabil Circuit (JBL US) and Builders Firstsource (BLDR US) will be added to the S&amp;P 500 INDEX (SPX INDEX) at the close on 15 December.
There are a bunch of inclusions. deletions and migrations across the S&amp;P 500 INDEX (SPX INDEX), the S&amp;P Midcap 400 Index, and the S&amp;P SmallCap 600 Index.
We estimate passive trackers will need to buy around US$18bn of Uber Technologies (UBER US). There has been positioning in the stock for just over a month now. 


<ul>
<li>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

Silver Point

Thomas J. Monaco

Independent Insight Provider

Silver Point is a boutique research firm that focuses on the broader financial services sector, with a particular focus on troubled institutions globally. 

Asia Ex Japan

Thematic (Sector/Industry)

* Mortgage Servicers:The mortgage servicer of a scheduled remittance must remit funds to the Government Sponsored Entity (GSE) when they are scheduled to be paid rather than when actually collected. In the case where there is a payment shortfall, the mortgage servicer must advance its own funds to cover the delinquent mortgage even if the funds are collected.  * Mortgage Insurers:Insurance is only partly overs the default after the loan becomes delinquent for 90 days. In other words, the mortgage servicer would still need to front the cash shortfall of each mortgage within the Fannie Mae and Freddie Mac pool. Another factor to consider is this thin capitalization of the mortgage insurers where their credit guarantee may not be worth the paper that its written on.

* Mortgage Servicers:The mortgage servicer of a scheduled remittance must remit funds to the Government Sponsored Entity (GSE) when they are scheduled to be paid rather than when actually collected. In the case where there is a payment shortfall, the mortgage servicer must advance its own funds to cover the delinquent mortgage even if the funds are collected.  * Mortgage Insurers:Insurance is only partly overs the default after the loan becomes delinquent for 90 days. In other words, the mortgage servicer would still need to front the cash shortfall of each mortgage within the Fannie Mae and Freddie Mac pool. Another factor to consider is this thin capitalization of the mortgage insurers where their credit guarantee may not be worth the paper that its written on.

United States

Invesco Mortgage Capital Inc. operates as a real estate investment trust. The Trust acquires, finances, and manages residential and commercial mortgage-backed securities and mortgage loans.

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Invesco Mortgage Capital (IVR US)

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