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>An interview with Deepak Parekh set a bunch of stocks on fire. Then came the <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> exchange announcement that said the dates were still tentative.</li>
<li>Indications are that the merger could be effective 1 July and <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a>'s last trading day would be 13 July.</li>
<li>The merger will have an impact on both HDFC stocks and on other stocks that could be added to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NIFTYJR INDEX</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX Index</a>.</li>
</ul>


An interview with Deepak Parekh set a bunch of stocks on fire. Then came the HDFC Bank (HDFCB IN) exchange announcement that said the dates were still tentative.
Indications are that the merger could be effective 1 July and HDFC Limited (HDFC IN)'s last trading day would be 13 July.
The merger will have an impact on both HDFC stocks and on other stocks that could be added to the NIFTY Index, NIFTYJR INDEX and SENSEX Index.


HDFC/​​​​​​HDFC Bank Mega Merger: Are We There Yet?

<ul>
<li>Media reports indicate that the <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> merger with <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> is expected to complete in 4-5 weeks.</li>
<li>There will be inclusions to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index </a>and capping changes to the <a href="https://www.smartkarma.com/entities/nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank Index</a> apart from changes to global indices.</li>
<li>While the impact on the merging entities is not big, there will be fairly large flows on some stocks that are index inclusions or affected by capping changes.</li>
</ul>


Media reports indicate that the HDFC Bank (HDFCB IN) merger with HDFC Limited (HDFC IN) is expected to complete in 4-5 weeks.
There will be inclusions to the NIFTY Index, Nifty Next 50 Index and S&amp;P BSE SENSEX Index and capping changes to the Nifty Bank Index apart from changes to global indices.
While the impact on the merging entities is not big, there will be fairly large flows on some stocks that are index inclusions or affected by capping changes.


HDFC/​​​​​HDFC Bank Mega Merger Expected to Complete in a Few Weeks: Index Implications

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50 and NIFTY 100 indices in the September 2023 rebalance.</li>
<li>A couple of these names could become intra-review additions if the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> - <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> Merger closes prior to the September 2023 Rebalance.</li>
<li>Apart from that, there could be five ADDs/DELs for the NIFTY 100 index which by definition will also be added/deleted from the NIFTY Next 50 index.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50 and NIFTY 100 indices in the September 2023 rebalance.
A couple of these names could become intra-review additions if the HDFC Limited (HDFC IN) - HDFC Bank (HDFCB IN) Merger closes prior to the September 2023 Rebalance.
Apart from that, there could be five ADDs/DELs for the NIFTY 100 index which by definition will also be added/deleted from the NIFTY Next 50 index.


Quiddity Leaderboard NIFTY Sep 23: LTIMINDTREE Could Be an Intra-Review NIFTY 50 ADD

<ul>
<li>With only 5 trading days to go in the review period, we see no constituent changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> at the March rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/pidilite-industries-ltd" target="_blank" data-smartkarma-citation="entities:20573:1" rel="noopener">Pidilite Industries (PIDI IN)</a> is the highest ranked non-index constituent, but its free float market cap does not exceed 1.5x the free-float market cap of <a href="https://www.smartkarma.com/entities/bharat-petroleum-corp-ltd" target="_blank" data-smartkarma-citation="entities:10222:1" rel="noopener">Bharat Petroleum Corp (BPCL IN)</a>. </li>
<li>We do not expect LTIMindtree (LTIM IN) to be added to the index in March post the merger between <a href="https://www.smartkarma.com/entities/larsen-toubro-ltd" target="_blank" data-smartkarma-citation="entities:2499:1" rel="noopener">Larsen &amp; Toubro (LT IN)</a> and <a href="https://www.smartkarma.com/entities/mindtree-ltd" target="_blank" data-smartkarma-citation="entities:7297:1" rel="noopener">Mindtree Ltd (MTCL IN)</a>. </li>
</ul>


With only 5 trading days to go in the review period, we see no constituent changes to the NIFTY Index (NIFTY INDEX) at the March rebalance.

Pidilite Industries (PIDI IN) is the highest ranked non-index constituent, but its free float market cap does not exceed 1.5x the free-float market cap of Bharat Petroleum Corp (BPCL IN). 
We do not expect LTIMindtree (LTIM IN) to be added to the index in March post the merger between Larsen &amp; Toubro (LT IN) and Mindtree Ltd (MTCL IN). 


NIFTY50 Index Rebalance Preview: No Changes Likely in March

<ul>
<li>There was a lot of confusion around how NSE Indices would handle the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> / <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> merger in its indices.</li>
<li>The market consultation seeks to change the index methodology to bring it in line with other index providers. That will result in much lower turnover than the existing index methodology.</li>
<li>
<a href="https://www.smartkarma.com/entities/pidilite-industries-ltd" target="_blank" data-smartkarma-citation="entities:20573:1" rel="noopener">Pidilite Industries (PIDI IN)</a> is a high probability add to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> possibly in the first quarter of 2023. There will also be changes to <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index</a>.</li>
</ul>


There was a lot of confusion around how NSE Indices would handle the HDFC Limited (HDFC IN) / HDFC Bank (HDFCB IN) merger in its indices.
The market consultation seeks to change the index methodology to bring it in line with other index providers. That will result in much lower turnover than the existing index methodology.

Pidilite Industries (PIDI IN) is a high probability add to the NIFTY Index possibly in the first quarter of 2023. There will also be changes to Nifty Next 50 Index.


NIFTY Indices: HDFC/HDFCB Merger Driven Market Consultation

India

LTIMindtree Limited provides information technology services and solutions. The Company offers analytics and information management, enterprise integration, applications management, cloud computing, testing, and consulting services, as well as geographical information and manufacturing execution systems. LTIMindtree serves customers worldwide.

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LTIMindtree (LTIM IN)

HDFC/HDFC Bank Mega Merger: Are We There Yet?

The HDFC/HDFCB merger could complete in 2-3 weeks. This will set off changes to a bunch of indices and impact a bunch of stocks. We look at the...

Brian Freitas

HDFC/HDFC Bank Mega Merger Expected to Complete in a Few Weeks: Index Implications

Media reports indicate that the HDFC Bank merger with HDFC Ltd is expected to complete in 4-5 weeks. There will be ad hoc inclusions to the...

Brian Freitas

Quiddity Leaderboard NIFTY Sep 23: LTIMINDTREE Could Be an Intra-Review NIFTY 50 ADD

LTIMindtree is currently the highest-ranked NIFTY 50 Potential ADD and is likely to be the favourite to replace HDFC in the NIFTY 50 index if the...

Janaghan Jeyakumar, CFA

NIFTY50 Index Rebalance Preview: No Changes Likely in March

We do not expect any changes in March since Pidilite's average FFMC does not exceed 1.5x the FFMC for BPCL. There will be an adhoc change prior to...

Brian Freitas

NIFTY Indices: HDFC/HDFCB Merger Driven Market Consultation

NSE Indices' market consultation on merger/demerger treatment will significantly reduce index turnover. We expect the HDFC/HDFCB merger to complete...

Brian Freitas

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HDFC/​​​​​​HDFC Bank Mega Merger: Are We There Yet?

The HDFC/HDFCB merger could complete in 2-3 weeks. This will set off changes to a bunch of indices and impact a bunch of stocks. We look at the...

Brian Freitas

HDFC/​​​​​HDFC Bank Mega Merger Expected to Complete in a Few Weeks: Index Implications

Media reports indicate that the HDFC Bank merger with HDFC Ltd is expected to complete in 4-5 weeks. There will be ad hoc inclusions to the...

Brian Freitas

Quiddity Leaderboard NIFTY Sep 23: LTIMINDTREE Could Be an Intra-Review NIFTY 50 ADD

LTIMindtree is currently the highest-ranked NIFTY 50 Potential ADD and is likely to be the favourite to replace HDFC in the NIFTY 50 index if the...

Janaghan Jeyakumar, CFA

NIFTY50 Index Rebalance Preview: No Changes Likely in March

We do not expect any changes in March since Pidilite's average FFMC does not exceed 1.5x the FFMC for BPCL. There will be an adhoc change prior to...

Brian Freitas

NIFTY Indices: HDFC/HDFCB Merger Driven Market Consultation

NSE Indices' market consultation on merger/demerger treatment will significantly reduce index turnover. We expect the HDFC/HDFCB merger to complete...

Brian Freitas

HDFC/HDFC Bank Mega Merger: Are We There Yet?

HDFC/HDFC Bank Mega Merger Expected to Complete in a Few Weeks: Index Implications