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 third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.</li>
<li>There should be a couple of index changes prior to the June review due to the merger of <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group</a>, <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities</a> and <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine Insurance</a>.</li>
<li>Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.</li>
</ul>


A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire &amp; Marine Insurance.
Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.


KOSPI200 Index Rebalance Preview (June): Changes from Now to June

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year. </li>
<li>Based on the new dividend payments, the dividend yields are as follows: (Celltrion Inc - 4.2%, Celltrion Healthcare - 4.2%, and Celltrion Pharm - 5%). </li>
<li>Merger of three companies is likely to have long-term positive impact on the their share prices. Although exact timing is uncertain, 2023 could be the year of this merger. </li>
</ul>


Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year. 
Based on the new dividend payments, the dividend yields are as follows: (Celltrion Inc - 4.2%, Celltrion Healthcare - 4.2%, and Celltrion Pharm - 5%). 
Merger of three companies is likely to have long-term positive impact on the their share prices. Although exact timing is uncertain, 2023 could be the year of this merger. 


Celltrion Group Companies - Sharp Increase in Dividends

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.</li>
<li>Meritz Financial's buyback seems to be making it difficult to build positions on expectations that the price gap relative to Fire and Securities will converge quickly with the swap ratio.</li>
<li>As the actual risk of repaying financial borrows is small, we should start building up positions two weeks before the end of January, aiming to exit in early or mid-February.</li>
</ul>


The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.
Meritz Financial's buyback seems to be making it difficult to build positions on expectations that the price gap relative to Fire and Securities will converge quickly with the swap ratio.
As the actual risk of repaying financial borrows is small, we should start building up positions two weeks before the end of January, aiming to exit in early or mid-February.


Discussing Why Meritz Swap Spread Not Being Narrowed & When to Enter

<ul>
<li>Meritz Financial Group's decision to delist Meritz Fire &amp; Marine Insurance and Meritz Securities in 1H 2023 will result in at least two new additions to KOSPI 200.</li>
<li>We highlight five companies which could be potential additions to KOSPI 200 in 1H 2023.</li>
<li>Five potential additions to KOSPI 200 in 1H 2023 include Jb Financial Group, Hyundai Construction Equipment, Dentium, Samyang Foods, and Lotte Rental. </li>
</ul>


Meritz Financial Group's decision to delist Meritz Fire &amp; Marine Insurance and Meritz Securities in 1H 2023 will result in at least two new additions to KOSPI 200.
We highlight five companies which could be potential additions to KOSPI 200 in 1H 2023.
Five potential additions to KOSPI 200 in 1H 2023 include Jb Financial Group, Hyundai Construction Equipment, Dentium, Samyang Foods, and Lotte Rental. 


KOSPI 200 Rebalance in 1H 2023 - Five Potential Additions Post Deletions of Meritz Affiliates

<ul>
<li>The last trading day to secure appraisal rights is today (the 22nd). You must buy stocks by today to make arb trade possible using appraisal rights.</li>
<li>We should consider LONG FINANCIAL SHORT FIRE/SECURITIES. KSD allows us to maintain borrowed stocks of the target company without redemption procedures if new stocks are listed after the merger.</li>
<li>K200 trackers will have to buy in for FIRE at the close on January 27, whereas SECURITIES will be on March 31. We should design a setup targeting this preemptively.</li>
</ul>


The last trading day to secure appraisal rights is today (the 22nd). You must buy stocks by today to make arb trade possible using appraisal rights.
We should consider LONG FINANCIAL SHORT FIRE/SECURITIES. KSD allows us to maintain borrowed stocks of the target company without redemption procedures if new stocks are listed after the merger.
K200 trackers will have to buy in for FIRE at the close on January 27, whereas SECURITIES will be on March 31. We should design a setup targeting this preemptively.


Meritz Merger Event: Swap Conditions, Spread Arb Trade, & K200 Flow Implementation

South Korea

Meritz Financial Group Inc is a holding company of Meritz Securities, Meritz Asset Management, Meritz Financial Information Service and et cetera. The Company manages and controls its financial subsidiaries.

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Meritz Financial Group (138040 KS)

KOSPI200 Index Rebalance Preview (June): Changes from Now to June

There could be two changes in Jan & April and then another 3 changes in June. Impact on the stocks is not excessive and short interest is minimal....

Brian Freitas

Celltrion Group Companies - Sharp Increase in Dividends

Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year.

Douglas Kim

Discussing Why Meritz Swap Spread Not Being Narrowed & When to Enter

This post discusses why the Meritz swap arb yield is not being narrowed and when would be the ideal entry point to build up our positions.

Sanghyun Park

KOSPI 200 Rebalance in 1H 2023 - Five Potential Additions Post Deletions of Meritz Affiliates

In this insight, we discuss potential additions to KOSPI 200 post likely deletions of Meritz F&M Insurance and Meritz Securities from KOSPI 200 in...

Douglas Kim

Meritz Merger Event: Swap Conditions, Spread Arb Trade, & K200 Flow Implementation

This post details the three-way swap merger event of Meritz Financial Group and examines the spread arbitrage trade along with the KOSPI 200...

Sanghyun Park

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