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.

Event-Driven

<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

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>After the market close today, Meritz Financial Group (MFG) made one of the biggest announcements in the history of the group.</li>
<li>It announced that Meritz Fire &amp; Marine Insurance and Meritz Securities will become fully owned subsidiaries of Meritz Financial Group. Meritz F&amp;M Insurance and Meritz Securities will also be delisted.</li>
<li>MFG is making a real positive change through the share swaps among the three companies. This will likely have the biggest positive impact will be on MFG. </li>
</ul>


After the market close today, Meritz Financial Group (MFG) made one of the biggest announcements in the history of the group.
It announced that Meritz Fire &amp; Marine Insurance and Meritz Securities will become fully owned subsidiaries of Meritz Financial Group. Meritz F&amp;M Insurance and Meritz Securities will also be delisted.
MFG is making a real positive change through the share swaps among the three companies. This will likely have the biggest positive impact will be on MFG. 


Meritz Financial Group: Comprehensive Stock Swap + Delisting of Meritz Sec. And Meritz F&M Insurance

<ul>
<li>In this insight, we discuss another 100 billion won worth of treasury shares cancellation just announced by Meritz Securities (008560 KS). </li>
<li>This share cancellation could potentially offset the recent controversies surrounding the FSS investigating the Meritz Asset Management CEO John Lee.</li>
<li>After the market close today, Meritz Securities announced that it plans to cancel 20.08 million treasury shares worth 100 billion won, representing 3% of outstanding shares. </li>
</ul>


In this insight, we discuss another 100 billion won worth of treasury shares cancellation just announced by Meritz Securities (008560 KS). 
This share cancellation could potentially offset the recent controversies surrounding the FSS investigating the Meritz Asset Management CEO John Lee.
After the market close today, Meritz Securities announced that it plans to cancel 20.08 million treasury shares worth 100 billion won, representing 3% of outstanding shares. 


Meritz Securities: Another Major Treasury Shares Cancellation

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>There are 7 adds and 7 deletes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> rebalance to be implemented at the close on 9 June.</li>
<li>There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.</li>
<li>The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.</li>
</ul>


There are 7 adds and 7 deletes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) rebalance to be implemented at the close on 9 June.
There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.
The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.


KOSPI200 Index Rebalance: Float Changes, Flows & Trades

<ul>
<li>
SD Biosensor leads the addition group with an estimated inflow of 4.59x ADTV. SK Discovery and Yungjin Pharmaceutical have the most substantial outflow at 7.23x and 6.07x ADTVs, respectively.</li>
<li>For short-covering, CJ CGV stands out the most at this point. Its short interest is 4.57% of SO, and the short interest has increased the most of late.</li>
<li>For short resumption, two names stand out: Meritz Fire and Hana Tour.</li>
</ul>



SD Biosensor leads the addition group with an estimated inflow of 4.59x ADTV. SK Discovery and Yungjin Pharmaceutical have the most substantial outflow at 7.23x and 6.07x ADTVs, respectively.
For short-covering, CJ CGV stands out the most at this point. Its short interest is 4.57% of SO, and the short interest has increased the most of late.
For short resumption, two names stand out: Meritz Fire and Hana Tour.


KOSPI 200 Rebalancing: Noteworthy Names for Passive, Shorting, & Short Covering Flows

South Korea

Meritz Fire & Marine Insurance Co., Ltd. provides a variety of non-life insurance services.  The Company's services include auto, fire, casualty, health, travel, leisure, retirement, and pension insurance.

Meritz Fire & Marine Insurance (000060 KS)

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Meritz Fire & Marine Insurance (000060 KS)

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

Meritz Financial Group: Comprehensive Stock Swap + Delisting of Meritz Sec. And Meritz F&M Insurance

Meritz Financial Group (MFG) is making a real positive change through the share swaps among the three Meritz companies. This will likely have the...

Douglas Kim

Meritz Securities: Another Major Treasury Shares Cancellation

We discuss another major treasury shares cancellation by Meritz Securities and how this could potentially offset the recent controversies of the...

Douglas Kim

KOSPI200 Index Rebalance: Float Changes, Flows & Trades

There are significant flows and impact on some stocks that have float changes at the upcoming KOSPI2 rebalance. With over 5 days ADV to buy,...

Brian Freitas

KOSPI 200 Rebalancing: Noteworthy Names for Passive, Shorting, & Short Covering Flows

This post supplies the estimated flow data of passive, shorting, and short-covering trades for the additions and deletions at June's upcoming KOSPI...

Sanghyun Park

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