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>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> / <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> merger will result in capping and funding changes on the <a href="https://www.smartkarma.com/entities/nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank Index (NSEBANK INDEX)</a> constituents.</li>
<li>We estimate one-way turnover of around 8.4% resulting in a one-way trade of INR 21,865m (US$266m) at the time of merger implementation.</li>
<li>The impact in terms of ADV is less than 1x on all stocks, but the impact in terms of delivery volume is higher than 1x on a few stocks.</li>
</ul>


The HDFC Bank (HDFCB IN) / HDFC Limited (HDFC IN) merger will result in capping and funding changes on the Nifty Bank Index (NSEBANK INDEX) constituents.
We estimate one-way turnover of around 8.4% resulting in a one-way trade of INR 21,865m (US$266m) at the time of merger implementation.
The impact in terms of ADV is less than 1x on all stocks, but the impact in terms of delivery volume is higher than 1x on a few stocks.


<ul>
<li>The lock-up on nearly 9.4bn shares of <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> expires on 13 March. Most of that is from the banks that helped in the recapitalisation in March 2020.</li>
<li>There will be forced sellers as soon as the lock-up ends, and there will be other sellers that will want to sell.</li>
<li>The forced and discretionary selling will be offset to a very small extent by inflows from passive trackers in May/June as the free float for the stock increases.</li>
</ul>


The lock-up on nearly 9.4bn shares of Yes Bank (YES IN) expires on 13 March. Most of that is from the banks that helped in the recapitalisation in March 2020.
There will be forced sellers as soon as the lock-up ends, and there will be other sellers that will want to sell.
The forced and discretionary selling will be offset to a very small extent by inflows from passive trackers in May/June as the free float for the stock increases.


YES Bank Lock-Up Expiry: Forced Sellers, Overhang & Index Implications

<ul>
<li>The <a href="https://www.smartkarma.com/entities/bharat-22-etf" target="_blank" data-smartkarma-citation="entities:28307:1" rel="noopener">BHARAT 22 ETF (ICICIB22 IN)</a> will rebalance on 17 March while the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and <a href="https://www.smartkarma.com/entities/nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank Index (NSEBANK INDEX)</a> will rebalance on 29 March.</li>
<li>There are no constituent changes for the indices in March but there will be capping changes for the stocks and there is a reasonable impact on some stocks.</li>
<li>There are stocks that will have opposing flows on the two days, while there are some stocks that will have same way flows from passive trackers.</li>
</ul>


The BHARAT 22 ETF (ICICIB22 IN) will rebalance on 17 March while the CPSE ETF (CPSEBE IN) and Nifty Bank Index (NSEBANK INDEX) will rebalance on 29 March.
There are no constituent changes for the indices in March but there will be capping changes for the stocks and there is a reasonable impact on some stocks.
There are stocks that will have opposing flows on the two days, while there are some stocks that will have same way flows from passive trackers.


CPSE / BHARAT22 / CNXBANK Index Rebalance Preview: Capping Changes in March

<ul>
<li>The Administrator of the Specified Undertaking of the Unit Trust of India (SUUTI) is offering 46.53m shares of <a href="https://www.smartkarma.com/entities/axis-bank-ltd" target="_blank" data-smartkarma-citation="entities:768:1" rel="noopener">Axis Bank Ltd (AXSB IN)</a> at a floor price of INR 830.63/share.</li>
<li>This will take SUUTI's stake in <a href="https://www.smartkarma.com/entities/axis-bank-ltd" target="_blank" data-smartkarma-citation="entities:768:1" rel="noopener">Axis Bank Ltd (AXSB IN)</a> to zero and remove an overhang on the stock.</li>
<li>Coming in close to Bain's partial stake sale last week, the stock could trade heavy. But <a href="https://www.smartkarma.com/entities/axis-bank-ltd" target="_blank" data-smartkarma-citation="entities:768:1" rel="noopener">Axis Bank Ltd (AXSB IN)</a> still trades cheaper than peers.</li>
</ul>


The Administrator of the Specified Undertaking of the Unit Trust of India (SUUTI) is offering 46.53m shares of Axis Bank Ltd (AXSB IN) at a floor price of INR 830.63/share.
This will take SUUTI's stake in Axis Bank Ltd (AXSB IN) to zero and remove an overhang on the stock.
Coming in close to Bain's partial stake sale last week, the stock could trade heavy. But Axis Bank Ltd (AXSB IN) still trades cheaper than peers.


Axis Bank (AXSB IN): Last of the SUUTI Selldown Removes Overhang

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Technical Analysis

<ul>
<li>Nifty RSI and price breakout sets the tone for a test on the 18,500 high zone with dip support at 17,700/500. RSI was the early rally signal.</li>
<li>The early bull trigger came when the Nifty bank index crossed 36,900/37k pivot resistance signal a fresh long entry for the banks and the Nifty.</li>
<li>Previous highs are the hurdles to challenge and clear for bull traction. India long can be paired with weaker market (Korea and Taiwan).</li>
</ul>


Nifty RSI and price breakout sets the tone for a test on the 18,500 high zone with dip support at 17,700/500. RSI was the early rally signal.
The early bull trigger came when the Nifty bank index crossed 36,900/37k pivot resistance signal a fresh long entry for the banks and the Nifty.
Previous highs are the hurdles to challenge and clear for bull traction. India long can be paired with weaker market (Korea and Taiwan).


India Breakout Perform to Test Pivot Highs

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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The HDFC/HDFCB merger will result in a one-way turnover of around 8.4% for the Nifty Bank Index resulting in a one-way trade of INR 21,865m...

Brian Freitas

YES Bank Lock-Up Expiry: Forced Sellers, Overhang & Index Implications

Over 9bn shares of YES Bank unlock next week. There will be forced selling from local passive trackers, overhang from the banks that helped recap...

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CPSE / BHARAT22 / CNXBANK Index Rebalance Preview: Capping Changes in March

There will be capping changes on the Bharat22, CPSE and NIFTYBANK indices in March. There are stocks that have opposite flows while some have same...

Brian Freitas

Axis Bank (AXSB IN): Last of the SUUTI Selldown Removes Overhang

SUUTI's sale of 46.5m shares (1.55% of shares out) could lead to a short-term price drop but removes a longer-term overhang. Axis Bank trades...

Brian Freitas

India Breakout Perform to Test Pivot Highs

Nifty RSI and price breakout sets the tone for a test on the 18,500 high zone with dip support at 17,700/500. RSI was the early rally signal.

Thomas Schroeder

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)