Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th June 2024.</li>
<li>While the T50 and T100 index changes were perfectly in line with our expectations there were some surprises among the TDIV index changes.</li>
<li>In this insight, we take a look at Quiddity's final flow expectations for the June 2024 index rebal event and potential trade ideas based on the flow dynamics.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th June 2024.
While the T50 and T100 index changes were perfectly in line with our expectations there were some surprises among the TDIV index changes.
In this insight, we take a look at Quiddity's final flow expectations for the June 2024 index rebal event and potential trade ideas based on the flow dynamics.


Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

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>With the review period now complete, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>Price changes and changes to dividend estimates have led to names dropping off the list of potential adds and deletes over the last week.</li>
<li>Constituent changes, capping and funding flows will lead to a one-way turnover of 12.7% and a one-way trade of US$1.17bn. There are 12 stocks with over 4x ADV to trade.</li>
</ul>


With the review period now complete, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
Price changes and changes to dividend estimates have led to names dropping off the list of potential adds and deletes over the last week.
Constituent changes, capping and funding flows will lead to a one-way turnover of 12.7% and a one-way trade of US$1.17bn. There are 12 stocks with over 4x ADV to trade.


Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

<ul>
<li>In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the June 2024 index rebal event.</li>
<li>Today is the base date for the June 2024 index review. We expect five changes and some of these names are different from our previous set of expected ADDs/DELs.</li>
<li>We estimate one-way flow to be around US$1.3bn which translates to a turnover of around 20%.</li>
</ul>


In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the June 2024 index rebal event.
Today is the base date for the June 2024 index review. We expect five changes and some of these names are different from our previous set of expected ADDs/DELs.
We estimate one-way flow to be around US$1.3bn which translates to a turnover of around 20%.


Quiddity Leaderboard TDIV Jun 24: Five Changes Likely; US$1.3bn One-Way

<ul>
<li>Using data from the close on 17 May, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a one-way trade of US$1.13bn.</li>
<li>Shorts have increased on the potential adds and potential deletes and covering will lead to rally in some stocks while providing support in others at rebalance implementation.</li>
</ul>


Using data from the close on 17 May, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a one-way trade of US$1.13bn.
Shorts have increased on the potential adds and potential deletes and covering will lead to rally in some stocks while providing support in others at rebalance implementation.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Capital Markets

<ul>
<li>ICTK reported excellent book building results. ICTK's IPO price has been determined at 20,000 won, which is 25% higher than the high end of the IPO price range.</li>
<li>ICTK is a security company specializing in Internet of Things (IoT) based on physical copy prevention technology called PUF which is a cutting-edge technology during the chip manufacturing process.</li>
<li>Our base case valuation is implied market cap of 376.8 billion won or target price of 28,694 won, which is 43% higher than the IPO price (20,000 won).</li>
</ul>


ICTK reported excellent book building results. ICTK's IPO price has been determined at 20,000 won, which is 25% higher than the high end of the IPO price range.
ICTK is a security company specializing in Internet of Things (IoT) based on physical copy prevention technology called PUF which is a cutting-edge technology during the chip manufacturing process.
Our base case valuation is implied market cap of 376.8 billion won or target price of 28,694 won, which is 43% higher than the IPO price (20,000 won).


Taiwan

Taiwan Surface Mounting Technology Corp assembles printed circuit boards (PCBs).

Taiwan Surface Mounting Tech Corp. (6278 TT)

Himax Technologies, Inc. designs and manufactures integrated circuits.  The Company produces liquid crystal displays (LCD).

Kinsus Interconnect Technology Corp. manufactures BGA (Ball Grid Array) boards. The Company's products include PBGA (Plastic BGA), MCM (Multi Chip Module) BGA, Mini BGA, TEBGA (Thermal Enhanced BGA), and flip chip substrate boards.

Macronix International Co., Ltd. designs, manufactures, and markets integrated circuits (ICs) as well as memory products.  The Company's products include nonvolatile memory integrated circuits, mask ROM (Read Only Memory), EPROM (Erasable Programmable ROM), and flash memory products.  Macronix also produces logic ICs for audio, clock generators, and graphic application devices.

CHIPBOND Technology Corporation provides chip packaging service for the IC (Integrated Circuit) industry.  The Company manufactures Gold Bump, TCP (Tape Carrier Packaging), Solder Bump, and COG (Chip on Glass), which are applied to the process of packaging.

Silicon Integrated Systems Corp. manufactures and markets chipsets for computers and multimedia products.

Grand Plastic Technology Corp.  specializes in equipment for back end semiconductor manufacturing.  The Company's equipment is used for bumping in the semiconductor packaging and assembly step.

Topco Scientific Co., Ltd. distributes semiconductor and optoelectronic components and equipment. The Company also designs and contracts water-purifying and treatment systems for hi-tech wastes.

MPI Corporation designs, manufactures, and markets probe cards and probe stations for wafer testing.

Gudeng Precision Industrial Co., Ltd. provides integrated solutions for material handling, transfer and storage. The Company's produces mask case and wafer solution products. Gudeng Precision also offers cleaning and repair services.

MICRONICS JAPAN CO., LTD. designs, manufactures, and markets probe cards, which are used to inspect semiconductors and integrated circuits (ICs).  The Company also makes wafer probers, probe card testers, IC handlers, and inspection devices used for liquid crystal display (LCD) manufacturing.

Shanghai Sinyang Semiconductor Materials Co. Ltd. develops, produces, and provides services for the electronic chemicals used in the semiconductor industry. The company also provides electronic cleaning and electronic plating core technologies. They develops specialized equipment, such as: chemical materials, equipment, and application process etc.

Shanghai Sinyang Smcndctr Mtls (300236 CH)

EO Technics Co., Ltd. is a laser-based equipment supplier. The Company develops laser technology and applications used for marking, drilling, trimming and cutting.

Techwing Inc., manufactures parts for semiconductor testing equipment. The Company's product includes test handlers, Change of Kit (C.O.K) and test interface boards.  The company's main product, test handlers, is core  semiconductor testing equipment.

Sanken Electric Co., Ltd. manufactures and sells discrete semiconductors such as diodes and transistors, and analog integrated circuits.  The Company also manufactures various kinds of adapters and surge/transient protectors.

Photronics, Inc. manufactures photomasks, which are high precision quartz plates that contain microscopic images of electronic circuits.  The Company's products are used to transfer circuit patterns onto semiconductor wafers during the fabrication of integrated circuits.  Photronics operates manufacturing facilities in Asia, Europe, and North America.

Unisem (M) Berhad manufactures semiconductor devices.  The Company provides turnkey solutions to its customers in wafer grinding, packaging and testing of integrated circuits, tape and reel, and dropship services. Unisem also provides packaging and testing wide range of leadframe packages.

Cohu, Inc. designs, manufactures, and sells semiconductor test handling equipment to semiconductor manufacturers throughout the world.  The Company also manufactures closed circuit television, metal detection, and microwave equipment.

PDF Solutions, Inc. provides infrastructure technologies and services to optimize performance and improve yield of manufactured integrated circuits.  The Company provides its services and technologies to integrated device manufacturers such as Toshiba Corporation and Texas Instruments Incorporated.

Mitsui High-tec, Inc. produces integrated circuit leadframes, assembly parts, and related equipment.  The Company also manufactures and sells precision machine tools, such as metal molds for presses and machine tools. Mitsui High-tec also operates a real estate business.

Nuvoton Technology Corp. manudfactures a wide range of semiconductor products. The Company's products lines are Consumer Electronics integrated Circuits (IC) and Computer IC.

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Nuvoton Technology (4919 TT)

Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

We estimate one-way flow for the TDIV June 2024 rebal to be around US$1.08bn which translates to a turnover of 17%. We expect the top outflow names...

Janaghan Jeyakumar, CFA

Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

There should be 5 changes in June. Constituent changes, capping and funding flows will lead to a 1-way turnover of 12.7% and a 1-way trade of...

Brian Freitas

Quiddity Leaderboard TDIV Jun 24: Five Changes Likely; US$1.3bn One-Way

Based on current estimates, there could be five inflow names and six outflow names with more than five days of volume to trade during the June 2024...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

The ETF could have 5 constituent changes in June. There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a...

Brian Freitas

ICTK IPO Book Building Results Analysis

ICTK reported excellent book building results. ICTK's IPO price has been determined at 20,000 won, which is 25% higher than the high end of the IPO...

Douglas Kim

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Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

We estimate one-way flow for the TDIV June 2024 rebal to be around US$1.08bn which translates to a turnover of 17%. We expect the top outflow names...

Janaghan Jeyakumar, CFA

Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

There should be 5 changes in June. Constituent changes, capping and funding flows will lead to a 1-way turnover of 12.7% and a 1-way trade of...

Brian Freitas

Quiddity Leaderboard TDIV Jun 24: Five Changes Likely; US$1.3bn One-Way

Based on current estimates, there could be five inflow names and six outflow names with more than five days of volume to trade during the June 2024...

Janaghan Jeyakumar, CFA

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

The ETF could have 5 constituent changes in June. There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a...

Brian Freitas

ICTK IPO Book Building Results Analysis

ICTK reported excellent book building results. ICTK's IPO price has been determined at 20,000 won, which is 25% higher than the high end of the IPO...

Douglas Kim

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade