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>Juice for cash &amp; carry arbitrage doesn't seem like much. Several names in contango, but the basis widening isn't at a sufficiently arb-tradable level.</li>
<li>Reverse cash &amp; carry isn't all that attractive either, but it certainly does offer more juice, even with borrow fees. Ssangyong C&amp;E, SKT, Shinhan, and KB deserve our attention.</li>
<li>A bit uncertain is whether the pattern of "LONG Spot until ex-dividend and Conversion to Short" through cash &amp; carry will repeat itself this time.</li>
</ul>


Juice for cash &amp; carry arbitrage doesn't seem like much. Several names in contango, but the basis widening isn't at a sufficiently arb-tradable level.
Reverse cash &amp; carry isn't all that attractive either, but it certainly does offer more juice, even with borrow fees. Ssangyong C&amp;E, SKT, Shinhan, and KB deserve our attention.
A bit uncertain is whether the pattern of "LONG Spot until ex-dividend and Conversion to Short" through cash &amp; carry will repeat itself this time.


3Q Dividend Estimates of Those with SSF for Cash & Carry Arb in Korea

ESG Intelligence RA, Who's Good

Yujin Oh

ESG Intelligence RA

ASIA’S FIRST AI-DRIVEN ESG INSIGHT PROVIDER

Who's Good

Using AI technologies and public data, Who’s Good provides objective and up-to-date corporate ESG insights on Asian companies.

WHY WHO'S GOOD

* Time-sensitive: Time is the essence in finance. Artificial Intelligence (AI) can process vast amount of information in a short span of time. Our powerful algorithm offers real-time in-depth corporate ESG analysis with out compromising its quality.
* Objective: We turned to public big data and news big data as source to base our analysis on and to preserve impartiality. We leverage 350 public big data sources and 93 news data sources in Korea to uncover insights.
* Insightful: Who’s Good ESG analysis coverage extends to all listed and non-listed companies in Korea. This allows us to provide a comprehensive insight into the Korean market.
* Global approach to ESG: Our ESG research framework is built on international standards and principles including UN Global Compact, ISO 26000, ICGN and CFA Guidelines on Corporate Governance to meet the global standards.

<ul>
<li>Recently, Shinhan and Woori Bank, biggest commercial banks in Korea, have gone under investigation for their abnormal foreign exchange transactions. </li>
<li>The incident was categorized as "Risk Oversight" of among 17 ESG issues as the banks are failing in internal control</li>
<li>There are various potential ESG risks lie with the transactions of cryptocurrency in corporates.</li>
</ul>


Recently, Shinhan and Woori Bank, biggest commercial banks in Korea, have gone under investigation for their abnormal foreign exchange transactions. 
The incident was categorized as "Risk Oversight" of among 17 ESG issues as the banks are failing in internal control
There are various potential ESG risks lie with the transactions of cryptocurrency in corporates.


ESG Risks of Cryptocurrency: Shinhan & Woori Bank Caught in Suspicious Foreign Exchange Transactions

<ul>
<li>POSCO Holdings announced it would cancel ₩567B worth of 2.6M treasury shares last Friday. It represents 3% of the shares outstanding, reducing the treasury shares from 13% to 10%.</li>
<li>With this cancellation, the float change reaches 5%p, triggering an adjustment from 68% to 73% in the upcoming cycle, just in time for the FnGuide Top 10's December rebalancing.</li>
<li>As a result, POSCO Holdings suddenly becomes a strong contender to beat KB Financial in the FnGuide Top 10 rebalancing as they will be in a very tight race.</li>
</ul>


POSCO Holdings announced it would cancel ₩567B worth of 2.6M treasury shares last Friday. It represents 3% of the shares outstanding, reducing the treasury shares from 13% to 10%.
With this cancellation, the float change reaches 5%p, triggering an adjustment from 68% to 73% in the upcoming cycle, just in time for the FnGuide Top 10's December rebalancing.
As a result, POSCO Holdings suddenly becomes a strong contender to beat KB Financial in the FnGuide Top 10 rebalancing as they will be in a very tight race.


POSCO Holdings Stock Cancellation: Tiggering a 5%p Float Change for FnGuide Top 10 ETF

<ul>
<li>The index targets the GICS Financials/Banks sector stocks: 12 stocks belong to this sector. Then nine of these are currently included in the KRX Banks.</li>
<li>Compared to the last rebalancing, where we had Kakao Bank's inclusion event, the impact size for the upcoming rebalancing will likely be significantly reduced.</li>
<li>The last rebalancing showed that the directional correlation between passive flow and price movement was high. So, we can still consider a Long/Short Day Trade even with this impact size.</li>
</ul>


The index targets the GICS Financials/Banks sector stocks: 12 stocks belong to this sector. Then nine of these are currently included in the KRX Banks.
Compared to the last rebalancing, where we had Kakao Bank's inclusion event, the impact size for the upcoming rebalancing will likely be significantly reduced.
The last rebalancing showed that the directional correlation between passive flow and price movement was high. So, we can still consider a Long/Short Day Trade even with this impact size.


KRX Banks Index (KODEX ETF): September Rebalancing Preview

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>On 20 May, we recommended selling <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670 KS)</a> and buying <a href="https://www.smartkarma.com/entities/kt-corp" target="_blank" data-smartkarma-citation="entities:1112:1" rel="noopener">KT Corp (030200 KS)</a>. That trade is up 12% over the last month.</li>
<li>Foreign investors have sold 2.5m shares of <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670 KS)</a> in the last month while buying 2.8m shares of <a href="https://www.smartkarma.com/entities/kt-corp" target="_blank" data-smartkarma-citation="entities:1112:1" rel="noopener">KT Corp (030200 KS)</a>. </li>
<li>With the price ratio trading at a 4 year low, we feel is is time to start unwinding the trade and waiting for a little bit before reversing it.</li>
</ul>


On 20 May, we recommended selling SK Telecom (017670 KS) and buying KT Corp (030200 KS). That trade is up 12% over the last month.
Foreign investors have sold 2.5m shares of SK Telecom (017670 KS) in the last month while buying 2.8m shares of KT Corp (030200 KS). 
With the price ratio trading at a 4 year low, we feel is is time to start unwinding the trade and waiting for a little bit before reversing it.


SK Telecom / KT Corp: Foreign Room, Passive Flow & Trade Update

South Korea

KB Financial Group Inc. (the "Company"), in accordance with Financial Holding Companies Act, was established on September 29, 2008, through stock transfer with the former shareholders of its subsidiaries including Kookmin Bank in order to provide management services and financing to associated companies. The headquarters are located at Seoul, Korea

Hana Financial Group Inc., in accordance with Financial Holding Companies Act, was established on December 1, 2005, through stock transfer with the former shareholders of its subsidiaries in order to provide management services and financing to associated companies.

Industrial Bank of Korea(IBK) is a policy bank providing development finance and related banking services to support small and medium-sized enterprises in Korea. The Bank provides loans, discount bills, trade finance, deposits, foreign exchange, and payment guarantees. The company also offers services such as credit cards, insurance and smart-phone banking.

Woori Financial Group Inc. provides commercial banking services. The Company offers deposit services, loan services, bill services, settlement services, credit card, international, online banking, and other related services. Woori Financial Group also operates banking and retail banking businesses.

BNK Financial Group Inc. a holding company, provides a full range of consumer and commercial banking-related financial services. The Company's main businesses include banking, trust banking, and assets management to individuals, businesses, and other financial institutions.

JB Financial Group Co. Ltd., a holding company, provides a full range of consumer and commercial banking-related financial services.

DGB Financial Group Inc., a financial holding company, provides a full range of consumer and commercial banking-related financial services.  The Company operates and controls its financial subsidiaries such as Daegu Bank, Daegu Credit Information, and DBG Capital.

Jeju Bank is a regional commercial bank that provides banking, foreign exchange, trust account, and other related retail banking services.

Pureun Mutual Savings Bank provides financial services, such as loans, deposits, savings accounts, bills discounts, installment accounts, and foreign exchange.

Hang Seng Bank Limited and its subsidiaries provide banking and related financial services.

CIMB Group Holdings Berhad provides commercial banking and related financial services. The Company and its subsidiaries, operate as a regional universal bank offering a full range of financial products and services, covering corporate and investment banking, consumer banking, treasury, insurance and asset management.

Standard Chartered PLC is an international banking group operating principally in Asia, Africa, and the Middle East. The Company offers its products and services in the personal, consumer, corporate, institutional and treasury areas.

CTBC Financial Holding Company Ltd. is a holding company.  Through its subsidiaries, the Company provides a variety of banking and financial services, including deposit, loan, guarantee, international banking, trust banking, credit card, investment banking, safety deposit box, and Internet banking services.

Punjab National Bank provides financial services such as corporate and personal banking, industrial finance, agricultural finance, financing of trade and international banking. The Company provides services to domestic conglomerates, medium and small industrial units, exporters, non-resident Indians and multinational companies.

Bank of Baroda owns and operates commercial banks in India.  The Group's banks provide the traditional forms of banking services, including CD's, Credit Card services and a variety of car loans, in addition to gold banking and a range of insurance services.  The Group also owns IBU International Finance Limited, an international banking company in Hong Kong.

Public Bank Berhad provides a range of banking and financial services which include leasing and factoring, stock and futures broking, financing for the purchase of licensed public vehicles, and other financial services. The Group's overseas operations include branches in Hong Kong, Sri Lanka, Laos, Cambodia, and Vietnam.

Malayan Banking Berhad operates as a bank. The Company provides financial services such as insurance, asset management, stock broking, nominee services, venture capital, leasing, and Internet banking. Malayan Banking Berhad serves customers in South East Asia.

Bank of Nanjing Co., Ltd. operates commercial banking businesses. The Company offers deposits, loans, settlement, discounting, financial bond issuance, government bond underwriting, bank guarantee, and other related financial services. Bank of Nanjing provides services for enterprises and individuals.

E.Sun Financial Holding Company Ltd. is a holding company.  Through its subsidiaries, the Company provides banking, brokerage and dealer services.

Shinhan Financial Group Co., Ltd., a holding company, provides a full range of consumer and commercial banking-related financial services.  The company's main businesses include banking, securities brokerage, trust banking, and assets management to individuals, businesses, and other financial institutions.

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

Shinhan Financial (055550 KS)

3Q Dividend Estimates of Those with SSF for Cash & Carry Arb in Korea

This post provides the market consensus estimates for the 3Q dividends of those with single-stock futures in Korea and looks into the cash-and...

Sanghyun Park

ESG Risks of Cryptocurrency: Shinhan & Woori Bank Caught in Suspicious Foreign Exchange Transactions

The insight explains ESG risks of cryptocurrencies and analysis on Shinhan and Woori Bank, in Korea that are under investigation on their...

Yujin Oh

POSCO Holdings Stock Cancellation: Tiggering a 5%p Float Change for FnGuide Top 10 ETF

This post investigates the passive impact of POSCO Holdings' stock cancellation on the FnGuide Top 10 rebalancing in December.

Sanghyun Park

KRX Banks Index (KODEX ETF): September Rebalancing Preview

This post previews the upcoming rebalancing of the KRX Banks Index, one of the KRX-owned thematic indexes with a meaningful AUM despite a small...

Sanghyun Park

SK Telecom / KT Corp: Foreign Room, Passive Flow & Trade Update

SK Telecom has underperformed KT Corp by 12% over the last month. Foreign investors have been selling SK Tel & buying KT Corp. The price ratio is...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)