In today’s briefing:
- Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- Chip Eng Seng (CHIP SP)’s Revised S$0.75 VGO from the Tangs
- Warrego (WGO AU)’s Rinehart V Stokes Takeover Tussle in Full Swing
- FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
- KOSPI 200 Up/Down Weights: Official Results & Passive Impacts on T-1 Effective
- TIGER Top 10 Rebalancing: Four Names to Trade on T-1 Effective
- S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- EQD | Tencent (700 HK): We Identify Three Derivative Trades into Year-End
- FTSE TWSE 50 & 100 Dec 22 Rebal: Greatek Deletion Confirmed; One Surprise Change
Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- It was a busy week with the implementation of the MSCI Nov SAIR and the Hang Seng December rebalance, plus a lot of announcements for the FTSE indices.
- The coming week has the implementation of the December rebalance for the KOSPI2 INDEX, KOSDAQ 150 Index and a range of indices in China.
- Inflows to iShares MSCI Emerging Markets (EEM) and iShares MSCI ACWI ETF (ACWI US) during the week as markets move higher on expectations of slower rate hikes from the Fed.
Chip Eng Seng (CHIP SP)’s Revised S$0.75 VGO from the Tangs
- Chip Eng Seng Corp (CHIP SP) disclosed a revised conditional VGO from the Tangs at S$0.75, a 4.2% premium to the previous offer of S$0.72. The offer is final.
- The offeror (47.27% of outstanding shares) and immediate family represent 50.49% of outstanding shares or 48.63% of diluted shares, which is just shy of the 50%+ minimum acceptance condition.
- The bump was to increase the chances of privatisation rather than hitting the 50%+ minimum acceptance condition. At the last close, the gross spread is 1.4%.
Warrego (WGO AU)’s Rinehart V Stokes Takeover Tussle in Full Swing
- Beach Energy (BPT AU)’s revised offer of A$0.25 per share was quickly gazumped by Hancock’s revised off-market proposal of A$0.28 for Warrego Energy (WGO AU). All other terms remain unchanged.
- Speculation that Strike Energy (STX AU) would also be a takeover target has resulted in its all-scrip offer rising to A$0.248 per share (at last close).
- Expect another round of the takeover battle as the bidders are well capitalised and the strategic importance of Perth Basin as Australia’s premier onshore basin.
FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
- The index changes for the FTSE TWSE Taiwan Dividend+ Index for the December 2022 index review were confirmed after market close on Friday 2nd December 2022.
- There will be 26 ADDs and 5 DELs which are mostly in line with Quiddity’s expectations.
- In this insight, we take a look at our revised expectations for capping flows taking into account the confirmed index changes for the December 2022 review
KOSPI 200 Up/Down Weights: Official Results & Passive Impacts on T-1 Effective
- Names with a significant impact: KT (030200), Shinhan Financial (055550), Korean Air (003490), LG Energy (373220), Dongwon Industries (006040), Lotte Fine Chemical (004000), Meritz Fire (000060), & Mirae Asset (006800)
- Limiting the target size of our flow trading to only the fund size that directly mirrors it (₩17.8T) on T-1 Effective will increase our winning rate.
- Lately, local pensions have been seen as rather taking advantage of flow trading in index rebalancing events, so I also recommend keeping the trading window fairly tight.
TIGER Top 10 Rebalancing: Four Names to Trade on T-1 Effective
- Kakao managed to stay out of the relegation zone. Instead, Kia was pushed to the borderline. But POSCO failed to up its float rate, so Kia stayed in.
- Besides that, LG Energy Solution and Celltrion made it to the index, replacing KB Financial and Shinhan Financial.
- These passive flows appears to be of sufficient magnitude to cause a substantial price impact on T-1 Effectiveness. But it should also be approached with a fairly short window.
S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year
- Pilbara Minerals (PLS AU) will replace Lendlease Group (LLC AU) in the S&P/ASX 50 Index, while Monadelphous (MND AU) will replace St Barbara Ltd (SBM AU) in the S&P/ASX 200.
- The largest impact from passive trading will be on Monadelphous (MND AU) while the largest flow will be on Pilbara Minerals (PLS AU).
- There appears to be significant short positioning on Lendlease Group (LLC AU) as cumulative excess volume and short interest continue to rise.
EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- Weekly summary of vol changes and moves across Global Markets
- Analysing ATM volatility and skew changes over the last 5 days
- We suggest a few trades to take advantage of the implied vol surfaces
EQD | Tencent (700 HK): We Identify Three Derivative Trades into Year-End
- Stock has recovered from an October low but may be running out of steam
- Realised vol has been high and implied vols have not fallen as much as other equity assets
- We suggest three trade ideas into year-end to take advantage of the vol surface and spot level
FTSE TWSE 50 & 100 Dec 22 Rebal: Greatek Deletion Confirmed; One Surprise Change
- The index changes for the FTSE TWSE Taiwan 50 and Taiwan Mid-Cap 100 indices for the December 2022 Rebalance were announced after the close on Friday.
- There will be one change for the Taiwan 50 Index and three changes for the Taiwan Mid-Cap 100 Index.
- In this insight, we take a closer look at the possible explanations for this surprise and our index flow expectations for this Rebalance event.
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