In today’s briefing:
- TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade
- TOPIX October 2022 Rebal – BIG Names with BIG Flows
- (Mostly) Asia-Pac Weekly Risk Arb Wrap: Eagle Cement,Toa Oil, O2Micro, Hitachi Transport, Shidax
- Index Rebalance & ETF Flow Recap: HSCI, FTSE, HSI, TW Div+, China 50, KOSDAQ150, TOPIX FFW, PEXA
TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade
- At the October rebalance, there are 970 stocks that will have a lower FFW while 114 stocks will have a higher FFW. 493 stocks will undergo a Phased Weight Reduction.
- Estimated one-way turnover is 2.54% resulting in a one-way trade of ¥1.815tn. 500 stocks have over 4 days ADV to trade, 100 stocks have over 9 days ADV to trade.
- Setting the threshold at +/-US$50m to trade, the stocks with inflows have outperformed the stocks with outflows by 6.5% over the last four months.
TOPIX October 2022 Rebal – BIG Names with BIG Flows
- The TSE announced its first large FFW rebalance under new rules and Market Segmentation. ~1,000 names see FFW drop 5% or more. 100+ rise 5+%. Reverse funding trades are significant.
- Top BUY flow: Toyota, Olympus, Daiichi Sankyo, Tokio Marine, JP Holdings with an average of 4.0 days’ ADV to buy. Softbank/9984, MitCorp, Hitachi, Suzuki, Marubeni average 4.8 days to SELL.
- 493 names start their phased weight reduction out of TOPIX because they do not meet the hurdle for minimum trading value. And… Shinsei is the most impressive SELL name.
(Mostly) Asia-Pac Weekly Risk Arb Wrap: Eagle Cement,Toa Oil, O2Micro, Hitachi Transport, Shidax
- There are 48 – mostly firm, mostly Asia-Pac – transactions currently being discussed and analysed on Smartkarma. Inside is a timetable of upcoming key events for each deal.
- Three new deals discussed this week: San Miguel (SMC PM)‘s MTO for Eagle Cement (EAGLE PM), Idemitsu (5019 JP)‘s Offer for Toa Oil (5008 JP), and O2Micro (OIIM US)‘s MBO.
- Key updates took place for Tassal (TGR AU), Hitachi Transport System (9086 JP), Shidax Corp (4837 JP), Toyo Construction (1890 JP), and Singapore Medical (SMG SP).
Index Rebalance & ETF Flow Recap: HSCI, FTSE, HSI, TW Div+, China 50, KOSDAQ150, TOPIX FFW, PEXA
- We expect a few adds to the HSCI in December followed by a lot more change in March. We could finally reach 80 HSI INDEX constituents in December.
- There will be a handful of adds to the FTSE All-World/All-Cap indices in December. But there will be many changes to the FTSE TWSE Taiwan Dividend+ Index in December.
- There were large inflows to the Yuanta/PShares Taiwan Dividend Plus ETF (0056 TT), Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).
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