In today’s briefing:
- STAR50 Index Rebalance: Dear Index Committee…
- SSE50 Index Rebalance: Some Large Impact Changes
- CSI300 Index Rebalance: Big Sector Shift with 28 Changes
- A Substantial Trade Seems Lurking on Hyundai Mobis with Chung’s Possible Stake Purchase
- Index Rebalance & ETF Flow Recap: FTSE AW/AC, KOSPI2, KQ150, EPRA, China 50/A50, ASX, STAR50, SSE50
- Last Week in Event SPACE: BHP, Bank of Kyoto, Incitec Pivot, Yancoal, Virtus
- Asia-Pac Weekly Risk Arb Wrap: Yancoal, Donzheng, Virtus, Toyo, SPH REIT, Mapletree Merger, BEURG
- Dongzheng’s Potential MGO Price from SAIC at HK$1.2430
STAR50 Index Rebalance: Dear Index Committee…
- The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
- One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
- The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.
SSE50 Index Rebalance: Some Large Impact Changes
- There are 5 changes for the SSE50 Index that will be implemented at the close on 9 June. The impact is pretty chunky on a few deletions.
- Apart from the passive assets tracking the index, there are some liquid index futures and the impact on the stocks will be larger than just the headline numbers.
- The adds underperformed the deletes in March and April but have come roaring back in May. Playing the trade via long/short pairs could provide better risk adjusted returns.
CSI300 Index Rebalance: Big Sector Shift with 28 Changes
- There are 28 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 June.
- We had forecast nearly all the changes, though the index committee seems to have used discretion in deciding not to add three Distillers to the index, leading to other changes.
- There’s a large sector skew with Industrials, Information Technology and Materials stocks taking 17 more spots in the index, while Health Care and Financials lose 9 and 5 spots respectively.
A Substantial Trade Seems Lurking on Hyundai Mobis with Chung’s Possible Stake Purchase
- A trading dynamic that is drawing attention is the possibility of Chung Eui-sun’s purchase of a stake in Mobis, triggering to boost Mobis’ relative share price to Hyundai Motor.
- Chung may push ahead with the Glovis → Mobis swap using the substantially increased value of Glovis’ stake. Carlyle, who serves as Chung’s ally, may additionally park Chung’s Glovis stake
- Chung uses the proceeds to purchase a stake in Mobis. Unlike in 2020, likely, he will only purchase Mobis shares this time.
Index Rebalance & ETF Flow Recap: FTSE AW/AC, KOSPI2, KQ150, EPRA, China 50/A50, ASX, STAR50, SSE50
- Early last week was the review cutoff for the FTSE country indices and the EPRA Nareit, while the changes to the CSI300 and STAR50 indices were announced on Friday.
- Monday will see tranche 2 of the TPX INDEX FFW changes implemented, while Tuesday is MSCI implementation day and a bunch of review cutoffs.
- There were large inflows to the IShares Edge MSCI Min Vol Emerging Markets ETF (EEMV US) and outflows from the iShares MSCI EM ESG Optimized (ESGE US) ETF.
Last Week in Event SPACE: BHP, Bank of Kyoto, Incitec Pivot, Yancoal, Virtus
- Post-Spin, BHP (BHP AU) should look more like RIO. It’s not clear it does, but it does move around in a way that allows one to harvest ratio noise.
- Bank of Kyoto (8369 JP) has been the poster child for “deep value” Japan traders and occasional wannabe activists. It has a huge equity portfolio which dwarfs market cap.
- Fourteen years after its acquisition, Incitec Pivot (IPL AU) plans to demerge Dyno Nobel from its fertilizer ops. The split has been a long time coming.
Asia-Pac Weekly Risk Arb Wrap: Yancoal, Donzheng, Virtus, Toyo, SPH REIT, Mapletree Merger, BEURG
- There are 43 – mostly firm – transactions currently being discussed and analysed on Smartkarma. Inside is a timetable of upcoming key events for each deal.
- Two news deals this week: Yankuang Energy Group Company (1171 HK)‘s tilt for Yancoal Australia (YAL AU); SAIC Motor (600104 CH)‘s Offer for Dongzheng Automotive Finance (2718 HK).
- Key updates took place for: Virtus Health (VRT AU), Toyo Construction (1890 JP), SPH REIT (SPHREIT SP), Mapletree Commercial Trust (MCT SP)/ Mapletree North Asia Commercial Trust (MAGIC SP)
Dongzheng’s Potential MGO Price from SAIC at HK$1.2430
- The potential MGO price is HK$1.2430 per H Share vs Dongzheng Automotive Finance (2718 HK)’s previously noted HK$1.294 per H Share due to the change in RMB/HK$ rates.
- The completion procedures for the auction will take place within six months. Approvals have low risk as the SAIC Motor (600104 CH)’s controlling shareholder is owned by the Shanghai SASAC.
- At the last close and for a 1 November completion, the gross and annualised spread to the MGO price is 5.3% and 12.7%, respectively.
Before it’s here, it’s on Smartkarma
