In today’s briefing:
- TOPIX Rebalance: Flows at the Close
- SSE180/SSE380 Index Rebalance: Potential MSCI/FTSE Adds & Deletes
- Merger Arb Mondays (30 May) – Yancoal, Link Net, Link Admin, Alliance Aviation, True Corp, DTAC
- Korea Stub Trades: F&F Holdings Pair in a Substantial Diversion with F&F’s KOSPI 200 Inclusion
- NIFTY Indices: Quiddity Leaderboard for September 2022
TOPIX Rebalance: Flows at the Close
- The second tranche of the FFW methodology change for the Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX) will be implemented at the close of trading today.
- One way flow is ~JPY 745bn and will be spread across ~2170 stocks. The largest inflow will be on NTT (9432 JP) and the largest outflow on Toyota Motor (7203).
- The stocks with the largest inflows have outperformed the stocks with the largest outflows over the last month and the outperformance could continue going into the last tranche in June.
SSE180/SSE380 Index Rebalance: Potential MSCI/FTSE Adds & Deletes
- There are 18 changes to the SSE180 Index and 38 changes to the SSE380 Index that will be implemented at the close of trading on 9 June.
- There will be 9 deletions from the MSCI Standard Index and 22 deletions from the FTSE All-World/All-Cap indices at the close on 9 June.
- Currently, 16 stocks meet the threshold/are close for inclusion in the MSCI China Index while there are 38 stocks that meet the threshold for inclusion in the FTSE All-World/All-Cap indices.
Merger Arb Mondays (30 May) – Yancoal, Link Net, Link Admin, Alliance Aviation, True Corp, DTAC
- We summarise the latest spreads and newsflow of merger arb situations covered by us across Hong Kong, Australia, New Zealand, Singapore, Indonesia, Thailand and Chinese ADRs.
- This week, the highest gross spreads are Sezzle Inc (SZL AU), 21Vianet Group (VNET US), Link Administration Holdings (LNK AU), Alliance Aviation Services (AQZ AU), True Corp Pcl (TRUE TB).
- Lowest gross spreads are Yancoal Australia (3668 HK), Hwa Hong Corp (HWAH SP), AKM Industrial (1639 HK), Virtus Health (VRT AU), Irongate Group (IAP AU), Uniti Group Ltd (UWL AU).
Korea Stub Trades: F&F Holdings Pair in a Substantial Diversion with F&F’s KOSPI 200 Inclusion
- F&F Holdings is a single-subsidiary PURE STUB PLAY with no operating assets. It currently trades at a 54.30% discount to its NAV, and its 20-day MA sigma sits below -2.0.
- The pair is currently in a substantial diversion. The passive inflow caused by F&F’s KOSPI 200 inclusion appears to have caused a flow imbalance.
- F&F is becoming a primary target for KOSPI 200’s post-rebalancing shorting events. Then, we can consider using F&F Holdings as a long hedge, in addition to outright shorting for F&F.
NIFTY Indices: Quiddity Leaderboard for September 2022
- The NIFTY Index Family has a series of broad equity indices that represents large, mid and small market capitalisation segments of the Indian public equity market.
- The review of broad market indices will be done on a semi-annual basis and the changes will be implemented at the end of March and September every year.
- Below is a look at the names leading the race to become Adds and Deletes for NIFTY 50, NIFTY 100, and NIFTY 500 in September 2022.
Before it’s here, it’s on Smartkarma
