In today’s briefing:
- KRX New Deal Index Rebalance Preview: Potential & Close Changes in September
- Index Rebalance & ETF Flow Recap: KS200, KQ150, HSI, CSI300/500, STAR50, SSE50, ChiNext, PCOMP, HDFC
- LQ45 Index Rebalance Preview (July): Identifying Potential Changes
- NIFTY100 Index Rebalance Preview: Double/Triple Whammy for Some Stocks
- Toshiba (6502) – Thinking About the Arb
- SET50 Index Rebalance Preview: Two Changes – One High Probability; One Has Possibilities
- Ventia (VNT AU) – Placement Could Lead to ASX200 Inclusion in June
- Insiders Sell at Ecopro BM
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Peak Rates?
- BNC Korea (256840 KS): Margin Pressure; Base Business Faces Regulatory Risk; COVID Drug in Doldrum
KRX New Deal Index Rebalance Preview: Potential & Close Changes in September
- The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
- There are potential changes to some of the indices and then there are close changes that will result in big flows if they eventuate.
- The March rebalance saw some funky moves on the stocks that had big flows and we could see more of that at the September rebalance.
Index Rebalance & ETF Flow Recap: KS200, KQ150, HSI, CSI300/500, STAR50, SSE50, ChiNext, PCOMP, HDFC
- Friday marked the end of the review cutoff for the MSCI, CSI300, CSI500, STAR50, SSE50, ChiNext and a bunch of other indices for the upcoming rebalances in May and June.
- There are no major index events coming up this week as a lot of markets are shut on different days.
- There were big inflows to mainland China ETFs during the week, while there was a big redemption from the iShares MSCI ACWI ETF (ACWI US).
LQ45 Index Rebalance Preview (July): Identifying Potential Changes
- The review period for the LQ45 Index ends on 30 June. The changes should be announced in the last week of July, becoming effective after the close on 31 July.
- Potential adds are Adaro Minerals (ADMR IJ), Bumi Resources Minerals (BRMS IJ), Panin Financial (PNLF IJ), Energi Mega Persada (ENRG IJ), Transcoal Pacific (TCPI IJ) and Pertamina Geothermal Energy (PGEO).
- Potential deletions are Japfa Comfeed Indonesia (JPFA IJ), Indocement Tunggal Prakarsa (INTP IJ), Timah Persero (TINS IJ), Bank Tabungan Negara Persero (BBTN IJ) and Chandra Asri Petrochemical (TPIA IJ).
NIFTY100 Index Rebalance Preview: Double/Triple Whammy for Some Stocks
- Halfway through the review period, we see 5 potential changes for the Nifty Next 50 Index (NIFTYJR INDEX)/ Nifty 100 Index (NSE100 INDEX) at the September rebalance.
- All the potential adds are expected to migrate from MidCap to LargeCap at the AMFI June reclassification, while we expect two of the potential deletes to move the other way.
- Of the potential deletes, one is a high probability deletion from the MSCI India Index at the May QCIR while there is another that is a lower probability deletion.
Toshiba (6502) – Thinking About the Arb
- Toshiba is trading at a 12-13% annualised return on the arb when using the expected Tender Offer Start Date proposed in the Takeover Announcement on 23 March 2023.
- On Day 1-2 post-announcement, Toshiba traded at an 11-13% annualised spread. Since the announcement, a 12-name Peer Basket is up 11+% meaning Toshiba back end risk has shrunk.
- Forward consensus EPS ratios have fallen, in part due to the shift forward one fiscal year by comps. We’ll see where those lie in a week when earnings come.
SET50 Index Rebalance Preview: Two Changes – One High Probability; One Has Possibilities
- Two thirds of the way through the review period, we forecast two changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the June rebalance.
- Thai Life Insurance (TLI TB) and WHA Corp Pcl (WHA TB) could replace Jaymart PCL (JMART TB) and Ngern Tid Lor (TIDLOR TB).
- JMT Network Services (JMT TB) is a very close delete on market cap, while Intouch Holdings (INTUCH TB) is a close delete on liquidity. Multiple possibilities here.
Ventia (VNT AU) – Placement Could Lead to ASX200 Inclusion in June
- Ventia (VNT AU) completed an A$300m placement overnight with Apollo and CIMIC Group Ltd (CIM AU) selling around 14% of the shares outstanding at a small discount to the close.
- The placement will significantly increase Ventia (VNT AU)‘s float and make the stock a high probability inclusion to the S&P/ASX 200 (AS51 INDEX) at the June rebalance.
- We now expect two changes to the S&P/ASX 200 (AS51 INDEX) in June and the impact on the stocks is over 5.5 days of ADV to trade.
Insiders Sell at Ecopro BM
- It was recently reported that Choi Mun-Ho (CEO of Ecopro BM) sold 2,000 shares of Ecopro BM Co Ltd (247540 KS) at 254,000 won per share.
- It was also recently announced that Eroom T&C, the family company of Lee Dong-Chae, the chairman of Ecopro Group, also sold shares of Ecopro BM.
- Recent selling of Ecopro BM shares by CEO Choi Mun-Ho and Ecopro affiliate Eroom T&C are negative signs on the Ecopro BM. Lofty valuations are also negative on Ecopro BM.
EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Peak Rates?
- 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
BNC Korea (256840 KS): Margin Pressure; Base Business Faces Regulatory Risk; COVID Drug in Doldrum
- During 2022, BNC Korea (256840 KS) reported gross profit margin of 48.3%, lower than 51.9% reported in 2021, as increasing competition is leading to price erosion of botulinum toxin products.
- In March 2023, prosecutors have indicted BNC Korea for allegedly selling botulinum toxin injections to exporters without the approval of the MFDS from December 2015 to December 2021.
- With the pandemic on a downward trend for more than a year now, we are skeptical about BNC Korea’s in-licensed COVID-19 drug candidate for a milestone payment of $15M.
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