Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

HSCEI - Implications of Proposed Changes: WVR, Secondary Listings, Red/P-Chip Selection Criteria

HSI - Implications of Proposed Changes: WVR, Secondary Listings, Finance Sector Capping

Xiaomi Corp (1810 HK) - Are We There Yet?

HSCEI Dividends - Small Impact of Upcoming Index Review

HSCEI Dividends - Better Results Increase Expected Fair Value

Event-Driven

Hang Seng China Enterprises Index / Event-Driven

Hang Seng China Enterprises Index (HSCEI INDEX)

<div><p>Since we published our earlier Insight, the HSCEI dividend futures expiring in December 2020 have moved up 4.1% mainly driven by strong Q3 results, a slightly stronger CNY and a higher HSCEI. Open Interest in the 2020 dividend futures contract spiked in November and flatlined in December.</p></div><div><p>In this Insight, we look at how the market has progressed over the last couple of months and assess the impact of expected changes in the HSCEI constituents in the upcoming index review. </p></div><div><p>We find that the 2020 dividend futures are now trading 1.7% above our base case bottom up fair value estimates after including the estimated impact of the upcoming index review, though the futures are still trading 2% below our optimistic scenario. While there is a possibility of further upside, the dividend futures do not offer as good value as they did earlier.</p></div>

Since we published our earlier Insight, the HSCEI dividend futures expiring in December 2020 have moved up 4.1% mainly driven by strong Q3 results, a slightly stronger CNY and a higher HSCEI. Open Interest in the 2020 dividend futures contract spiked in November and flatlined in December.In this Insight, we look at how the market has progressed over the last couple of months and assess the impact of expected changes in the HSCEI constituents in the upcoming index review. We find that the 2020 dividend futures are now trading 1.7% above our base case bottom up fair value estimates after including the estimated impact of the upcoming index review, though the futures are still trading 2% below our optimistic scenario. While there is a possibility of further upside, the dividend futures do not offer as good value as they did earlier.

HSCEI Dividends - Index Review Could Lower Fair Value