Professional Documents
Culture Documents
23 February 2012
Buy Dec-12 19% Call on Dispersion on Korean and Japanese Exporters at 2.8% (indicative)
Buy Korean Beneficiaries on China Easing Basket (BNKRCNBE) and Sell Kospi2
A high conviction arbitrage opportunity is to position Buy Samsung Electronics Preference and Sell Samsung
Electronics: the preference shares are trading at a 41.5% discount to its ordinary shares, only 4.3ppt above its all-time
low, staying at 5%-tile. Samsung Electronics Preference shares are the most liquid with USD210m daily turnover, versus
USD360m for its ordinary shares. Interestingly, it is a high mean-reverting pair with 95% confidence level.
Buy Samsung Electronics Preference (005935 KS) and Sell Samsung Electronics (005930 KS) [Borrow
fee: 75bps]
Alert: Ways to position on Chinas RRR cut, prefer A-shares than H-shares
Hidden Assets Nikkei volatility up, Fear index on India is alarming
The biggest movement is on NKY implied volatility, up 1 vol-pt across all tenors. INVIXN (India NSE Volatility Index) is
going up by 10.7%, trading above 80%-tile over a two-year horizon.
Winner Lee
CONTENT
(Index, Jan-11=100)
120.0
Korean Exporters
Japanese Exporters
110.0
100.0
90.0
80.0
70.0
60.0
Jan-2011 Apr-2011
Jul-2011
Oct-2011 Jan-2012
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
The strong yen has led to Japanese exporters losing their competitiveness to Korean
exporters: JPY appreciated 45.8% against the USD since late 2008. Meanwhile, KRW
depreciated 5% and Korean manufacturers also continue to improve their product quality.
Between early 2009 and now, the key Korean exporters (autos and electronic equipments)
rocketed by around 138.2%, and substantially outperformed Japanese exporters by over
90%.
BOJ easing led to JPY weakening: BOJ surprised the market on 15 February 2012 by
expanding its asset-purchase programme and USD/JPY rose from recent lows of
JPY76.2/USD to the current JPY80.2/USD, implying the JPY weakened by 5.3% against the
USD. Indeed, most analysts are not factoring in a weak JPY in their earning models.
According to BNPP Japan Equity Strategist, Shun Maruyama, most analysts and company
assumptions on JPY are still JPY75-80/USD. As such, breaking the JPY80/USD level would
likely trigger a wave of re-rating on Japanese earnings forecasts.
Japan credit rating is a concern: S&P on 20 February reaffirmed Japan's sovereign debt
rating at AA-, but warned the possibility of lowering its long and short term ratings if Japanese
authorities fail to improve the debt trajectory from its current situation. S&P would maintain its
negative outlook on Japanese sovereigns, citing a weak government policy footing, fiscal
deficits, persistent deflation, shrinking population and high debt. This news flow is indeed
supporting our longer-term view of bearish JGBs, weakening yen and bullish
Japanese equities.
Consensus is predicting JPY/KRW to reach 13.5 by end-2012 and 12.1 by 2013:
Weakening of JPY versus KRW would help Japanese exporters regain competitiveness over
Korean exporters. If investors are anticipating this trend, the significant outperformance on
Korean exporters over Japanese exporters would gradually narrow.
JPYKRW Consensus Views and Forward
(JPYKRW)
16
15
14
13
12
11
1Q10 3Q10 1Q11 3Q11 1Q12 3Q12
2013
2015
(JPYKRW)
17
16
15
14
13
12
11
10
9
8
Jan-08
Jan-09
Jan-10
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Jan-11
Jan-12
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Korean exporters rallied 53.9% since late-August and outperformed Japanese exporters by
42.1%. The outperformance should narrow when JPY/KRW weakens overtime.
Japanese Exporters vs Korean Exporters
(Index, Jan-11=100)
Korean Exporters
120.0
Japanese Exporters
110.0
100.0
90.0
80.0
70.0
60.0
Jan-2011 Apr-2011
Jul-2011
Oct-2011
Jan-2012
Code
Nam e
Sector
Price
Mkt Cap
USD m
Est T/O
(USD m )
P/BV (x)
1197000
88000
29000
224000
71600
29000
156,587
12,790
15,251
43,821
25,728
9,216
380.2
133.1
204.2
148.4
150.0
73.4
1.9
1.0
2.1
1.5
2.9
1.0
1.7
Mkt Cap
USD m
Est T/O
(USD m )
P/BV (x)
145,714
67,855
21,128
7,624
59,784
22,267
360.1
213.7
158.3
112.9
216.8
137.4
1.0
1.0
0.7
0.8
1.6
0.9
1.0
PE (x) PE (x)
Cur Yr Nxt Yr
10.3
20.1
24.5
6.6
7.0
20.1
14.8
9.3
12.5
11.6
6.1
6.4
12.5
9.7
0.8
0.5
0.4
0.8
1.0
1.6
0.9
16.5%
16.7%
16.7%
16.8%
16.7%
16.7%
100.0%
Code
Name
Sector
Price
3380
2996
1682
549
3585
726
PE (x) PE (x)
Cur Yr Nxt Yr
37.6
22.3
na
na
15.1
na
12.4
16.0
11.3
24.8
39.2
13.0
15.7
20.1
1.9
2.4
1.5
2.2
3.5
1.5
2.2
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
16.9%
16.8%
16.8%
17.1%
15.7%
16.8%
100.0%
Buy Dec-12 Call on Dispersion with strike 19% on Korean and Japanese
Exporters at 2.8% (indicative)
n Diversified into two markets and five sectors: We select 10 Japanese and Korean
exporters which are likely to have diverging performances under the potential Chinese
and Japanese easing. The USD/JPY breaking the JPY80 level is a key trigger to reverse
the outperformance of Korean exporters over Japanese exporters.
n Buy Call on Dispersion is a structure to get equities exposure by going 1) long delta and
2) long volatility but 3) sell correlation.
Constituents of the Basket
Stocks
Code
Sector
Weight (%)
Toyota
7203 JP
Autos
10%
Isuzu
7202 JP
Autos
10%
Canon
7751 JP
Electronics/Office Equip
10%
Nintendo
7974 JP
Toys/Games/Hobbies
10%
Hitachi
6501 JP
10%
Japan
Korea
LG Electronics
066570 KS
10%
Hynix
000660 KS
Semiconductors
10%
Hyundai Motor
005380 KS
Autos
10%
Kia Motors
000270 KS
Autos
10%
LG Display
034220 KS
Electronics
10%
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
According to Sun Chung, BNPP Head of Korean Research, regarding China easing they are
getting more bullish towards Korean basic materials and machinery sectors. This is
consistent with their positive view of global cyclical stocks amidst a liquidity driven rally.
Korean Beneficiaries on China Easing Basket
(Index, Jan-11=100)
120.0
110.0
100.0
90.0
80.0
70.0
Jan-2011 Apr-2011
Jul-2011
Oct-2011 Jan-2012
Code
Nam e
Sector
Price
Mkt Cap
USD m
Est T/O
(USD m )
P/BV (x)
32,056
8,297
7,164
24,101
13,648
6,486
3,817
78.0
48.7
27.0
135.7
69.8
32.3
36.3
0.9
1.0
1.9
2.2
2.6
1.6
0.9
1.6
414000
109500
427500
409500
136500
69000
123500
PE (x) PE (x)
Cur Yr Nxt Yr
9.3
9.4
10.0
11.8
10.2
12.1
8.6
10.2
8.1
8.5
9.2
10.1
10.1
9.1
7.3
8.9
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2.4
0.5
0.6
1.1
4.0
1.0
0.2
1.4
14.3%
14.3%
14.2%
14.4%
14.3%
14.3%
14.2%
100.0%
Buy Hyundai Motor 7 Series (005387 KS) and Sell Hyundai Motor (005380 KS)
[Borrow fee: 75bps]
Buy LG Chem Preference (051915 KS) and Sell LG Chem (051910 KS) [Borrow
fee: 75bps]
Excellent arbitrage opportunity: Korean preference shares are trading at a deep discount
to their corresponding ordinary shares. We advise hedge fund investors to go long the
preference shares and short the ordinary shares, on expectation the deep discount will
narrow over time. Indeed, long-only investors can also consider switching into preference
shares in order to gain better yield (slightly higher dividend payout) and purchase at a deep
discount.
Poor liquidity and without voting rights: Koreans preference and ordinary shares are
exposed to the same fundamentals, but the preference shares have much poorer daily
liquidity and are without voting rights, which are the key reasons why they are trading at a
discount to their ordinary shares. However, we believe the current deep discount is
unjustified.
Filtering criteria: We only select those preference shares with daily turnovers of over
USD10m and trading at a deep discount to common shares. When choosing between
Hyundai Motor 5 series and 7 series, we prefer 7 series due to its higher average daily
turnover.
Preference shares Pref shares
Com pany
Code
Price (KRW)
Est T/O
USD m
Ordinary Share
code
Com m on
Est T/O
discount/
Percentile
Price (KRW)
USD m
prem ium
(%)
4.8
005935 KS
694000
209.95
005930 KS
1180000
359.29
(41.2)
005387 KS
67400
56.06
005380 KS
226500
134.95
(70.2)
0.3
LG Chem
051915 KS
128500
39.99
051910 KS
421000
157.68
(69.5)
0.0
005385 KS
66500
23.74
005380 KS
226500
134.95
(70.6)
0.8
LG Electronics
066575 KS
27900
10.94
066570 KS
88700
106.97
(68.5)
0.3
5.8
S-Oil Corp
010955 KS
63000
3.92
010950 KS
130500
68.67
(51.7)
Samsung Electro-Mech
009155 KS
28950
3.41
009150 KS
95800
64.03
(69.8)
0.8
Daishin Securities
003545 KS
7960
3.30
003540 KS
12600
1.73
(36.8)
54.0
7.9
WOOR Investment
005945 KS
5620
2.86
005940 KS
14100
24.36
(60.1)
Samsung Corp
000835 KS
22350
1.66
000830 KS
76700
56.38
(70.9)
0.1
Daew oo Securities
006805 KS
5590
1.63
006800 KS
14300
26.46
(60.9)
32.7
2.4
Daelim Industrial
000215 KS
27600
1.48
000210 KS
123000
29.68
(77.6)
Samsung SDI
006405 KS
48700
1.45
006400 KS
141500
59.18
(65.6)
1.1
000815 KS
75100
1.38
000810 KS
209500
28.64
(64.2)
12.3
6.4
GS Holdings
078935 KS
21500
1.00
078930 KS
68600
37.14
(68.7)
LG Corp
003555 KS
24100
0.95
003550 KS
73500
33.97
(67.2)
1.2
SK Corp
003605 KS
46550
0.55
003600 KS
160000
31.12
(70.9)
3.8
5.3
Hanw ha Chem
009835 KS
9160
0.50
009830 KS
30150
66.26
(69.6)
CJ Corp
001045 KS
19250
0.39
001040 KS
80900
9.91
(76.2)
0.2
000145 KS
8560
0.23
000140 KS
12100
0.34
(29.3)
86.0
Amorepacific Corp
002795 KS
72600
0.09
002790 KS
236500
1.50
(69.3)
6.4
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
(%)
(10.0)
(%)
(20.0)
(30.0)
+2
+1
(40.0)
+1
mean
(50.0)
-1
(60.0)
-2
(70.0)
+2
(20.0)
(30.0)
(40.0)
(50.0)
mean
-1
-2
(80.0)
04
05
06
07
08
09
10
11
12
04
05
06
07
08
09
10
11
12
LG Chem Preference shares are trading at a 69.5% discount to its ordinary shares; also
hitting its all-time low level.
LG Electronics Preference shares are trading at 68.5% discount to its ordinary shares, very
close to historical lows, at 1%-tile.
LG Chem Preference / Ordinary
(%)
(20.0)
+2
(%)
(20.0)
(30.0)
+2
(40.0)
+1
(40.0)
+1
(50.0)
mean
(50.0)
mean
(60.0)
-1
(60.0)
-1
(70.0)
-2
(30.0)
(70.0)
-2
(80.0)
04
05
06
07
08
09
10
11
12
(80.0)
04
05
06
07
08
09
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
10
11
12
Buy Jun-12 105/120% Call on FTSE China A50 (XIN50) at 3.3% (indicative)
[USD quanto, Size: USD15m]
Buy Mar-12 105% Call on A50 Tracker (2823 HK) at 1.93% (indicative)
Sell Mar-12 ATM Call on HSI and Buy Mar-12 ATM Call on HSCEI at 1.1%
(indicative)
Buy Jun-12 ATM or 105% Worst-of Call on ABC (1288 HK), ICBC (1398 HK) and
BOC (3988 HK) at 3.65% or 2.35% (indicative)
PBOC announced to cut the Required Requirement Ratio (RRR) by 50bps, which came
in later than expected, investors were expecting this to happen near the CNY.
Our China Economist Ken Peng sees several points to highlight for this important second
step in easing policy:
n Just two weeks ahead of the National People's Congress, this aims to fortify confidence in
the economy among the thousands of local officials who would attend the meetings
starting 5 March.
n When activity picks up after the budgeting process at the NPC, more policy support will
have to be put in place, without which investment would be at risk of weakening much
further.
n The pace of total financing is likely to pick up in coming months, which becomes more
important as funding needs pick up with economic activity.
n This is a net positive for markets to fuel lending and support economic growth in order to
cushion against external shocks.
H-shares are likely to gain further but we believe A-shares will catch-up: Back in early
February, we argued China's domestic liquidity was due to improve, while the flood of
external liquidity has largely been priced-in; H-shares rebounded 32% since its bottom in
early October, A-shares underperformed by 25.8%. With the first RRR cut of this cycle in
December, the average daily turnover of the Shanghai and Shenzhen Stock Exchanges
rebounded by 31% m-m to USD13.2b in January.
Sell Call on HSI to finance upside Call on HSCEI: HSCEI outperformed HSI by 1.28%
YTD; HSCEI is supposed to be a higher beta bet on China than the HSI, investors can pay a
small premium at 1.1% to capture the outperformance between HSCEI over HSI.
Cash extraction: the recent rally has been driven by liquidity due to global easing. We
advise investors to consider cash extraction and switch to call options in order to continue
their upside exposure. Implied volatility normalised for the past few months: volatility levels
are now attractive in order to implement strategies via options.
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Sell Put on HSCEI 2013 Dividends with a strike of 325 dips and buy Call on
HSCEI 2013 Dividends with a strike of 350 dips at 12.0dips.
Sell Put on HSCEI 2013 Dividends with a strike of 325 dips at 13.5dips
We apply a conservative payout of 30% for big banks: CCB (939 HK) and ICBC (1398
HK) have been reducing payout ratios since 2008 while BOC (3988 HK) started in 2009.
Following speculation of China big banks further trimming dividend payout ratios for FY2011E
to 35%, for CCB, ICBC and BOC we are going to apply a 30% payout (5% less from
FY2011E) for FY2012E; while we apply a 25% payout for ABC (1288 HK). For the other
constituents in HSCEI, we are applying a similar payout ratio as we estimated for FY2011
(HSCEI 2012 Divs).
Payout ratio by the big 4 banks
Payout Ratio
2007
2008
2009
2010
2011E
2012E
Upside is 9.6% according to our base case of 386.78: The base case on HSCEI 2013 divs
is 386.78 which implies an upside potential of 9.6%. However, we believe there is further
upside risk due to the conservative payout ratio applied on the banks.
1) As we have mentioned in our Asia Derivatives Focus before, BOC mentioned in their 2011
interim report that During the reporting period, the Board of the Directors of the Bank
reviewed and approved the Dividend Distribution Plan of Bank of China Limited (2011
version), according to which the dividends will be distributed at a ratio of 35%~45% of the
Groups current net profit for years 2010 to 2013.
2) In the 2007 annual report of ICBC, it is written that The Bank will honour its undertakings
set out in the IPO prospectus, and distribute 45%60% of its distributable profit as dividends
in accordance with applicable legal procedures. The retained profit shall be applied to
supplement the existing capital base to enable shareholders to benefit from the Banks high
rate of growth in profit.
Bear case is 325.42: For the bear case, we are assuming a 25% payout ratio for CCB, ICBC
and BOC and a 20% payout ratio for ABC. For earnings, we have calculated the implied
growth rate from BNPP or consensus EPS forecasts, we apply the lesser of the implied
growth rate or the estimated GDP growth rate at 8.3%.
Based on our bear case and bull case, we suggest positioning by a 325/350 risk reversal on
HSCEI 2013 Dividends. On the other hand, we also suggest selling a 325dips put and
collecting 13.5dips.
10
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
450
400
350
300
250
200
150
100
Jan-08
Jul-08
Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
11
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Dividend Futures
NKY spot
2012
2013
2014
2015
2016
2017
2018
2019
2020
Sharpe ratio
(since Dec 15th)
Returns
(since Dec 15th)
Volatility
(60 days,annualized)
0.26
13%
16.5%
0.46
0.44
0.35
0.35
0.34
0.32
0.36
0.32
0.34
5%
9%
12%
15%
17%
19%
20%
19%
19%
3.5%
7.0%
10.9%
14.1%
15.4%
17.3%
17.8%
18.5%
18.7%
22%
20%
2017
18%
2016
16%
2015
14%
NKY spot
12%
2014
10%
2013
8%
6%
0%
5%
10%
Returns (since Dec 15th)
12
2018
2020
2019
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
15%
20%
(%)
HKD (b)
16
140
14
120
12
100
10
80
60
40
20
2
2/21/2011
4/21/2011
6/21/2011
8/21/2011
10/21/2011
12/21/2011
0
2/21/2012
HK Propertys short sell turnover increased 56% w-w to HKD2.2b, with SHK Property
(16 HK) leading the sector with a short sell ratio of 18%. Also, Internet Software & Services
ranked tops by short sell to turnover ratio of 24.5%, which was mainly contributed by
Tencent (700 HK).
Hong Kong Top 10 Short Sell Sectors by Value
Sector
China Banks
HK Property
2,242.4
4.68%
13.42%
China Insurance
1,715.4
3.58%
12.85%
1,610.7
3.36%
9.04%
1,236.2
2.58%
24.54%
1,145.5
2.39%
10.91%
1,089.4
2.27%
15.22%
China Telcos
1,014.1
2.11%
8.66%
HK Banks
983.7
2.05%
10.59%
Automobiles
900.5
1.88%
15.91%
13
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Japan weekly aggregate short sell turnover rose a further 9.5% to JPY1.65t last week,
with the short sell ratio also trending up sharply by 2 ppt to 25.6%. Sector-wise, the
short sell turnover of Real Estate took a big jump; it almost doubled (+99.8% w-w).
Japan Short Sell as % of Market Turnover
(%)
40
35
30
25
20
15
10
5
0
Feb-11
Apr-11
Jun-11
Aug-11
Oct-11
Dec-11
Code
Electric Appliances
% as Total
Short Sell
% Change w-w
0.9%
261,314
16.5%
15.8%
Transportation Equipment
167,119
11.5%
10.1%
0.2%
123,955
5.6%
7.5%
(0.3%)
Banks
122,127
21.3%
7.4%
0.7%
Machinery
107,678
1.6%
6.5%
(0.5%)
Chemicals
82,058
0.5%
5.0%
(0.4%)
Retail Trade
76,053
10.7%
4.6%
0.0%
Real Estate
65,572
99.8%
4.0%
1.8%
Services
62,400
(2.7%)
3.8%
(0.5%)
Wholesale Trade
58,784
0.2%
3.6%
(0.3%)
14
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Convertible bonds
Denis OSullivan
Although overall this was a much quieter week in terms of volumes (around -25% trading in
the IDB market vs. the previous weeks) there was still a lot of volatility to be had as the Greek
situation came to a breaking point sending credits skyrocketing before crashing back down
again. CBs for choice felt softer all week with a lot of momentum having ebbed out but we
continue to see wild swings caused by liquidity on the offer side when risk comes back on
again
The early part of the week saw recovery from the swift sell-down instigated on Friday the
previous week as it appeared the Greek situation would be resolved in the end. Prices by no
means gapped higher but steadily the sellers were taken out and most names across the
board edged higher helped by tightening in the credit markets. However, once more this was
a fragile recovery with credits blowing out midweek on fears that Greece really could default
we saw the sellers return in force once more. But lesson learned from the last time, there
were few serious trades down and whilst bids pulled, they were quickly reinstated the next
day...panic over for now!
Trading in the week was very name specific with Hynix very much to the fore as not only was
the company upgraded by S&P after the stake taken by SK Telecom (which was downgraded)
but also Elpida warned as to the possibility of closing up shop if the government wouldn't
agree to continue to fund them. The stock surged and buyers of the bonds scurried around
looking to pick up one of the few genuine vol names which havent been mostly asset
swapped. Given the strong performance of the stock these bonds are now up to trading on a
40-50% delta and with good volatility (100d vol of 46%) combined with a healthy credit, this
type of name is very much in demand.
And in some respects that is what makes it so strange to see other swap names generally
being sold down this week, albeit after a decent performance since the start of the year. We
have seen names such as China Unicom, Gome, Hengdeli, Guangdong and Wilmar all suffer
at the hands of sellers despite the generally volatile underliers and supportive credit
environment. Of course it is perfectly understandable to see profit taking after such a good
run, but with a dearth of new issues these are exactly the types of names people will be
scrambling for once more if and when equities push higher. We would continue to
recommend looking at names with some yield (3-5%) but with premiums of 50-80% with light,
if any, deltas to benefit from a supportive buy-on-dips mentality if we pullback but
accelerating participation in the upside if we push further.
The yield names in general were quieter this week with the gyrations in sentiment not giving
anyone a large impetus to continue to squeeze them further. However it is worth noting that
the straight bond market continues to see buyers of recent paper such as Wharf which keeps
a floor under any profit taking of the CBs, hence the appearance in the top names of the
week despite any real driver from the equity. Capitaland also puts in an appearance for the
2nd time this year as the performance of the stock (+30% Dec 30 to Feb 17) has brought the
name back to life with HFs and long only funds alike both looking to add at these levels. One
interesting perspective to take on this market is that if a lot of names can start to trade on
swap once more, we do lessen the need for new issues as we ought to have a transference
of bonds from long-term yield holders into the HFs hands as the equity component becomes
more important than the debt component once more.
Credit markets actually ended the week more or less flat with iTraxx widening by +1bp only
from 164 to 165; however the swings on the Greek situation were wild with moves of as much
as +10bps midweek only to retrace in again by Friday
15
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
Next
Yield to
Redemption
Put/Maturity
Event
Maturity
Stock
CB Price
Stock Ref
Parity
Premium
0004.HK
97.75%
48.35
53.70%
82.00%
3.40%
07 Jun '14
07 Jun '14
Agile 4% '16
3383.HK
92.00%
9.92
55.80%
65.00%
8.10%
28 Apr '14
28 Apr '16
Capitaland 2.875
'16
CATL.SI
98.00%
2.98
63.10%
55.40%
3.40%
03 Sep '16
03 Sep '16
000660.KS
109.50%
28,500
83.50%
31.20%
-4.80%
14 May '13
14 May '15
0762.HK
111.00%
14.3
90.30%
22.90%
-5.50%
18 Oct '13
18 Oct '15
China Unicom
0.75% '15
16
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
VHSI futures started to trade on Monday and the current open interest is now 12 lots
which is equivalent to HKD60,000 vega.
Over the week, we have seen interests on buying put on variance swap.
Bull
Bear
160,000
140,000
120,000
100,000
80,000
60,000
40,000
20,000
20100
20288
20438
20588
20750
20880
21100
21550
22000
22188
22350
(Index-Points)
Data as of 21 February 2012
Source: Bloomberg, BNP Paribas
17
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
22688
Risk Barometer
We observed increased levels of caution in India with the INVIXN going up by 10.7%. The
INVIXN is now above 80%-tile over a two-year history.
The upside skew on NKY and Topix is now trading under 3%-tile. We suggest investors
buying call spreads or knock-out calls to monetize the cheap upside skew.
Risk Barometer
Implied Volatility and Skew
Index
NKY
TPX
Kospi2
HSI
HSCEI
TWSE
SIMSCI
Nifty
AS51
3M
Implied
Vol
18.96
17.71
20.57
22.09
27.75
20.03
16.54
21.20
16.55
Percentile
(2Y historic)
20.9
26.2
65.8
58.3
65.4
57.3
36.2
53.1
29.1
3M
Realised
Vol
15.51
14.20
22.15
21.08
28.90
20.13
16.43
20.15
17.03
5.30
5.27
5.81
6.09
5.74
5.60
5.38
6.52
7.94
10.9
9.7
21.8
68.5
68.9
64.1
58.9
16.5
61.9
4.06
4.10
3.94
4.11
3.80
3.71
4.25
4.20
5.13
32.6
32.2
35.1
70.0
67.9
60.8
77.5
20.9
64.4
Risk Indicator
Volatility
Index
VIX
V2X
VNKY
VKOSPI
VHSI
INVIXN
Current
18.19
23.90
21.37
21.19
22.93
26.25
Credit Spreads
5Y Corp
CDS
Marit iTraxx
Asia ex JP
Marit iTraxx
Japan
Current
159.57
(3.64)
(16.27)
(27.37)
140.83
(5.37)
(18.01)
(29.17)
78.3
34.9
18
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
1.24
1.17
1.88
1.98
1.94
1.89
1.13
2.33
2.81
3.2
3.0
13.2
67.3
68.9
64.2
33.9
17.6
55.8
Index Volatility
HSI Volatility
3M Im plied vs 3M Realised
HSI
10 per. Mov. Avg. (HSI)
25000
50 per. Mov. Avg. (HSI)
24000
23000
22000
21000
20000
19000
18000
17000
16000
2/21/2011 5/21/2011 8/21/2011 11/21/2011 2/21/2012
(Index)
2Y
24.5
0.2
0.6
42.6
21.9
34.5
21-Feb-12
(%)
3M Implied
3M Realised
45.0
40.0
35.0
30.0
25.0
20.0
15.0
10.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
14-Feb-12
22-Jan-12
Implied
5% Realised High
(%)
72.0
24.5
64.0
24.0
56.0
23.5
48.0
23.0
40.0
22.5
32.0
22.0
24.0
21.5
16.0
Realised
5% Realised Low
8.0
21.0
3M
6M
9M
12M
(%)
34.0
21-Feb-12
14-Feb-12
22-Jan-12
30.0
28.0
26.0
24.0
22.0
20.0
18.0
90%
6M
9M
3M
13.0
12.0
11.0
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
2/22/2010 8/22/2010
6M
12M
2Y
90 - 110 Skew
32.0
80%
3M
2Y
100%
110%
120%
(Skew , %)
2/22/2011
1Y
8/22/2011
19
2Y
2.7
0.2
0.7
70.4
3.3
67.7
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
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2Y
3M Im plied vs 3M Realised
KOSPI 200
10 per. Mov. Avg. (KOSPI 200)
310
50 per. Mov. Avg. (KOSPI 200)
300
290
280
270
260
250
240
230
220
210
200
2/21/2011 5/21/2011 8/21/2011 11/21/2011 2/21/2012
(%)
(Index)
21-Feb-12
3M Realised
40.0
35.0
30.0
25.0
20.0
15.0
10.0
2/22/2010
2Y
22.6
0.4
0.1
68.7
22.3
54.3
3M Implied
45.0
8/22/2010
2/22/2011
8/22/2011
2Y
0.3
0.4
0.2
45.1
2.8
48.3
Volatility Cone
14-Feb-12
22-Jan-12
(%)
55.0
Implied
5% Realised High
Realised
5% Realised Low
50.0
45.0
22.5
22.0
40.0
35.0
21.5
30.0
25.0
21.0
20.0
15.0
20.5
20.0
10.0
3M
6M
9M
12M
2Y
21-Feb-12
14-Feb-12
22-Jan-12
30.0
28.0
26.0
24.0
22.0
20.0
18.0
80%
90%
3M
6M
9M
12M
2Y
90 - 110 Skew
32.0
100%
110%
120%
(Skew , %)
14.0
13.0
12.0
11.0
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
2/22/2010
3M
8/22/2010
6M
2/22/2011
1Y
8/22/2011
20
12M
(5.6)
0.6
(0.1)
1.7
3.7
47.4
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
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2Y
3M Im plied vs 3M Realised
(%)
MSCI Singapore
10 per. Mov. Avg. (MSCI Singapore)
50 per. Mov. Avg. (MSCI Singapore)
(Index)
390
380
370
360
350
340
330
320
310
300
2/21/2011 5/21/2011
30.0
25.0
20.0
15.0
10.0
2/22/2010
2Y
20.6
(0.0)
(0.7)
22.4
16.9
38.5
8/22/2010
2/22/2011
8/22/2011
14-Feb-12
22-Jan-12
2Y
3.7
(0.0)
(0.7)
58.7
2.8
67.3
Implied
5% Realised High
(%)
50.0
45.0
Realised
5% Realised Low
40.0
35.0
20.0
30.0
25.0
19.0
20.0
15.0
18.0
17.0
10.0
5.0
16.0
3M
6M
9M
12M
21-Feb-12
14-Feb-12
22-Jan-12
25.0
23.0
21.0
19.0
17.0
15.0
90%
6M
9M
12M
2Y
90 - 110 Skew
27.0
80%
3M
2Y
100%
110%
120%
(Skew , %)
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
2/22/2010
3M
8/22/2010
6M
2/22/2011
1Y
8/22/2011
21
12M
0.1
0.1
(0.6)
9.9
3.6
62.5
Volatility Cone
21.0
(%)
29.0
3M Realised
35.0
(%)
22.0
3M Implied
40.0
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
TWSE Volatility
3M Im plied vs 3M Realised
TWSE
10 per. Mov. Avg. (TWSE)
50 per. Mov. Avg. (TWSE)
(Index)
9500
(%)
9000
35.0
8500
30.0
8000
25.0
7500
20.0
7000
15.0
6500
2/21/2011
5/21/2011
8/21/2011
11/21/2011 2/21/2012
2Y
23.5
0.6
(1.3)
40.8
18.9
37.4
21-Feb-12
3M Implied
3M Realised
40.0
10.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
12M
(0.0)
0.5
(1.3)
9.4
3.7
75.6
2Y
4.6
0.6
(1.4)
61.8
2.8
76.5
Volatility Cone
14-Feb-12
22-Jan-12
25.0
Implied
5% Realised High
(%)
43.0
Realised
5% Realised Low
38.0
24.0
33.0
23.0
28.0
22.0
23.0
21.0
20.0
18.0
19.0
13.0
18.0
8.0
3M
6M
9M
12M
2Y
21-Feb-12
3M
6M
9M
12M
90 - 110 Skew
14-Feb-12
22-Jan-12
28.0
(Skew , %)
12.0
3M
6M
1Y
10.0
26.0
8.0
24.0
6.0
22.0
4.0
20.0
2.0
18.0
16.0
80%
90%
100%
110%
120%
0.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
22
2Y
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
HSCEI Volatility
3M Im plied vs 3M Realised
HSCEI
10 per. Mov. Avg. (HSCEI)
50 per. Mov. Avg. (HSCEI)
(Index)
14000
(%)
13000
12000
11000
10000
9000
8000
2/21/2011 5/21/2011 8/21/2011 11/21/2011 2/21/2012
2Y
29.5
0.3
1.4
50.8
27.8
38.7
8/22/2010
3M Realised
2/22/2011
8/22/2011
30.0
29.5
78.0
29.0
68.0
28.5
58.0
28.0
48.0
27.5
38.0
27.0
28.0
26.5
18.0
14-Feb-12
22-Jan-12
2Y
1.6
0.3
1.5
72.5
3.3
76.1
Implied
5% Realised High
Realised
5% Realised Low
8.0
26.0
3M
6M
9M
12M
(%)
21-Feb-12
3M
2Y
6M
9M
12M
14-Feb-12
22-Jan-12
(Skew , %)
39.0
14.0
37.0
12.0
35.0
10.0
3M
6M
1Y
8/22/2010
2/22/2011
8/22/2011
8.0
31.0
6.0
29.0
27.0
4.0
25.0
2.0
23.0
80%
90%
2Y
90 - 110 Skew
33.0
100%
110%
120%
0.0
2/22/2010
23
12M
(4.4)
0.3
1.1
5.5
4.1
70.8
Volatility Cone
(%)
88.0
21-Feb-12
3M Implied
55.0
50.0
45.0
40.0
35.0
30.0
25.0
20.0
15.0
10.0
2/22/2010
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
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2Y
3M Im plied vs 3M Realised
(%)
ASX 200
10 per. Mov. Avg. (ASX 200)
50 per. Mov. Avg. (ASX 200)
5200
3M Implied
3M Realised
35.0
5000
30.0
4800
25.0
4600
20.0
4400
15.0
4200
10.0
4000
3800
2/21/2011 5/21/2011 8/21/2011 11/21/2011 2/21/2012
5.0
2/22/2010
2Y
21.7
(0.4)
(1.0)
46.8
17.8
47.7
21-Feb-12
14-Feb-12
22-Jan-12
22.0
21.0
20.0
19.0
18.0
17.0
16.0
6M
9M
12M
2Y
8/22/2011
Implied
5% Realised High
(%)
44.0
40.0
36.0
32.0
28.0
24.0
20.0
16.0
12.0
8.0
4.0
3M
(%)
35.0
2/22/2011
12M
(0.3)
(0.6)
(1.4)
0.0
4.9
60.6
6M
Realised
5% Realised Low
9M
12M
2Y
90 - 110 Skew
14-Feb-12
22-Jan-12
(Skew , %)
11.0
30.0
3M
6M
1Y
9.0
25.0
7.0
20.0
5.0
15.0
3.0
10.0
80%
90%
100%
110%
120%
1.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
24
2Y
4.0
(0.5)
(1.0)
65.8
3.7
51.0
Volatility Cone
23.0
3M
8/22/2010
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
Nikkei 225
10 per. Mov. Avg. (Nikkei 225)
50 per. Mov. Avg. (Nikkei 225)
(Index)
11500
11000
40.0
10500
35.0
10000
30.0
9500
25.0
9000
20.0
8500
15.0
8000
2/21/2011 5/21/2011
2Y
22.4
1.2
2.0
49.9
21.8
4.6
21-Feb-12
10.0
2/22/2010
8/22/2010
2/22/2011
3M Realised
8/22/2011
14-Feb-12
22-Jan-12
Implied
5% Realised High
(%)
65.0
55.0
21.0
45.0
20.0
35.0
19.0
25.0
18.0
15.0
17.0
2Y
0.6
1.1
2.2
88.6
3.0
0.9
Realised
5% Realised Low
5.0
3M
6M
9M
12M
2Y
3M
6M
9M
12M
2Y
90 - 110 Skew
(Skew , %)
21-Feb-12
14-Feb-12
22-Jan-12
29.0
27.0
14.0
3M
6M
1Y
12.0
10.0
25.0
23.0
8.0
21.0
19.0
6.0
4.0
17.0
15.0
2.0
13.0
80%
90%
100%
110%
120%
0.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
25
12M
(2.3)
1.1
1.7
23.9
3.8
0.0
Volatility Cone
22.0
(%)
31.0
3M Implied
45.0
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
Topix Volatility
Topix
10 per. Mov. Avg. (Topix)
50 per. Mov. Avg. (Topix)
1000
3M Implied
3M Realised
45.0
40.0
950
35.0
900
30.0
850
25.0
800
20.0
750
15.0
700
2/21/2011 5/21/2011 8/21/2011 11/21/2011 2/21/2012
10.0
2/22/2010
2Y
21.1
1.3
2.0
55.8
20.0
26.1
21-Feb-12
14-Feb-12
22-Jan-12
21.0
20.0
19.0
18.0
17.0
16.0
6M
9M
12M
21-Feb-12
8/22/2011
Implied
5% Realised High
(%)
58.0
53.0
48.0
43.0
38.0
33.0
28.0
23.0
18.0
13.0
8.0
3M
2Y
2/22/2011
14-Feb-12
22-Jan-12
6M
Realised
5% Realised Low
9M
12M
2Y
(Skew , %)
29.0
27.0
25.0
23.0
21.0
19.0
17.0
15.0
13.0
11.0
6.0
3M
6M
1Y
2/22/2011
8/22/2011
12.0
10.0
8.0
4.0
2.0
90%
2Y
1.1
1.2
2.1
85.6
3.0
0.9
90 - 110 Skew
14.0
80%
100%
110%
120%
0.0
2/22/2010
8/22/2010
26
12M
(2.9)
1.3
1.8
15.3
3.8
0.0
Volatility Cone
22.0
3M
8/22/2010
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
Nifty Volatility
(Index)
6100
(%)
3M Implied
3M Realised
35.0
5900
30.0
5700
5500
25.0
5300
5100
20.0
4900
15.0
4700
4500
2/21/2011 5/21/2011
2Y
23.7
(0.2)
(1.4)
19.1
18.8
31.4
21-Feb-12
10.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
2Y
4.9
(0.2)
(1.6)
62.3
3.1
21.3
Volatility Cone
14-Feb-12
22-Jan-12
26.0
25.0
(%)
53.0
48.0
Implied
5% Realised High
Realised
5% Realised Low
43.0
38.0
24.0
33.0
28.0
23.0
23.0
18.0
22.0
21.0
13.0
8.0
20.0
3M
6M
9M
12M
2Y
21-Feb-12
3M
6M
9M
12M
14-Feb-12
22-Jan-12
(Skew , %)
12.0
3M
6M
1Y
10.0
8.0
6.0
4.0
2.0
80%
90%
2Y
90 - 110 Skew
33.0
31.0
29.0
27.0
25.0
23.0
21.0
19.0
17.0
15.0
100%
110%
120%
0.0
2/22/2010
8/22/2010
2/22/2011
8/22/2011
27
12M
1.9
0.1
(1.0)
12.4
4.1
18.6
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
Bloomberg Page - BEDR
2Y
NOT For
Convexity
1Y Implied Convexity (Var Swap minus ATM Straddles)
(%)
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
2/22/2010
(%)
(%)
HSI
8/22/2010
2/22/2011
8/22/2011
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
2/22/2010
4.5
3.5
4.0
3.0
3.5
2.5
2.0
3.0
1.5
2.0
1.0
1.5
8/22/2010
2/22/2011
8/22/2011
8/22/2011
TWSE
8/22/2010
1.0
2/22/2010
2/22/2011 8/22/2011
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
2/22/2010
10.0
10.0
8.0
8.0
6.0
6.0
4.0
4.0
2.0
2.0
2/22/2011
8/22/2011
2/22/2011
8/22/2011
ASX200
8/22/2010
(%)
Nikkei 225
8/22/2010
8/22/2010
(%)
HSCEI
(%)
0.0
2/22/2010
2/22/2011
2.5
(%)
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
2/22/2010
8/22/2010
(%)
MSCI Singapore
4.0
0.5
2/22/2010
KOSPI 200
0.0
2/22/2010 8/22/2010
2/22/2011
8/22/2011
Topix
2/22/2011 8/22/2011
28
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
80
Long Call
Upside (% )
5 HK
11 HK
60
2388 HK
1099 HK
23 HK
1171 HK
40
1088 HK
916 HK
388 HK
688 HK
386 HK
20
1898 HK
100
90
80
941 HK
70
60
1398 HK
50
1138 HK
2777 HK
1044 HK
40
30
20
10
857 HK
3968 HK
2601 HK
763 HK
2328 HK
836 HK
3328 HK
3988 HK
2318 HK
2628 HK
2883 HK
1109 HK
1211 HK
-20
-40
1919 HK
Short Call
Long Put
-60
Expensive Vol
Percentile (% )
Cheap Vol
29
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
50
Long Call
Upside (% )
012330 KS
40
000810 KS
030200 KS
017670 KS
30
005380 KS
7267 JP
9432 JP
20
000660 KS
4452 JP
033780 KS
10
100
90
80
70
60
50
40
30
20
10
004170 KS
6857 JP
-10
9983 JP
066570 KS
-20
034220 KS
-30
7261 JP
Short Call
Long Put
-40
Expensive Vol
Percentile (% )
Cheap Vol
30
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
gerry.fowler@uk.bnpparibas.com
Kokou Agbo-Bloua
kokou.agbo-bloua@eu.bnpparibas.com
Antoine Deix
+33 1 40 14 06 22
antoine.deix@bnpparibas.com
ankitkumar.gheedia@bnpparibas.com
Francesca Guinane
francesca.guinane@uk.bnpparibas.com
Benoit Le Pape
benoit.lepape@uk.bnpparibas.com
Nadedja Semenova
nadedja.semenova@uk.bnpparibas.com
Orrin Sharp-Pierson
orrin.sharppierson@uk.bnpparibas.com
Anand Omprakash
anand.omprakash@americas.bnpparibas.com
Bouhari Arouna
bouhari.arouna@americas.bnpparibas.com
winner.lee@asia.bnpparibas.com
Anthony Wong
anthony.c.wong@asia.bnpparibas.com
Samuel Cheng
samuel.k.cheng@asia.bnpparibas.com
US
Asia
robert.musetti@asia.bnpparibas.com
Valery Bloud
valery.bloud@asia.bnpparibas.com
Christopher Littell
christopher.littel@asia.bnpparibas.com
Will Chen
will.chen@asia.bnpparibas.com
Andrea Baumeister
andrea.baumeister@asia.bnpparibas.com
Guillaume Derville
guillaume.derville@asia.bnpparibas.com
stephanie.wong@asia.bnpparibas.com
Stephanie Wong
Hedge Fund
Relationship Manager
Singapore
Robert Newcombe
robert.newcombe@asia.bnpparibas.com
Jonathan Berguig
jonathan.berguig@asia.bnpparibas.com
Nadia Poilane
nadia.poilane@asia.bnpparibas.com
31
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
Important Notice
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As an investment bank with a wide range of activities, BNPP may face conflicts of interest, which are resolved under
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32
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
transactions in a manner inconsistent with the views expressed in this document, either for its own account or for the
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Prior to transacting, you should ensure that you fully understand (either on your own or through the use of independent
expert advisors) the terms of the transaction and any legal, tax and accounting considerations applicable to them. You
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By accepting this document you agree to be bound by the foregoing limitations.
IMPORTANT DISCLOSURES
The disclosure column in the following table lists the important disclosures applicable to each company that has been
rated and/or recommended in this report:
Company
33
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
1, 2, 3, 5
5
5
5
5
5
5
5
5
5
5
5
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883
NOT For
CLP (2 HK)
BEA (23 HK)
Ping An (2318 HK)
PICC P&C (2328 HK)
BOC HK (2388 HK)
CHALCO (2600 HK)
CPIC (2601 HK)
China Life (2628 HK)
Citic Pacific (267 HK)
Shui ON (272 HK)
Guangzhou R&F (2777 HK)
China Oilfield Services (2883 HK)
Standard Chartered (2888 HK)
Zijin Mining (2899 HK)
China Resources (291 HK)
Cathay Pacific (293 HK)
HK&China Gas (3 HK)
Esprit (330 HK)
CNBM (3323 HK)
BoComm (3328 HK)
Agile Prop (3383 HK)
Hengdeli (3389 HK)
Angang Steel (347 HK)
Jiangxi Copper (358 HK)
Sinopec (386 HK)
HKEx (388 HK)
China Railway (390 HK)
CM Bank (3968 HK)
Bank of China (3988 HK)
Wharf (4 HK)
Dongfeng Motor (489 HK)
Li & Fung (494 HK)
HSBC (5 HK)
Power Assets (6 HK)
MTRC (66 HK)
COLI (688 HK)
Tencent (700 HK)
China Telecom (728 HK)
Air China (753 HK)
China Unicom (762 HK)
ZTE Corp (763 HK)
Sino Land (83 HK)
CR Power (836 HK)
PetroChina (857 HK)
CNOOC (883 HK)
Huaneng Power (902 HK)
Anhui Conch (914 HK)
Longyuan Power (916 HK)
CCB (939 HK)
China Mobile (941 HK)
Citic Bank (998 HK)
5
5
5
5
5
5
5
5
5
2
2, 5
5
5
5
5
5
5
5
5
1, 5
5
2
5
5
5
5
5
1, 5
5
5
5
2, 3, 5
5
5
5
5
5
5
5
5
2, 5
5
5
5
5
5
5
5
5
5
5
34
Asia Equity Derivatives Strategy: Winner Lee (852) 2108 5658, Anthony Wong (852) 2108 5638, Samuel Cheng (852) 2108 5671
Flow Sales: Hong Kong (852) 2108 5639, Singapore (65) 6210 1883