巴黎银行-欧洲-投资策略-SX5E 重组监测-2019062.pdf

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1、DATAWATCH

2、EUROPEPleaserefertoimportantinformationat27June2019theendofthisreportEQUITY&DERIVATIVESSX5EreshufflemonitorNaspershasdelayedthelistingofNewcototheAmsterdamstockexchange,therebyremovingtheriskofitsadditiontotheSX5EintheSeptember2019indexreshuffle.Howe

3、ver,belowwelistsomeuncertaintiesweseeuntilthe31Augustcut-offdate.ThequarterlyindexreshuffleandsharerebalancingoftheEuroSTOXX50isbasedonatwo-stepselectionprocess:asector-basedlistingfollowedbyalistingbymarketcapitalisation.Astockrankedhigherthan25inMarch,Junean

4、dDecemberandhigherthan40inSeptemberwillautomaticallybeincludedintheindex.Astockrankedlowerthan75inMarch,JuneandDecemberandlowerthan60inSeptemberwillautomaticallyberemoved.Fig.1:Food&BeveragesectorselectionlistFig.2:Distanceto60%oftheF&BsectorFFmarketcapForward

5、CumulativeAbsvs.SX5E10%TickerMcap(Eurbn)SectorMcap(%)60%component8%ABIBB+BNFP+RIFP>ABIBB+BNFPABIBB65488.70.3029.5%Y6%BNFP48277.90.537.1%Y4%2%RIFP32954.30.688.2%0%HEIANA23407.70.7919.1%-2%KYGID16152.70.8726.6%-4%ABIBB+BNFP+RIFP

6、r18Jun18Sep18Dec18Mar19Jun19Sources:Bloomberg,BNPParibasSources:Bloomberg,BNPParibasPernodRicard(RIFP)stilldoesnotpassthesector-ThesharpunderperformanceofAnheuser-BushInbevbasedfirstfilterbutremainsclosetobeingeligibletoin2018hasbroughtPernodRicardclosetobeing

7、entertheindex.eligiblefortheSX5Eselectionlist.RIFPhasbeenintheadditionzone58%ofthetimesince3December2018.Fig.4:Ourestimateofthedividendimpactfrom2020Fig.3:Addition/deletionrisksifaddition/deletioninSep19(SX5Edividendpoints)ForwardMcapDividendSX5EDistancetoDist

8、ancetoTicker(Eurbn)yieldcomponentrank40rank61RIFP331.55%NeedstopasssectorcriteriaDB1GY242.14%-14%DeletionsAdditionUCGIM222.57%-20%BMWGYFREGYURWNAGLEFPVNAGY213.40%-24%RIFP-1.3-0.5-2.1-2.4BMWGY215.43%Y24%DB1GY-1.0-0.2-1.8-2.2FREGY201.69%Y17%dditionsUCGIM-0.30.6-

9、1.0-1.4ADeletionGLEFP1810.11%Y5%VNAGY-0.40.5-1.1-1.5URWNA178.55%Y0%Sources:Bloomberg,BNPParibasSources:Bloomberg,BNPParibasAccountingforupcomingdividendsuntilthe31Augustcut-offdate