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台积电台、美股套利交易玩不转，高盛提出零成本替代方案

Taiwan Semiconductor and arbitrage trading in US stocks are not doing well, Goldman Sachs proposes a zero-cost alternative.

Zhitong Finance ·  Jun 20 16:23

Source: Zhitong Finance

For a long time, buying TSMC's undervalued Taiwanese stocks and shorting TSMC's US ADR in hopes of a convergence of stock prices has been one of the arbitrage transactions favored by Wall Street investors. However, as TSMC's stock price skyrocketed, this arbitrage deal began to become painful.

Earlier reports indicated that currently the premium between TSMC's US stock ADR and Taiwanese stocks has risen to the highest level since 2009. As of last Friday, the premium was about 22%, far exceeding the 5-year average of about 8%. Jon Withaar, head of Pictet Asset Management's Asia division, warned: “Many people are betting on this, hoping that the premium will eventually fall back to a more reasonable long-term average, but the premium may expand further, which will have a huge impact at that time.”

In response, Goldman Sachs provided a zero-cost alternative to this arbitrage transaction. According to a report released by Goldman Sachs trading department on Wednesday, investors can use options to bet that TSMC's ADR premium (currently hovering between 20% and 25%) will shrink, which will limit investors' potential losses when the market trend is wrong. The bank also advises investors to buy a put option on TSMC's US stock ADR and sell a put option on TSMC's Taiwan stock.

Goldman Sachs said, “Traders love putting options versus putting options because it helps to significantly limit the biggest losses in the US tech/AI rebound scenario.” “The biggest risk associated with cash transactions is that ADR can continue to harness the momentum of artificial intelligence, so the premium is likely to expand further.”

According to reports, the reason why TSMC's US stock ADR performed better is because it is easier for foreign investors to invest in ADR, and ADR is included in many important indices and ETFs, such as the Philadelphia Semiconductor Index, as well as the Vaneck Semiconductor ETF and iShares Semiconductor ETF. This means that investors tracking these indices must buy TSMC's US stock ADR.

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The translation is provided by third-party software.


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