NO 230 – APRIL 2012
Reform and innovation in Chinese capital markets

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WFE Focus January 2012

CBOE introduces “VIX of VIX” benchmark index
The Chicago Board Options Exchange began publishing values for the CBOE “VIX of VIX” index. It tracks the volatility of the CBOE Volatility Index (the VIX Index), the world’s most widely-followed market volatility index.

CBOE and CFE launch derivatives on crude oil ETF volatility index
The Chicago Board Options Exchange and CBOE Futures Exchange (CFE) will each launch a new volatility index product based on the CBOE Crude Oil ETF Volatility Index. They will allow traders to hedge volatility risk associated with crude oil futures prices.

Deutsche Börse launches new indices for pension schemes
Deutsche Börse, in cooperation with Hymans Robertson’s longevity analytics arm, Club Vita, launched the Xpect - Club Vita indices, a new series of longevity indices that offer UK pension schemes an index-based alternative to better reflect the scheme’s risk profile when pursuing longevity swaps. With existing longevity indices, which display mortality of the average population, schemes that want to pursue an index-based swap must address the basis risk that results from the gap between their specific risk profile and the longevity risk of the population.

Shanghai Stock Exchange launches SSE 100 index and SSE 150 index
On 20 April 2012, the Shanghai Stock Exchange, in cooperation with China Securities Index Co., launched the SSE 100 Index and the SSE 150 Index. They will further enhance the SSE index family as well as provide new analysis tools and underlying instruments for investors.

Shenzhen Stock Exchange launches investment clock indexes
The Shenzhen Stock Exchange, in cooperation with the Shenzhen Securities Information Co. introduced the SZSE Investment Clock Index and the CNINFO Investment Clock Index. The sampling scope for the CNINFO Investment Clock Index falls within all A-share listed companies and SZSE Investment Clock Index within all A-share SZSE-listed companies. The investment clock indexes were prepared based on the investment clock theory according to which business cycle is divided into four phases (reflationary, inflationary, stagflationary and deflationary).

Tel-Aviv Stock Exchange launches new corporate bond indices and upgrades bond index methodology
The Tel-Aviv Stock Exchange’s Board of Directors approved the launch of three new Tel Bond indices, and amendments in the methodology for calculating corporate bond indices. This was held in order to improve the liquidity of TASE’s corporate bonds market. The new Tel-Bond indices, scheduled for launch on 1 May 2011, are the Tel Bond CPI Linked Index, the Tel Bond CPI Linked SmallCap Index, and the Tel Bond CPI Linked Banks Index. The new methodology for calculating bond indices is based on principles employed by equity indices methodology. This change will lead to a substantial increase in the number of bond series eligible for inclusion in TASE Tel-bond indices.

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