“Because they cover only a small number of highly liquid bonds, the tracking and hedging costs for banks that set up products on the indexes will be reduced,” said David Mark, iBoxx chief executive.
To be included in the index, the remaining time to maturity for the bond must be at least 1.5 years and the amount outstanding at least €1 billion for corporate bonds and €2 billion for sovereign bonds.
ABN Amro, Barclays Capital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort Wasserstein, Morgan Stanley and UBS Warburg supply bid and ask quotes on a continuous basis to Deutsche Börse as part of the iBoxx venture. The German exchange then calculates the consolidated prices and indexes from the data and distributes it in real time to traders.
The week on Risk.net, July 7-13, 2018Receive this by email