BBVA together with BME is developing the new IBEX 35 target volatility indexesSeptember 10, 2013
Opening bell on the Madrid Stock Exchange
- The family is composed of eight indexes, four volatility targets and two types of index for each target volatility level - standard and financed
- Given that they are calculated and published by BME, they offer investors maximum clarity and transparency, and are highly adaptable to market trends
- They will begin to be calculated and published on September 24
BBVA together with Bolsas y Mercados Españoles (BME) has developed the methodology for the new IBEX 35® TARGET VOLATILITY stock index family, which will begin to be calculated and disseminated in real time as of September 24. The new indexes are designed to limit the IBEX 35's risk to predetermined levels, through an automatic volatility-adjustment mechanism. This mechanism aims to optimize the IBEX 35's exposure, allowing it to adapt to the target volatility desired by investors.
The new family is composed of eight indexes and includes four volatility targets (10%, 12%, 15% and 18%) and two types of index for each target volatility level - the standard level and the financed level. The strategy of the standard series is based on a dynamic combination of investment in fixed income and equity, whereas the financed series invests only in equity, financing invested capital at market interest rates.
The new indexes were unveiled for the market at an event held this morning at the Madrid Stock Exchange hosted by Jorge Yzaguirre, Director of Equity Unit, BME, and Julio Sobremazas, director of Equity at BBVA Corporate & Investment Banking. At the traditional opening bell, Jorge Yzaguirre explained that "these new indexes round out BME's offering on the IBEX 35, the most popular and widely used exchange in the Spanish market," and thanked BBVA "for its collaboration and technical support for the development of the methodology used for calculating the new indexes, which are being brought online to serve as an underlying asset for financial products."
Additionally, the head of BBVA's equity business, Julio Sobremazas, highlighted the advantages of financial products that use of these new indexes as an underlying asset, "because, given that they are calculated and published by BME, they offer investors maximum clarity and transparency, and are highly adaptable to market trends, as their exposure to the IBEX 35 increases or decreases according to the levels of realized volatility. They also allow for a high degree of stability in option prices and make it possible to optimize the cost of the premium, given that the client pays only for the selected volatility level."
The new indexes are named:
IBEX 35® VOLATILIDAD OBJETIVO 10 ESTÁNDAR,
IBEX 35® VOLATILIDAD OBJETIVO 12 ESTÁNDAR,
IBEX 35® VOLATILIDAD OBJETIVO 15 ESTÁNDAR,
IBEX 35® VOLATILIDAD OBJETIVO 18 ESTÁNDAR,
IBEX 35® VOLATILIDAD OBJETIVO 10 FINANCIADO,
IBEX 35® VOLATILIDAD OBJETIVO 12 FINANCIADO,
IBEX 35® VOLATILIDAD OBJETIVO 15 FINANCIADO,
IBEX 35® VOLATILIDAD OBJETIVO 18 FINANCIADO
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