HSCEI Index Enhancement Proposal Drives Partial Flow, Term Structure Flattens

A proposal from Hang Seng Indexes to hold discussions with market participants surrounding the possible enhancement of the HSCEI index in an effort to provide a representative China index of the Hong Kong market has driven increased focus from portfolio managers and sellsiders in trying to determine the potential impact on vol and dividends in 2018 and 2019 maturities. So far, flow has been limited to play the enhancement, with calendar spreads in Dec-18/Dec-17 proving the most popular. Rob McGlinchey speaks with BNP Paribas’ Valery Bloud on the impact the potential for a HSCEI enhancement is already having on the current steep term structure in Dec-18/Dec-19 and expectations of lower vol and dividends in 2019 specifically.