Hong Xie
Former Senior Director, Global Research & Design, S&P Dow Jones Indices
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For over 20 years, our renowned SPIVA research has measured actively managed funds against their index benchmarks worldwide.
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Former Senior Director, Global Research & Design, S&P Dow Jones Indices
In June 2023, the U.S. dollar London Inter-Bank Offered Rate (LIBOR) will likely be discontinued. The Alternative Reference Rates Committee has identified the Secured Overnight Funding Rate (SOFR) as the recommended alternative reference rate to replace USD LIBOR. SOFR is calculated as a volume-weighted median of transaction-level U.S. Treasury repurchase agreements data, reflecting borrowing cost…
This year will be key in the London Inter-Bank Offered Rate (LIBOR) transition. After consultation on ending the publication of LIBOR in USD, GBP, EUR, CHF, and JPY, the administrator of LIBOR, the ICE Benchmark Administration (IBA), may announce its decision soon. The announcement of LIBOR cessation would trigger the spread adjustment to be fixed…
The year 2021 started with a continuous sell-off in the U.S. Treasury bond market. Starting on the second trading day of the year, yield on the 10-year U.S. Treasury Bond rose for five consecutive trading days by 23 bps until Jan. 12, 2021, when strong auction results for the 10-year note pulled the yield back…
In response to COVID-19 and its disruptive impact on the credit market, the U.S. Federal Reserve announced the creation of the Primary Market Corporate Credit Facility (PMCCF) and the Secondary Market Corporate Credit Facility (SMCCF) on March 23, 2020, to support the functioning of the credit market. The PMCCF provides a funding backstop for corporate…
In its Q3 2020 refunding statement1 released on Aug. 5, 2020, the U.S. Treasury announced its plan to increase auction sizes across all nominal coupon tenors over the August-October quarter, with larger increases in longer tenors (7-year, 10-year, 20-year and 30-year). To gauge the demand appetite for U.S. Treasuries, let’s review the size and composition…
In recent years, one noticeable development in the corporate bond market has been the rapid growth of the BBB bond market in terms of its absolute amount and relative share of investment-grade corporate bonds. We wrote a blog on this topic in May 2019 detailing the growth of the BBB bond market and its impact…
Since March 2020, the federal government has enacted four pieces of legislation to assist businesses and individuals weather the economic downtown triggered by the COVID-19 outbreak. According to the Congressional Budget Office (CBO), these four pandemic-related laws are projected to increase the federal deficit by USD 2.2 trillion in fiscal year 2020 and by USD…
The last few weeks have been challenging for business the world over. People working from home and aggressive social distancing have led to business contraction and the expectation of rising default. On March 19, 2020, an S&P report expected that the U.S. trailing 12-month speculative-grade corporate default rate would rise to 10% within the next…
Since mid-February, the market has turned sharply down in response to the coronavirus pandemic. The S&P 500® has fallen about 32% from its peak this year. Equity volatility shot up, as VIX® went from historical lows to the 70-80 range, which was last seen in November 2008. The 10-year U.S. Treasury Bond yield reached 0.32%…
The S&P U.S. High Yield Low Volatility Corporate Bond Index[1] is designed as a low volatility strategy in the high yield bond universe. The index aims to deliver higher risk-adjusted returns than the underlying broad-based benchmark through mitigating uncompensated credit risk. The back-tested index performance demonstrated the efficacy of the low volatility strategy, with reduced…