It comprises a combination of weather and emissions asset classes and is the first integrated index that allows market participants to obtain an exposure to greenhouse gas emissions and their impact on the weather.
The UBS-GHI is constructed using liquid, actively traded futures contracts.
Weather exposure is derived from Heating Degree Day (HDD] and Cooling Degree Day (CDD) futures contracts traded on the Chicago Mercantile Exchange (CME).
Emissions exposure is provided by carbon credits as
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data