The FTSE Eurozone Bond Index Series (formerly FTSE MTS Indexes) is a set of benchmarks for the European sovereign bond market. Independent total return indices measure the performance of the largest and most widely traded securities in the euro bond market. The pricing data underlying the FTSE Eurozone Bond Index Series, is drawn from the LSEG Evaluated Pricing Service (REPS).
Origin and History
In January 2003 EuroMTS Ltd acquired the intellectual property rights to the well-established CNO Etrix indices. The CNO indices were developed by the Comité de Normalisation Obligataire (French Bond Association) in 1989 to include French Sovereign debt and were subsequently evolved to include Eurozone government bonds from 1 January 1999.
The index range has been expanded to include other bond asset classes traded on the euro bond market, leveraging FTSE Russell’s robust governance framework and core principles of tradability and transparency.
On 31 March 2022, the FTSE MTS Bond Index Series was renamed the FTSE Eurozone Bond Index Series.
From 10 October 2022, The REPS prices replaced the MTS Platform prices.
FTSE Eurozone Bond Index Series Calendar
The FTSE Eurozone Bond Index Series is calculated on every day that is a TARGET business day. The following will be considered holidays and index values will not be published:
- 7th April
- 10th April
- 1st May
- 25th December
- 26th December
Please see below for spreadsheet examples of how FTSE Eurozone Bond Index Series product files can be used to calculate various FTSE Eurozone Bond Index Series values.
- Market Value Weighted Index - Index and Constituent Performance for the Market Value Weighted Indices.
- Alternatively Weighted Index - Index and Constituent Performance for Alternatively Weighted Indices.
- Index Macaulay Duration - To calculate the Index level Macaulay Duration.
- Proportion - The Proportion is a part of the calculation of alternatively weighted indices. It is used to determine the extent the market cap weight of each bond is adjusted.
FTSE Eurozone Highest-Rated Government Bond Index Series
FTSE Eurozone Lowest-Rated Government Bond IG Index Series
FTSE Eurozone Inflation-Linked Bond IG Index Series
FTSE Highest-Rated Macro-Weighted Government Bond Index Series
FTSE Eurozone Government Bond IG Index Series
FTSE Target Maturity Government Bond Index Series
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