MTS launches Macro-Weighted Government Bond Indices
- Innovative weighting method
- Brings investors a set of diversified benchmark instruments, reflecting more accurately the economic situation of Eurozone countries
MTS, Europe’s premier facilitator for the electronic fixed income market, announced today the launch of the EuroMTS Macro-Weighted AAA Government Bond Index range.
These new indices use an innovative weighting method based on a balanced selection of macro-economic indicators measuring the short to long-term economic performance of euro-zone countries with the highest credit rating. They include an all-maturity index and six maturity sub-indices.
The new algorithm takes into account the real economic situation of Euro zone countries and the involved risks. The methodology uses the following indicators in establishing each country’s weight within the index:
- government debt as a percentage of GDP - current account as a percentage of GDP - quarter-on-quarter GDP growth - long-term interest rates
Country weightings are reviewed on a quarterly basis, while bond selections and weightings are rebalanced monthly, in line with the classical MTS Index.
Jack Jeffery, CEO of MTS, said: “MTS, by providing these indices calculated with a new weighting methodology, brings investors a set of diversified benchmark instruments, reflecting more accurately the economic potential and the prevailing sovereign risks in the euro-zone government bond markets. We believe these indices will be adopted as portfolio benchmarks, which can be tracked by instruments such as ETFs”.
The EuroMTS Macro-Weighted Government Bond Indices are calculated and published in real time. They are freely-available on the website www.euromtsindex.com and through major data vendors.
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Notes to Editors:
About EuroMTS Indices: The EuroMTS Index family is the first range of independent, transparent, real-time and tradable eurozone fixed-income indices designed for the international investment community. The EuroMTS Indices range consists of the EuroMTS Global Index and its maturity bands, the EuroMTS Inflation-Linked Indices range, composed of eurozone sovereign inflation-linked bonds, the EuroMTS Government Broad Index and its country sub-indices, the EuroMTS Short Broad Index, the EuroMTS AAA and ex-AAA Indices, the EuroMTS Government Bills Index, the EuroMTS Covered Bond Index and the EuroMTS Deposit Indices (which include the EuroMTS Eonia Indices and the EuroMTS FedFunds Indices).
The EuroMTS bond indices are calculated and disseminated in real-time between 9:00CET and 1730CET, using bid prices of the underlying bonds trading on the MTS market. MTS is the leading market in Europe for the trading of fixed-income securities. The indices are produced and published by EuroMTS and are commercialised by MTSNext. They are available on www.euromtsindex.com, and through a number of market data vendors such as Reuters (euromtsindex <GO>) and Bloomberg (EMTI <GO>). EuroMTS Indices are currently tracked by 29 ETFs and benchmarked by more than four hundred billion euros in managed funds.
More information is available at www.euromtsindex.com
About MTS: MTS is Europe’s premier facilitator for the electronic fixed income trading market, with over 500 unique counterparties and average daily turnover exceeding EUR 85 billion. MTS customers benefit from its relationship with Europe’s leading diversified exchange business, the London Stock Exchange Group, which operates the largest and most liquid equity marketplace in Europe.
MTS markets provide the professional trading environment for the interdealer marketplace, enabling primary dealers from across the globe to access unparalleled liquidity, transparency and coverage.
MTS further facilitates the dealer-to-client bond market through BondVision, the most trusted and efficient electronic bond trading market, delivering exceptional access for institutional investors direct to the market makers.
MTS Data is sourced directly and exclusively from the MTS interdealer market and includes benchmark real-time data, reference data, reference prices, time series data and snap- shot data, providing the benchmark data source on the fixed income market.
London Stock Exchange Group: London Stock Exchange Group (LSE.L) sits at the heart of the world’s financial community. The Group operates a broad range of international equity, bond and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS, Europe's leading fixed income market; and Turquoise, offering pan-European and US lit and dark equity trading. Through its markets, the Group offers international business unrivalled access to Europe’s capital markets.
The Group is a leading developer of high performance trading platforms and capital markets software and also offers its customers around the world an extensive range of real-time and reference data products and market-leading post-trade services.
Headquartered in London, United Kingdom with significant operations in Italy and Sri Lanka, the Group employs around 1,500 people.
Further information on London Stock Exchange Group can be found at www.londonstockexchangegroup.com