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Indices
Unique Characteristics
The EuroMTS Indices are based on four underlying principles: Representativeness, Homogeneity, Replicability and Transparency.
These four principles are designed to enhance the value of the indices
to both bond portfolio managers and financial product issuers.
Representativeness: over
time, from 1 year to 50 years
The EuroMTS Index family is representative of the various bond asset
classes and maturity bands that exist in the eurozone fixed income from
a minimum maturity of one year. The structure of the maturity bands reflects
the issuance and investment profiles of bond issuers in the Eurozone.
Replicability
The EuroMTS Index family is representative of the relevant maturity bands
used as benchmarks by institutional investors. For example for the EuroMTS
Governments index each maturity band is represented by a sample of no
more than twenty-two bonds, leading to a global index comprised of no
more than one hundred and thirty-two bonds. One of the key selection
criteria for the sample is the liquidity of the bonds (over 2 billion
euro outstanding to be selected). Furthermore, as bond becomes too short
for its existing maturity band, it enters the relevant shorter one.
These key design factors ensure stability in the indices and avoid unnecessary
index rebalancing enabling active or passive managers to manage assets
efficiently.
Homogeneity
The EuroMTS Index family is representative of debt issued by sovereign
governments and strictly defined as “Government Securities”.
Such issues are governed by standardised market practices and possess
liquidity that is structured around the MTS markets.
Transparency
Transparent Features
EuroMTS indices are rules based and are calculated using the market standard
MTS Markets prices. Index rebalances are predictable and published well
in advance of becoming effective.
Transparent reporting tools
Technical indicators or analytics such as average coupon, maturity, yield,
duration, modified duration and convexity are published for all EuroMTS indices
They are calculated and disseminated in real time via www.euromtsindex.com and
a variety of market data vendors and media. These indicators are extremely
useful for both ex–ante (“what if?” scenarios, V@R simulations)
and ex–post, for performance attribution.
Independence
The EuroMTS indices are maintained, calculated and disseminated independently
of any market participants and fixed income securities issuers. Although
these organisations are widely consulted to maintain the usefulness
and representation of the indices, all decisions relating to the
structure and calculation of the indices and the business model which
governs them are controlled by MTSNext and EuroMTS
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