EuroMTS Eurozone Government Bill Index Rules

Transcription

1 EuroMTS Eurozone Government Bll Index Rules 1 of 11 MTS 21

2 Contents 1. MTS Indces Structure 1.1 Summary of MTS Indces 1.2 emtx[z]: EuroMTS Eurozone Government Bll Indces 1.3 Selecton Crtera 2. Generc Features of MTS Indces 2.1 Total Return 2.2 MTS Prce Source 2.3 Publcaton of Index and Underlyng Data 2.4 Weekly Rebalancng 3. Index Algorthms 3.1 Weekly Rebalancng and Weghts 3.2 Index Calculaton 3.3 Dstrbuton MTS Indces are calculated n accordance wth ths Rules document. In the event of any error or dscrepancy n ths document or any varatons n the calculaton and/or publcaton of the MTS Indces, EuroMTS dsclams all labltes, makes no representatons, dsclams all warrantes (whether mpled, express or statutory) and provdes no undertakngs whatsoever n respect thereof. Ths document s subject to amendment at short notce. The most recent copy of the Rules document shall always be avalable on the webste ( 2 of 11

3 1. MTS Indces Structure The MTS Indces are calculated and dstrbuted by EuroMTS, part of the MTS group of markets whch collectvely comprse Europe s premer electronc market n fxed-ncome securtes hosted on a centralsed tradng platform. Pre-trade and post-trade market data from the consoldated nter-dealer order book s wdely dstrbuted va data vendors, offerng the best source of realtme prce dscovery for the lsted securtes. All quotes made on the nter-dealer platform are lve and tradable to member dealers, and the commtment of lqudty by dealers to securtes ensures that the order book s tght and deep. The MTS group also ncludes BondVson, a leadng mult-dealer-to-clent electronc bond tradng market offerng prce dscovery and executon to buy-sde nsttutons from MTS dealers. MTS Indces are calculated n realtme usng the best bd data from the MTS platform. Consequently, MTS Indces enjoy the hghest degree of prce dscovery, replcablty and ndependence. Bond portfolos for each ndex are constructed by frst determnng Elgble Bonds n accordance wth the ndex rules, and then by selectng bonds from amongst these to become Selected Bonds. Although most ndces automatcally select all Elgble Bonds, ths approach preserves the hstorcal desgn of the [e]mtx: EuroMTS Eurozone Government Bond Indces (ex-cno Etrx) see the MTS Index webste for further detals. 3 of 11

4 1.1 Summary of MTS Indces The MTS Indces product range comprses the followng ndex famles [e]mtx: EuroMTS Eurozone Government Bond Indces (Ex-CNO Etrx) emtx[g]: EuroMTS Eurozone Government Broad Indces emtx[3a]: EuroMTS Hghest Rated Government Bond Indces emtx[]: EuroMTS Eurozone Inflaton-Lnked Bond Indces emtx[m]: EuroMTS Macro-Weghted Government Bond Indces emtx[c]: EuroMTS Covered Bond Indces emtx[s]: Short EuroMTS Eurozone Government Broad Indces [gv]mts: MTS Government Indces emtx[z]: EuroMTS Eurozone Government Bll Indces: emtx[n]: EuroMTS New Eu Government Bond Index MTS[Itala]: MTS Italy Indces emtx[d]: EuroMTS Depost Indces For further detals of any of our ndex products, please vst our webste: 4 of 11

5 1.2 emtx[z]: EuroMTS Eurozone Government Bll Indces The EuroMTS Government Bll Indces ( emtx[z] Index ) are a famly of ndces that measure the total return of a portfolo of soveregn blls ssued by countres belongng to the Eurozone and lsted on the MTS bond platform. The famly currently comprses ndces grouped by the followng maturty bands: -3 months, -6 months and -12 months. In the -6 months maturty bucket, two ndces are produced, one of whch s capped, meanng that each ssuer s capped wthn the ndex to a maxmum of 34.5%. The -3 month, -12 month and remanng -6 month ndces are weghted by market captalzaton wthout ssuer cappng. The Bll Indces are publshed every 3 seconds and wth snapshots at 11:, 16: and 17:3 CET. 5 of 11

6 1.3 Selecton Crtera Blls satsfyng the followng crtera wll be selected for the EuroMTS Eurozone Government Bll Indces: Elgblty Crtera: Any soveregn bll ssued by France, Germany, Span, Italy, Belgum, the Netherlands, or Portugal subject to the above ssuers havng at least two short-term nvestment grade credt ratngs from the three man ratngs agences. Subject to actve quotaton on the MTS platform Maturty date falls wthn the Maturty Range for any gven selecton perod, as defned below. Blls satsyng the crtera above become Selected Blls. Blls that satsfy all crtera except for the quotaton requrement (but are lsted on the MTS Platform) are Elgble Blls. Index Maturty Range Base Date (Index=1) Selecton Crtera emtx[z] -3 months 1-Sep-3 Eurozone Issuers Lsted Above emtx[z] -6 months 1-Sep-3 Eurozone Issuer Lsted Above emtx[z] -6 months 1-Sep-3 Eurozone Issuers Lsted Above subject to cappng at 34.5% emtx[z] -12 months 1-Sep-3 Eurozone Issuers Lsted Above 6 of 11

7 2. Generc Features of MTS Indces 2.1 Total Return MTS Indces are total return ndces. Coupons pad out on any bond n an ndex portfolo are renvested overnght n the ndex tself. No deducton s made to a coupon before t s renvested n the ndex.e. no wthholdng tax s appled. 2.2 MTS Prce Source MTS Indces are prced usng lve quotes from the MTS nter-dealer platform. Each bond quoted on the MTS platform s supported by multple dealers supplyng tght, contnuous quotes. These quotes are wdely dstrbuted for nformaton to the market va data vendors. Any bond ncluded n an MTS Index must frst be quoted on MTS. Ths s a very wde crteron that excludes only extremely llqud bonds, makng the ndces easer to replcate. Index updates are calculated usng best bds. New bonds enterng an ndex portfolo for the frst tme use the best offer, replcatng the bd-offer spread experenced by a fund trackng the ndex. The prces used to update the ndces are taken from the MTS market every 3 seconds. In the event that there s no market prce for a gven 3 second update, the ndex wll be calculated usng a Last Good Prce (LGP),.e. the most recent acceptable market prce for the affected bond. In addton, the ndex process flters for off-market prces. In the event of an off-market prce, the LGP s used untl ether an onmarket prce s avalable, or untl the flter s overrdden. 7 of 11

8 2.3 Publcaton of Index and Underlyng Data MTS Indces are publshed every 3 seconds between 9: CET and 17:3 CET, wth three snapshots at 11: CET, 16: CET and 17:3 CET. Bond prces used for the 11:, 16: and 17:3 CET snapshots are publshed on the webste. Realtme bond prces drectly from the MTS platform are avalable from data vendors. These bond prces are dstrbuted wth a hgher frequency than the 3 second ndex updates. Underlyng bond portfolo composton and weghts are also publshed on the MTS Index webste. 2.4 Weekly Rebalancng The EuroMTS Eurozone Government Bll Indces are rebalanced every calendar week, wth the selecton perod applyng from Monday to Frday. New selectons for the ndex portfolos and ther weghts are establshed usng market data at 11: CET on the last TARGET busness day mmedately pror to the new selecton perod (usually the precedng Frday - such a busness day beng the Selecton Day ). The Base Date date for determnng elgble maturtes s the frst busness day followng the end of the effectve week (.e. normally the followng Monday). Gven the settlement perod for each securty (2 or 3 busness days), the mnmum Maturty Date of each elgble securty s the settlement perod plus one busness day after the Base Date for each effectve week. Where maxmum maturty crtera apply, the maxmum maturty date of each elgble securty s the maxmum perod after the Base date for each effectve week. The frst settlement day of any securty followng ssuance must be on or before the Selecton Day n order for that bond to be elgble for the new weekly selectons. Selectons apply from and ncludng the second busness day of each calendar week untl and ncludng the frst busness day of the next calendar week. 8 of 11

9 3. Index Algorthms 3.1 Weekly Rebalancng and Weghts The actve quotaton of blls vares accordng to each ssuer, wth some bll types requrng quotaton n all blls, and other requrng quotaton n a lqud or benchmark subset of avalable blls. Only blls that are actvely quoted become Selected Blls for the EuroMTS Bll Indces, but the weght of each bll reflects the total sze of each country s bll market as lsted on the MTS Platform (whether quoted or not) and fallng n the correct maturty range,.e. all Elgble Blls. Denotng the market captalsaton of bll at tme t as CB [t] and the prce and nomnal sze of the same bll as Cp [t] and [t] N respectvely,.e. CB [t] Cp [t] N [t] and denotng the ssuer of bond as s() then the weght for the th bond s calculated at tme t as W Elgble Blls j CB Elgble Blls j j [t ] CB [t j s( j).s() ] Selected Blls k CB [t CB k [t ] ] s(k).s() The summatons over j mply the summaton of the market captalsatons of all Elgble Blls n respect of the ndex, whereas the summaton over k mples the summaton of the market captalsatons of only the Selected Blls n respect of the ndex. The s( j).s() functon equals one f ssuer s(j) and ssuer s() are the same (and otherwse equals zero). Ths term ensures that only bonds from ssuer s() are ncluded n the summatons. Each relatve ssuer weght, as represented by the summatons over j n the weght equaton above, are capped at 34.5%. If a relatve ssuer weght exceeds ths cap, the excess amount s removed and s re-allocated to the 9 of 11

10 remanng ssuer weghts accordng to ther szes relatve to each other (and excludng the ssuer orgnally n excess of the cap). 3.3 Index Calculaton The EuroMTS Eurozone Government Bll Indces are calculated tme t on tradng day d as I [t,d] I[11 : CET,d 1] W Cp [t W Cp [t,d] Cp [t,d ] Cp [11 : CET,d 1],d ] where t and d are the tme and date on whch the weghts are calculated, and the summatons over are over all Selected Blls. The summatons are n respect of the same ndex selecton. Once a new selecton becomes effectve, the denomnator for the prevous busness day s calculated n respect of the same new selecton. Bll prces are lve quotes from the MTS Platform. Index updates are calculated usng best bds. New bonds enterng an ndex portfolo for the frst tme use the best offer. Ths replcates the bd-offer spread that would be experenced by a fundng trackng the ndex. In the event that there s no market prce for a gven calculaton, the ndex wll be calculated usng a Last Good Prce (LGP),.e. the most recent acceptable market prce for the affected bond. If a market prce s consdered to be napproprate, t may be overrdden. 1 of 11

11 3.4 Dstrbuton The emtx[z] Indces are dstrbuted va Bloomberg and Reuters wth the followng tckers Realtme: Bloomberg Reuters emtx[z] -3 months EMTT3UR <Index> EMTT3UR= emtx[z] -6 months EMTT6UR <Index> EMTT6UR= emtx[z] -6 months capped EMTT6CR <Index> EMTT6CR= emtx[z] -12 months EMTTYUR <Index> EMTTYUR= 173 Snapshot: Bloomberg Reuters emtx[z] -3 months EMTT3UC <Index> EMTT3UC= emtx[z] -6 months EMTT6UC <Index> EMTT6UC= emtx[z] -6 months capped EMTT6CC <Index> EMTT6CC= emtx[z] -12 months EMTTYUC <Index> EMTTYUC= The emtx[z] Indces are also publshed at 11 of 11