EuroMTS Covered Bond Index Rules

Transcription

1 EuroMTS Covered Bond Index Rules 1 of 13

2 Contents 1. MTS Indces Structure 1.1 Summary of MTS Indces 1.2 emtx[c]: EuroMTS Covered Bond 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 Monthly Rebalancng 3. Index Algorthms 3.1 Monthly Rebalancng and Weghts 3.2 Index Portfolo Captalsatons 3.3 Index Calculaton 3.4 Analytcs 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 subect to amendment at short notce. The most recent copy of the Rules document shall always be avalable on the webste ( 2 of 13

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. The EMTX[c] Indces are calculated n realtme usng the best bd data from the MTS BondVson platform. Consequently, MTS Indces enoy 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 closely follows 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 13

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 13

5 1.2 emtx[c]: EuroMTS Covered Bond Indces emtx[c] s a famly of 17 bond ndces comprsng euro-denomnated covered bonds and was launched on 18 July 25. The emtx[c] Aggregate (all-maturty) ndex ncludes all covered bonds selected n the aggregate maturty ndces (1-3yr, 3-5yr, 5-7yr, 7-1yr and 1-15yr). These sub-maturty aggregate ndces contan a maxmum of one bond per ssung entty, wth the weght of selected bonds establshed from the total market captalsaton of all Elgble Bonds from the bond s ssuer. Eght addtonal ndces defned by country of ssuance and maturty range are suppled wth a hstory of ndex values and analytcs datng back to 3 January 2. The emtx[c] famly s completed wth another 6 ndces datng from 1 October 23. In the case of German Pfandbrefe, sub-ndces for Oeffentlche and Hypothekenpfandbrefe are ncluded. 5 of 13

6 1.3 Selecton Crtera Selectons for the EMTX[c] ndces (Pan-Eurozone maturty buckets A-E) are made n two steps: 1) Establsh all Elgble Bonds 2) Select a lmted number of Elgble Bonds for the ndex ( Selected bonds ) Elgblty Crtera: Nomnal, fxed coupon, bullet-maturty bonds denomnated n euros and havng no embedded optons or convertblty Lsted on the MTS BondVson platform Covered wth mortgages and/or publc sector loans Havng a mnmum outstandng amount of 1 bllon Havng at least one nvestment grade ratng from the three man credt ratngs agences Havng at least 3 lead managers, not ncludng the ssuer tself Satsfyng the followng crtera for each emtx[c] ndex Base Dates and Selecton Crtera for the emtx[c] Indces: Index Maturty Range Base Date Country of Issuance Note emtx[c] Aggregate > 1 year 3-Jan- Any All Selected Bonds n sub-ndces emtx[c] Aggregate 1-3 years 3-Jan-2 Any 1 Elgble Bond per ssuer emtx[c] Aggregate 3-5 years 3-Jan- Any 1 Elgble Bond per ssuer emtx[c] Aggregate 5-7 years 3-Jan- Any 1 Elgble Bond per ssuer emtx[c] Aggregate 7-1 years 3-Jan- Any 1 Elgble Bond per ssuer emtx[c] Aggregate 1-15 years 5-May-4 Any 1 Elgble Bond per ssuer NB** Where MTS s unable to confrm nformaton pertanng the above crtera, the sad bond wll be wthheld from the ndex untl ts elgblty can be confrmed. For maturty sub-ndces wth a selecton lmt of 1 bond per ssuer but havng less than 1 Selected Bond nherted from the prevous month for any gven ssuer, any avalable Elgble Bond wth a sutable maturty and ssuer s selected. If there s more than one sutable Elgble bond, the bond that maxmses the followng product becomes the Selected Bond: 6 of 13

7 Outstandng Amount x Resdual Maturty wthn the Maturty Range Also publshed as part of the EMTX[c] ndex famly are a number of ndces organzed by country of ssuance. Detals of these are gven below, wth selectons for these ndces beng determned by the Selected Bonds n the Pan-Eurozone ndex lsted above wth the correspondng maturty range. Index Maturty Range Base Date Country of Issuance Note emtx[c] Germany > 1 year 3-Jan- Germany - emtx[c] Germany 1-3 years 3-Jan-2 Germany - emtx[c] Germany 3-5 years 3-Jan- Germany - emtx[c] Germany 5-7 years 3-Jan- Germany - emtx[c] Oeffentlche > 1 year 1-Oct-3 Germany Oeffentlche Bonds Only emtx[c] Hypo > 1 year 1-Oct-3 Germany Hypothekenpfandbrefe Bonds Only emtx[c] France > 1 year 3-Jan- France - emtx[c] UK > 1 year 1-Oct-3 UK - emtx[c] Span > 1 year 1-Oct-3 Span - emtx[c] Span 7-1 years 1-Oct-3 Span - emtx[c] Ireland > 1 year 1-Oct-3 Ireland - 7 of 13

8 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 The EMTX[c] Indces are prced usng lve quotes from the MTS BondVson platform. Each bond quoted on the platform s supported by multple dealers supplyng tght, contnuous quotes. 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 BondVson 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 on-market prce s avalable, or untl the flter s overrdden. 8 of 13

9 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 Monthly Rebalancng MTS Indces are rebalanced every calendar month. New selectons for the ndex portfolos and ther weghts are establshed usng market data at 11: CET on the frst TARGET busness day followng the 15th day of the month pror to the effectve date of the new selectons (such busness day beng the Selecton Day ). The frst settlement day of a bond followng ssuance must be on or before Selecton Day n order for t to be elgble for the new monthly selectons. Selectons apply from and ncludng the second busness day of each month untl and ncludng the frst busness day of the next month. Maturty ranges for a monthly selecton are establshed from the frst calendar day of the followng month. In the event that there are no Elgble Bonds avalable to be selected for a new monthly ndex portfolo, the ndex portfolo s held constant once the current (populated) ndex portfolo expres untl a new elgble bond(s) becomes avalable. 9 of 13

10 3. Index Algorthms 3.1 Monthly Rebalancng and Weghts Elgble bonds are determned n accordance wth the crtera for each EuroMTS Index. Selectons are made ether by ncludng all Elgble bonds or, n the case of some EuroMTS Covered Bond Index subndces, by ncludng a subset of the Elgble bonds. The weght W of each Selected bond s determned usng data from 11: CET on the frst busness day followng the 15 th day of the month mmedately precedng the effectve month 1. Ths tme s denoted t. All weghts are publshed to 3 decmal places. Bond elgblty and selectons are establshed by applyng the relevant crtera for each ndex at the same tme t emtx[c]: EuroMTS Covered Bond Indces The aggregate sub-ndces belongng to the emtx[c] Indces nclude only a subset of all Elgble Bonds as Selected Bonds (see Secton 1.2 for detals). Addtonally, Selected Bonds for the emtx[c] Aggregate Index (all-maturty) are smply those that are selected for the maturty sub-ndces (.e. a combnaton of some and all Elgble Bonds n respect of each sub-ndex). emtx[c] aggregate sub-ndces n whch only a subset of Elgble Bonds become Selected Bonds are weghted by usng the total captalsaton of each ssuer s Elgble Bonds wthn that sub-ndex to represent that ssuer n the sub-ndex (maxmum of one bond per ssuer). Denotng the market captalsaton of bond at tme t as CB [t],.e. CB [t] (Cp [t] AI [t]) N [t] 1 For example, n respect of the September 211 Selecton, t would be 11: CET on Tuesday 16 th August of 13

11 and denotng the ssuer of bond as s() then the weght for the th bond s calculated as: W Elgble Bonds CB [ t Elgble Bonds s ] CB [ t ( ). s( ) ] The summatons over mply the summaton of the market captalsatons of the Elgble Bonds n respect of the gven sub-ndex.. The s( ).s() functon equals one f ssuer s() and ssuer s() are the same otherwse equals zero. Ths ensures that only bonds from ssuer s() are ncluded n the summatons. Fnally, the emtx[c] Aggregate Index (all-maturty) s composed of all bonds ncluded n the sub-ndces The weght of each bond n the all-maturty ndex s the weght of the bond n the sub-ndex multpled by the captalsaton of that sub-ndex relatve to the total captalsaton of all sub-ndces. The total captalsaton K r of sub-ndex r s defned as the total market captalsaton of all Elgble bonds for that sub-ndex,.e. Elgble Bonds K r CB [t ] The weght of bond n the all-maturty ndex, all maturty W, s defned n terms of that bond s weght n the sub-ndex r to whch t also belongs, r() W, as follows: W allmaturty W r() K All subndces s r() K s 11 of 13

12 3.2 Index Portfolo Captalsatons Index calculatons are based on the weghted captalsaton of the underlyng bond portfolos, both ncludng and excludng any coupons pad out. The weghted captalsaton V[t,d] of a nomnal bond ndex portfolo at tme t on day d and ncludng any coupons pad out s calculated as: W V WthCoupon [t,d] (Cp [t,d] AI[d] [d,d 1] C ) (Cp [t ] AI [t ]) where [d,d-1] = 1 f and only f the settlement of d falls n a dfferent coupon accrual perod from the settlement of the prevous tradng day (d-1) and C s the coupon payable n respect of the coupon accrual perod n whch the settlement of d-1 falls (e.g. half the annual coupon f the bond s a sem-annual securty, or an adusted coupon f the accrual perod s a long or short frst perod). No deducton s made to a coupon before t s renvested n the ndex. The weghted captalsaton V[t,d] excludng any coupons pad out s as follows: W V NoCoupon [t,d] (Cp [t,d] AI[d]) (Cp [t ] AI [t ]) 3.3 Index Calculaton Each ndex s calculated at tme t on tradng day d as follows: I[t,d] I[11: CET,d 1] V V NoCoupon WthCoupon [t,d] [11: CET,d 1] 12 of 13

13 Note that: The 11: CET base ndex and the base weghted captalsaton (both on d-1) are used for the 11: CET snapshot, the 16: CET snapshot, the 17:3 CET snapshot and the realtme ndex process The V WthCoupon and V NoCoupon used n the above equaton must always be calculated n respect of the same monthly selecton of bonds. For ths reason, although an exprng selecton of bonds s used untl the end of the frst busness day of a new month, a V NoCoupon calculaton s made for the new selecton of bonds at 11:CET on the frst busness day. Ths value s not used untl the second busness day, when t s used as the base (.e. d-1) weghted captalsaton for that day. Note that ths value s calculated usng best offer prces for new Selected Bonds, and usng best bd prces for all other Selected Bonds. 3.4 Analytcs Each MTS Index s publshed together wth: Average Coupon Average Maturty Average Yeld Average Macaulay Duraton Average Modfed Duraton Average Convexty Wth the excepton of the average yeld, the average analytcs (denoted X) are the sums of the weghted bond analytcs x : X Selected Bonds W x The average yeld Y s the sum of the ndvdual bond yelds y weghted wth modfed duratons MD : Y Selected Bonds W MD Selected Bonds y W MD 13 of 13