EuroMTS Macro-Weighted Government Bond Index Rules

Transcription

1 EuroMTS Macro-Weghted Government Bond Index Rules 1 of 13 MTS 21

2 Contents 1. MTS Indces Structure 1.1 Summary of MTS Indces 1.2 emtx[m]: EuroMTS Macro-Weghted Government 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. MTS Indces are calculated n realtme usng the best bd data from the MTS 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 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 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[m]: EuroMTS Macro-Weghted Government Bond Indces The EuroMTS Macro-Weghted Government Bond Indces (emtx[m]) currently comprse the EuroMTS Hghest Rated Macro-Weghted Government Bond Indces and the EuroMTS Macro-Weghted Eurozone Investment Grade Broad Index. The EuroMTS Hghest Rated Macro-Weghted Government Bond Indces are a famly of Eurozone soveregn ndces grouped by maturty range and based on ssuers wth the hghest credt ratngs. The pan-eurozone ndces (together wth ther maturty sub-ndces) were launched n October 211 and each ndex s suppled wth a hstory of ndex values datng back to 31 December The EuroMTS Macro-Weghted Eurozone Investment Grade Broad Index comprses only bonds from Eurozone ssuers wth at least two nvestment grade ratngs from the three man credt ratngs agences may become Elgble Bonds. It was launched n March 212 and s suppled wth a hstory of ndex values datng back to 31 December of 13

6 1.3 Selecton Crtera Each member of the Hghest-Rated emtx[m] Index famly has the followng bond elgblty crtera. All Elgble Bonds automatcally become Selected Bonds. The Hghest-Rated all-maturty ndex must comprse a mnmum of fve ssuers. Where a credt ratng downgrade for an elgble ssuer would lead to the number of elgble ssuers fallng below the mnmum, the ssuer n queston wll reman n the ndex untl a new ssuer becomes elgble to replace t. Elgblty Crtera: Nomnal, fxed coupon bullet-maturty bonds denomnated n euros and havng no embedded optons or convertblty Quoted on the MTS Platform Issued by the soveregn government of the followng Eurozone countres as selected by EuroMTS as havng not less than two AAA ratngs from the man ratngs agences: Austra, Belgum, Fnland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Slovena and Span Havng a mnmum outstandng amount of 2 bllon Havng the followng ssuer and maturty range: Base Dates and Selecton Crtera for the Hghest-Rated emtx[m] Indces: Index Maturty Range Base Date (Index=1) Selecton Crtera emtx[m] Hghest-Rated (all-maturty) > 1 year 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated: sub-ndex 1 3 years 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated : sub-ndex 3 5 years 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated: sub-ndex 5 7 years 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated: sub-ndex 7 1 years 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated: sub-ndex 1 15 years 31-Dec-98 Hghest-Rated Eurozone Issuers Only emtx[m] Hghest-Rated: sub-ndex 15+ years 31-Dec-98 Hghest-Rated Eurozone Issuers Only 6 of 13

7 Each member of the Investment Grade Broad emtx[m] Index has the followng bond elgblty crtera. All Elgble Bonds automatcally become Selected Bonds. Elgblty Crtera: Nomnal, fxed coupon bullet-maturty bonds denomnated n euros and havng no embedded optons or convertblty Quoted on the MTS Platform Issued by the soveregn government of the followng Eurozone countres as selected by EuroMTS as havng at least two nvestment grade ratngs from the three man credt ratngs agences: Austra, Belgum, Fnland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Slovena and Span Havng a mnmum outstandng amount of 2 bllon Base Dates and Selecton Crtera for the Broad emtx[m] Indces: Base Date Index Maturty Range (Index=1) Selecton Crtera emtx[m] IG (all-maturty) > 1 year 31-Dec-98 Any Eurozone ssuer wth mn. 2 nvestment grade ratngs 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 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. wdely dstrbuted for nformaton to the market va data vendors. These quotes are 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. 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 (such busness day beng the Effectve Date ) 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 current (populated) ndex portfolo s held constant untl a new bond(s) become elgble. 9 of 13

10 3. Index Algorthms 3.1 Monthly Rebalancng and Weghts Elgble Bonds are determned n accordance wth the crtera for each MTS Index. Selectons are made ether by ncludng all Elgble bonds or, n the case of some [e]mtx (ex-cno Etrx) sub-ndces, 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[m] Country Weghts Country weghtngs are ntally based on gross domestc product (GDP) data. Indvdual country GDP shares of the total of the elgble countres are then adusted usng a set of macroeconomc ndcators. Fnal country weghtngs are referred to as Macro-adusted GDP weghts and consttute country weghts n the all maturty ndex and all sub-ndces for whch all ssuers are elgble. The macro-adustment of the GDP shares s acheved by applyng the average of the standardzed fgures of four dfferent macroeconomc ndcators to each country s GDP share as a premum or dscount, dependng whether the metrc s postve or negatve. The resultng weght dstrbuton s re-adusted to add up to 1%. Note that the sum of premums and dscounts adds up to zero before re-adustment to 1%. In addton to GDP fgures, the followng four macroeconomc ndcators are used, each as an average of the last avalable 8 quarters: 1. Government Debt as a percentage of GDP 1 For example, n respect of the Setpember 11 Selecton, t would be 11: CET on Tuesday 16 th August of 13

11 2. Current account as a percentage of GDP 3. Quarter-on-quarter GDP growth 4. Long-term nterest rates The formula for standardzng each macroeconomc data for each country before averagng the results s Z= (x μ)/ σ where: x s a raw score to be standardzed per country; μ s the mean of the populaton *all selected ssung countres]; σ s the standard devaton of the populaton *as descrbed above for μ emtx[m]: Bond Weghts Macroeconomc data s updated on a quarterly bass and subsequently country weghtngs descrbed above reman vald for the entre calendar quarter. Indvdual bond weghts are however adusted on a monthly bass due to changes n market captalsaton. The only excepton s where a new ssuer s elgble to enter the ndex, or an exstng ssuer s no longer elgble and must be removed. In ths nstance, quarterly country weghts wll be updated by the lnear dstrbuton of the quarterly weght change over three months to reduce the mpact of the change n composton. The weght W of each Selected bond s determned usng data from 11: CET on the frst busness day followng the 15th day of the month mmedately precedng the effectve month. Ths tme s denoted t. All weghts are publshed to 3 decmal places and calculated n accordance wth the followng equaton: W CW c ( Cp[ t] AI[ t]) N[ t] ( Cp [ t ] AI [ t ]) N [ t ] n whch Cp [t ] s the quoted clean prce of bond at t, AI [t ] s the accrued nterest. N [t ] s the nomnal amount of bond outstandng on day t and the summaton (usng the ssuer ) s over all bonds for that ssuer. CW c s the country weght of country c, the ssuer of bond. Bond elgblty and selectons are establshed by applyng the relevant crtera for each ndex at t. 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 fxng, the 16: CET fxng 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