As of October 2, 2003, all bonds either used to establish bond weights or actually included in the index, in addition to the existing suitability criteria, must be quoted on the inter-dealer MTS platform. This additional requirement ensures that the bonds selected and included in the index enjoy continuous real-time pricing and are adequately liquid at the dealer level, thus enhancing the replicability of the index. The real-time pricing will ensure that the indices are second to none as an intraday monitor of movements in the eurozone government bond markets, and will facilitate the creation and arbitrage of financial instruments linked to the EuroMTS Index.
A preliminary list of component changes is available on the website www.euromtsindex.com (under Information, Summary of Committee Advice). The final selection of bonds to be used for the October 2 re-balancing will be published on Tuesday 16th September 2003.
This change was decided in consultation with the EuroMTS Index Advisory Committee, which is comprised of representatives from major issuers, investment banks and asset managers. The input of the Committee helps ensure that the EuroMTS Index is structured to best address the needs of the marketplace.
Additional changes which will also be implemented on Oct. 2 include:
- Index calculations to be based on values established at the start of each month, rather than on T-1. This change will not alter the performance of the index, but will enhance the robustness of the calculation procedure
- Accrued interests will be calculated using the actual market settlement convention (i.e. T+1 for BTANs)
- The Global EuroMTS Index, incorporating all maturity ranges, will be calculated directly from the underlying portfolio of bonds, rather than from a weighted average of the underlying sub-indices.
Background
- EuroMTS Index
The EuroMTS Index was formerly the CNO Etrix and was acquired by EuroMTS from the French Bond Market Association (Comité de Normalisation Obligataire, or "CNO") in January 2003. It is the first independent, transparent, real-time and tradable government bond index for the European investment community. The index is produced by EuroMTS and is promoted by MTSNext, a joint venture between EuroMTS and Euronext, and benefits from the advice of a committee of market participants (the "Advisory Committee").
The Index is available in real time on www.euromtsindex.com, on the Reuters (page "EUROMTSINDEX") and on Bloomberg (currently CNO Index [GO], will soon transferred to EMTS [Go]).
- EuroMTS Index Advisory Committee
The Advisory Committee is composed of members from the following organisations:
Agence France Trésor
Allianz Dresdner Asset Management
BNP Paribas Asset Management
CDC Ixis
Comité de Normalisation Obligataire (CNO)
Dutch State Treasury Agency
European Investment Bank
HVB
ING Bank
Ministry of Economy, Spain
San Paolo IMI
