MTS, Europe's premier facilitator for the electronic fixed income market, announced today the launch of the EuroMTS Macro-Weighted AAA Government Bond Index range.
These new indices use an innovative weighting method based on a balanced selection of macro-economic indicators measuring the short to long-term economic performance of eurozone countries with the highest credit rating. They include an all-maturity index and six maturity sub-indices.
The new algorithm takes into account the real economic situation of eurozone countries and the involved risks. The methodology uses the following indicators in establishing each country's weight within the index:
- government debt as a percentage of GDP
- current account as a percentage of GDP
- quarter-on-quarter GDP growth
- long-term interest rates
Country weightings are reviewed on a quarterly basis, while bond selections and weightings are rebalanced monthly, in line with the classical MTS Index.
Jack Jeffery, CEO of MTS, said: "MTS, by providing these indices calculated with a new weighting methodology, brings investors a set of diversified benchmark instruments, reflecting more accurately the economic potential and the prevailing sovereign risks in the euro-zone government bond markets. We believe these indices will be adopted as portfolio benchmarks, which can be tracked by instruments such as ETFs".
The EuroMTS Macro-Weighted Government Bond Indices are calculated and published in real time. They are freely-available on the website http://www.euromtsindex.com/ and through major data vendors.
