INDEX SERIES FTSE PUBLICATIONS. FTSE MTS Indices

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1 INDEX SERIES FTSE PUBLICATIONS FTSE MTS Indices

2 BEIJING BOSTON DUBAI HONG KONG LONDON MILAN MUMBAI NEW YORK PARIS RIO DE JANEIRO SAN FRANCISCO SHANGHAI SYDNEY TORONTO TOKYO About FTSE TMX Global Debt Capital Markets FTSE TMX Global Debt Capital Markets is a leading global provider of fixed income indices. Formed in 2013, FTSE TMX Global Debt Capital Markets is a joint venture that combines the fixed income index businesses of FTSE Group, TMX and MTS. This rapidly expanding business offers both global indices and analytical systems, and provides the flagship domestic benchmarks for a growing number of regions including Canada, UK and Eurozone. Through partnering with local industry leaders, FTSE TMX Global Debt Capital Markets is also extending its offerings for China, Australia and Latin America. Key index series include the FTSE Global Bond Index Series, FTSE TMX Canadian Series, FTSE Actuaries UK Gilts Index Series, FTSE BOCHK Offshore RMB Bond Index Series, FTSE PiP Index Series and the FTSE MTS Index Series. For more information please visit

3 FTSE MTS Indices: The benchmark for European fixed income The FTSE MTS Indices track the performance of the largest and most widely traded government issued securities in European bonds. The indices are benchmarked by more than EUR 400 billion in assets under management and serve as the reference for numerous financial instruments such as exchange traded funds (ETFs), structured products, bond funds and index certificates. The indices are calculated using real time executable bond prices from over 500 unique counterparties on the MTS electronic trading system, providing high levels of transparency and replicability. 3

4 FTSE MTS Indices FTSE MTS Difference Independent FTSE MTS indices are the first independent total return indices measuring the performance of the largest securities in the euro bond market. Market Pricing Underlying constituents of FTSE MTS Indices rely exclusively on market prices, eschewing single source, modelled, derived or differential prices. Transparent The availability of executable bond prices offers a level of transparency and replicability that is unique in the bond markets. Innovative Understanding the needs of market participants, deliver the right index solutions and being committed to setting new standards in innovation. Tradable Accurate and stable methodology and real market prices facilitate the creation of tradable instruments tracking the FTSE MTS Indices. Strong Governance Independent committees oversee our indices to ensure that they meet market needs. 4

5 Transparency Independence Tradability Reliability 5

6 FTSE MTS Indices Indices Offered FTSE MTS Index Series: Indices measuring the performance of the Eurozone government debt market via a selection of representative bonds and based on the well-established algorithm originally designed by the CNO. FTSE MTS Government Broad Indices: Indices representing the performance of the Eurozone government bond markets. FTSE MTS Government Indices: Country indices measuring the performance of the local government bond market. FTSE MTS Investment Grade Index Series: Indices for European Government issues with more than two investment grade ratings. FTSE Short MTS Broad Index Series: Indices representing fully collateralised short portfolios of European government bonds. FTSE MTS Inflation-Linked Index Series: Indices that represent inflation-linked European government debt securities. 6

7 FTSE MTS Highest Rated Index Series: Indices for the Eurozone government debt issues with the highest notes from the major rating agencies. FTSE MTS Lowest Rated Index Series: Indices for the lowest Investment Grade Eurozone government debt issues. FTSE MTS Macro-Weighted Indices: Indices for Eurozone government bonds using alternative weighting method based on macro economic indicators. FTSE MTS Target Maturity Index Series: Indices for Eurozone government bonds which target a specific maturity. FTSE MTS Covered Bond Index Series: UK, German, Italian, Spanish, French and Irish covered bond indices. FTSE MTS Deposit Index Series: Indices that represent the rolling deposit in the overnight interbank market. Includes the EuroMTS Eonia Total Return Index and EuroMTS FedFunds Index. FTSE MTS Italy Indices & FTSE MTS Italy ex-bank of Italy: Indices that are composed exclusively of Italian government debt securities. 7

8 FTSE MTS Indices FTSE MTS Index Series Family Trees FTSE MTS Euro Government Bond Index Eurozone Government Bond Index All Maturity EMTX 1-3 years EMTX 3-5 years EMTX 5-7 years EMTX 7-10 years EMTX years EMTX 15+ years EMTX years EMTX 25+ years FTSE MTS Inflation-Linked Bond Index Eurozone Inflation Linked Aggregate Government Bond Index EMTXi HICP All maturity EMTXiF France Agg FRCPI+HICP EMTXiI Italy HICP EMTXi HICP 1-10 years EMTXi HICP 10+ years EMTXi Aggregagte 1 10 years EMTXi Aggregagte 10+ years EMTXi France France FRCPI HICP Harmonised Index of Consumer Prices (ex. Tobacco) CPI Consumer Price Index (ex. Tobacco) FRCPI French Consumer Price Index (ex. Tobacco) 8

9 FTSE MTS Covered Bond Indices Covered Bonds Aggregate Index All Maturity EMTXc Aggregate (3 5 years) EMTXc Aggregate (5-7 years) EMTXc Aggregate (7-10 years) EMTXc Germany (3-5 years) EMTXc Germany (5-7 years) EMTXc Hypo (all-maturity) EMTXc Spain (7-10 years) EMTXc Germany (all-maturity) EMTXc Oeffentliche (all-maturity) EMTXc France (all-maturtity) EMTXc UK (all-maturtity) EMTXc Spain (all-maturity) EMTXc Ireland (all-maturtity) FTSE MTS Deposit Index Deposit Indices EMTX Eonia EMTX Eonia Investable EMTX Fed Funds EMTX Fed Funds Investable 9

10 FTSE MTS Indices FTSE MTS Italy ex-bank of Italy Indices FTSE MTS Italy Aggregate Ex-Bank of Italy All BOTs, BTPs, CTZs & CCTs listed on the MTS platform FTSE MTS Italy Composite Ex-Bank of Italy All BOTs, BTPs & CTZs listed on MTS FTSE MTS Italy BOT Ex-Bank of Italy FTSE MTS Italy BTP Ex-Bank of Italy FTSE MTS Italy CTZ Ex-Bank of Italy FTSE MTS Italy CCT Ex-Bank of Italy FTSE MTS Italy BTPi Ex-Bank of Italy All BOTs listed on MTS All BTPs listed on MTS All CTZs listed on MTS All CCTs listed on MTS All BTPi listed on MTS FTSE MTS Italy Indices FTSE MTS Italy General Fixed Coupon BTPs with a minimum of 3 months to maturity FTSE MTS Italy Short Term Fixed Coupon BTPs with a minimum of 3 months and a maximum of 2 years to maturity FTSE MTS Italy Medium Term Fixed Coupon BTPs with a minimum of 2 years and a maximum of 5 years to maturity FTSE MTS Italy Long Term Fixed Coupon BTPs with a minimum of 5 years to maturity FTSE MTS Monetary Rate BOTs with a maximum of 3 months to maturity FTSE MTS Italy Variable Rate CCTs with a minimum of 3 months to maturity FTSE MTS Italy STIR BOTs, BTPs, CTZs with a minimum of 3 months and a maximum of 2 years to maturity 10

11 Summary The FTSE MTS Indices track the performance of the largest and most widely traded European Government Bonds. Transparency & Replicability Calculation & Reporting Prices Real-time & Tradable The indices are calculated using real time bond prices Real time bond prices and index data from the MTS platform Prices are generated by more than 500 unique counterparties throughout Europe Calculated with 30 second updates Over 500 unique counterparties on the MTS electronic trading system Available via market vendors Average daily volumes exceeding EUR 100 billion Published with open and close fixings In accordance with index rules and methodology Prices represent the optimal price discovery in the European fixed income market The indices are calculated using bid prices New bonds entering the indices are calculated using offer prices 11

12 Disclaimer FTSE TMX Global Debt Capital Markets Limited FTSE is a trade mark of the London Stock Exchange Group companies ( LSEG ) and is used under licence. TMX is a trade mark of TSX Inc. and is used under licence. MTS is a trade mark of LSEG and is used under licence. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by FTSE or its licensors for any errors or for any loss from use of this publication. Neither FTSE nor any of its licensors makes any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the name of the Index set out above or the fitness or suitability of the Index for any particular purpose to which it might be put. Neither FTSE nor its licensors provide investment advice and nothing in this communication should be taken as constituting financial or investment advice. FTSE and its licensors make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indices cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of FTSE. Distribution of FTSE data and the use of FTSE Indices to create financial products requires a licence with FTSE and/or its licensors. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.