Eurozone Covered Bond Aggregate Indices
What is it?
The EuroMTS Covered Bond Index is a family of 14 total return indices representing Euro-denominated covered bonds (bonds backed by mortgages and/or public loans) listed on the MTS platform, which is the principal trading system for Eurozone debt securities. Eligible bonds must have at least one year to maturity, and each issuer is represented by all their bonds meeting the eligibility criteria. Sub-indices include country and maturity band indices composed of German Pfandbriefe (Oeffentliche and Hypothekenpfandbriefe), Spanish Cedulas, French Obligations Foncières, UK and Irish covered bonds.
Underlying bond prices for the indices are the bid prices supplied by more than 1,000 participants representing over 200 financial institutions on the MTS, the principal trading system for Eurozone debt securities. Equal to 100 on 31 December 1998, the indices are calculated in real time from 09:00 to 17:30 CET, with two daily fixings at 11:00 and 16:00 CET. Each is rebalanced monthly. Information on rules, composition and underlying prices is available at www.euromtsindices.com
Why do I care?
The Euro MTS Covered Bond Index measures the performance of Euro-denominated covered bonds on a total return basis. Investors may choose to use this index as a benchmark against which to measure the performance of their own Euro-denominated bond holdings. The EuroMTS Covered Bond Index has been recognized by the European Mortgage Federation as a contributor to the transparency of the European covered bond market.