The EuroMTS Eurozone Government Bond Mid-Price Indices are a range of total return euro-zone government bond indices, and runparallel to the existing range based on the best bid prices from the MTS inter-dealer trading platform.…
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The new indices will use exactly the same selection criteria and calculation formulae as the existing range but their constituents use mid prices, calculated as the arithmetic average of the best bid and ask price pair.
The underlying bond prices are real tradable market quotes and will be directly sourced from the MTS system every 30 seconds. The indices are published between 9:00 and 17:30 CET with three snapshots at 11:00 CET, 16:00 CET and 17:30 CET.
The new EuroMTS Eurozone Government Bond Mid-Price Indices aim to offer market participants the choice of a performance indicator similar in transparency and construction to equity benchmarks.
The new indices are efficient tools to be used for the creation of ETFs, indexed funds, structured products and derivatives.
Arnaud Llinas, Global Head of Lyxor ETFs & Indexing says: “The MTS Indices are calculated using real-time market prices from the MTS platform. The availability of executable bond prices enables MTS Indices to offer a level of transparency and reliability that is unique in the bond markets. We welcome this new Mid-Price Indices range, which will reinforce the transparency of the ETF pricing by valuing all underlying bonds at MTS mid-prices, in line with market practices."