MTS, Europe's premier facilitator for the European electronic fixed income market, announced that it has granted an exclusive license to Lyxor International Management to create ETFs based on its new EuroMTS Macro-Weighted AAA Government Bond Indices.
These new indices use an innovative weighting method based on a balanced selection of macro-economic indicators measuring the real economic situation of Eurozone countries with the highest credit rating.
Lyxor's ETFs, listed on NYSE Euronext since early December, track the EuroMTS Macro-Weighted AAA All-Maturities and three maturity sub-indices, the 1-3 years, 5-7 years and 7-10 years.
Jack Jeffery, CEO of MTS, said: "We are very happy that Lyxor International Management has chosen to use our new index range for their ETFs. We believe that there will be strong investor demand for products that track the effective economic strength of the countries while at the same time limiting the involved risk thanks to the high credit quality required for the underlying securities".
The methodology of the EuroMTS Macro-Weighted Index range 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 classic MTS Index.
The EuroMTS Macro-Weighted Government Bond Indices are calculated and published in real time. They are freely-available on our new website mtsindices.com and through major data vendors.