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FTSE MTS Fixed Income Indices

The FTSE MTS Indices (EuroMTS) are the first independent total return indices measuring the performance of the largest and most widely-traded securities in the euro bond market. The availability of executable bond prices from the underlying MTS market enables FTSE MTS Indices to offer a level of transparency and replicability that is unique in the bond markets. These indices are a set of benchmarks for the European sovereign bond market, calculated and distributed by FTSE International Limited (“FTSE”), or its agent, using pricing data from the MTS platform.

The data underlying FTSE MTS Indices is drawn from real-time tradable prices on MTS, the first and leading electronic marketplace for cash bond trading across Europe with over over 500 unique counterparties and average daily turnover exceeding EUR 85 billion. The Euro government bond 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts the FTSE MTS family of indices, including approximately 655 bonds and 155 indices. Index coverage includes:

  • FTSE MTS Eurozone Government Bond Index, Short Eurozone Government Broad Index, Eurozone Government Bill 0-6 Month Capped Index, Macro-Weighted Eurozone Government Bond IG Index, Highest-Rated Eurozone Government Bond Index, Lowest-Rated Eurozone Government Bond IG Index, Eonia Indices, FedFunds Indices, Ex-Bank of Italy Index, France Government Index, Spain Government Index, Covered Bond Index, Target Maturity Government Bond Italy Index, etc.

Some of the data items available include:

  • Bond Items: Accrued Interest, Cash, Convexity, Country, Coupon, Currency, Database Source, Date Of Portfolio, Description, Index Component Weight, Inflation Linked Ratio, Initial Accrued Interest/Inflation Linked Ratio/Price/Proportional Amount, Issuer Description, Macaulay Duration, Maturity Date, Modified Duration, Month End Accrued Interest/Clean Price/Dirty Price/Market Value/Notional Outstanding, Price, Symbol, Yield, etc.
  • Index Items: Average Convexity/Coupon/Life/Macaulay Duration/Modified Duration/Yield, Break-Even Yield Spread, Daily Price/Yield Change, Index Family/Range, Maturity Range, Price Change Percentage, Quotation Level, Total Return, Weighted Capitalisation Of Nominal Bond Excluding Any Coupons Paid Out, etc.

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