The Pfandbrief 2011 | 2012

EuroMTS Index
The EuroMTS Covered Bond Index (EMTXc), established by EuroMTS in 2005, contains Eurodenominated
covered bonds and is compiled from a total of 14 indices. In addition to the
EMTXc Aggregate (all maturity) Index, which contains all covered bonds in the sub-indices,
there are sub-indices for Germany, France, the United Kingdom, Spain, and Ireland. For Germany,
there are two additional sub-indices for maturities (3-5 years, 5-7 years) and two for
different types of cover pools (mortgages, sovereign coverage). For Spain, there is also a subindex
for maturities of 7-10 years. The aggregate index has a history dating back to 2000. In
order to be included in the individual covered-bond indices, covered bonds must be based on
mortgage loans or loans to sovereign debtors, have a fixed-income coupon, be repayable at
final maturity, and be quoted on the MTS platform. The EuroMTS Covered Bond Index also
delivers data on market transparency for the European Mortgage Federation.
STRUCTURE OF THE EMTXC INDEX FAMILY
EMTXc Aggregate (all-maturity)
51
iBoxx EMTXc € Sub-Sovereigns
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 Öffentliche
(all-maturity)
EMTXc Hypo
(all-maturity)
iBoxx € Sub-Sovereigns
EMTXc Germany
(all-maturity)
EMTXc France
(all-maturity)
EMTXc UK
(all-maturity)
EMTXc Spain
(all-maturity)
EMTXc Ireland
(all-maturity)
Sources: euroMTS, UniCredit Research