Instruments

Euro Benchmark Bonds

The introduction of the Euro contributed to the creation of a yield curve comprising the most liquid securities issued by various European domestic treasuries. EuroMTS was created in April 1999 to bring the advantages of electronic trading to this new market. Currently, the benchmark government bonds of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Portugal, the Netherlands, Spain, as well as the quasi-government bonds of Depfa, the European Investment Bank (EIB) EARNS Programme, Freddie Mac €Reference Notes and Kreditanstalt für Wiederaufbau (KfW) are available on the EuroMTS system.

Benchmark Eligibility

The eligible bond universe includes fixed sovereign, quasi-sovereign and covered income bonds issued within the previous two years with principal amount outstanding of € 5 billion at the date of the latest "tap" or auction. Issues of an outstanding volume of € 3 billion may be listed if the issuer commits to tap it to € 5 billion within 180 days of the auction and supported by at least 8 System Participants.

Quasi-government issuers of the eligible securities should have had a a gross issuance of at least € 7billion in fixed income financial instruments in the preceeding 12 months or have publicly announced its commitment to a gross issuance programme in the next 12 month period of not less than €10 billion in fixed income financial instruments. No less than 8 European Primary Dealers or Single Market Specialists must agree to accept market making obligations in respect of the bonds issued by such issuer

Covered bond issuers must also have publicly announced its commitment to a gross issuance programme in the next 12 month period of not less than €10 billion in fixed income Financial Instruments. The bond must also have a Triple A rating from all the main rating agencies and collateralised with public sector loans. No less than 8 European Primary Dealers or Single Market Specialists must agree to accept market making obligations in respect of the bonds issued by such issuer

Benchmark Selection

The bond universe described above is sorted by country, maturity bucket and most recent issue date:

• Four maturity buckets have been selected: A (1.25-3.5y) B (3.5-6.5y) C (6.5-13.5y) D(>13.5y).
• For each country each bucket is filled with the most recent issues until there are no more than 2 issues in the same year and no more than 3 bonds in each bucket.
• Buckets are rolled every 3 months.

Selected Securities

The EuroMTS Benchmark criteria

Government Bonds

Fixed coupon-bearing Eligible Securities issued within the previous two years; or if not originally issued within the previous two years, the Security must have been "tapped" or auctioned for a total of at least € 1 billion during the previous two years. Principal amount outstanding of at least € 5 billion.

Quasi-Government Bonds

Securities issued by quasi-government enterprises, being entities created or subsisting by statute or otherwise of any Government; or securities covered by loans to public sector entities.

The quasi-government issuer of the Eligible Securities shall either:

• have had in the preceding 12 month period a gross issuance of at least € billion in fixed income Financial Instruments; or in the preceding 12 months have publicly announced its commitment to a gross issuance programme in the next 12 month period of at least € 10 billion in fixed income Financial Instruments

Fixed coupon-bearing Eligible Securities Issued within the previous two years; or if not originally issued within the previous two years, the Eligible Securities must have been "tapped" or auctioned for a total sum of at least € 1 billion during the previous two years.

Principal amount outstanding of not less than euro 5 billion.

Not less than 8 European Primary Dealers or Single Market Specialists agreeing to accept market making obligations in respect of the financial instruments issued by such issuer.

Additionally, in the case of covered bond issuers:

• Securities must have a triple A rating from all the main rating agencies; and collateralised with public sector loans only