Lyxor confirms launch of physical ETFs range by year-end

Lyxor International Asset Management has confirmed the launch of a range of physical ETFs which will be available on the market by the end of the year.

On December 6 and 11, the firm will convert to physical replication 4 ETFs based on the EuroMTS Macro Weighted AAA Government Index series.

“The funds will be managed using full replication: each fund will invest directly in all the sovereign bonds that make up the respective EuroMTS Macro Weighted AAA Government Index, without any sampling,” Lyxor said.

The EuroMTS Macro-Weighted AAA Government Bond Indices are eurozone sovereign indices grouped by maturity, and based on issuers with the highest credit ratings (denoted “AAA”) from 2 out of the 3 main ratings agencies.

Country weights are primarily based on gross domestic product and then adjusted using the following 4 indicators: debt to GDP ratio; current account (as a % of GDP); quarter-on-quarter GDP growth; long-term interest rates.

While cap-weighted indices calculate exposure on the countries debt level, these macro-weighted indices lead to a fundamental approach that better reflects the economic potential, and the sovereign risks of the euro zone debt market.

For fixed income indices, non market capitalization based indices avoid concentration on the most highly-indebted issuers.

They rely on the idea that the capacity of an economy to generate new wealth in a sustainable way, as measured by its GDP and GDP growth, is a good representation of its capacity to fulfil its debt obligations.

Lyxor has more than €29bn of assets under management in ETFs.

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