The Vienna Stock Exchange has launched a new range of indices aimed at structured products providers. The three new indices - the ATX Prime Capped 8, which is a free-float weighted price index, as well as the ATX Prime Capped 8 Total Return and the ATX Prime Capped 8 Net Total Return, which are free-float weighted total return indices - are tradable indices that can be used as underlying for structured products as well as for standardised derivatives, according to the Austrian exchange.
Martin Wenzl, head of listings & surveillance at Vienna Stock Exchange said that over the last 20 years the Vienna Stock Exchange has become a well-established global expert for indices not only for the Austrian market but also for the CEE and CIS region.
"Worldwide a large share of all structured products with a reference to this region is based on the indices created by the Vienna Stock Exchange," said Wenzl. "Our indices are state of the art and in line with international and EU quality standards such as the principles of Esma or Iosco."
The underlying index for the ATX Prime Capped 8 indices is the ATX Prime which consists of all stocks traded in the prime market segment of the Austrian exchange. However, the weighting factors are determined in such way so as to ensure that none of the index stocks is weighted by more than 8%. "This is to fit the demand of investment companies and expand Vienna Stock Exchange's offering to the fund industry," said Wenzl.
"As a portfolio manager I am bound by the investment limits set out in the Investment Fund Act," said Andreas Wosol, manager at Pioneer Funds Austria - Austria Stock, a provider that has marketed 40 structured funds in the Austrian market. "The performance of investment products and the performance of the ATX and the ATX Prime are hence not directly comparable."
According to Wosol, the new VSE indices provides a better chance for the efficient implementation of strategies as the weighting of a number of stocks has been reduced significantly.
The ATX Prime Capped 8 Total Return considers gross dividend payments, while the ATX Prime Capped 8 Net Total Return considers net dividend payments. The indices are calculated on a real-time basis in EUR. The calculation of the ATX Prime Capped 8 is purely based on a quantitative method
The ATX Prime Capped 8 consists of all securities traded in the prime market segment. Therefore, the criteria for admission to listing on the prime market (e.g. more stringent transparency and disclosure requirements, minimum free float) are also mandatory for the inclusion of stocks in the ATX Prime Capped 8.
The minimum free float criteria is reviewed twice a year (March and September), while the review of the calculation parameters (number of shares, free float factors and representation factors) is done on a quarterly basis (March, June, September, December).
More than 3,600 structured products featuring ATX indices have been marketed in the Austrian market since December 2001, of which 2,488 products are still live including 2,431 linked to the ATX index, 53 linked to the ATX five index, and four linked to the ATX Fundamental index, according to SRP data.
Other markets featuring products linked to ATX indices calculated by the VSE include Germany, Switzerland, Sweden, Finland and Czech Republic.
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