MSR German Govt Med Term – Exposure, Dollar Weighted Index
The MSR German Govt Medium Term Dollar Weighted Exposure Index shows the total return of being long one GERMAN BOBL futures contract (the “current” contract, which is the most liquid) through time. This is “dollar weighted” because an investor can simply divide the number of dollars they want to invest by the current dollar value of the GERMAN BOBL contract and own that number of contracts for perpetuity. The “cash equivalent” version of this index will simulate the total return an investor could receive from a long position in actual German Government notes (including interest) with a rolling 5 year maturity. GERMAN BOBL futures contracts are denominated in Euros, but MSR converts the daily returns to dollar based returns for this index.