HALISTER1: Barclays Updates EUR, GBP, JPY Govt Bond Index Duration Changes

Barclays Updates EUR, GBP, JPY Govt Bond Index Duration Changes

(Bloomberg) -- Barclays estimates the following duration extensions for March 1, 2016 as of Feb. 23.
  • Pan-Euro Aggregate: 0.11yrs vs 0.10yrs
  • Pan-Euro Agg Treasury: 0.11yrs vs 0.12yrs
  • Euro Aggregate: 0.13yrs vs 0.12yrs
  • Euro Agg Treasury: 0.15yrs, unch
  • Sterling Aggregate: 0.02yrs vs 0.03yrs
  • Sterling Agg Tsy: 0.01yrs vs 0.02yrs
  • Japan Aggregate: 0.07yrs, unch
  • Japan Agg Treasury: 0.05yrs vs 0.04yrs
  • NOTE: Forecast duration change may enable investors to gauge the extent to which passive portfolio managers will need to adjust their portfolio duration
  • NOTE: Citi EGB Index Extension to Increase Most in a Year
  • NOTE: Mizuho see Large Month-End Extension in EGBs; OATs, BTPs to Benefit
  • NOTE: Barclays Updated U.S. Index Duration Changes for March
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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