Halister News

(Bloomberg) -- EGB index duration expected to extend by 0.03 yrs at the end of August, the smallest month-end change in a year, Citi strategists including Aman Bansal in client note.

• Index changes likely to be relatively muted for most issuers due to lack of supply in August
• In terms of weighted duration changes, German index projected to post a sizable extension, driven by an increase in the weight in the index; this will be closely followed by France
• Treasury Index is expected to extend by a large 0.11 yrs at the end of August, closely followed by the gilt index at 0.10 yrs; in contrast, projected extension in EGB index is 0.8 standard deviations smaller than the 5-yr average
• NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)
  • Very significant for EGBI portfolio managers as they attempt to keep it unchanged through month-end re- balancing: Citi