Halister News

(Bloomberg) -- Expect the EGB index duration to extend by 0.08 yrs at the end of June, in-line with the five-year median June change, which should be most supportive for Italy, write Citigroup strategists including Saumesh Dutta in a note.

• For EGB portfolios, the weighted duration change is most relevant, this should be most supportive for Italy and will be the largest extension of the Italian index since end-April 2016, driven primarily by long-end issuance over the month
• Among the individual country indices that make up the EGB index, Belgium should extend the most, driven by OLO 06/2018s dropping out of the index
  • Project strong support for 10y, 30y Belgium, and support for 30y Italy
• Projected duration changes (years)
  • Germany 0.10
  • Italy 0.14
  • France 0.00
  • Spain 0.04
  • Belgium 0.31
  • Netherlands 0.01
  • Ireland 0.05
  • Austria 0.00
  • Finland 0.00
  • Total 0.08
• 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

To contact the reporter on this story: Stephen Spratt in London at sspratt3@bloomberg.net To contact the editors responsible for this story: Ven Ram at vram1@bloomberg.net David Goodman