HALISTER1: EGB Index Extension Supportive for Long-End of Curves: Citi

EGB Index Extension Supportive for Long-End of Curves: Citi

(Bloomberg) -- Effective duration of European Govt Bond Index expected to extend by 0.07yrs at the end of June, which is in line with 5-year median change, Citigroup strategists Saumesh Dutta and Aman Bansal write in client note.
  • Among individual countries, largest extension is in Belgium, driven by long-end supply, OLO 3.5% 06/2017 dropping out of the index
  • Weighted duration change is most relevant for EGB portfolios; French index projected to extend the most, followed by Spain, Germany
  • 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 rebalancing: Citi
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Aman Bansal (Citigroup Inc)
Saumesh Dutta (Citigroup Inc)

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