Halister News

(Bloomberg) -- At the end of Feb. the effective duration of the European Govt Bond Index to increase by 0.14 yrs, the largest extension in a year, Citi strategists Aman Bansal and Saumesh Dutta write in a client note.

• The increase would be one of the largest in the past 5 years, driven by significant long-end issuance over the month, EU96b of bonds dropping out of the short end of the index
• Projected changes should be supportive for the long-end, also broadly supportive for EGBs, led by Italy then France
• Expect index changes to be supportive for 10Y Spain, 30Y Italy, 10Y-30Y Austria and France
• European Inflation-linked Securities Index projected to extend by 0.05 yrs at the end of February, largest extension in five months
• Month-end I/L index changes should be broadly supportive for all three constituents (Germany, France, Italy) led by Germany
• I/L changes should be most supportive for the long-end of the Bundei curve and 10Y BTPei curve

• NOTE: Mizuho: Large Month-End Extension in EGBs; OATs, BTPs to Benefit