HALISTER1: EGB Index Set for Biggest Maturity Extension Since 2014: Citi

EGB Index Set for Biggest Maturity Extension Since 2014: Citi

(Bloomberg) -- EGB index duration to be extended by 0.13 years at end-February, largest increase since July 2014, with upside risks from further supply announcements, Citigroup strategists including Aman Bansal write in a client note.
  • Weighted-duration changes most supportive for French bonds “by some distance,” followed by Spain, Belgium
    • For individual bonds, extensions should be supportive for Finland 5-year, Dutch 10-year, Belgian 30-year and Spain 10-year
  • Index to include EUR82b in issuance over Jan. 25-Feb. 22 period; EUR77b in bonds from Spain, Italy, Germany, France to drop out due to residual maturity falling below one year
  • In regional comparison, EGB Index is expected to extend the most at end of January, followed by the Treasury index at 0.09 years; gilt index is projected to decline by 0.01 years
  • NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)
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Source: BFW (Bloomberg First Word)

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Aman Bansal (Citigroup Inc)

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