Halister News

(Bloomberg) -- Expect the EGB index duration to extend by 0.05 years at the end of March, which is around average; should be most supportive for 10y+ maturities, Citi strategists including Aman Bansal write in a client note.

• Month-end projected weighted duration changes, which are most important, should be most supportive for Spain, particularly 30y; Finland, Netherlands are projected to contract slightly
  • Among individual country indices, Belgium should extend the most, driven by OLO 03/2018s dropping out and long- end issuance; expect support for 10-30y Belgium
• Issuance over the fixing period, Feb. 23 to March 27, will be eligible for inclusion in the EGBI at the end of March
• Gilt index is to extend by 0.25 years at end of March, as the 5% 03/2018s drop out, while the Treasury index at 0.08 years

• NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)