HALISTER1: Expect Interest in Long-End Gilts; Bonds Go Ex-Dividend: SocGen

Expect Interest in Long-End Gilts; Bonds Go Ex-Dividend: SocGen

(Bloomberg) -- Twelve gilts that pay coupons go ex-dividend today, with payment due on July 22 for equivalent of 2.8b in cash terms, SocGen strategists including Marc-Henri Thoumin write in client note.
  • GBP1.8b of coupons come from the 15Y+ sector, which means the coupons will have a large DV01 equivalent of GBP4.77m per bp
  • The coupon payment also stands to lengthen the 15Y+ bucket the most
  • Some investors will allocate cash to the market once these bonds have gone ex-dividend
  • Indexed investors will want to match the duration lengthening as, on failing to mirror the move, they risk being “short” the market
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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Marc-Henri Thoumin (Societe Generale SA)

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