Halister News

(Bloomberg) -- Large extension of the 5Y+ gilt index will become effective from the start of trading on Sept. 8, expect to see this beginning to impact the market into today’s close, writes RBS strategists including Simon Peck in a client note.

• Index changes resulting from UKT 3.75% 2021 falling below 5Y maturity should see 5Y+ index extend by 0.36 yrs, and 0-5Y index to increase by 0.15 yrs
• Position for outperformance of the 2038 bond vs 2032s and 2046 as the issue has the closest modified duration to that of the newly extended 5y+ index
• While this should support the market today, further re- balancing is likely to take place at the end of Sept.