Halister News

(Bloomberg) -- Expect the EGB index duration to extend by 0.13y at the end of October, this would be the largest month-end extension in 6-months, and the biggest October change in 5-years, writes Citi strategists including Aman Bansal in a client note.

• In terms of weighted duration, the Italian index is projected to extend the most, followed distantly by France
• All three major indexes changes will extend by more than their 5y averages, with both gilt and Treasury indexes projected to extend by 0.10y

INFLATION-LINKED BONDS

• European Inflation-linked Securities Index is projected to extend by 0.23y at the end of October, similar to the extension seen at end of September, potentially the third highest in a year
  • Changes should be supportive for 15y+ sector; In terms of weighted duration changes, month-end changes should be most supportive for France which sees its largest extension in 5-years

• NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)
  • Very significant for EGBI portfolio managers as they attempt to keep it unchanged through month-end re- balancing: Citi