Halister News

(Bloomberg) -- Expect the EGB index duration to extend by 0.10y at the end of January, higher than the overall 5-year median change and above the average January change over the last four years, Citi strategists including Aman Bansal write in a client note.

• In terms of weighted-duration changes, the French index is projected to extend the most, driven by heavy issuance in the long-end (including 20y, 30y, 50y supply)
• Month-end changes should be most supportive for France, followed by Italy
• Among individual countries in the indexes, Austria should extend the most, driven by EU12.2b of bonds dropping out of the index
• EGB Index is expected to extend the most at end of January, followed by the Treasury index at 0.06 years; gilt index is projected to extend by 0.04 years
  • Very significant for EGBI portfolio managers as they attempt to keep it unchanged through month-end re- balancing: Citi
• NOTE: Weighted duration of a country is calculated as (market value of country) x (effective duration) / (market value of EGBI)