/AUSSIE BONDS: CBA On Month-End

CBA note that "the August index duration extension was on track to be moderate before the Nov‑31 syndication was announced. There are few maturities to mention and the issuance, before the syndication, was moderately sized but relatively long. Thus the "before syndication" results were for an average result of around +0.055 years in the Bloomberg index and +0.046 years in the Barclays index. The syndication is currently ongoing and CBA is a lead. Assuming the syndication proceeds as expected, the new bond will be included in the indexes at the August month‑end, despite a 2 September settlement date. When that happens, the new bond will add about 0.00382 years to the index duration for each $A1bn sold, e.g. if the Nov‑31 syndication is $15bn, the Bloomberg index duration will rise by 0.055 + 0.00382 x 15 = 0.112 years. Other than the syndication, the other types of high grade issuance have been large in August and are clearly obvious in the list of largest single bond impacts. Notably, alongside the QTC Aug‑31 are a number of 20Y area semi deals. Although these individual 20Y deals are not normally particularly large in outright terms, the repetitiveness and consistency of the issuance and the length of the deals is starting to have an impact. This may flow through into month‑end, too. There will likely be duration added by the ACGB syndication, but mangers who are keeping a tight replication of the index will likely be looking for Semi exposure at month‑end also."