CIBC On Canadian Bond Month-End Extensions

CIBC note that “the FTSE Canada Universe Bond Index is expected to have a notable extension of +0.045yrs on September 1 with Quebec Sep 1/24 (C$6.0bln) and Canada Sep 1/24 (C$5.9bln) rolling out of the index. Coupon payments of approximately C$2.2bln on September 1st also contribute to an extension of +0.005yrs in the Universe Index.”

• “In comparison to the previous two years, this year's September 1 extension is expected to cause a smaller duration change in the Universe Index. Meanwhile, extension in the Long Index will be larger, while Short and Mid segments are mostly in-line with previous years.”