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CIBC Point To Notable C$ Extension

MONTH-END EXTENSIONS

CIBC note that “the FTSE Canada Universe Bond Index will have a notable extension of +0.045yrs on February 1st with Canada Feb 1/25 bond (C$14.88bln) rolling out of the index. The Short segment will also experience a duration shift of +0.029yrs for the same reason. Meanwhile, durations of the Mid and Long segments are expected to remain basically unchanged on that day. Coupon payments of approximately C$1.26bln on February 1st will contribute +0.001yrs of extension in the Universe Index.”

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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