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Citi Suggest Euro Extension Most Supportive For Bunds, Note Large I/L Extension

MONTH-END EXTENSIONS

Citi note that “the Bloomberg Euro Treasury index will extend by 0.06 years (slightly higher than 5yr median extension of 0.05 years) and the changes should be most supportive for Bunds on a weighted duration basis.”

  • They also flag that “the Bloomberg Euro government linker index will extend by a relatively large 0.21 years as SPGBei24 drops out. The changes should be most supportive for OATei.”
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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