Friday, 23 April, 2021
Month end extensions
Month end extensions
Gilts: +0.04
US Tsy: +0.08
EGBs: +0.17
Fourth consecutive month of gilt duration extension. Increased long-end issuance and syndication of the new 30y benchmark in the end of month are the main reasons.
US extension is pretty typical for a non-refunding month. It compares with +0.13y last April (we had an alteration of the dropping rule for the bonds with maturity less than a year)
Very strong duration extension for EGBs and compares with 0.19y last April. April has been a strong redemption month.
Decent duration extension for Germany (+0.11y) and good index increase of 0.07%, following the drop of €20.5bn 5y Obl from the index. France sees very big duration extension (+0.22y) and the biggest index weight decrease of -0.31%, on the back of the €45.85bn old 10y benchmark and €1.25bn old 20y benchmark dropping from the index.
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