CITI – Month-end changes most supportive for Germany

 

EMU Government Bond Index (EGBI)

We expect the EGBI to remain unchanged at the end of August. This is lower than the average end-August changes over the past four years.

 

Weighted duration changes most supportive for Germany

Month-end changes should be most supportive for Germany, followed by France and Spain. The extension in the German and French indices is driven by an increase in its duration and weight in EGBI.

 

European Inflation-linked Index Projections – Month-end changes supportive for Italy

 

EuroILSI

The Euro Inflation-linked Securities Index (EuroILSI) is projected remain unchanged at the end of August.

 

Curve

At an EMU-level, the changes should be supportive for the 10yr sector.

 

Weighted duration changes

We expect the weighted duration of the Italian index to extend at the end of August.

 

BBG/BARX (Attached)

 

U.S. Treasury: 0.12yr

One year ago (September 2018): 0.11yr

10-year average for September: 0.12yr

12-month average: 0.08yr

U.S. Agency: -0.02yr

U.S. Credit: 0.07yr

U.S. Govt/Credit: 0.09yr

U.S. MBS: 0.04yr

U.S. Aggregate: 0.08yr

U.S. High Yield: 0.07yr

U.S. TIPS (Series-L real): 0.12yr

 

PAN-EURO AGG 0.02yr

PAN EURO AGG TREASURY 0.01yr

STG AGG 0.01yr

STG AGG TREASURY 0.01yr

 

 

 

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