This month the OMRX index is set to be rebalanced twice. On December 9, at closing, an ordinary monthly rebalancing will occur. On December 14, the index will be altered to reflect the removal of SHYP1573, which will be shorter than 1Y.
On December 9, SHYP1579 will receive benchmark status and will be included in OMRX-MORT, causing a first extension of 0.09Y.
On December 14, SHYP1573 will be removed, causing a second extension of 0.34Y in OMRX-MORT (0.43Y in total compared with the current duration). The share of mortgage bonds in OMRX-BOND is set to decrease, due to the two-month lag in mortgage bonds volumes. The total effect on the OMRX-BOND is about 0.5Y, which is historically significant.
Such large index extensions are normally market moving. It is also reasonable to assume that investors are not too keen to deviate that much from their benchmark indices given the current turmoil. Thus, we expect increased demand for duration and to see mortgage extensions in the coming week. Even though some investors have moved away from the “old” indices where Stadshypotek bonds act as a proxy for all mortgage bonds, OMRXBOND is still one of the most common benchmark indices in the Swedish market.
The table below summarises index changes after the ordinary rebalancing on December 9, at closing.
The second table illustrates the total effect of both the ordinary rebalancing and the removal of SHYP1573 compared with the current duration. 
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OMRX Bond Index Monthly Update
Published 12/06/2011, 03:35 AM
Updated 05/14/2017, 06:45 AM
OMRX Bond Index Monthly Update
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