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Strategy Sweden: Monthly Omrx Bond Index Update‏

ByDanske Markets
Published 03/05/2013, 06:11 AM
Updated 05/14/2017, 06:45 AM

Next week sees small index duration extensions in almost all of sub-indices in the OMRX BOND index family. The extension will be driven primarily by some issuance of longer covered bonds from mortgage institutions that we saw in January. We expect some bids in five-year covered bonds over the week, as we approach the index duration update on Monday next.
Estimated changes
Later in the spring, the shortest government bond in the index SGB1041 will be eliminated from the index. This will result in a duration extension in the TBOND index no smaller than 0.8 years. The duration in BOND and ALL BOND indices will be some 0.12 years and 0.14 years longer - at the same time. Also in the spring, there will be an extension stemming from the shortest covered bonds falling out of the index. The result will be an extension in the BOND index equal to 0.42 years and 0.5 years in the All BOND index (including the SGB1041 effect).

So far this year, the worst performers have been the long-dated nominal bonds. The return from SGB1056 has been -6.3% and the SGB1053 -7.8%. Covered bonds have performed best, but still generated a negative return.

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