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Strategy: Sweden - Monthly Omrx Bond Index Update‏

ByDanske Markets
Published 03/29/2013, 07:21 AM
Updated 05/14/2017, 06:45 AM

April sees small index duration changes on the ordinary rebalancing day on April 10. Some longer dated mortgage bonds have been issued, affecting primarily indices based on OMRX-MORT ALL. Otherwise, changes are quite minor. However, in the coming months (up to June) we will see significantly larger index changes as SGB1041 and a number of mortgage bonds get shorter than 1Y.
Estimated changes
On April 29 , the shortest government bond in the index SGB1041 will be eliminated. This will result in a duration extension to the TBOND index no smaller than 0.8 years. Historically, this is a large index extension. Limited liquidity is higher than usual In the current environment, so market impact could be significant. In our view, it should lend support to curve flatteners. Further index extensions will occur in the following months.

So far this year, longer govvies are still the worst performers In terms of return. The bullish trend has benefited longer govvies over the past few months, and the return is nowhere as negative as it was last month. Covered bonds up to the 5Y segment have outperformed government bonds, and we expect this to remain the case.

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