Morgan Stanley Fixed-Global Macro Strategy August Index Extensions-109988645
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Global Macro Strategy | Global
August Index Extensions
Eurogovies extend by 0.039y, higher than Aug avg, lower than
monthly avg; USTs 0.056y, lower than avg; UKTs to contract;
eurolinkers and UKTis to contract; TIPS extend by 0.099y, higher
than avg.
Lorenzo Testa
!"#$%" &&'()*))+(,,)
Fabio Bassanin, CFA
-./!"#$%" &&'()&'0+12*3
Exhibit 3 : 4""$5644'('&78
89$:;4<1(+$
;
Broad Euro GBI 0.039 0.029 0.055
UK -0.022 0.046 0.054
US 0.056 0.099 0.075
Japan 0.162 - -
Australia 0.005 0.077 0.074
New Zealand 0.127 0.028 0.029
Euro Inflation Linked -0.006 -0.007 0.078
TIPS Index 0.099 0.001 0.066
UKTi 1y+ Index -0.020 -0.032 0.052
UKTi 5y+ -0.034 -0.035 0.053
!"
Exhibit 1:=48%<
%4;
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
1-5y 5-10y 10-15y 15y+
Euro GER ITA FIN FRA
Extension, Years
4%>#$?%<".7@%7
745"644',A'('&
Exhibit 2:B8%
<%4;
€-zone TIPS UKTi
1y+ -0.006 0.099 -0.020 1y+
1-5 yrs 0.006 0.000 0.000 1-5 yrs
5-10 yrs 0.000 0.000 0.019 5-10 yrs
5y+ 0.003 0.152 -0.034 5y+
10-15 yrs 0.002 0.000 0.000 10-15 yrs
>15 yrs 0.000 0.114 0.000 >15 yrs
€-zone TIPS UKTi
Aug-24
4%>#$?%<".7@%7
745"644',A'('&
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Key Takeaways
Higher-than-average August extension in the Eurozone nominal index; Germany
to extend the most, Finland to contract
Notable sector-wise extensions in Germany and Italy due to bonds changing
indices
Higher-than-average extension in New Zealand due to long-end issuance
August 23, 2024 04:43 PM GMT
M
2
Nominal Index Extensions
Based on price and modified duration data as of August 23, we estimate month-end index
extensions for Bloomberg government bond indices of G4 countries, Australia, and New
Zealand.
Euro area
!
"#$% We expect an extension of 0.039y, higher than an
average August extension of 0.029y but lower than an average monthly extension
(0.055y) – Exhibit 3 . A total of about €68 billion of issuance will affect the extension,
and about €30 billion worth of market value of bonds will fall out of the index.
Exhibit 4 summarises the relative changes in index duration by issuer and maturity sector
for euro sovereigns this month. By sector, we see the largest extension of 0.14y in the
over 15y sector and, country-wise, we expect Germany to extend the most at 0.132y,
followed by France at 0.019y. There will be notable sector-wise extensions in Germany
and Italy due to bonds changing indices. Finland will contract by 0.08y due to short-end
issuance.
Exhibit 4: 4""$58%<%4;.$;
€-zone
Index
GER FRA AUT NETH ITA SPA BEL FIN IRE POR
All Index 0.039 0.132 0.019 0.009 0.000 -0.014 0.006 -0.001 -0.081 0.000 0.000 All Index
1-5 yrs 0.056 0.167 0.004 0.000 0.000 0.104 -0.001 0.000 0.000 0.000 0.000 1-5 yrs
5-10 yrs 0.061 0.144 -0.008 0.012 0.000 0.175 0.000 0.004 -0.149 0.000 0.000 5-10 yrs
10-15 yrs 0.110 0.188 -0.063 0.000 0.000 0.454 -0.059 0.000 0.000 0.000 0.000 10-15 yrs
>15 yrs 0.140 0.000 -0.020 -0.048 0.000 0.248 -0.024 0.000 0.000 0.000 0.000 >15 yrs
GER FRA AUT NETH ITA SPA BEL FIN IRE POR
4%>/#".A#$?%<".7@%7745"644',A'('&
M
#$%&'(&')*+*,*&$-. 3
Exhibit 5: 1$.7=C?;"788>D<
<;644
0.039
-0.02
0.00
0.02
0.04
0.06
0.08
0.10
2014 2016 2018 2020 2022 2024e
August Extension
Average August Extension Over 10 Years
Average Monthly Extension Over 10 Years
Extension, Years
4%>/#".A#$?%<".7@%7745"644',A
'('&
Exhibit 6: =48%<%4;
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
1-5y 5-10y 10-15y 15y+
Euro GER ITA FIN FRA
Extension, Years
4%>/#".A#$?%<".7@%7745"644',A
'('&
&%$
!will have the largest extension this month (0.132y) compared to other countries,
higher than its average August contraction of 0.021y. The higher extension is mainly
caused by DBR 1% Aug-2025 (market value €30 billion, weight 2.1%) falling out of the
index, and long-end issuance.
' will have notable sector-wise extensions due to bonds changing indices.
(will contract by 0.08y due to the new 6y issuance for €4 billion.
See Exhibit 26 for a complete list of bonds falling out of and/or changing indices.
Exhibit 7: 64448.$;
-0.10
-0.05
0.00
0.05
0.10
0.15
GER FRA AUT SPA NETH IRE POR BEL ITA FIN
2024 August Extension August 10 Years' Average
Extension, Years
4%>/#".A#$?%<".7@%7745"644',A'('&
摘要：
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MGlobalMacroStrategy|GlobalAugustIndexExtensionsEurogoviesextendby0.039y,higherthanAugavg,lowerthanmonthlyavg;USTs0.056y,lowerthanavg;UKTstocontract;eurolinkersandUKTistocontract;TIPSextendby0.099y,higherthanavg.LorenzoTesta...
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作者：西装暴徒
分类：外资研报
价格：免费
属性：14 页
大小：406.75KB
格式：PDF
时间：2024-09-09
