|FOCUS27/02/20191FOCUS|EUROZONE27February2019FebruaryeurozoneindexdurationextensionKEYMESSAGESOverallindexextension:+0.10years•Largestindexextensionbycountry:+0.19years(Belgium).•Largestincreaseinindexcountryweightings:+0.32pp(Germany).•Largestdecreaseinindexcountryweightings:−0.32pp(Spain).PleaserefertoimportantinformationandMARdisclosuresattheendofthisreportFig.1:BNPParibasestimatesofindexextensioninFebruary2019vsFebruary2010–2018Fig.2:BNPParibasestimatesofcountries’durationextensioninFebruary2019vsFebruary2010–2018Source:BNPParibasSource:BNPParibasG10INTERESTRATESFebruaryindexextensionisaverageoverall,butmeaningfulforBelgium,France,SpainandItaly.Thosecountriesmayshowmodestoutperformanceifmonth-endrebalancingflowsmaterialize.MARKETVIEWAgneStengeryte,EuropeRatesStrategist|BNPParibasLondonBranchOverallindexextensionWeexpectthedurationoftheEurozoneGovernmentBondIndex(iBoxx)tolengthenby0.10yearsattheendofFebruary–inlinewiththe0.10-yearaverageforFebruarysince2010.SimilartoJanuary,thismonth’sextensionisaffectedmorebyentries(EUR110bn)thanexits(EUR70bn).Figure1comparesthismonth’sextensionwiththeFebruaryextensionoverthelastnineyears.DetailedindexextensionWeexpectBelgiumtoseethelongestdurationincreaseof0.19years,significantlyaboveitsaverageFebruarydurationincreasesince2010,mostlyduetotheentryofBGBJun-2045intotheindex.Franceislikelytofollow,wethink,withadurationriseof0.16years,alsoaboveits0.06-yearaverageFebruarydurationincreasesince2010.Figure2comparesthismonth’sextensionwiththeFebruaryaverageoverthelastnineyearsbycountry.0.040.030.030.040.130.140.210.150.160.100.000.050.100.150.200.252010201120122013201420152016201720182019Years0.190.160.160.140.100.040.040.010.00-0.07-0.10-0.050.000.050.100.150.200.250.30Years2019indexextension2010-2018averageindexextension|FOCUS27/02/20192ChangestoindexstructureGermanyislikelytoseethebiggestriseinitsweightingandSpainthelargestdrop,+0.32ppand-0.32pp,respectively.Seefigures3and4forBNPParibas’estimatesofthechangeineachcountry...
