Duration indices

EUR 2Y, 5Y, 10Y, 20Y

Nordea Duration Index provides an investor with the return of quarterly rolling a long position in an interest rate swap. On each roll the maturity of the interest rate swap is reset to match the index tenor, and the Index therefore gives a swap exposure with more or less constant maturity and stable duration. This removes the rebalancing need that normally occurs in an interest rate swap portfolio.

The Duration Indices will incur a cost in the quarterly rebalancing which is deducted from the index performance on each rebalancing date. The cost is fixed and has been based on the tenor and liquidity of the underlying interest rate swap of the respective index.

The index is denominated in EUR. Index values (with one day lag) and historical performance can be found in Bloomberg and Thomson Reuters with the following tickers:

Index Bloomberg Tickers: NDEAEU02Y Index; NDEAEU05Y Index; NDEAEU10Y Index; NDEAEU20Y Index

Index Reuters Tickers: .NDEAEU02Y; .NDEAEU05Y; .NDEAEU10Y; .NDEAEU20Y

Index statistics
Product name Last YTD % chg
1 year % chg 5 year % chg
Duration Index EUR 2Y 138,38 0,12% 0,64% 9,69%
Duration Index EUR 5Y 161,58 1,33% 1,04% 22,12%
Duration Index EUR 10Y 182,90 3,13% 0,63% 31,70%
Duration Index EUR 20Y 181,71 4,28% -1,85% 31,66%

Quotes last updated: 20.03.2014. Source: Bloomberg.
Historical return is not a guarantee for future return.


 

Nordea Duration Index EUR
Source: Bloomberg.
Historical return is not a guarantee for future return.


View the index in Nordea e-Markets and Analytics