ITC – EGB, Gilt and UST Month End Extensions

Month-End Duration Extensions

These are the expected extensions for the three indexes. Slightly larger than usual for USTs for a non-refunding month (refunding months generall 0.11/0.12, non refunding 0.06/0.07)

Eur Agg Extension: +0.12

US Agg Extension: +0.08

UK Agg Extension: -0.02

In EGBs the table below, it shows that France is the major beneficiary at month end (30bn bond dropping below 1yr + new issuance)