ITC – Month-End Extension Estimates
ITC Month-End Extension Estimates:
US Tsy: 0.12
Fairly modest rise of 0.12y for a refunding month, although non-refunding months are usually closer to 0.07y.
Gilt extension is quite low again (was 0.00y last month end also).
EGBs is 0.08y in line with past year average.
Good increase in Italian duration but also drop in weight within EGB index. Might help 30y BTPs.
French OATs see 0.13y duration increase but little drop in weight. Should see most benefit at month-end. Finland should also benefit strongly.