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Anna Karina Asbjorn at.........>

MONTH-END EXTENSIONS
MONTH-END EXTENSIONS: Anna Karina Asbjorn at Nomura has crunched the numbers for
the EGB month end extension "euro area should see a month-end IE of +0.08yr in
the 1yr+ sovereign bond index at the end-March rebalancing, which is in line
with previous years. Belgium and Austria will be the main beneficiaries, with
estimated duration extensions of +0.48yrs and +0.38yrs."
- Looking ahead, April has considerable coupon/redemptions "of E130bn; October
is the next month to see above E100bn. Country-wise, France (E47bn), Germany
(E33bn) and Spain (E22.3bn) will benefit".
- Asbjorn adds that ECB PSPP redemptions jump to E23bn "which is the prime month
for ECB APP redemptions in 2018"

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