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Morgan Stanley Sees Above-Avg Euro Extension

MONTH-END EXTENSIONS
  • Morgan Stanley forecast a month-end extension of 0.134y for the broad euro gov't index, "higher than an average September (0.078y) and an average monthly extension (0.08y)". Austria leads the pack with 0.667y extension, with Netherlands 2nd at 0.3y (due to new 30-Yr DDA issue).
  • For the UK, MS sees 1y+ Gilt index extending by 0.175y (vs avg Sept of 0.2y and avg month of 0.08y).
  • In linkers, MS expect a contraction of 0.008y in the UKTi 1y+ index and contraction of 0.016y in the 5y+, and 0.29y extension in eurozone (above average).

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