Thursday, Aug. 31st is.........>

MONTH-END EXTENSIONS: Thursday, Aug. 31st is month-end, and MS analysts expect

monthend index extensions "marginally below-average extension for Euro govies,

above-average for UK Gilts, in line with average for USTs and JGBs."

- They expect the broad euro govt bond index to extend "0.05y, marginally lower

than a usual monthly extension and an avg Sept" with "largest extension in the

1-5y maturity;" and "Finland has the largest extension, about 0.43y."

- They expect US Treasuries to extend about "0.07y, in line with an average

September and an average month." They say 1-yr-plus UK Gilts indexes "should

extend by 0.26y, higher than September and monthly average." MS analysts "expect

the 1y+ JGB index to extend by 0.02y in September" vs avg mo extensn range of

0.02-0.06y."

- They expect Euro inflation-linked index of "0.24y of extension this month,"

mainly "due to BTPei 2017s falling out of the index." They expect on 1-yr-plus

US TIPS indices "should extend by 0.01y this month," vs "avg Sept extension of

0.03y and avg monthly extension of 0.06y" while UKTi indices are expected to

extend "0.03y for the UKTi All stocks and 0.02y" for over 5y index".