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UBS Flag Moderate U.S. Treasury Extension

MONTH-END EXTENSIONS

UBS expect “the Series L U.S. Treasury index duration to extend by ~0.07yr at end-Oct rebalancing.”

  • “This is slightly lower than its 3yr end-Oct average (0.08yr).”
  • This moderate projected duration extension results from reduced index turnover in October.”
  • “We also forecast U.S. TIPS index extension to show a sizable extension of 0.13yr at end-Oct rebalancing as TII Oct-24 leaves the index.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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