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UBS Look For “Sizeable” EGB Extension

MONTH-END EXTENSIONS

UBS forecast “the duration of the Euro Treasury Index (1yr+) to extend by ~0.11yr at end Oct rebalancing, lower than the historical 3yr avg. end-Oct extension (~0.14yr).”

  • “Among major EGB issuers, Austria (~0.38yr), Belgium (~0.27yr), Spain (~0.14yr), Netherlands (~0.11yr) and Germany (~0.1yr) lead in terms of nominal duration lengthening.”
  • “In weighted average duration terms, France (~0.03yr) and Germany (~0.03yr) are the major beneficiaries.”
  • “We also forecast the Euro government inflation-linked (series-B) index to lengthen by ~0.04yr at end-Oct rebalancing. This modest extension is supported by Spain's SPGBei Nov-39 syndication earlier this week.”
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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