Extns/Month Rebalances . Large Gilt, US +0.05, EGB +0.04. Rebal towards bonds from equities

{US} UST Aggregate Index: +0.05y

This a is a non refunding month, with a duration extension +0.05y, below its July average over the past three years +0.07y, and below its 12-month +0.07y.

Additions to the index this July are new 2y/3y/5y/7y bonds for an estimated total $241bn. Around ~$202bn ($178bn free float) amount outstanding of UST’s are set to drop, which is ~1.2% of the total amount outstanding of the index at the start of the month. Coupon payments totalled ~$22bn.

{GB} UKT Aggregate Index: +0.14y

The UKT index should see a duration change of +0.14y, above both its July average +0.08y, and its 12-month average +0.04y. A £45bn bond (free float amount of £17bn) is dropped from the index, around 2.3% of the index’s amount outstanding. Nothing new is added.

The 7-15y sector will experience the largest extension the sovereign basket +0.07y. The UKT free float amount i.e. with BoE holdings stripped out had a duration change of +0.11y

{EU} EGB Aggregate Index: +0.09y

The EGB Index duration change is an estimated +0.09y, above both its July average of +0.07y over last three years, and its 12-month average +0.08y.

There are €22bn in new additions in July: Germany €16bn, Italy €3.72bn, Croatia €1bn and Slovenia €1bn. This total size is about 0.3% of the amount outstanding in the index at the beginning of July. Those dropping below 1y maturity total €77bn: Spain €25bn,

Italy €18bn, Netherlands €17bn, Portugal €10bn, Austria €5bn, Greece €2bn and Croatia €0.4bn. This total represents around 1% of the index (at the start of July).

The largest weighted duration change projected this month is from Germany (+0.03y), followed by France (+0.026y), and Portugal has the largest duration change on a sovereign basis (+0.46y) and then the Netherlands (+0.43y).