The UK should see a duration contraction of -0.04y this month, along with a monthly rebalance selling bonds/buying equities. The EU has a decent and above average duration extension +0.08y, countersignalled by a rebalance favouring sellings bonds/buying equities. The US has a decent but below average duration extension +0.07y, again countersignalled by a rebalance favouring sellings bonds/buying equities.

{US} UST Aggregate Index: +0.07y

• Duration extension for USTs, just below its past three June prints averaging +0.08y and its 12 month average +0.08y.

{GB} UKT Aggregate Index: -0.04y

• Negative duration change for UKT’s, well below its July average of the past three years (+0.17y), and its 12 month average (+0.07y). A total of £8.1bn in coupons were also paid.

{EU} EGB Aggregate Index: +0.08y

• Decent duration extension for EGBs this month, inline with its June average of +0.06y over last three years, and below its 12 month average +0.07y.