Bloomberg / BARC

 

Trsy +0.06

Agency +0.09y

MBS +0.05y

Aggregate +0.06y

 

Pan Euro Agg +0.10y

Eur Agg +0.09y

 

Sterling Agg +0.19y

Sterling Agg Trsy +0.30y

 

Japan Agg +0.05y

Japan Agg Trsy +0.03y

 

ITC:

 

 

Citi:

EMU Government Bond Index (EGBI)

We expect the EGBI to extend by 0.11 years at the end of July. This is larger than the 5yr median change and is significantly higher than the average end-July changes over the past four years.

 

Weighted duration changes supportive for EGBs

Month-end changes should be supportive across all EGBs, except the Netherlands and Finland. The French index is projected to extend the most, its largest extension since end-Feb’19. The extension in the Italian and Austrian indices should be their largest since end-Feb’19 and end-Sep’17 respectively.

 

Putting projected country changes in perspective

 

Below we show the distributions of weighted duration changes (charts on the left) and curve splits (charts on the right) of the projected changes. As shown in the charts, the extensions in 10/30yr Netherlands, 5/10/30yr Austria and 10yr Belgium stand out.

 

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