Japan is in a refunding month, and is projected to have the largest duration extension (+0.15y) complimented by a rebalance from equities towards bonds. The US (+0.06y) and the EU (+0.08y) are expected to see a duration extension complimented by rebalance towards bonds. The UK is mixed, with a duration contraction (-0.01y) and rebalance from bonds towards equities on a monthly basis, however on a quarterly basis equities have outperformed bonds so the rebalancing is in the other direction. For UST Aggregate Index: +0.06y, September is a non-refunding month with a duration extension +0.06y, which is below both its September average over the past three years +0.07y, and its 12-month average +0.07y. The UKT index should see a duration change of -0.01y, below both its September average +0.21y, and its 12-month average +0.03y. The JGB Index (I38292JP Index) extension projected for the refunding month September is +0.15y (September 2024 was +0.22y). The EGB Index duration change is an estimated +0.08y, above its September avg. of +0.05y, and roughly in-line with its 12-month average +0.08y. On a monthly basis, equities have outperformed bonds in the US, EU and Japan, indicating a month end rebalance from equities towards bonds. This is reversed in the UK, with a rebalance towards equities from bonds. On a quarterly basis, equities have outperformed bonds in the US/EU/UK/Japan, indicating a month end rebalance from equities towards bonds.
