JGBs (+0.13y) are in a refunding month and they are projected to have the largest duration extension this June. EGBs (+0.05y) are estimated to have an overall extension, and this should be most supportive of Italian BTPs (+0.013y) on a weighted duration basis, on a sovereign basis Belgium OLOs (+0.33y) are the largest extension from of the major issuers. UKTs (-0.02y) are expected to see a duration contraction, and USTs (+0.06y) see a duration increase. For USTs, this is a non-refunding month with an extension +0.06y, roughly in-line with its June average over the past three years +0.06y, and below its 12-month average +0.07y. The estimated quarterly rebalance towards bonds for US (+$81.3bn) and EU (+€113.4bn) is the largest in 10 years for both, UKTs (+£4.4bn) are just below their quarterly average. On a monthly basis, the rebalance for the US (-$6.1bn) and UK (-£0.4bn) meaning its towards equities from bonds. The EU (+€33.5bn) sees a positive flow towards EGBs.
