Global Rates Strategy Global Index Projections for end-Jul

Research evidence excerpt

Global Rates Strategy Global Index Projections for end-Jul

Global Research

24 July 2026ab

Global Rates Strategy Interest Rates

GlobalGlobal Index Projections for end-Jul

Reinout De Bock

Strategist

Eurozone: Moderate extension at end-Jul (0.08yr) – most supportive for France reinout.de-bock@ubs.com

+44-20-7567 0152

We forecast the duration of the Euro Treasury Index (1yr+) to extend by ~0.08yr at

end-Jul rebalancing and slightly lower than the the historical 3yr avg. end-Jul extension Phoebe White

Strategist(~0.09yr), and in line with the historical 3m and 6m average. In nominal terms,

phoebe.white@ubs.com

Netherlands, Austria and Spain stand out with ~0.32yr, ~0.24yr and ~0.12yr, +1-212-713 2130

respectively, largely because a total of ~€79bn of bonds drop out of the Euro treasury

index in this month-end and long-end auctions. In weighted duration terms, Germany Mustafa Oguz Caylan

(~0.03yr), France (~0.03yr) and Italy (~0.01yr) are the major beneficiaries. This month-

mustafa.caylan@ubs.com

end index extension is most supportive for France due to the long-end auctions and +44-20-7901 5203

favourable reweighting. We expect all sub-indices to lengthen at the Jul-end

rebalancing. In particular, we forecast the 1-3yr sub-index to lengthen by ~0.07yr, the 3- Nic Guesnon, CFA

5yr sub-index to lengthen by ~0.07yr, the 5-7yr sub-index to lengthen by ~0.07yr, the 7-

nic.guesnon@ubs.com

10yr sub-index to lengthen by ~0.05yr, and the 10yr+ sub-index to extend by ~0.03yr +61-2-9324 2192

(Figure 7 EuroAgTreasurySub-indices:Estimateofduration*extensionandhistory). We also forecast the Euro government inflation-linked (series-B) index

duration to extend by ~0.37yr at end-Jul rebalancing as OATei Jul-27 drops out of the

index.

US: Moderate Treasury extension at end-Jul (~0.07yr)