European Month-End Index Projections: Upcoming month-end most supportive for Bonds

Research evidence excerpt

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18 Aug 2026 11:29:10 ET │ 12 pages

European Month-End Index

Projections

Upcoming month-end most supportive for Bunds

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CITI'S TAKE

At upcoming month-end, we project the Bloomberg Euro Treasury index to

extend by 0.05 years, in line with the 5-year median extension. On a

weighted duration basis, the extensions should be most supportive for

Bunds, followed by OATs. In the UK, the Bloomberg Sterling gilts index is

projected to contract by 0.02 years versus its 5yr median extension of 0.03

years. In linkers, the Bloomberg Euro linker index is projected to extend by

0.02 years, while the Bloomberg UK linker index should contract by 0.02

years. We also include our 2026 projections for FTSE Actuaries conventional

and inflation-linked index extensions.

Puja V Sawant AC

Euro conventionals — We estimate the duration of Bloomberg Euro Treasury index

to extend by 0.05 years at end-August, in line with the 5-year median extension. On

a weighted duration basis, the month-end changes should be most supportive for

Germany, followed by France.

UK conventionals — The Bloomberg Sterling gilts index is projected to contract by

0.02 years at end-August versus its 5yr median extension of 0.03 years. No bonds

are dropping out at month-end.

Euro linkers — We project the duration of the Bloomberg Euro linker to extend by

0.02 years at end-August versus its 5yr median extension of 0.03 years. On a

weighted duration basis, the extensions is projected to be most supportive for

SPGBei, closely followed by OATei/i. No bonds are dropping out at month-end.

UK linkers — The Bloomberg UK linker index is projected to contract by 0.02 years

at end-August. No bonds are dropping out at month-end.