全球利率策略：9月指数期限延长

September 25, 2025 03:03 PM GMT Global Rates Strategy| Global Lorenzo TestaStrategistLorenzo.Testa@morganstanley.com +44 20 7677-0337 September Index Extensions Fabio Bassanin, CFAStrategistFabio.Bassanin@morganstanley.com +44 20 7425-1869 Extension in Eurogovies at 0.07y; USTs to extend 0.03y, belowthe September average; UKTs to extend by -0.02y, below themonthly average; Eurolinkers extend by 0.20y, above thehistorical average of 0.08y; TIPS to extend by 0.03y, vs. thehistorical average of 0.07y. Key Takeaways Eurozone index extension in September at 0.07y is expected to be in line with thehistorical average of 0.06y. Finland to extend the most at 0.19y, followed by Netherlands (0.17y) and France(0.11y).Eurolinkers (0.20y) to extend the most in 10-15y and 5-10y maturities.Notable sector-wise extensions in Japan, Germany and Italy due to bonds fallingout, changing indices and getting added to the index.US nominal index is expected to extend (0.03y) lower than its Septemberaverage (0.06y). Charts of the month: Nominal and linkers Exhibit 2:Linker extensions acrossthe curve Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research. As a result,investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of Morgan StanleyResearch. Investors should consider Morgan StanleyResearch as only a single factor in making their investmentdecision. For analyst certification and other important disclosures,refer to the Disclosure Section, located at the end of thisreport. += Analysts employed by non-U.S. affiliates are not registeredwith FINRA, may not be associated persons of the memberand may not be subject to FINRA restrictions oncommunications with a subject company, public appearancesand trading securities held by a research analyst account. Nominal Index Extensions Based on price and modified duration data as of September 25, we estimate month-endindex extensions for Bloomberg government bond indices of G4 countries, Australia, andNew Zealand. Euro area 0.07y extension in the overall index; Finland extends the most Broad euro government bond index:We anticipate an index extension of 0.07y, which ishigher than the average September extension of 0.04y and close to the monthly average(0.06y) – Exhibit 3 . This change is driven by approximately €110 billion in new issuance,while around €74.7 billion in market value will drop out of the index. Exhibit 4 provides a breakdown of the relative changes in index duration by issuer andmaturity sector for euro area sovereigns this month. By maturity sector, the 15y+ segmentwill see the largest extension of 0.13y. By country, Finland is expected to extend the mostby 0.19y, followed by Netherlands (0.17y) and France (0.11y). Notably, sector-level extensions in France and Italy are influenced by bond exclusions andindex reclassifications. Extensions by sovereign Finlandis expected to lead monthly extensions at 0.19y, marginally below its Septemberaverage of 0.23y, driven by RFGB 0% Sep 2026 (market value €4bn, weight 2.91%) fallingout of the index. Netherlandsis expected to extend by 0.17y, compared to its average September extensionof 0.03y due to issuance of NETHER 3.5% Jan 2056 (market value €5bn, weight 1.55%)without any bond falling out of the index. See Exhibit 26 for a complete list of bonds falling out of and/or changing indices. United States We expect the 1y+ UST index to extend by 0.03y, lower than the average Septemberextension (0.06y) and the monthly norm (0.08y) – Exhibit 8 . The extension is driven byUS$315bn in supply across 2y to 30y tenors, impacting respective maturity indices. Fourbonds (combined market value US$216.5bn, weight 1.34%) will drop from the index. UK We expect the 1y+ index to have a negative extension of 0.02y, below both the averageSeptember extension (0.20y) and the monthly norm (0.06y) – Exhibit 10 . The change isdriven by £33.4bn in issuance, with no bonds expected to drop from the index. See Exhibit11 for sector-wise extensions. Japan* We expect the 1y+ JGB index to extend by 0.03y in September, compared to an averagemonth’s extension range of ~0.02-0.06y. A total of ~¥10 trillion of issuance will affect theextension. Exhibit 13 shows the estimated amount to be reinvested in various maturitiesbased on weights of the outstanding issues. *For the JGB index, our calculations are based on index rules of widely followed indices,meaning extensions take place one month in advance of a higher redemption month, i.e.,March, June, September, and December. Thus, extensions are likely to be higher in February,May, August, and November. Additionally, new issues get added to the index at the end ofnext month. Australia We expect the 1y+ ACGB index to extend by 0.26y in September, compared to an averageSeptember extension of 0.02y and an average month's extension of 0.04y. The extensionwill be affected by ACGB 0.5% September 2026 (market value A