FICC

Our Portfolio Allocation Summary for November 2023.

Our reaction to today’s FOMC meeting and the Treasury’s Quarterly Refunding Announcement.

A look at recent data on economic growth, inflation and the labor market, and a discussion of the implications for Fed policy and bond strategy.

This week’s report contains an update on the Treasury curve’s recent bear-steepening trend and a look at different measures of long-maturity Treasury valuation.

Special Report

In this Special Report, we introduce two strategies that use our Central Bank Monitors for global fixed income country allocations and currency trades. We find that using the Monitors in country selection helps improve the performance of a developed markets government bond portfolio. The CBMs can also help substantially minimize the drawdowns on a standard FX carry strategy.

In this insight, we look at whether the recent data justifies a shift by the BoC, and some potential trades.

In this report, we present the quarterly review of the Global Fixed Income Strategy Model Bond Portfolio. The portfolio remains positioned for slower global growth momentum over the next 6-12 months, favoring government bonds over corporate debt. The portfolio also favors government bonds in countries flirting with recession where policy rates are too high (core Europe & the UK).

The recent bear-steepening of the US Treasury curve has been driven by the combination of stronger-than-expected economic growth and stable Fed rate expectations. Historically, such periods do not last very long, and we see the current bear-steepening episode ending soon. We also highlight an opportunity in Agency MBS.

Comments on recent Fedspeak, bond market moves and this morning’s CPI report.

An update to our US bond strategy following this morning’s employment report.