HALISTER1: RATES: Portfolio Managers Add Cash at Expense of USTs, SMR Says

RATES: Portfolio Managers Add Cash at Expense of USTs, SMR Says

(Bloomberg) -- Participants in SMRA Portfolio Manager Survey in week ended Feb. 16 “made few major changes to their overall risk profiles” though they increased cash positions (to 4.5% of assets on avg from 4.2%) despite an improving near-term rate outlook.
  • Actual/Target Duration (arithmetic): 98.9%
  • Actual/Target Duration (weighted): 99.5%
  • Bull/Bear Index (arithmetic): 4.9
  • Bull/Bear Index (weighted): 4.5
  • Agency allocations: 7.7%, unchanged for 16th consecutive week matching lowest on record
  • MBS allocations: 23.3%
  • Treasury allocations: 24.6%, lowest since April 2012
  • Corporate allocations: 35.6%, lowest since Nov. 24
  • Spread product allocations: 70.0%
  • Spread expectations: 5.00
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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