HALISTER1: RATES: Portfolio Managers Increase Duration, SMR Says

RATES: Portfolio Managers Increase Duration, SMR Says

(Bloomberg) -- Participants in SMRA Portfolio Manager Survey increased duration in week ended March 1 even as yields rose, possibly influenced by month-end.
  • Actual/Target Duration (arithmetic): 99.2%
  • Actual/Target Duration (weighted): 99.7%
  • Bull/Bear Index (arithmetic): 5.0
  • Bull/Bear Index (weighted): 4.7, highest since Oct. 27
  • Agency allocations: 7.7%, unchanged for 18th consecutive week matching lowest on record
  • MBS allocations: 23.6%, highest since July 21
  • Treasury allocations: 24.4%, lowest since April 2012
  • Corporate allocations: 35.8%,
  • Spread product allocations: 70.5%, highest since March 2012
  • Spread expectations: 5.0
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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