July 03, 2024

Fixed Income Insights - July 2024

Monthly report

Relative value and convexity favors Treasuries

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With no GFC, or pandemic, a slow-motion easing cycle is underway, led by Europe. US treasuries cheapened versus equities, and credit, and are well placed for Fed easing, or a risk-off phase, given their convexity. High yield credit outperformed YTD but valuations are now more stretched.

Key highlights:

  • Macro and policy backdrop – a slow-motion G7 easing cycle is underway 
  • Yields, curves and spreads – signs of curve dis-inversion as easing cycle begins
  • IG credit and MBS – Less relative value in credits and negative convexity traps MBS
  • High yield credit analysis – Strong EM HY, but signs of HY rally stalling in G7
  • SI sovereign and corporate bond analysis – Duration continues to dominate narrative
  • Performance – Short governments, NZ and Swedish bonds strongest in Q2 

These reports provide actionable insights on global fixed income markets. They cover shifts in global yield curve and credit spreads, across sovereign, inflation-linked and corporate indices, and FX-adjusted return performance using proprietary month-end data from our global fixed income indices.

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