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Bank Of America See Money Flowing Into Tsys From Equities At Qtr End

CROSS ASSET

Ahead of quarter end Bank of America see “~$23.5bn rebalancing flows out of U.S. equities and into U.S. fixed income (for context, the standard deviation of quarterly equity rebalancing flows over the last three years is ~$49bn, so the current rebalancing needs are well within the historical context).”

  • “In the FI space the flows breakdown between ~$13.5bn into Treasuries, ~$8.5bn into Corporates, ~$1bn into Agency & GSE backed securities and ~$0.5bn into Mortgages. Significantly, these results may be a decent gauge for a broader class of investors with relatively stable allocations and quarterly rebalancing needs.”
  • “It is important to note that beyond the passive rebalancing flow, we continue to expect to see some structural demand for duration from pension funds, particularly as funded ratios reach levels close to 100%. Current funded ratios are ~106.4% for end-August according to a recent analysis from Milliman.”
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Ahead of quarter end Bank of America see “~$23.5bn rebalancing flows out of U.S. equities and into U.S. fixed income (for context, the standard deviation of quarterly equity rebalancing flows over the last three years is ~$49bn, so the current rebalancing needs are well within the historical context).”

  • “In the FI space the flows breakdown between ~$13.5bn into Treasuries, ~$8.5bn into Corporates, ~$1bn into Agency & GSE backed securities and ~$0.5bn into Mortgages. Significantly, these results may be a decent gauge for a broader class of investors with relatively stable allocations and quarterly rebalancing needs.”
  • “It is important to note that beyond the passive rebalancing flow, we continue to expect to see some structural demand for duration from pension funds, particularly as funded ratios reach levels close to 100%. Current funded ratios are ~106.4% for end-August according to a recent analysis from Milliman.”