The Fixed Income Digest: Agg alpha: Jun ‘26, overweight credit, underweight duration

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The Fixed Income Digest: Agg alpha: Jun ‘26, overweight credit, underweight duration

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The Fixed Income Digest

Agg alpha: Jun ’26, overweight credit,

underweight duration

Agg rebalance views: Credit over duration 24 June 2026

We offer fixed income views ahead of the month-end portfolio rebalancing. Our views: United States

duration = short, curve = 2s10s flattener, mortgages = neutral, credit = overweight.

Securitized Products Strategy

Overall, we think investors should favor IG credit spreads, move underweight duration Chris Flanagan

especially at shorter tenors. We see limited catalysts for tighter MBS basis and stay neutral. FI/MBS/CLO Strategist

BofAS

Duration: short bias christopher.flanagan@bofa.com

Pay 2y rates with risk hikes start sooner and scope for market to reflect closer to 75bps. JeanaMBS StrategistCurro

Other expressions: pay July & Oct FOMC OIS. BofAS

See report: Global Rates Weekly. - M. Swiber, M. Cabana jeana.curro@bofa.com

Ge Chu, CFA

MBS StrategistCurve: 2s10s flatteners BofAS

Hold 2y10y flattener. Fed hikes push the front end higher while the long end stays ge.chu@bofa.com

anchored. As policy moves toward—or above—neutral, the curve compresses, with Rates Research

inversion a natural outcome of restrictive policy. – M. Swiber, M. Cabana Meghan Swiber, CFA Rates Strategist

Mortgages: remain neutral on expectation for higher rates BofASmeghan.swiber@bofa.com

We have maintained basis neutral stance since May 15 and consider current basis level Mark Cabana, CFA

rich to fair value. Agency MBS still benefits from solid technicals and fundamentals but Rates Strategist

we see limited catalysts for further tightening in the near term. mark.cabana@bofa.com

See report: Agency MBS weekly. – J. Curro, G. Chu Credit Strategy