ICC Capital Management has increased the amount of duration Treasuries contribute to its fixed income portfolio by reducing duration exposure from agencies, on the view that spreads between agencies and Treasuries have tightened from last year's highs. Two weeks ago the Orlando, Fla.-based firm brought to neutral the duration of Treasuries in the portfolio at 2.05 years from 0.5 years, but also kept agency exposure high, at 2.25 years.
Richard Rundell, who manages the firm's $500 million in taxable fixed income, particularly likes the eight- and nine-year Treasury paper. "If we have to have longer maturities, our analyses indicate that the best place to be is at the long end of the Treasury curve," says Rundell. The firm uses the Lehman Brothers Aggregate and Government Corporate indexes. The portfolio is allocated 39% agencies, 36% corporates and 25% Treasuries.
