Inflation Tracker November 12, 2021

Inflation Tracker – November 12, 2021

Jack Janasiewicz, CFA®

Portfolio Manager and Portfolio Strategist

Portfolio Analysis & Consulting

Garrett Melson, CFA®

Portfolio Strategist

Natixis Investment Managers | SolutionsINFLATION TRACKER

Meatflation: Not As Extreme As It Seems

2

Source: Portfolio Analysis & Consulting. American Farm Bureau Federation.

American Farm Bureau Classic Thanksgiving Dinner Inflation (1987–2021)

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

1987 1990 1993 1996 1999 2002 2005 2008 2011 2014 2017 2020

Perc

ent

Change

1Y % Change 2Y Annualized % Change


At Least Adult Beverages Are Still Affordable

3

Source: Portfolio Analysis & Consulting. Bloomberg.

CPI: Alcoholic Beverages at Home (10/31/88–10/31/21)

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

2Y

Annualiz

ed %

Change


And It Won’t Cost Too Much to Work Off Those Extra Holiday Pounds

4


CPI: Club Dues & Fees for Participation Sports & Group Exercise (1/31/00–10/31/21)

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

2Y

Annualiz

ed %

Change


Actual vs Target

5

Source: Portfolio Analysis & Consulting. FactSet.

US Personal Consumption Expenditures vs Consumer Price Inflation (11/30/09–10/31/21)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

in %

, Y

oY

Core CPI

Core PCE

Fed Target


Looking Over The Gap

6


US Personal Consumption Expenditures: Another Way To Look At It (11/30/96–9/30/21)

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

in %

PCE (1Y % Change)

PCE (2Y Annualized % Change)


The COVID Shortfall

7


12 Month Change in Personal Consumption Expenditures (1/31/20–9/30/21)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21

in %

PCE 12M Change

Cumulative Average Since Jan 2020

2% Target Average


Inflation Monitor

Source: Portfolio Analysis & Consulting. FactSet. Median CPI is the Federal Reserve Bank of Cleveland’s Median Consumer Price Index that looks at the median price change of the CPI prices. Trimmed Mean CPI is the Federal Reserve Bank of Cleveland’s 16% Trimmed Mean Consumer Price Index which excludes 8% of the CPI components with the highest and lowest one month price changes. The Trimmed Mean PCE inflation rate produced by the Federal Reserve Bank of Dallas is an alternative measure of core inflation in the price index for personal consumption expenditures (PCE). The individual price changes are sorted in ascending order from “fell the most” to “rose the most,” and a certain fraction of the most extreme observations at both ends of the spectrum are thrown out or trimmed. The inflation rate is then calculated as a weighted average of the remaining components. Sticky Price CPI is the Federal Reserve Bank of Atlanta’s Sticky-Price Consumer Price Index which sorts the components of the CPI into either flexible sticky (slow to change) categories based on the frequency of their price adjustments. Core CPI is the Bureau of Labor Statistics Core Consumer Price Index which measures the CPI excluding energy and food prices. Core PCE is the Bureau of Economic Analysis Personal Consumption Expenditures Index which excludes energy and food prices.

Trends in Inflation (11/30/09–10/30/21)

8

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

in %

Core CPI

Cleveland Fed Median CPI

Cleveland Fed Trimmed-Mean CPI

Atlanta Fed Sticky CPI

Dallas Trimmed-Mean PCE

Core PCE


Inflation Surprises

9


Citi’s Inflation Surprise Index (11/30/06–10/31/21)

-80.00

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Index L

evel

US Inflation Surprise Index

Euro Zone Inflation Surprise Index

Japan Inflation Surprise Index


Sticky vs Flexible Inflation

10

Source: Portfolio Analysis & Consulting. FactSet. Sticky-price goods are defined as price changes for a particular CPI component that occur less often, on average, than every 4.3 months. Goods that change prices more frequently than this are labeled “flexible-price” goods. About 70 percent of the headline CPI is composed of sticky-price goods and 30 percent of flexible-price goods. About half of the flexible-price CPI comprises food and energy goods, the remainder being largely autos, apparel, and lodging away from home. The sticky-price CPI includes many service-based categories, including medical services, education, and personal care services, as well as most of the housing categories which, by construction, change only infrequently.

Cleveland Fed’s Sticky vs Flexible Inflation (12/31/00–10/31/21)

-5.00

-2.50

0.00

2.50

5.00

7.50

10.00

12.50

15.00

17.50

20.00

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

% Y

oY

Core Sticky CPI (%, YoY)

Core Flexible CPI (%, YoY)


Procyclical vs Acyclical Inflation

11

Source: Portfolio Analysis & Consulting. Bloomberg. Procyclical inflation exhibits a relationship with overall economic conditions where prices moves in tandem with the economic cycle. Those categories where inflation has been Acyclical are those where prices are driven by category-specific developments that are independent of the state of the overall economy. Categories exhibiting a procyclical relationship make up 42% of the PCE and include housing, recreational services, food services, and some nondurable goods. The acyclical categories, which make up the remaining 58%, include health-care services, financial services, clothing, transportation, and some other smaller categories.

San Francisco Fed’s Procyclical vs Acyclical Inflation (1/31/05–9/30/21)

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

2005 2007 2009 2011 2013 2015 2017 2019 2021

% Y

oY

Procyclical Inflation

Acyclical Inflation


Services Inflation

12


Core Consumer Price Inflation vs Core Consumer Price Inflation: Services less Energy Services (12/31/00–10/31/21)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

% Y

oY

Core CPI

CPI: Services Less Energy Services


Goods vs Services

13


Contribution to Headline Consumer Price Inflation: Services vs Durable Goods (10/31/12–10/31/21)

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

2012 2013 2014 2015 2016 2017 2018 2019 2020

Contr

ibution t

o C

PI

Durable Goods Services less Commodities


Underlying Inflation Pressures

14


New York Fed’s Underlying Inflation Gauge vs Median Consumer Price Inflation (12/31/95–10/31/21)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

-1.50

-0.50

0.50

1.50

2.50

3.50

4.50

1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Cle

vela

nd F

ed M

edia

n C

PI

YoY

%

Underlyin

g I

nflation G

auge Y

oY

%

Underlying Inflation Gauge (Adv 15M, LHS)

Cleveland Fed Median CPI (RHS)


Inflation Momentum

15


Core Consumer Prices Momentum vs Core Personal Consumption Expenditures (9/30/11–10/31/21)

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

2011 2013 2015 2017 2019 2021

in %

Core PCE Momentum

6M Change Annualized (%)

1 Year Change (%)


Fed Target (%)

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

2011 2013 2015 2017 2019 2021

in %

Core CPI Momentum


1 Year Change (%)


Fed Target (%)


Inflation Surge Behind Us?

16


Core Consumer Price Inflation: Month on Month Change (12/31/17–10/31/21)

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Apr-21 Aug-21

in %

Core CPI MoM %

2018-2019 Average

5 Month Surge


COVID Sensitive Inputs

17

Source: Portfolio Analysis & Consulting. Bloomberg. COVID-sensitive components include those categories where either prices or quantities moved in a statistically significant manner at the onset of the pandemic, between February and April 2020. COVID-insensitive components include all other core PCE categories.

COVID Sensitive and Insensitive Contributions to Inflation (1/31/16–9/30/21)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2016 2017 2018 2019 2020 2021

% Y

oY

COVID-Insensitive COVID-Sensitive


COVID Sensitive Inputs

18

Source: Portfolio Analysis & Consulting. Bloomberg. Demand-sensitive categories are those categories where quantity and price changed in the same direction between February and April 2020, both at a statistically significant level. Supply-sensitive categories are those in which quantity and price changed in opposite directions, both at a statistically significant level. The ambiguous category includes those sensitive goods or services that experienced a statistically significant change in either quantity or price, but not a statistically significant change in both quantity and price.

COVID Sensitive and Insensitive Contributions to Inflation (1/31/16–9/30/21)

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2016 2017 2018 2019 2020 2021

% Y

oY

COVID-Insensitive

COVID-Sensitive: Demand

COVID-Sensitive: Ambiguous

COVID-Sensitive: Supply


Health Care Surge A Headwind

19


Health Care Inflation (1/31/03–9/30/21)

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

22.0%

24.0%

26.0%

2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

Contr

ibution t

o %

YoY

Weig

ht

Health Care Weight (LHS)

Health Care Contribution to PCE Deflator (RHS)


Bottlenecking Pressures

20

Source: Portfolio Analysis & Consulting. Bloomberg. Z score takes the average of the resulting surveys from the Dallas Fed Manufacturing Survey, Kansas City Fed Manufacturing Survey, Richmond Fed Manufacturing Survey, Empire State Manufacturing Survey and Philadelphia Fed Manufacturing Survey.

Z Score of Prices Paid and Delivery Times From Regional Fed Surveys (6/30/04–10/31/21)

-4

-3

-2

-1

0

1

2

3

4

5

2004 2006 2008 2010 2012 2014 2016 2018 2020

Com

posite Z

-Score

Prices Paid

Delivery times

Too High

Too Long

Too Low

Too Short


Bottlenecking/Pent Up Demand Pressures

21

Source: Portfolio Analysis & Consulting. Bloomberg. Pent Up Demand: Alcoholic Beverages Away From Home, Lodging Away From Home, Car and Truck Rental, Motor Vehicle Insurance, Airfare, Admissions, Food Away From Home

Bottlenecking Related: Used Cars and Trucks

Contribution to Headline Consumer Prices: Month on Month Changes (12/31/16–10/31/21)

-80

-60

-40

-20

0

20

40

60

80

100

120

2016 2017 2018 2019 2020

in B

Ps

Bottlenecking-Related Inflation

Pent-Up Demand-Related Inflation

Non-Bottleneck/Pent-Up Demand-Related Inflation


Bottlenecking/Pent Up Demand Pressures

22

Source: Portfolio Analysis & Consulting. Bloomberg. Pent Up Demand: Alcoholic Beverages Away From Home, Lodging Away From Home, Car and Truck Rental, Motor Vehicle Insurance, Airfare, Admissions, Food Away From Home

Bottlenecking Related: Used Cars and Trucks

Contribution to Core Consumer Prices: Month on Month Changes (12/31/16–10/31/21)

-60

-40

-20

0

20

40

60

80

100

2016 2017 2018 2019 2020

in B

Ps

Bottlenecking-Related Inflation

Pent-Up Demand-Related Inflation

Non-Bottleneck/Pent-Up Demand-Related Inflation


Bottlenecking Related Issues Softening?

23

Source: Portfolio Analysis & Consulting. Bloomberg. WCI is the World Container Index assessed by Drewry.

Shipping Costs, Inventory to Sales Levels and Chip Prices

0

5,000

10,000

15,000

20,000

25,000

Jan-21 Mar-21 May-21 Jul-21 Sep-21

$ p

er

40 F

oot B

ox

Freightos Baltic Index: Container Freight Rate(1/3/21 – 10/31/21)

China/Asia to East Coast of US

China/Asia to West Coast of US

1.4

1.5

1.6

1.7

1.8

1.9

2.0

2.1

2.2

2006 2008 2010 2012 2014 2016 2018 2020

Merchant Wholesalers: Durable Goods – Inventory to Sales Ratio(11/30/06 – 9/30/21)

1.60

1.70

1.80

1.90

2.00

2.10

2.20

2.50

3.00

3.50

4.00

4.50

5.00

Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21

US

D

US

D

Chip Prices(12/31/19 – 11/11/21)

inSpetrum Tech Inc DRAM Spot PriceDDR4 8Gb 1Gx8 2133/2400 Mhtz (LHS)

inSpetrum Tech Inc NAND Flash Spot PriceTLC Flash 128Gb (RHS)

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

Jan-21 Mar-21 May-21 Jul-21 Sep-21

$ p

er

40 F

oot B

ox

WCI Shanghai to LA: Container Freight Benchmark Rate(12/31/20 – 10/28/21)


Inventory Restocking By Sector

24

Source: Portfolio Analysis & Consulting. Bloomberg. Pre-Pandemic is 12/31/17-12/31/19.

Inventory to Sales Ratio By Sector (9/30/21)

-0.50

-0.40

-0.30

-0.20

-0.10

0.00

0.10

0.20

in %

Poin

ts

Current Reading vs Pre-Pandemic Level

-0.10

0.00

0.10

0.20

0.30

3M

o C

hg

3Mo Change

Inventories

Increasing

Inventories

Decreasing


Shipping Rates

25


Shipping Rates for Major East-West Routes (10/18/16–10/29/21)

0

2000

4000

6000

8000

10000

12000

70

90

110

130

150

170

190

210

230

Oct-16 Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20 Oct-20 Apr-21 Oct-21

US

$/4

0ft

Box

Index,

Rebased a

t 2008 =

100

Air Freight Rate (LHS)

Container Rate (RHS)


Oceangoing Dry Bulk Shipping Rates

26


Baltic Shipping Indices (1/2/20-11/11/21)

-2000

0

2000

4000

6000

8000

10000

12000

Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21

Poin

ts

Baltic Dry Index

Baltic Capesize Index

Baltic Dirty Tanker Index

Baltic Handysize Index

Baltic Panamax Index

Baltic Surpramax Index


Air Cargo Freight Rates

27


Air Cargo Rates (12/31/19-11/8/21)

0

2

4

6

8

10

12

14


US

$/k

g

Shanghai to North America

Hong Kong to North America

Shanghai to Europe

Hong Kong to Europe


Evolution of Freight Rates During Pandemic

28

Source: Portfolio Analysis & Consulting. Bloomberg. WCI is the World Container Index assessed by Drewry.

WCI Freight Rates By Route Throughout Pandemic (3/20/20-11/11/21)

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000

Shanghai to NY Shanghai to Rotterdam Shanghai to Genoa Shanghai to LA Rotterdam to NY Rotterdam to Shanghai LA to Shanghai NY to Rotterdam

US

$/4

0ft

Box

Range of Rates from 3/20/20 to 6/17/21

Range of Rates from 6/17/21 to Current

Max Rate


Trucking Still Seeing Supply Chain Issues?

29

Source: Portfolio Analysis & Consulting. Bloomberg. Truckstop.com.

Truckstop.com Dry-Van Rates (1/3/20–10/29/21)

1.0

1.5

2.0

2.5

3.0

3.5


Rate

per

Mile

($)

Northeast Southeast Midwest

South Central Mountain Central West Coast


Bottlenecking Pressures

30


Select Consumer Price Inflation Line Items: Month on Month Change (11/30/19–10/31/21)

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21

MoM

%

Airfare

Domestic Services

Used Cars & Trucks

Lodging Away From Home

Car & Truck Rental

Admissions

New Car & Truck


Drivers of Inflation Basket

31


Contribution to Consumer Price Inflation and Their Relative Importance (10/31/21)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

0 10 20 30 40 50 60 70 80 90 100

% C

hange Y

oY

Relative Importance Of Components (in %)

Other

Apparel

Recreation

Education & Communication

Medical Care

Transportation

Food & Beverage

Housing


Housing Market Pressures

32


Rent of Primary Residence and Owner’s Equivalent Rent (3/31/12–9/30/21)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

% M

oM

Annualiz

ed



33


Consumer Price Inflation From Rent of Shelter and Owners’ Equivalent Rent vs Trend (1/31/19–9/30/21)

94

96

98

100

102

104

106

Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 Jan-21 May-21 Sep-21

Indexed t

o 1

00 o

n F

eb 2

020

Actual Pre-Pandemic Trend (Mar 2018 - Feb 2020)



34


Contribution of Housing to Monthly Core Consumer Price Inflation (1/31/19–10/31/21)

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0.14%

0.16%

0.18%

0.20%

Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21

% M

oM

Contr

ibution

Rent of Primary Residence

Owners' Equivalent Rent

2019 Average



35


Home Price Increases vs Shelter Inflation (12/31/91–10/31/21)

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1991 1994 1997 2000 2003 2006 2009 2012 2015 2018

Shelter

CP

I Y

oY

%

S&

P C

ore

Logic

Case S

hill

er

U

S N

ational H

om

e P

rice I

ndex Y

oY

%

US Home Prices % YoY (LHS)

Shelter CPI % YoY (lagged 15mo RHS)


Wage Pressures

36


Atlanta Fed’s Median Wage Growth (1/31/97–10/31/21)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

% Y

oY


Wage Pressures

37


Atlanta Fed’s Wage Growth By Skill Level (4/30/01–10/31/21)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

% Y

oY

High Skill

Mid Skill

Low Skill


Wage Pressures

38


Atlanta Fed’s Wage Growth By Percentile (12/31/91–10/31/21)

1.00

2.00

3.00

4.00

5.00

6.00

7.00

1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

in %

, 12M

MA

Recession Periods

Bottom Quartile Wage Growth

Overall Wage Growth

2nd Quartile

3rd Quartile

Top Quartile


Wage Pressures

39


Atlanta Fed’s Wage Growth: Hourly vs Non Hourly Worker (12/31/97–10/31/21)

1.00

2.00

3.00

4.00

5.00

6.00

7.00

1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

in %

, 12M

MA

Recession Periods

Hourly Worker

Non Hourly Worker

Overall


Wage Pressures

40


Atlanta Fed’s Wage Growth By Age Cohort (4/30/01–10/31/21)

0.00

2.00

4.00

6.00

8.00

10.00

12.00

1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

% Y

oY

16-24 Years of Age

25-54 Years of Age

55+ Years of Age

Overall


Market Based Inflation Expectations

41


US Inflation Breakeven Curve (As of 11/8/21)

1.50

1.70

1.90

2.10

2.30

2.50

2.70

2.90

3.10

3.30

3.50

in %

9/21/2021

11/8/2021

0.00

0.25

0.50

0.75

1.00

1.25

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y

Change in %


Evolution of Market Based Inflation Expectations

42


US Inflation Breakevens (10/31/19–11/11/21)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21 Nov-21

In %

10 Year Breakeven

5 Year Breakeven


Inflation Expectations

43


Food and Energy Prices vs University of Michigan Survey Inflation Expectations (2/29/12–10/31/21)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

% Y

oY

% Y

oY

Food & Energy YoY (LHS)

UMich 1Y (RHS)

UMich 5-10Y (RHS)



44


University of Michigan Survey Median 5-Year Inflation Expectations (10/31/06–10/31/21)

2.10

2.30

2.50

2.70

2.90

3.10

3.30

3.50

2006 2008 2010 2012 2014 2016 2018 2020

in %



45


Survey of Professional Forecasters 10 Year CPI Inflation Rate Forecast (12/31/06–10/31/21)

2.00

2.10

2.20

2.30

2.40

2.50

2.60

2.70

2006 2008 2010 2012 2014 2016 2018 2020

in %


Market Based Inflation Expectations

46

Source: Portfolio Analysis & Consulting. US Federal Reserve.

US 10 Year Inflation Breakeven Decomposition (12/31/19–10/31/21)

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

Jan-20 Mar-20 May-20 Jul-20 Sep-20 Nov-20 Jan-21 Mar-21 May-21 Jul-21 Sep-21

Breakeven Inflation Rate Expected Inflation

Inflation Risk Premium TIPS Liquidity Premium


Market Based Growth Expectations

47


US 10 Year Nominal Treasury Yield Decomposition (1/16/19–11/11/21)

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21

in %

Growth Expectations Real Rates

Term Premium Breakevens


Implied Fed Funds Rate

48


Change in Eurodollar Futures (11/2/20-11/11/21)

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21

in %

June FOMC

Sept FOMC

Dec '23 less Dec '22




3 Hikes

1 Hike

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Disclosure

49

Outside the United States, this material may not be redistributed, published, or reproduced, in whole or in part. Although Natixis Investment Managers believes the information provided in this

material to be reliable, including that from third party sources, it does not guarantee the accuracy, adequacy or completeness of such information.

In the EU (ex UK and France): Provided by Natixis Investment Managers S.A. or one of its branch offices listed below. Natixis Investment Managers S.A. is a Luxembourg management company

that is authorized by the Commission de Surveillance du Secteur Financier and is incorporated under Luxembourg laws and registered under n. B 115843. Registered office of Natixis Investment

Managers S.A.: 2, rue Jean Monnet, L-2180 Luxembourg, Grand Duchy of Luxembourg. Italy: Natixis Investment Managers S.A., Succursale Italiana (Bank of Italy Register of Italian Asset

Management Companies no 23458.3). Registered office: Via San Clemente 1 , 20122 Milan, Italy. Germany: Natixis Investment Managers S.A., Zweigniederlassung Deutschland (Registration

number: HRB 88541). Registered office: Im Trutz Frankfurt 55, Westend Carrée, 7. Floor, Frankfurt am Main 60322, Germany. Netherlands: Natixis Investment Managers, Nederlands

(Registration number 50774670). Registered office: Stadsplateau 7, 3521AZ Utrecht, the Netherlands. Sweden: Natixis Investment Managers, Nordics Filial (Registration number 516405-9601 -

Swedish Companies Registration Office). Registered office: Kungsgatan 48 5tr, Stockholm 111 35, Sweden. Spain: Natixis Investment Managers, Sucursal en España. Serrano n°90, 6th Floor,

28006 Madrid, Spain. Belgium: Natixis Investment Managers S.A., Belgian Branch, Louizalaan 120 Avenue Louise, 1000 Brussel/Bruxelles, Belgium.

In France: Provided by Natixis Investment Managers International – a portfolio management company authorized by the Autorité des Marchés Financiers (French Financial Markets Authority -

AMF) under no. GP 90-009, and a public limited company (société anonyme) registered in the Paris Trade and Companies Register under no. 329 450 738. Registered office: 43 avenue Pierre

Mendès France, 75013 Paris.

In Switzerland: Provided by Natixis Investment Managers, Switzerland Sàrl, Rue du Vieux Collège 10, 1204 Geneva, Switzerland or its representative office in Zurich, Schweizergasse 6,

8001 Zürich.

In the British Isles: Provided by Natixis Investment Managers UK Limited which is authorized and regulated by the UK Financial Conduct Authority (register no. 190258) - registered office: Natixis

Investment Managers UK Limited, One Carter Lane, London, EC4V 5ER. When permitted, the distribution of this material is intended to be made to persons as described as follows: in the United

Kingdom: this material is intended to be communicated to and/or directed at investment professionals and professional investors only; in Ireland: this material is intended to be communicated to

and/or directed at professional investors only; in Guernsey: this material is intended to be communicated to and/or directed at only financial services providers which hold a license from the

Guernsey Financial Services Commission; in Jersey: this material is intended to be communicated to and/or directed at professional investors only; in the Isle of Man: this material is intended to be

communicated to and/or directed at only financial services providers which hold a license from the Isle of Man Financial Services Authority or insurers authorized under section 8 of the Insurance

Act 2008.

In the DIFC: Distributed in and from the DIFC financial district to Professional Clients only by Natixis Investment Managers Middle East (DIFC Branch) which is regulated by the DFSA. Related

financial products or services are only available to persons who have sufficient financial experience and understanding to participate in financial markets within the DIFC, and qualify as

Professional Clients or Market Counterparties as defined by the DFSA. No other Person should act upon this material. Registered office: Office 23, Level 15, The Gate Building, East Wing, DIFC,

PO Box 506752, Dubai, UAE, United Arab Emirates.

In Singapore: Provided by Natixis Investment Managers Singapore (name registration no. 53102724D), a division of Ostrum Asset Management Asia Limited (company registration no.

199801044D). Registered address of Natixis Investment Managers Singapore: 5 Shenton Way, #22-05 UIC Building, Singapore 068808.

In Taiwan: Provided by Natixis Investment Managers Securities Investment Consulting (Taipei) Co., Ltd., a Securities Investment Consulting Enterprise regulated by the Financial Supervisory

Commission of the R.O.C. Registered address: 34F., No. 68, Sec. 5, Zhongxiao East Road, Xinyi Dist., Taipei City 11065, Taiwan (R.O.C.), license number 2018 FSC SICE No. 024,

Tel. +886 2 8789 2788.


Disclosure

50

In Japan: Provided by Natixis Investment Managers Japan Co.,Ltd., Registration No.: Director-General of the Kanto Local Financial Bureau (kinsho) No. 425. Content of Business: The Company

conducts discretionary asset management business and investment advisory and agency business as a Financial Instruments Business Operator. Registered address: 1-4-5, Roppongi, Minato-ku,

Tokyo.

In Hong Kong: Provided by Natixis Investment Managers Hong Kong Limited to institutional/ corporate professional investors only.

In Australia: Provided by Natixis Investment Managers Australia Pty Limited (ABN 60 088 786 289) (AFSL No. 246830) and is intended for the general information of financial advisers and

wholesale clients only.

In New Zealand: This document is intended for the general information of New Zealand wholesale investors only and does not constitute financial advice. This is not a regulated offer for the

purposes of the Financial Markets Conduct Act 2013 (FMCA) and is only available to New Zealand investors who have certified that they meet the requirements in the FMCA for wholesale

investors. Natixis Investment Managers Australia Pty Limited is not a registered financial service provider in New Zealand.

In Latin America: Provided by Natixis Investment Managers S.A.

In Colombia: Provided by Natixis Investment Managers S.A. Oficina de Representación (Colombia) to professional clients for informational purposes only as permitted under Decree 2555 of 2010.

Any products, services or investments referred to herein are rendered exclusively outside of Colombia.

In Mexico: Provided by Natixis IM Mexico, S. de R.L. de C.V., which is not a regulated financial entity, securities intermediary, or an investment manager in terms of the Mexican Securities Market

Law (Ley del Mercado de Valores) and is not registered with the Comisión Nacional Bancaria y de Valores (CNBV) or any other Mexican authority. Any products, services or investments referred

to herein that require authorization or license are rendered exclusively outside of Mexico. While shares of certain ETFs may be listed in the Sistema Internacional de Cotizaciones (SIC), such

listing does not represent a public offering of securities in Mexico, and therefore the accuracy of this information has not been confirmed by the CNBV. Natixis Investment Managers is an entity

organized under the laws of France and is not authorized by or registered with the CNBV or any other Mexican authority. Any reference contained herein to “Investment Managers” is made to

Natixis Investment Managers and/or any of its investment management subsidiaries, which are also not authorized by or registered with the CNBV or any other Mexican authority.

In Uruguay: Provided by Natixis Investment Managers Uruguay S.A., a duly registered investment advisor, authorized and supervised by the Central Bank of Uruguay. Office: San Lucar 1491,

Montevideo, Uruguay, CP 11500. The above referenced entities are business development units of Natixis Investment Managers, the holding company of a diverse line-up of specialized

investment management and distribution entities worldwide. The investment management subsidiaries of Natixis Investment Managers conduct any regulated activities only in and from the

jurisdictions in which they are licensed or authorized. Their services and the products they manage are not available to all investors in all jurisdictions.

In the United States: Provided by Natixis Distribution, L.P., 888 Boylston St., Boston, MA 02199. Natixis Investment Managers includes all of the investment management and distribution entities

affiliated with Natixis Distribution, L.P. and Natixis Investment Managers S.A.

This material should not be considered a solicitation to buy or an offer to sell any product or service to any person in any jurisdiction where such activity would be unlawful.


Disclosure

51

This presentation is provided for informational purposes only and should not be construed as investment advice. References to specific securities or industries should not be considered a

recommendation. Any opinions or forecasts contained herein reflect the subjective judgments and assumptions of the authors only and do not necessarily reflect the views of Natixis Investment

Managers Solutions, or any Natixis Investment Managers affiliates. There can be no assurance that developments will transpire as forecasted and actual results will be different. Data and analysis

does not represent the actual or expected future performance of any investment product. We believe the information, including that obtained from outside sources, to be correct, but we cannot

guarantee its accuracy. The information is subject to change at any time without notice.

This presentation contains “forward-looking statements” concerning activities, events or developments that the Portfolio Research and Consulting Group (PRCG) expects or believes may occur in

the future. These statements reflect assumptions and analyses made by PRCG analysts based on their experience and perception of historical trends, current conditions, expected future

developments, and other factors they believe are relevant. Because these forward-looking statements may be subject to risks and uncertainties beyond PRCG’s control, they are not guarantees of

any future performance. Actual results or developments may differ materially, and readers are cautioned not to place undue reliance on the forward-looking statements.

Index information is used to illustrate general asset class exposure, and not intended to represent performance of any investment product or strategy.

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment

Managers or any of its related or affiliated companies (collectively “Natixis”) and does not sponsor, endorse or participate in the provision of any Natixis services, funds or other financial products.

Index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third

party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,

non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

Natixis Advisors, LLC provides advisory services through its division Natixis Investment Managers Solutions. Advisory services are generally provided with the assistance of model portfolio

providers, some of which are affiliates of Natixis Investment Managers, LLC.

Natixis Advisors, LLC does not provide tax or legal advice. Please consult with a tax or legal professional prior to making any investment decision.

Natixis Distribution, LLC. and Natixis Advisors, LLC are located at 888 Boylston Street, Suite 800, Boston, MA 02199-8197. 800-862-4863. im.natixis.com, natixisimsolutions.com.

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