HALISTER1: Fed’s UST Roll-Offs Will Be Split Proportionally: Jefferies

Fed’s UST Roll-Offs Will Be Split Proportionally: Jefferies

(Bloomberg) -- As the Fed starts allowing $6b of Treasuries to roll off per month, it will allocate the rollover amount between mid-month and end-of-month maturities in proportion to the amount of SOMA holdings scheduled to mature, Jefferies economists Ward McCarthy and Thomas Simons say in note. 
  • Here’s how roll-offs will be split for first three months of normalization:
    • October end-of-month: $8.7b maturing, $6b rolls off, $2.7b rolled over (no mid-month maturities)
    • November mid- month: $11b maturing, $3.5b rolls off, $7.5b rolled over
    • November end-of-month: $7.9b maturing, $2.5b rolls off, $5.4b rolled over
    • December end-of-month: $17.5b maturing, $6b rolls off, $11.5b rolled over (no mid-month maturities)
  • Process of reinvesting proceeds from maturing SOMA holdings is “broadly unchanged” from the process that has been in place for many years
To contact the reporter on this story: Alexandra Harris in New York at aharris48@bloomberg.net To contact the editors responsible for this story: Boris Korby at bkorby1@bloomberg.net Vivien Lou Chen

Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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Thomas Simons (Jefferies LLC)
Ward McCarthy (Jefferies LLC)

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