WI Rolls

April 30th, 2014 7:30 am | by John Jansen |

The Treasury will announce a new batch of 3s 10s and 30s later today and this month that includes a new 10 year and a new 30 year and active rolling into and out of the WI.

Here are roll calculations via RBS Securities:

Treasury 3yr, 10yr and 30yr Roll Analysis

RBS expects that Treasury will announce a $70bln package of 3’s, 10’s and 30’s at 8:30am today. There are $59.3bln in maturing issues at month end so these auctions will raise $10.7bln in net new cash for Treasury if we get the auction sizes right.

$30bn in new 3yr notes

Auction May 6th, Settlement May 15th

•    Curve: worth +3.75bp
•    Carry: +1.60bp using -0.20%
•    Bad Days: 2 bad days in Outstanding’s, worth 0.0bps
•    Current Issue Premium: none

Roll at announcement: ~+5.25bp, Roll at settlement: +3.75bp

$24bn in new 10yr notes

Auction May 7th, Settlement May 15th

•    Curve: worth +3.00bp
•    Carry: +1.30bp using -0.02%
•    Bad Days: no bad days, either issue
•    Current Issue Premium/Coupon Effect: +0.40bps

Roll at announcement: +4.50bp, Roll at settlement: +3.40bp

$16bn in new 30yr notes

Auction May 8th, Settlement May 15th

•    Curve: +0.50bp
•    Carry: +0.80bp using 0.01%
•    Bad Days: 1 bad day in WI’s and 3 bad days in Outstanding’s, worth 0.0bps
•    Current Issue Premium/Coupon Effect: +0.30bp

Roll at announcement: +1.60bp, Roll at settlement: +0.80bp

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  1. One Response to “WI Rolls”

  2. By King Kong on May 27, 2014 | Reply

    Could you go over how to calculate the WI roll and break it down into the curve, carry, and coupon effects? Thank you.

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