Nomura’s McElligott On ‘QE-Lite’, Friday’s Rout And, Of Course, CTA ‘Trigger’ Levels

Nomura’s McElligott On ‘QE-Lite’, Friday’s Rout And, Of Course, CTA ‘Trigger’ Levels

"The Fed is resuming QE ('QE-Lite' with MBS reinvestments into USTs) later this year, back in the bond buying business", Nomura's Charlie McElligott writes on Monday morning. As we detailed on Sunday courtesy of Goldman's quick and easy calculations, the Fed's decision to reinvest principal repayments from agency and MBS securities starting in October "subject to a maximum of $20 billion a month" translates into the following "flow" effect: With an estimated $17bn a month in MBS runoff and th
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