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We are not expecting any haunts or ghouls before the end of October (in an early tribute to Halloween) as the natural roll of the index takes over and decreases modified duration by 0.02. A similar outcome is projected for the full month of November, as the Broad Composite dips by 0.02 since deletions of $12 billion are insufficient to fully mitigate the natural roll.
In December, modified duration for the Broad Composite is projected to rise by 0.10, with $26.6 billion in deletions set to occur. The biggest impact on modified duration is slated to take place in both Broad Agencies (up 0.22) and Broad Provies (up 0.18) on the back of nearly $15 billion and $8.5 billion in deletions, respectively.
We are not expecting any haunts or ghouls before the end of October (in an early tribute to Halloween) as the natural roll of the index takes over and decreases modified duration by 0.02. A similar outcome is projected for the full month of November, as the Broad Composite dips by 0.02 since deletions of $12 billion are insufficient to fully mitigate the natural roll.
In December, modified duration for the Broad Composite is projected to rise by 0.10, with $26.6 billion in deletions set to occur. The biggest impact on modified duration is slated to take place in both Broad Agencies (up 0.22) and Broad Provies (up 0.18) on the back of nearly $15 billion and $8.5 billion in deletions, respectively.
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