Rolling Over

With a 3- and a 3 & 1/2-year (an off-the-run 5 from 2010, actually) being auctioned tomorrow by the Tesoro as secondary market yields spike, it might be interesting to look at what it would cost them to roll various terms - this morning at 8:55, say*. Using average yearly yields taken from their statistics site and Bloomberg.

In the event that high rates continue for the next couple of years, the 3-year roll would be about 150 bps more costly in 2012 and 2013, the 5- about 55 cheaper, and the 10- about 100 bps more expensive by 2013.

*On the other hand, we could have done this at 9:50 and shaved 20 basis points off the whole thing. Was there an announcement, or something?

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