/MBS: We're getting question from clients...>

US TSYS: /MBS: We're getting question from clients and found out Fed's Balance

Sheet taper to run down its $4.5 Trln Balance Sheet (w/ $4.2 Trln in Tsys,

Agency MBS) actually begins today, with MBS announcement; Tsys taper however

begins Oct. 31st with certain issues running off.

- Here is NY Fed on Tsys taper details: (we'll run agency MBS details next):

"For Treasury securities, the Desk will roll over at auction the principal

payments from the Federal Reserve's holdings of Treasury securities maturing

during each calendar month that exceed the cap amount for that month."

- "The Desk will allocate that rollover amount across the month's maturity dates

in proportion to total maturities of SOMA Treasury holdings on each date," it

said. "Consistent with current practice, rollovers will continue to be

accomplished by placing non-competitive bids at Treasury auctions; the bids will

be allocated across the securities being issued in proportion to their announced

offering amounts. The initial cap will first be applied to the October scheduled

maturities, which occur on Oct. 31."