Live Markets: "Material" equity outflows from pension fund rebalancing expected at quarter-end

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"MATERIAL" EQUITY OUTFLOWS FROM PENSION FUND REBALANCING EXPECTED AT QUARTER-END
     Bank of America rates strategist Bruno Braizinha expects pension fund rebalancing needs at quarter-end to lead to outflows from equities and inflows to Treasuries and corporates. 
The S&P 500 .SPX has risen almost 15% in the second quarter, far outperforming U.S. Treasuries (up 0.4%) and corporates (up 1%), according to BofA. 
That supports "expectations for material rebalancing flows out of equities and into fixed income (FI)," Braizinha says. 
"Assuming circa one-third of the April and May rebalance was performed at the respective month-ends, we see circa $52 billion out of equities (a material -1.7 standard deviation rebalance based on the past 3 years)," he adds. 
"In FI assets, the flows break down as circa +$15 billion into USTs, circa +$27 billion into corporates, circa +$8 billion from Agency and GSE-backed securities and circa +$2 billion from unchanged Mortgages." 
(Samuel Indyk)
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