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September 21, 2017 20:07 GMT
US Data: Primary Dealer Securities Positions - Details
As of September 13, 2017
Source: U.S. Federal Reserve Bank of New York
Figures in millions of U.S. dollars
Total net position and level changes calculated by MNI
--------------------------------------------------------------------------------
Wednesday-to-Wednesday 13-Sep-17 06-Sep-17 30-Aug-17 23-Aug-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 15068 15573 10269 15776
Coupon Securities
due in less than or equal to 2
years 21317 21490 17017 18376
due in more than 2 years but less
than or equal to 3 years -4494 -8865 -3775 -6568
due in more than 3 years but less
than or equal to 6 years 10831 11725 20335 20452
due in more than 6 years but less
than or equal to 7 years 10805 9267 10788 9004
due in more than 7 years but less
than or equal to 11 years 7852 7494 7577 779
due in more than 11 years 28827 27100 29629 31500
U.S.Floating Rate Notes
Floating Rate Notes 3747 4833 6964 9139
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 3247 3212 3506 2564
due in more than 2 years but less
than or equal to 6 years 491 2178 3119 -12
due in more than 6 years but less
than or equal to 11 years 1650 1120 575 935
due in more than 11 years 2051 1647 1485 1501
Total U.S. Government Securities 101392 96774 107489 103446
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 6628 5545 4503 3024
Coupon Securities 16156 16429 15456 16475
Total Federal Agency and
Government Sponsored Enterprise
Securities 22784 21974 19959 19499
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 12182 20190 18003 13600
All Other Federal Agency and GSE
Residential MBS 29465 29071 28177 28140
Federal Agency and GSE CMBS 5985 6010 5706 5743
Non-Agency MBS
Non-Agency Residential MBS 7872 7295 7402 7590
Other CMBS 7086 6770 6554 6505
Total Mortgage-backed Securities 62590 69336 65842 61578
Corporate Securities
Commercial paper 10788 9635 8600 10527
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 2443 2198 2141 2027
due in 13 months to 5 years 5975 6220 5579 5862
due in 5 years to 10 years 1734 2026 2024 2683
due in more than 10 years -17 2317 2180 2308
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 188 1295 1310 1333
due in 13 months to 5 years 1723 1532 1456 1840
due in 5 years to 10 years -1223 -1125 -992 -548
due in more than 10 years 908 1178 1149 1285
Total Corporate Securities 22519 25276 23447 27317
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 2660 1549 1621 2117
due in 13 months to 5 years 1100 1064 1055 824
due in 5 years to 10 years 2512 2378 2514 2232
due in more than 10 years 9935 9661 9935 9539
Variable rate demand notes 4753 4519 4056 3618
Total State and Municipal
Government Obligations 20960 19171 19181 18330
Asset-backed Securities
Credit card-backed securities 957 929 887 976
Student loan-backed securities 3576 1632 2633 2656
Automobile loan-backed securities 1774 1453 1543 1524
Other asset-backed securities 3988 3945 3729 3768
Total Asset-backed securities 10295 7959 8792 8924
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills -505 5304 -5507 5140
Coupon Securities
due in less than or equal to 2
years -173 4473 -1359 -606
due in more than 2 years but less
than or equal to 3 years 4371 -5090 2793 -2005
due in more than 3 years but less
than or equal to 6 years -894 -8610 -117 -3687
due in more than 6 years but less
than or equal to 7 years 1538 -1521 1784 873
due in more than 7 years but less
than or equal to 11 years 358 -83 6798 -293
due in more than 11 years 1727 -2529 -1871 2401
U.S.Floating Rate Notes
Floating Rate Notes -1086 -2131 -2175 4704
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 35 -294 942 78
due in more than 2 years but less
than or equal to 6 years -1687 -941 3131 -214
due in more than 6 years but less
than or equal to 11 years 530 545 -360 1245
due in more than 11 years 404 162 -16 -311
Total U.S. Government Securities 4618 -10715 4043 7325
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 1083 1042 1479 -485
Coupon Securities -273 973 -1019 -1719
Total Federal Agency and
Government Sponsored Enterprise
Securities 810 2015 460 -2204
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS -8008 2187 4403 -3373
All Other Federal Agency and GSE
Residential MBS 394 894 37 -869
Federal Agency and GSE CMBS -25 304 -37 466
Non-Agency MBS
Non-Agency Residential MBS 577 -107 -188 251
Other CMBS 316 216 49 -110
Total Mortgage-backed Securities -6746 3494 4264 -3635
Corporate Securities
Commercial paper 1153 1035 -1927 -1520
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 245 57 114 -474
due in 13 months to 5 years -245 641 -283 -1309
due in 5 years to 10 years -292 2 -659 121
due in more than 10 years -2334 137 -128 108
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months -1107 -15 -23 3
due in 13 months to 5 years 191 76 -384 110
due in 5 years to 10 years -98 -133 -444 -159
due in more than 10 years -270 29 -136 193
Total Corporate Securities -2757 1829 -3870 -2927
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 1111 -72 -496 1055
due in 13 months to 5 years 36 9 231 -119
due in 5 years to 10 years 134 -136 282 91
due in more than 10 years 274 -274 396 -90
Variable rate demand notes 234 463 438 1102
Total State and Municipal
Government Obligations 1789 -10 851 2039
Asset-backed Securities
Credit card-backed securities 28 42 -89 -293
Student loan-backed securities 1944 -1001 -23 7
Automobile loan-backed securities 321 -90 19 -484
Other asset-backed securities 43 216 -39 544
Total Asset-backed securities 2336 -833 -132 -226
--MNI Washington Bureau; tel: +1 202-371-2121; email: kevin.kastner@marketnews.com
[TOPICS: MTABLE,MAUDT$,M$U$$$,M$$FI$,MN$FI$]
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Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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Please enter your details below.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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