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October 12, 2017 20:10 GMT
US Data: Primary Dealer Securities Positions - Details
As of October 4, 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 04-Oct-17 27-Sep-17 20-Sep-17 13-Sep-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 17312 13485 13692 15068
Coupon Securities
due in less than or equal to 2
years 26756 23976 19275 21317
due in more than 2 years but less
than or equal to 3 years -7212 -3857 -6852 -4494
due in more than 3 years but less
than or equal to 6 years 15670 19599 11722 10831
due in more than 6 years but less
than or equal to 7 years 3473 2576 4134 10805
due in more than 7 years but less
than or equal to 11 years 8131 7879 7390 7852
due in more than 11 years 21056 24946 25759 28827
U.S.Floating Rate Notes
Floating Rate Notes 4042 5331 2966 3747
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 4096 4688 4694 3247
due in more than 2 years but less
than or equal to 6 years 635 1438 295 491
due in more than 6 years but less
than or equal to 11 years 2012 1551 797 1650
due in more than 11 years 1032 1231 1588 2051
Total U.S. Government Securities 97003 102843 85460 101392
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 4474 1668 2518 6628
Coupon Securities 15428 14490 14561 16156
Total Federal Agency and
Government Sponsored Enterprise
Securities 19902 16158 17079 22784
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 13132 13801 14503 12182
All Other Federal Agency and GSE
Residential MBS 24936 26760 28233 29465
Federal Agency and GSE CMBS 5083 5834 5267 5985
Non-Agency MBS
Non-Agency Residential MBS 7458 7780 8066 7872
Other CMBS 6477 6726 6684 7086
Total Mortgage-backed Securities 57086 60901 62753 62590
Corporate Securities
Commercial paper 9999 7160 10126 10788
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 2643 2671 2084 2443
due in 13 months to 5 years 4442 4379 4848 5975
due in 5 years to 10 years 485 1309 2189 1734
due in more than 10 years 561 1169 1532 -17
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 1346 1277 1455 188
due in 13 months to 5 years 1569 1595 1684 1723
due in 5 years to 10 years -1959 -1722 -1365 -1223
due in more than 10 years 1129 1291 1362 908
Total Corporate Securities 20215 19129 23915 22519
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 2354 2553 2650 2660
due in 13 months to 5 years 1145 1119 906 1100
due in 5 years to 10 years 2262 2209 2551 2512
due in more than 10 years 9443 9344 10075 9935
Variable rate demand notes 3113 4283 5216 4753
Total State and Municipal
Government Obligations 18317 19508 21398 20960
Asset-backed Securities
Credit card-backed securities 771 575 531 957
Student loan-backed securities 3214 3242 3472 3576
Automobile loan-backed securities 1458 1257 1370 1774
Other asset-backed securities 3715 3967 3944 3988
Total Asset-backed securities 9158 9041 9317 10295
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills 3827 -207 -1376 -505
Coupon Securities
due in less than or equal to 2
years 2780 4701 -2042 -173
due in more than 2 years but less
than or equal to 3 years -3355 2995 -2358 4371
due in more than 3 years but less
than or equal to 6 years -3929 7877 891 -894
due in more than 6 years but less
than or equal to 7 years 897 -1558 -6671 1538
due in more than 7 years but less
than or equal to 11 years 252 489 -462 358
due in more than 11 years -3890 -813 -3068 1727
U.S.Floating Rate Notes
Floating Rate Notes -1289 2365 -781 -1086
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years -592 -6 1447 35
due in more than 2 years but less
than or equal to 6 years -803 1143 -196 -1687
due in more than 6 years but less
than or equal to 11 years 461 754 -853 530
due in more than 11 years -199 -357 -463 404
Total U.S. Government Securities -5840 17383 -15932 4618
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 2806 -850 -4110 1083
Coupon Securities 938 -71 -1595 -273
Total Federal Agency and
Government Sponsored Enterprise
Securities 3744 -921 -5705 810
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS -669 -702 2321 -8008
All Other Federal Agency and GSE
Residential MBS -1824 -1473 -1232 394
Federal Agency and GSE CMBS -751 567 -718 -25
Non-Agency MBS
Non-Agency Residential MBS -322 -286 194 577
Other CMBS -249 42 -402 316
Total Mortgage-backed Securities -3815 -1852 163 -6746
Corporate Securities
Commercial paper 2839 -2966 -662 1153
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months -28 587 -359 245
due in 13 months to 5 years 63 -469 -1127 -245
due in 5 years to 10 years -824 -880 455 -292
due in more than 10 years -608 -363 1549 -2334
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 69 -178 1267 -1107
due in 13 months to 5 years -26 -89 -39 191
due in 5 years to 10 years -237 -357 -142 -98
due in more than 10 years -162 -71 454 -270
Total Corporate Securities 1086 -4786 1396 -2757
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months -199 -97 -10 1111
due in 13 months to 5 years 26 213 -194 36
due in 5 years to 10 years 53 -342 39 134
due in more than 10 years 99 -731 140 274
Variable rate demand notes -1170 -933 463 234
Total State and Municipal
Government Obligations -1191 -1890 438 1789
Asset-backed Securities
Credit card-backed securities 196 44 -426 28
Student loan-backed securities -28 -230 -104 1944
Automobile loan-backed securities 201 -113 -404 321
Other asset-backed securities -252 23 -44 43
Total Asset-backed securities 117 -276 -978 2336
--MNI Washington Bureau; tel: +1 202-371-2121; email: kevin.kastner@marketnews.com
[TOPICS: MTABLE,MAUDT$,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Close
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.
Sign up now for free trial access to this content.
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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