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October 26, 2017 20:11 GMT
US Data: Primary Dealer Securities Positions - Details
As of October 18, 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 18-Oct-17 11-Oct-17 04-Oct-17 27-Sep-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 16551 19727 17312 13485
Coupon Securities
due in less than or equal to 2
years 26903 29403 26756 23976
due in more than 2 years but less
than or equal to 3 years -6013 -3298 -7212 -3857
due in more than 3 years but less
than or equal to 6 years 16330 21715 15670 19599
due in more than 6 years but less
than or equal to 7 years 2687 2699 3473 2576
due in more than 7 years but less
than or equal to 11 years 5698 10711 8131 7879
due in more than 11 years 24554 21255 21056 24946
U.S.Floating Rate Notes
Floating Rate Notes 2888 3817 4042 5331
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 5079 4437 4096 4688
due in more than 2 years but less
than or equal to 6 years -393 658 635 1438
due in more than 6 years but less
than or equal to 11 years 2116 2139 2012 1551
due in more than 11 years 1531 1409 1032 1231
Total U.S. Government Securities 97931 114672 97003 102843
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 5621 4830 4474 1668
Coupon Securities 18805 15911 15428 14490
Total Federal Agency and
Government Sponsored Enterprise
Securities 24426 20741 19902 16158
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 13496 10155 13132 13801
All Other Federal Agency and GSE
Residential MBS 24329 24397 24936 26760
Federal Agency and GSE CMBS 4771 4925 5083 5834
Non-Agency MBS
Non-Agency Residential MBS 7681 7340 7458 7780
Other CMBS 6367 6895 6477 6726
Total Mortgage-backed Securities 56644 53712 57086 60901
Corporate Securities
Commercial paper 14801 13157 9999 7160
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 2746 2820 2643 2671
due in 13 months to 5 years 2946 2828 4442 4379
due in 5 years to 10 years 1184 1441 485 1309
due in more than 10 years 280 1210 561 1169
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 870 868 1346 1277
due in 13 months to 5 years 1985 1854 1569 1595
due in 5 years to 10 years -448 -1627 -1959 -1722
due in more than 10 years 894 1157 1129 1291
Total Corporate Securities 25258 23708 20215 19129
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 2049 1958 2354 2553
due in 13 months to 5 years 2278 1465 1145 1119
due in 5 years to 10 years 2437 2089 2262 2209
due in more than 10 years 10710 9028 9443 9344
Variable rate demand notes 3806 3125 3113 4283
Total State and Municipal
Government Obligations 21280 17665 18317 19508
Asset-backed Securities
Credit card-backed securities 973 1047 771 575
Student loan-backed securities 3437 3319 3214 3242
Automobile loan-backed securities 1646 1644 1458 1257
Other asset-backed securities 3969 3766 3715 3967
Total Asset-backed securities 10025 9776 9158 9041
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills -3176 2415 3827 -207
Coupon Securities
due in less than or equal to 2
years -2500 2647 2780 4701
due in more than 2 years but less
than or equal to 3 years -2715 3914 -3355 2995
due in more than 3 years but less
than or equal to 6 years -5385 6045 -3929 7877
due in more than 6 years but less
than or equal to 7 years -12 -774 897 -1558
due in more than 7 years but less
than or equal to 11 years -5013 2580 252 489
due in more than 11 years 3299 199 -3890 -813
U.S.Floating Rate Notes
Floating Rate Notes -929 -225 -1289 2365
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 642 341 -592 -6
due in more than 2 years but less
than or equal to 6 years -1051 23 -803 1143
due in more than 6 years but less
than or equal to 11 years -23 127 461 754
due in more than 11 years 122 377 -199 -357
Total U.S. Government Securities -16741 17669 -5840 17383
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 791 356 2806 -850
Coupon Securities 2894 483 938 -71
Total Federal Agency and
Government Sponsored Enterprise
Securities 3685 839 3744 -921
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 3341 -2977 -669 -702
All Other Federal Agency and GSE
Residential MBS -68 -539 -1824 -1473
Federal Agency and GSE CMBS -154 -158 -751 567
Non-Agency MBS
Non-Agency Residential MBS 341 -118 -322 -286
Other CMBS -528 418 -249 42
Total Mortgage-backed Securities 2932 -3374 -3815 -1852
Corporate Securities
Commercial paper 1644 3158 2839 -2966
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months -74 177 -28 587
due in 13 months to 5 years 118 -1614 63 -469
due in 5 years to 10 years -257 956 -824 -880
due in more than 10 years -930 649 -608 -363
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 2 -478 69 -178
due in 13 months to 5 years 131 285 -26 -89
due in 5 years to 10 years 1179 332 -237 -357
due in more than 10 years -263 28 -162 -71
Total Corporate Securities 1550 3493 1086 -4786
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 91 -396 -199 -97
due in 13 months to 5 years 813 320 26 213
due in 5 years to 10 years 348 -173 53 -342
due in more than 10 years 1682 -415 99 -731
Variable rate demand notes 681 12 -1170 -933
Total State and Municipal
Government Obligations 3615 -652 -1191 -1890
Asset-backed Securities
Credit card-backed securities -74 276 196 44
Student loan-backed securities 118 105 -28 -230
Automobile loan-backed securities 2 186 201 -113
Other asset-backed securities 203 51 -252 23
Total Asset-backed securities 249 618 117 -276
--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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