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November 02, 2017 20:12 GMT
US Data: Primary Dealer Securities Positions - Details
As of October 25, 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 25-Oct-17 18-Oct-17 11-Oct-17 04-Oct-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 18052 16551 19727 17312
Coupon Securities
due in less than or equal to 2
years 26502 26903 29403 26756
due in more than 2 years but less
than or equal to 3 years -9943 -6013 -3298 -7212
due in more than 3 years but less
than or equal to 6 years 19915 16330 21715 15670
due in more than 6 years but less
than or equal to 7 years -233 2687 2699 3473
due in more than 7 years but less
than or equal to 11 years 5110 5698 10711 8131
due in more than 11 years 25789 24554 21255 21056
U.S.Floating Rate Notes
Floating Rate Notes 6982 2888 3817 4042
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 3799 5079 4437 4096
due in more than 2 years but less
than or equal to 6 years 316 -393 658 635
due in more than 6 years but less
than or equal to 11 years 1515 2116 2139 2012
due in more than 11 years 1836 1531 1409 1032
Total U.S. Government Securities 99640 97931 114672 97003
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 3152 5621 4830 4474
Coupon Securities 19565 18805 15911 15428
Total Federal Agency and
Government Sponsored Enterprise
Securities 22717 24426 20741 19902
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 10457 13496 10155 13132
All Other Federal Agency and GSE
Residential MBS 24949 24329 24397 24936
Federal Agency and GSE CMBS 5091 4771 4925 5083
Non-Agency MBS
Non-Agency Residential MBS 8485 7681 7340 7458
Other CMBS 6482 6367 6895 6477
Total Mortgage-backed Securities 55464 56644 53712 57086
Corporate Securities
Commercial paper 12445 14801 13157 9999
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 3914 2746 2820 2643
due in 13 months to 5 years 7849 2946 2828 4442
due in 5 years to 10 years 2246 1184 1441 485
due in more than 10 years 916 280 1210 561
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 964 870 868 1346
due in 13 months to 5 years 2073 1985 1854 1569
due in 5 years to 10 years -333 -448 -1627 -1959
due in more than 10 years 898 894 1157 1129
Total Corporate Securities 30972 25258 23708 20215
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 1699 2049 1958 2354
due in 13 months to 5 years 3105 2278 1465 1145
due in 5 years to 10 years 2573 2437 2089 2262
due in more than 10 years 10726 10710 9028 9443
Variable rate demand notes 3305 3806 3125 3113
Total State and Municipal
Government Obligations 21408 21280 17665 18317
Asset-backed Securities
Credit card-backed securities 872 973 1047 771
Student loan-backed securities 3281 3437 3319 3214
Automobile loan-backed securities 1484 1646 1644 1458
Other asset-backed securities 3902 3969 3766 3715
Total Asset-backed securities 9539 10025 9776 9158
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills 1501 -3176 2415 3827
Coupon Securities
due in less than or equal to 2
years -401 -2500 2647 2780
due in more than 2 years but less
than or equal to 3 years -3930 -2715 3914 -3355
due in more than 3 years but less
than or equal to 6 years 3585 -5385 6045 -3929
due in more than 6 years but less
than or equal to 7 years -2920 -12 -774 897
due in more than 7 years but less
than or equal to 11 years -588 -5013 2580 252
due in more than 11 years 1235 3299 199 -3890
U.S.Floating Rate Notes
Floating Rate Notes 4094 -929 -225 -1289
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years -1280 642 341 -592
due in more than 2 years but less
than or equal to 6 years 709 -1051 23 -803
due in more than 6 years but less
than or equal to 11 years -601 -23 127 461
due in more than 11 years 305 122 377 -199
Total U.S. Government Securities 1709 -16741 17669 -5840
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes -2469 791 356 2806
Coupon Securities 760 2894 483 938
Total Federal Agency and
Government Sponsored Enterprise
Securities -1709 3685 839 3744
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS -3039 3341 -2977 -669
All Other Federal Agency and GSE
Residential MBS 620 -68 -539 -1824
Federal Agency and GSE CMBS 320 -154 -158 -751
Non-Agency MBS
Non-Agency Residential MBS 804 341 -118 -322
Other CMBS 115 -528 418 -249
Total Mortgage-backed Securities -1180 2932 -3374 -3815
Corporate Securities
Commercial paper -2356 1644 3158 2839
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 1168 -74 177 -28
due in 13 months to 5 years 4903 118 -1614 63
due in 5 years to 10 years 1062 -257 956 -824
due in more than 10 years 636 -930 649 -608
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 94 2 -478 69
due in 13 months to 5 years 88 131 285 -26
due in 5 years to 10 years 115 1179 332 -237
due in more than 10 years 4 -263 28 -162
Total Corporate Securities 5714 1550 3493 1086
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months -350 91 -396 -199
due in 13 months to 5 years 827 813 320 26
due in 5 years to 10 years 136 348 -173 53
due in more than 10 years 16 1682 -415 99
Variable rate demand notes -501 681 12 -1170
Total State and Municipal
Government Obligations 128 3615 -652 -1191
Asset-backed Securities
Credit card-backed securities -101 -74 276 196
Student loan-backed securities -156 118 105 -28
Automobile loan-backed securities -162 2 186 201
Other asset-backed securities -67 203 51 -252
Total Asset-backed securities -486 249 618 117
--MNI Washington Bureau; tel: +1 202-371-2121; email: kevin.kastner@marketnews.com
[TOPICS: 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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