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December 21, 2017 21:08 GMT
US Data: Primary Dealer Securities Positions - Details
As of December 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-Dec-17 06-Dec-17 29-Nov-17 22-Nov-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 17548 5649 14459 18941
Coupon Securities
due in less than or equal to 2
years 31888 23615 27194 25725
due in more than 2 years but less
than or equal to 3 years -5505 -4602 -7635 -5005
due in more than 3 years but less
than or equal to 6 years 15973 9603 16759 12582
due in more than 6 years but less
than or equal to 7 years 9632 11956 14648 9318
due in more than 7 years but less
than or equal to 11 years 259 1546 -2779 662
due in more than 11 years 28494 24316 28270 25681
U.S.Floating Rate Notes
Floating Rate Notes 3655 4790 5644 6245
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 2255 3148 3465 3439
due in more than 2 years but less
than or equal to 6 years 1107 340 275 19
due in more than 6 years but less
than or equal to 11 years 3889 3746 5041 5456
due in more than 11 years 740 933 516 493
Total U.S. Government Securities 109935 85040 105857 103556
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 3780 4228 2544 5036
Coupon Securities 13085 15376 15837 19333
Total Federal Agency and
Government Sponsored Enterprise
Securities 16865 19604 18381 24369
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 11314 5055 8303 11063
All Other Federal Agency and GSE
Residential MBS 24358 24934 25359 23795
Federal Agency and GSE CMBS 3326 3079 2835 2669
Non-Agency MBS
Non-Agency Residential MBS 8037 7735 7776 8230
Other CMBS 6512 6389 6365 6653
Total Mortgage-backed Securities 53547 47192 50638 52410
Corporate Securities
Commercial paper 10326 10649 7300 10024
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 3136 3210 3365 2782
due in 13 months to 5 years 5839 5028 6408 7125
due in 5 years to 10 years 3654 3091 4353 4318
due in more than 10 years 769 585 1025 768
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 661 589 630 707
due in 13 months to 5 years 2520 2518 2428 2441
due in 5 years to 10 years 521 12 239 -188
due in more than 10 years 902 980 767 809
Total Corporate Securities 28328 26662 26515 28786
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 1918 1510 1470 1608
due in 13 months to 5 years 1984 1969 2036 2469
due in 5 years to 10 years 4673 3111 2879 3264
due in more than 10 years 13812 11090 9951 9712
Variable rate demand notes 5666 3282 3752 3449
Total State and Municipal
Government Obligations 28053 20962 20088 20502
Asset-backed Securities
Credit card-backed securities 960 1189 1346 1583
Student loan-backed securities 3564 3774 3789 3779
Automobile loan-backed securities 2041 1983 1869 1867
Other asset-backed securities 3818 3883 3802 3863
Total Asset-backed securities 10383 10829 10806 11092
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills 11899 -8810 -4482 3514
Coupon Securities
due in less than or equal to 2
years 8273 -3579 1469 1987
due in more than 2 years but less
than or equal to 3 years -903 3033 -2630 -725
due in more than 3 years but less
than or equal to 6 years 6370 -7156 4177 -3284
due in more than 6 years but less
than or equal to 7 years -2324 -2692 5330 1102
due in more than 7 years but less
than or equal to 11 years -1287 4325 -3441 -1621
due in more than 11 years 4178 -3954 2589 810
U.S.Floating Rate Notes
Floating Rate Notes -1135 -854 -601 3933
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years -893 -317 26 -2373
due in more than 2 years but less
than or equal to 6 years 767 65 256 940
due in more than 6 years but less
than or equal to 11 years 143 -1295 -415 3040
due in more than 11 years -193 417 23 -613
Total U.S. Government Securities 24895 -20817 2301 6710
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes -448 1684 -2492 -2944
Coupon Securities -2291 -461 -3496 -2575
Total Federal Agency and
Government Sponsored Enterprise
Securities -2739 1223 -5988 -5519
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 6259 -3248 -2760 -4446
All Other Federal Agency and GSE
Residential MBS -576 -425 1564 -372
Federal Agency and GSE CMBS 247 244 166 285
Non-Agency MBS
Non-Agency Residential MBS 302 -41 -454 315
Other CMBS 123 24 -288 -91
Total Mortgage-backed Securities 6355 -3446 -1772 -4309
Corporate Securities
Commercial paper -323 3349 -2724 -658
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months -74 -155 583 -305
due in 13 months to 5 years 811 -1380 -717 -1046
due in 5 years to 10 years 563 -1262 35 232
due in more than 10 years 184 -440 257 -530
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 72 -41 -77 -3
due in 13 months to 5 years 2 90 -13 -131
due in 5 years to 10 years 509 -227 427 -611
due in more than 10 years -78 213 -42 -77
Total Corporate Securities 1666 147 -2271 -3129
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 408 40 -138 117
due in 13 months to 5 years 15 -67 -433 -124
due in 5 years to 10 years 1562 232 -385 27
due in more than 10 years 2722 1139 239 -155
Variable rate demand notes 2384 -470 303 187
Total State and Municipal
Government Obligations 7091 874 -414 52
Asset-backed Securities
Credit card-backed securities -229 -157 -237 -281
Student loan-backed securities -210 -15 10 88
Automobile loan-backed securities 58 114 2 -103
Other asset-backed securities -65 81 -61 -210
Total Asset-backed securities -446 23 -286 -506
--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
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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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