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December 28, 2017 21:09 GMT
US Data: Primary Dealer Securities Positions - Details
As of December 20, 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 20-Dec-17 13-Dec-17 06-Dec-17 29-Nov-17
--------------------------------------------------------------------------------
U.S. Government Securities (excl
TIPS)
Treasury Bills 5411 17548 5649 14459
Coupon Securities
due in less than or equal to 2
years 33436 31888 23615 27194
due in more than 2 years but less
than or equal to 3 years -7697 -5505 -4602 -7635
due in more than 3 years but less
than or equal to 6 years 13177 15973 9603 16759
due in more than 6 years but less
than or equal to 7 years 5143 9632 11956 14648
due in more than 7 years but less
than or equal to 11 years -1410 259 1546 -2779
due in more than 11 years 26036 28494 24316 28270
U.S.Floating Rate Notes
Floating Rate Notes 2819 3655 4790 5644
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 1510 2255 3148 3465
due in more than 2 years but less
than or equal to 6 years 1963 1107 340 275
due in more than 6 years but less
than or equal to 11 years 4515 3889 3746 5041
due in more than 11 years -50 740 933 516
Total U.S. Government Securities 84853 109935 85040 105857
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 3921 3780 4228 2544
Coupon Securities 10719 13085 15376 15837
Total Federal Agency and
Government Sponsored Enterprise
Securities 14640 16865 19604 18381
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 14527 11314 5055 8303
All Other Federal Agency and GSE
Residential MBS 23107 24358 24934 25359
Federal Agency and GSE CMBS 3647 3326 3079 2835
Non-Agency MBS
Non-Agency Residential MBS 8331 8037 7735 7776
Other CMBS 6311 6512 6389 6365
Total Mortgage-backed Securities 55923 53547 47192 50638
Corporate Securities
Commercial paper 8275 10326 10649 7300
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 2282 3136 3210 3365
due in 13 months to 5 years 4063 5839 5028 6408
due in 5 years to 10 years 3138 3654 3091 4353
due in more than 10 years -87 769 585 1025
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 747 661 589 630
due in 13 months to 5 years 2353 2520 2518 2428
due in 5 years to 10 years 1164 521 12 239
due in more than 10 years 831 902 980 767
Total Corporate Securities 22766 28328 26662 26515
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 2015 1918 1510 1470
due in 13 months to 5 years 2051 1984 1969 2036
due in 5 years to 10 years 4400 4673 3111 2879
due in more than 10 years 15334 13812 11090 9951
Variable rate demand notes 7381 5666 3282 3752
Total State and Municipal
Government Obligations 31181 28053 20962 20088
Asset-backed Securities
Credit card-backed securities 713 960 1189 1346
Student loan-backed securities 3660 3564 3774 3789
Automobile loan-backed securities 1912 2041 1983 1869
Other asset-backed securities 3641 3818 3883 3802
Total Asset-backed securities 9926 10383 10829 10806
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills -12137 11899 -8810 -4482
Coupon Securities
due in less than or equal to 2
years 1548 8273 -3579 1469
due in more than 2 years but less
than or equal to 3 years -2192 -903 3033 -2630
due in more than 3 years but less
than or equal to 6 years -2796 6370 -7156 4177
due in more than 6 years but less
than or equal to 7 years -4489 -2324 -2692 5330
due in more than 7 years but less
than or equal to 11 years -1669 -1287 4325 -3441
due in more than 11 years -2458 4178 -3954 2589
U.S.Floating Rate Notes
Floating Rate Notes -836 -1135 -854 -601
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years -745 -893 -317 26
due in more than 2 years but less
than or equal to 6 years 856 767 65 256
due in more than 6 years but less
than or equal to 11 years 626 143 -1295 -415
due in more than 11 years -790 -193 417 23
Total U.S. Government Securities -25082 24895 -20817 2301
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 141 -448 1684 -2492
Coupon Securities -2366 -2291 -461 -3496
Total Federal Agency and
Government Sponsored Enterprise
Securities -2225 -2739 1223 -5988
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 3213 6259 -3248 -2760
All Other Federal Agency and GSE
Residential MBS -1251 -576 -425 1564
Federal Agency and GSE CMBS 321 247 244 166
Non-Agency MBS
Non-Agency Residential MBS 294 302 -41 -454
Other CMBS -201 123 24 -288
Total Mortgage-backed Securities 2376 6355 -3446 -1772
Corporate Securities
Commercial paper -2051 -323 3349 -2724
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months -854 -74 -155 583
due in 13 months to 5 years -1776 811 -1380 -717
due in 5 years to 10 years -516 563 -1262 35
due in more than 10 years -856 184 -440 257
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 86 72 -41 -77
due in 13 months to 5 years -167 2 90 -13
due in 5 years to 10 years 643 509 -227 427
due in more than 10 years -71 -78 213 -42
Total Corporate Securities -5562 1666 147 -2271
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 97 408 40 -138
due in 13 months to 5 years 67 15 -67 -433
due in 5 years to 10 years -273 1562 232 -385
due in more than 10 years 1522 2722 1139 239
Variable rate demand notes 1715 2384 -470 303
Total State and Municipal
Government Obligations 3128 7091 874 -414
Asset-backed Securities
Credit card-backed securities -247 -229 -157 -237
Student loan-backed securities 96 -210 -15 10
Automobile loan-backed securities -129 58 114 2
Other asset-backed securities -177 -65 81 -61
Total Asset-backed securities -457 -446 23 -286
--MNI Washington Bureau; +1 212-800-8517; email: sara.haire@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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