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January 04, 2018 21:12 GMT
US Data: Primary Dealer Securities Positions - Details
As of December 27, 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 27-Dec-17 20-Dec-17 13-Dec-17 06-Dec-17
U.S. Government Securities (excl
TIPS)
Treasury Bills 11503 5411 17548 5649
Coupon Securities
due in less than or equal to 2
years 37306 33436 31888 23615
due in more than 2 years but less
than or equal to 3 years -3660 -7697 -5505 -4602
due in more than 3 years but less
than or equal to 6 years 20616 13177 15973 9603
due in more than 6 years but less
than or equal to 7 years 1363 5143 9632 11956
due in more than 7 years but less
than or equal to 11 years -1130 -1410 259 1546
due in more than 11 years 26393 26036 28494 24316
U.S.Floating Rate Notes
Floating Rate Notes 3959 2819 3655 4790
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years 1204 1510 2255 3148
due in more than 2 years but less
than or equal to 6 years 3113 1963 1107 340
due in more than 6 years but less
than or equal to 11 years 4544 4515 3889 3746
due in more than 11 years -9 -50 740 933
Total U.S. Government Securities 105202 84853 109935 85040
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes 1855 3921 3780 4228
Coupon Securities 10644 10719 13085 15376
Total Federal Agency and
Government Sponsored Enterprise
Securities 12499 14640 16865 19604
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS 14505 14527 11314 5055
All Other Federal Agency and GSE
Residential MBS 23374 23107 24358 24934
Federal Agency and GSE CMBS 3729 3647 3326 3079
Non-Agency MBS
Non-Agency Residential MBS 8177 8331 8037 7735
Other CMBS 6222 6311 6512 6389
Total Mortgage-backed Securities 56007 55923 53547 47192
Corporate Securities
Commercial paper 5196 8275 10326 10649
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months 2155 2282 3136 3210
due in 13 months to 5 years 3999 4063 5839 5028
due in 5 years to 10 years 2631 3138 3654 3091
due in more than 10 years -610 -87 769 585
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months 708 747 661 589
due in 13 months to 5 years 2338 2353 2520 2518
due in 5 years to 10 years 947 1164 521 12
due in more than 10 years 754 831 902 980
Total Corporate Securities 18118 22766 28328 26662
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 2038 2015 1918 1510
due in 13 months to 5 years 2021 2051 1984 1969
due in 5 years to 10 years 4180 4400 4673 3111
due in more than 10 years 15316 15334 13812 11090
Variable rate demand notes 5143 7381 5666 3282
Total State and Municipal
Government Obligations 28698 31181 28053 20962
Asset-backed Securities
Credit card-backed securities 559 713 960 1189
Student loan-backed securities 3611 3660 3564 3774
Automobile loan-backed securities 1706 1912 2041 1983
Other asset-backed securities 3707 3641 3818 3883
Total Asset-backed securities 9583 9926 10383 10829
--
Level Changes
Wednesday-to-Wednesday
U.S. Government Securities (excl
TIPS)
Treasury Bills 6092 -12137 11899 -8810
Coupon Securities
due in less than or equal to 2
years 3870 1548 8273 -3579
due in more than 2 years but less
than or equal to 3 years 4037 -2192 -903 3033
due in more than 3 years but less
than or equal to 6 years 7439 -2796 6370 -7156
due in more than 6 years but less
than or equal to 7 years -3780 -4489 -2324 -2692
due in more than 7 years but less
than or equal to 11 years 280 -1669 -1287 4325
due in more than 11 years 357 -2458 4178 -3954
U.S.Floating Rate Notes
Floating Rate Notes 1140 -836 -1135 -854
U.S. Treasury Inflation-Protected
Securities (TIPS)
due in less than or equal to 2
years -306 -745 -893 -317
due in more than 2 years but less
than or equal to 6 years 1150 856 767 65
due in more than 6 years but less
than or equal to 11 years 29 626 143 -1295
due in more than 11 years 41 -790 -193 417
Total U.S. Government Securities 20349 -25082 24895 -20817
Federal Agency and Government
Sponsored Enterprise Securities
Discount Notes -2066 141 -448 1684
Coupon Securities -75 -2366 -2291 -461
Total Federal Agency and
Government Sponsored Enterprise
Securities -2141 -2225 -2739 1223
(excluding Mortgage-backed
securities)
Mortgage-backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential
Pass-through MBS -22 3213 6259 -3248
All Other Federal Agency and GSE
Residential MBS 267 -1251 -576 -425
Federal Agency and GSE CMBS 82 321 247 244
Non-Agency MBS
Non-Agency Residential MBS -154 294 302 -41
Other CMBS -89 -201 123 24
Total Mortgage-backed Securities 84 2376 6355 -3446
Corporate Securities
Commercial paper -3079 -2051 -323 3349
Investment grade bonds, notes, and
debentures
due in less than or equal to 13
months -127 -854 -74 -155
due in 13 months to 5 years -64 -1776 811 -1380
due in 5 years to 10 years -507 -516 563 -1262
due in more than 10 years -523 -856 184 -440
Below investment grade bonds,
notes, and debentures
due in less than or equal to 13
months -39 86 72 -41
due in 13 months to 5 years -15 -167 2 90
due in 5 years to 10 years -217 643 509 -227
due in more than 10 years -77 -71 -78 213
Total Corporate Securities -4648 -5562 1666 147
State and Municipal Government
Obligations
State and Municipal Government
Obligations
due in less than or equal to 13
months 23 97 408 40
due in 13 months to 5 years -30 67 15 -67
due in 5 years to 10 years -220 -273 1562 232
due in more than 10 years -18 1522 2722 1139
Variable rate demand notes -2238 1715 2384 -470
Total State and Municipal
Government Obligations -2483 3128 7091 874
Asset-backed Securities
Credit card-backed securities -154 -247 -229 -157
Student loan-backed securities -49 96 -210 -15
Automobile loan-backed securities -206 -129 58 114
Other asset-backed securities 66 -177 -65 81
Total Asset-backed securities -343 -457 -446 23
--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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