NY Fed Primary Dealers Report – July 28, 2011

This is the latest NY Fed Primary Dealers report covering dealer position activity as of 7/20/2011.

Overall Dealer UST positions decreased vs. the previous week by 2.31bn to -29.049bn. Maturities less than 3 years decreased by 9.398bn to 12.983bn; maturities 6-11 years increased by 1.579bn to -18.167bn, while maturities greater than 11 years increased by 1.574bn to 4.287bn. TIPS: Total TIPS positions decreased by 541mn to -619mn. Dealer Corporate positions totals decreased by 1.972bn to 100.467bn. Maturities less than 1 year decreased by 1.737bn to 22.486bn while maturities greater than 1y decreased by 235mn to 77.981bn. Dealer MBS positions decreased by 3.741bn to 82.528bn.

NY Fed Primary Dealers Report – July 21, 2011 (as of 7/13)

This is the latest weekly NY Fed Primary Dealer Report, released on 7/21

Positions Highlights: Overall Dealer UST positions decreased vs. the previous week by 2.693bn to -27.099bn. Maturities less than 3 years increased by 8.495bn to 22.381bn; maturities 6-11 years increased by 2.73bn to -19.746bn, while maturities greater than 11 years decreased by 911mn to 2.713bn. TIPS: Total TIPS positions decreased by 78mn to -243mn.

Quick Look: Initial and Continuing Claims

Initial Claims for the week of July 16 jumped 10k to 418k. The 4 week moving average (used to get a picture of the overall trend) dropped by 2.75k to 421.25k. Looking deeper in just 2011, the 4 wk average topped out at 440.25k the week of May 14, and has not dropped below 400k since the week of April 16 (399.25k).

NY Fed Primary Dealers Report – July 14, 2011 (as of 7/6)

This is the latest NY Fed Primary Dealers report covering dealer position activity as of 7/6/2011.

Positions Highlights:
Overall Dealer UST positions increased vs. the previous week, total positions were up 2.46bn to -24.406bn. Maturities less than 3 years increased by 11.21bn to 13.886bn; maturities 6-11 years decreased by 2.37bn to -22.476bn, while maturities greater than 11 years decreased by 1.52bn to 3.624bn. TIPS: Total TIPS positions increased by 270mn to 165mn.

Auction Results, Daily Chartbook

Today’s Auctions

14 Day Cash Management Bill – Yield: 0, Indirects: 1.01, Bid To Cover: 7.55, Coupon 0. The last CMB auction for (some) comparison was a 7 day CMB (9127957J4) Yield: 0.04, Indirects: 4.51, Bid To Cover 5.51, Coupon 0.041

Daily Wrap Up: Charts, Auctions and More

SSA Daily Chartbook – July 12, 2011 [GDocs]

CS Global Investment Returns Yearbook [The Analyst]

UPDATED Bond Auction Calendar, Today’s Auction Results, Historical Stats [GDocs]

Revisiting Zipcar – and analysts that rate them [georgetownjack]

13 & 26 Week Auction Results

13 Week – Yield 0.030 vs. 0.025 prev (7/5), Indirects: 18.17 vs. 14.25, Bid To Cover: 4.11 vs. 4.68, Coupon: 0.031 vs. 0.025

26 Week – Yield 0.065 vs. 0.08 prev (7/5), Indirects: 40.66 vs. 48.39, Bid To Cover: 4.86 vs. 5.46, Coupon 0.066 vs. 0.081

New Issues: 4 week and 14 day Cash Management Bill

Updated Auction Calendar, Charts, Statistics [GDocs]

NY Fed Primary Dealers Report – July 7, 2011 (as of 6/29)

Overall Dealer UST positions posted a solid gain vs. the previous week snapping the 2 week decline, total positions were up 19.16bn to -26.871bn. Maturities less than 3 years decreased by 4.95bn to 2.675bn; maturities 6-11 years increased by 16.658bn to -20.101bn, while maturities greater than 11 years decreased by 5.688bn to 5.151bn. Total TIPS positions increased by 585mn to -105mn. 

July 5 Data: Charts + Auctions

Auctions

26 Week – Yield: 0.08 vs. 0.095 prev (6/27), Indirects: 48.39 vs. 40.28, Bid To Cover: 5.46 vs. 4.93, Coupon: 0.081 vs. 0.097

13 Week – Yield: 0.025 unch (prev 6/27), Indirects: 14.25 vs. 26.86, Bid To Cover: 4.68 vs. 4.67, Coupon: 0.025 unch

Updated Auction Calendar, Statistics and Charts [GDocs]

Daily Snapshot

July 5, 2011 Curve Snapshot

Today’s Chartbook [GDocs] includes 30D and 12M historical yield volatility charts as well as seasonal yield trends going into the month of July.

Housekeeping: NY Fed Primary Dealer data was posted on Friday (a day late). I will be away for most of the week, however will make an attempt when possible to bring you this week’s auctions as soon as they happen. If not, I’ll post an end of day summary (similar to today). Have a great shortened week.

NY Fed Primary Dealers Report – June 30, 2011 (as of 6/22)

This is the latest weekly NY Fed Primary Dealer Report, released on 6/30**

Positions Highlights:
Overall Dealer UST positions decreased yet again vs. the previous week, total positions were down 4.086bn to -46.031bn. Maturities less than 3 years decreased by 3.24bn to 7.626bn; maturities 6-11 years increased by 4.81bn to -36.759bn, while maturities greater than 11 years increased by 3.24bn to 10.839bn. TIPS: Total TIPS positions decreased by 698mn to -690mn.