NY Fed Primary Dealers Report – As of 4/27

8 May

The NY Fed Primary Dealers positioning report is out (released 5/5 covering up to 4/27). Feedback is welcome on this new weekly report.

Full Report (Download/Print) [GDocs]

Highlights:
• Dealer positions were a mixed bag this week, MBS increased 5.5bn to 71.8bn, Corporates overall decreased 2.03bn to 115.7bn. Within Corporates, dealers decreased inventories of maturities less than one year by 4.59bn and increased maturities > 1Y by 2.56bn.
• US Treasury dealer positions overall decreased by 557mn to -46.8bn. Maturities less than 3Y increased by 5.43bn to 2.436bn while 6-11 years decreased by 6.75bn to -32.4bn. Further out on the curve, positions decreased by 229mn to -1.0bn. TIPS were relatively flat overall, posting a 2.8bn jump to bring the total to 579mn from -2.26 in the previous week.
• Primary Dealer fails largely decreased in the previous week, with the notable exception of Corporates which say a 2.8bn jump in fails to receive to 13.1bn and a 3.1bn jump in fails to deliver to 15.0bn. Treasury Fails to receive were lower by 6.4bn to 14.2bn, delivers lower by 2.7bn to 11.5bn. Agencies also saw a decrease across the board, FTRs were -5.2bn to 26.5bn, FTD dropped 5.59bn to 25.3bn.
• In primary dealer financing, term repo totals dropped -4.47bn to 2.71tn, reverse repos increased 29.2bn to 2.15tn. Notable standouts here include Treasury lends out jumping 1.47bn (Overnights were 1.31bn, Term 548mn) to 1.86bn, Lends in jumped 10.9bn

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