This week’s NY Fed Primary Dealers report is out covering data up to the week ending 5/25/2011. Good news in terms of MBS fails to deliver/receive as they have declined in the previous week.
Dealer UST positions increased in the previous week, total positions were -32.74bn, +5.84bn vs. the week
before. Maturities less than 3 years increased by 94mn to 10.107bn; maturities 6-11 years decreased by
4.38bn to -40.6bn, while maturities greater than 11 years increased by 4.15bn to -2.665bn. TIPS: Total
TIPS positions increased by 3.61bn to 1.13bn.
MBS: Fails to receive decreased by 244.44bn to 516.71bn; fails to deliver decreased by 225.52bn to
NY Fed Primary Dealer Summary and Chartbook [GDocs]