NY Fed Primary Dealers Report – July 28, 2011

29 Jul

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.

Full NY Fed PD Report

NY Fed Primary Dealers Report and Chartbook [GDocs]

NY Fed Primary Dealers Historical Statistics [GDocs]

Dealer Financing Highlights:

Total Dealer Treasuries in decreased 50.538bn to 1.972tr; treasuries out decreased 54.324bn to 1.740tr. Agencies in increased 1.586bn to 162.527bn; agencies out increased 12.104bn to 207.412bn MBS in decreased 15.945bn to 461.972bn; MBS out increased 25.942bn to 812.245bn Corporates in increased 790mn to 128.279bn; corporates out increased 751mn to 175.686bn

Repurchase agreements in decreased 14.889bn to 2.610tr; Reverse Repo out decreased 54.064bn to 2.042tr.

Dealer Fails Highlights:

Treasuries: Fails to receive increased 5.378bn to 30.426bn; fails to deliver increased 5.704bn to 25.436bn. Agencies: Fails to receive decreased 477mn to 27.719bn; fails to deliver decreased 1.027bn to 25.101bn. MBS: Fails to receive increased 389.019bn to 575.638bn; fails to deliver increased 408.120bn to 634.468bn. Corporates: Fails to receive increased 2.16bn to 10.408bn; fails to deliver decreased 57mn to 11.405bn.

More on fails in the Agency MBS market and the proposed TMPG fails charge. Nothing (yet) on dealing with the pretty massive amounts of fails in the non Agency MBS market.



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