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.

7 Year Auction Results

Results of today’s 7 year auction:

	Yield	Price	Indirect %	Bid To Cover	Coupon
June 29	2.43	99.65	32.17	2.62	2.38
July 28	2.28	99.81	39.55	2.63	2.25

Updated August issuance calendar which will (??) change after August 2nd.

US Bond Auction Calendar, Statistics and Charts [GDocs]

And one more chart you don’t want to miss, from our colleague Dutch Book

7/27 Auction Results

Today’s 5 day CMB and 5 Year auction results are out. The full auction calendar for August will be updated tomorrow, but please note that it (probably) will change. By how much is anybody’s guess.

5 Day CMB

	Yield	Price	Indirect %	Bid To Cover	Coupon
July 27	0	100	0	4.58	0

5 Year Note

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jun 28	1.61	99.45	37.62	2.59	1.50
July 27	1.58	99.62	36.59	2.62	1.50

Updated Auction Calendar, Statistics, Chartbook [GDocs]

7/26 Auction Results (All)

Today’s Auction Results:

4 Week

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jul 19	0.01	100.00	47.86	4.49	0.01
Jul 26	0.06	100.00	54.18	5.30	0.06

1 Year (52 Week)

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jun 28	0.20	99.80	27.39	4.15	0.20
Jul 26	0.20	99.80	29.82	4.63	0.20

2 Year

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jun 27	0.40	99.96	22.00	3.08	0.38
Jul 26	0.42	99.92	27.67	3.14	0.38

Updated Auction Calendar, Stats, Charts Document [GDocs]

13 & 26 Week Auction Results, Updated Issuance Calendar

Today’s 13 and 26 week auction results are out with higher yields and higher participation compared to the previous auction. Today’s auction announcements include the scheduled 4 week bill and a 5 Day CMB maturing on 8/2/2011.

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.

10Y TIPS Results, Updated Issuance

Today’s 10Y TIPS auction results are out along with next week’s auction amounts. Next week expect to see 71bn in bills** and 99bn in notes across the 2/5/7 tenors.

	Yield	Price	Indirect %	Bid To Cover	Coupon
2011-05-19	0.89	104.36	40.67	2.66	1.12
2011-07-21	0.64	100.08	41.65	2.62	0.62

Updated US Bond Auction Calendar, Historical Stats and Charts [GDocs]

**4 week bill amount TBD, SSA estimate 25-30bn

4 Week Auction Results

Today’s 4 Week auction results are out:

	Yield	Indirects (%)	Bid To Cover	Coupon
7/12/2011	0.02	37.12	4.77	0.02
7/19/2011	0.005	47.86	4.49	0.005

Updated Auction Calendar, Stats, Charts [GDocs]

A Quick Look At Agency MBS Fails and the New TMPG rules

For those of you who are particularly active in the Agency MBS sector, I’m sure you’re well aware that the TMPG (Treasury Market Practices Group) has decided to begin charging anytime there’s a failure to deliver securities.

13 & 26 Week Auction Results

13 Week – Yield: 0.02 vs. 0.03 prev (7/11), Indirects: 20.59 vs. 18.17, Bid To Cover: 4.44 vs. 4.11, Coupon: 0.02 vs. 0.031

26 Week – Yield: 0.06 vs. 0.065 prev (7/11), Indirects: 36.57 vs. 40.66, Bid To Cover: 4.73 vs. 4.86, Coupon: 0.061 vs. 0.066

4 Week Auction Announcement: 28bn

Updated Auction Calendar, Stats, Charts [GDocs]