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.

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.

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.

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.

NY Fed Primary Dealers Report (week ending 6/15)

Overall Dealer UST positions decreased vs. the previous week, total positions were down 22.92bn to -41.945bn. Maturities less than 3 years increased by 2.21bn to 10.868bn; maturities 6-11 years decreased by 14.963bn to -41.575bn, while maturities greater than 11 years increased by 5.508bn to 7.59bn. TIPS: Total TIPS positions increased by 66mn to 8mn. Dealer Corporate positions totals decreased by 4.928bn to 108.794bn. Maturities less than 1 year increased by 1.096bn to 25.24bn while maturities greater than 1y decreased by 6.02bn to 83.554bn. Dealer MBS positions increased again by 6.82bn to 90.988bn.

June 16 NY Fed Primary Dealers Report – Week Ending 6/8

Overall Dealer UST positions saw a strong increase in the previous week, total positions were up 18.239bn to -19.023bn. Maturities less than 3 years increased by 4.337bn to 8.649bn; maturities 6-11 years increased by 9.378bn to -26.612bn, while maturities greater than 11 years increased by 443mn to 2.088bn. TIPS: Total TIPS positions increased by 61mn to -58mn.

6/11 Weekly Summary

It has been an interesting week, so here’s a recap of all the data for the week along with some interesting links for your reading pleasure:

SSA June 10 Chartbook

A lot of interesting debate on YOKU by The Analyst

Avaya’s S1 IPO Filing (being a former Lucent intern in the late 90’s I’m pretty intrigued to see how this goes and still disappointed in Patricia Russo’s performance in the past decade)

Bank Of America Shedding Bond Prop Trading [BI]

The argument over at TheStreet.com that tech jobs are plentiful, yet talent is not and my original rebuttal that talent is plentiful, it’s the employers who are being excessively picky.

NY Fed Primary Dealer Weekly Data Release

Latest Bond Auction Results