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. Continue reading
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. Continue reading
Initial Claims for the week of July 16 jumped 10k to 418k. The 4 week moving average (used to get a picture of the overall trend) dropped by 2.75k to 421.25k. Looking deeper in just 2011, the 4 wk average topped out at 440.25k the week of May 14, and has not dropped below 400k since the week of April 16 (399.25k). Continue reading
This is the latest NY Fed Primary Dealers report covering dealer position activity as of 7/6/2011.
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.
14 Day Cash Management Bill – Yield: 0, Indirects: 1.01, Bid To Cover: 7.55, Coupon 0. The last CMB auction for (some) comparison was a 7 day CMB (9127957J4) Yield: 0.04, Indirects: 4.51, Bid To Cover 5.51, Coupon 0.041 Continue reading
13 Week – Yield 0.030 vs. 0.025 prev (7/5), Indirects: 18.17 vs. 14.25, Bid To Cover: 4.11 vs. 4.68, Coupon: 0.031 vs. 0.025
26 Week – Yield 0.065 vs. 0.08 prev (7/5), Indirects: 40.66 vs. 48.39, Bid To Cover: 4.86 vs. 5.46, Coupon 0.066 vs. 0.081
New Issues: 4 week and 14 day Cash Management Bill
Updated Auction Calendar, Charts, Statistics [GDocs]