NY Fed Data on Primary Dealer Positions
The Federal Reserve Bank of New York released its latest "Weekly Release of Primary Dealer Positions, Transactions, and Financing, we learned from J.P. Morgan Securities' Alex Roever's weekly "Short-Term Fixed Income" update. Roever writes, "Last week, the New York Fed unveiled a significant makeover to its weekly dealer position reports. These reports greatly expand on the details that have been provided in the past on dealer positions, dealer financing activity, and fails. Additionally, for the first time ever, the Fed introduces maturity-specific data on financing transactions conducted in the specials and general collateral markets. Collectively, the revised reports provide additional transparency into the repo/securities lending market that have historically been unavailable.... There are three key changes to the dealer financing activity report. First, collateral coverage has expanded to include equities, municipal securities, and asset-backed securities. The inclusion of these securities has consequently increased the aggregate size of the repo/securities lending market, captured under "securities out" in the report, by $234bn to $3.1tr as of 4/3, the first reporting date under the new format.... Treasuries and Agency Mortgages still represent the two largest collateral classes currently being financed.... Equities are a distant third. Not surprisingly, the percentage breakdown by collateral of the overall repo/securities lending market is similar to that of the tri-party repo market. Indeed, roughly 60% of the repo market is done via tri-party; the rest is bi-lateral."
