Muniland gets a data boost

July 1, 2013

The Federal Reserve Bank of New York has begun publishing data about the bond holdings of its primary dealers. Primary dealers are the largest and most active trading groups in bond markets. This new data will add a lot to our understanding of market flows.

The primary dealer banks own less half than 1 percent of outstanding municipal bonds, or $17 billion for the week ending June 19, 2013. The amount of municipal bonds outstanding is $3.7 trillion.

According to MSRB’s EMMA data system, the average daily trade volume by par amount for the last thirty days for municipal bonds is $12 billion. Dealers are holding about 1.4 days’ worth of trading volume. The big dealers traded $8.8 billion of securities for the week of June 19, controlling about 73 percent of daily muniland trading.

The New York Fed started collecting this data on April 13, so we only have a short time frame, but already some interesting things are happening. Here we see a dramatic drop in the holdings of short-term paper and variable rate demand notes:


In this next chart we see an enormous drop in holdings of bonds that mature in more than 13 months. Most likely, dealers saw an interest rate rise coming and sold down their inventories:


There are a lot of other muniland mysteries embedded in this data. It would be interesting to mash it up with rate levels and volume data, among other things. Cheers for the New York Fed. Stay tuned.

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