The Federal Reserve Bank of New York issued a statement entitled, "Reverse repo counterparties list updated," late last week. It said, "The name of the State Street Navigator Securities Lending Trust has been updated to reflect the legal entity name State Street Navigator Securities Lending Government Money Market Portfolio, effective March 23, 2018." The NY Fed's Liberty Street Economics blog also published, "Dealer Trading and Positioning in Floating Rate Notes." This says, "In January 2014, the U.S. Treasury Department made its first sale of floating rate notes (FRNs), securities whose coupon rates vary over time depending on the course of short-term rates. Now that a few years have passed, we have enough data to analyze dealer trading and positioning in FRNs. In this post, we assess the level of trading and positioning, concentration across issues, and auction cycle effects, comparing these properties to those of other types of Treasury securities.... FRNs are fixed-principal securities with original maturities of two years that make quarterly interest payments tied to auction rates on thirteen-week Treasury bills. They were introduced to broaden the Treasury Department's investor base and ultimately lower Treasury borrowing costs, as described in this post. The notes were expected to appeal to investors who want to avoid exposure to longer term interest rates, but who want to stay invested in Treasury securities without having to frequently roll over their maturing bills into new bills. To date, FRNs have offered interest rates higher than thirteen-week bills, with the spread (margin) determined at each FRN's initial auction." It adds, "We analyze data the Fed collects from primary dealers, via FR 2004 reports, on their trading, positioning, financing, and settlement activities in Treasury securities and other fixed income securities, information the Fed aggregates across dealers and releases. Historically, data were only available for broad categories of securities, but the Fed started releasing information for specific Treasury issues in 2013."

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