End Of Quarter Primary Dealer Asset Window Dressing Games Continue

It is time for the SEC to slap another token wrist. Now the the "regulator" has made it official that the punishment for fraud is roughly 3% of a firm's annual bonus pool for all godlike corporations, and millions of dollars, bars and jailtime for everyone else, it is time to tickle, pardon, we mean tackle, that other major fraud: Repo 105-type end of quarter window dressing, which we now know has been practiced not only by Lehman but by Bank of America. Because according to the just released primary dealer holdings data by the New York Fed, the end of quarter window dressing continues across all PD asset classes to this day. As the chart below shows, the week following the EOQ asset balance hit a total of $270 billion, which was a $15 drop from the week prior, the subsequent week has surged by $19 billion, and is now back to $289.5 billion. This is a two week swing only matched by... the prior quarter window dressing farce, when the roundtrip amount was $81 billion.

The chart below highlights the EOQ total assets held by PDs as disclosed by the FRBNY:

Since December 2008, the average asset reduction going into the End of Quarter week is $23 billion, and the subsequent asset increase on the other side of the quarter, is $28 billion, for a round trip asset change of over $50 billion each quarter end. So let's go SEC: please fine all the PDs $250,000 each, make them take a behavioural adjustment course, have them sign a piece of paper promising never to do anything naughty again, and allow us to get on with watching American Idol, and ignoring that each day total US debt increases by $10 billion.