For Release 4:15 Table I November 05, 2009 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities by Type of Counterparty1,2 For week ended October 28, 2009 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 193,023 25,058 With Others 275,412 49,028 TOTAL 468,435 74,086 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 4,764 -637 With Others 63,986 -8,150 TOTAL 68,751 -8,787 Mortgage-backed Securities With Inter-dealer Brokers 65,624 7,769 With Others 166,331 -10,722 TOTAL 231,955 -2,953 Corporate Securities With Inter-dealer Brokers 932 -128 With Others 121,571 -4,034 TOTAL 122,503 -4,162 Notes: 1. The figures represent purchases and sales in the market by the primary U.S. government securities dealers reporting to the Federal Reserve Bank of New York. Outright transactions include all U.S. government, federal agency, government sponsored enterprise, mortgage-backed, and corporate securities scheduled for immediate and forward delivery, as well as U.S. government securities traded on a "when-issued" basis between the announcement and issue date. Data do not include transactions under repurchase and reverse repurchase (resale) agreements. Averages are based on the number of trading days in the week. 2. These reports are based on data voluntarily submitted by primary dealers to the Federal Reserve Bank of New York (FRBNY) pursuant to forms and instructions available at: http://www.newyorkfed.org/markets/primarydealers.html. FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. Figures may not add due to rounding. Data may reflect revisions since prior publication. Government Securities Dealer Statistics Unit, Federal Reserve Bank of New York For Release 4:15 Table II November 05, 2009 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended October 28, 2009 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 71,759 2,166 Coupon Securities due in 3 years or less 183,105 45,742 due in more than 3 years but less than or equal to 6 years 103,817 25,146 due in more than 6 years but less than or equal to 11 years 85,084 1,841 due in more than 11 years 19,341 -1,233 Treasury Inflation Index Securities (TIIS) 5,330 422 Total U.S. Government Securities 468,435 74,086 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 48,821 -10,095 Coupon Securities due in 3 years or less 12,297 -1,580 due in more than 3 years but less than or equal to 6 years 6,214 3,772 due in more than 6 years but less than or equal to 11 years 779 -1,171 due in more than 11 years 640 287 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 68,751 -8,787 Mortgage-backed Securities 231,955 -2,953 Corporate Securities due in 1 year or less 102,679 -2,387 due in more than 1 year 19,824 -1,775 Total Corporate Securities 122,503 -4,162 Notes: 1. The figures represent purchases and sales in the market by the primary U.S. government securities dealers reporting to the Federal Reserve Bank of New York. Outright transactions include all U.S. government, federal agency, government sponsored enterprise, mortgage-backed, and corporate securities scheduled for immediate and forward delivery, as well as all U.S. government securities traded on a "when-issued" basis between the announcement and issue date. Data do not include transactions under repurchase and reverse repurchase (resale) agreements. Averages are based on the number of trading days in the week. 2. Outright TIIS transactions are reported at principal value, excluding accrued interest, where principal value reflects the original issuance par amount (unadjusted for inflation) times the price times the index ratio. 3. These reports are based on data voluntarily submitted by primary dealers to the Federal Reserve Bank of New York (FRBNY) pursuant to forms and instructions available at: http://www.newyorkfed.org/markets/primarydealers.html. FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. * Data are not published if fewer than three dealers report transactions in this category. Figures may not add due to rounding. Data may reflect revisions since prior publication. Government Securities Dealer Statistics Unit, Federal Reserve Bank of New York For Release 4:15 Table III November 05, 2009 Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2 As-of close of Trading October 28, 2009 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 11,985 -9,441 Coupon Securities due in 3 years or less -35,501 -8,444 due in more than 3 years but less than or equal to 6 years -692 4,612 due in more than 6 years but less than or equal to 11 years -979 -1,960 due in more than 11 years 3,162 -1,186 Treasury Inflation Index Securities (TIIS) 515 1,505 Total U.S. Government Securities -21,510 -14,914 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 28,839 -9,648 Coupon Securities due in 3 years or less 55,494 -4,762 due in more than 3 years but less than or equal to 6 years 8,849 2,823 due in more than 6 years but less than or equal to 11 years 2,015 248 due in more than 11 years 1,287 -334 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 96,484 -11,673 Mortgage-backed Securities 22,725 -11,632 Corporate Securities due in 1 year or less 29,080 -1,067 due in more than 1 year 89,237 3,507 Total Corporate Securities 118,317 2,440 Notes: 1. The net outright position includes all U.S. government, federal agency, government sponsored enterprise, mortgage-backed and corporate securities scheduled for immediate and forward delivery, as well as U.S. government securities traded on a "when-issued" basis between the announcement and issue date. 2. These reports are based on data voluntarily submitted by primary dealers to the Federal Reserve Bank of New York (FRBNY) pursuant to forms and instructions available at: http://www.newyorkfed.org/markets/primarydealers.html. FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. * Data are not published if fewer than three dealers report positions in this category. Figures may not add due to rounding. Data may reflect revisions since prior publication. Government Securities Dealer Statistics Unit, Federal Reserve Bank of New York For Release 4:15 Table IV November 05, 2009 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of October 28, 2009 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 876,764 851,250 1,728,014 8,163 Federal Agency and Government Sponsored Enterprise Securities 104,951 140,057 245,008 -7,123 Mortgage-backed Securities 86,182 312,373 398,555 14,123 Corporate Securities 65,118 28,139 93,257 384 Securities Out U.S. Treasury Securities 945,508 556,369 1,501,877 -20,385 Federal Agency and Government Sponsored Enterprise Securities 213,028 90,051 303,079 -23,898 Mortgage-backed Securities 512,425 204,041 716,466 -4,726 Corporate Securities 114,624 39,071 153,695 -20 Memorandum Reverse Repurchase Agreements 649,146 1,143,431 1,792,577 30,740 Repurchase Agreements 1,638,729 829,267 2,467,996 -52,920 Notes: 1. Financing data are reported by the primary U.S. government securities dealers reporting to the Federal Reserve Bank of New York. Figures cover financing involving U.S. government, federal agency, government sponsored enterprise, mortgage-backed and corporate securities. 2. Financing transactions for Treasury inflation index securities (TIIS) are reported in actual funds paid or received, except for pledged securities. TIIS that are used as pledged securities are reported at par value, which is the value of the security at original issuance (unadjusted for inflation). 3. These reports are based on data voluntarily submitted by primary dealers to the Federal Reserve Bank of New York (FRBNY) pursuant to forms and instructions available at: http://www.newyorkfed.org/markets/primarydealers.html. FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. * Data are not published if fewer than three dealer report financing in this category. Figures may not add due to rounding. Data may reflect revisions since prior publication. Government Securities Dealer Statistics Unit, Federal Reserve Bank of New York For Release 4:15 Table V November 05, 2009 Fails by Primary U.S. Government Securities Dealers1,2 For week ended October 28, 2009 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 16,667 -740 10,998 -1,062 Federal Agency and Government Sponsored Enterprise Securities 7,415 -524 8,681 -998 Mortgage-backed Securities5 170,283 -20,459 226,582 -14,834 Corporate Securities 14,428 2,872 20,099 7,403 Notes: 1. Delivery Fails occur when a trade fails to settle on schedule. There are two parties to every fail: one party fails to receive the security (fails to receive) and one party fails to deliver the security (fails to deliver). Outright purchase and sale transactions can result in a fail. Financing transactions (securities borrowed or securities lent, also known as the market for collateral) may also result in a fail. 2. These reports are based on data voluntarily submitted by primary dealers to the Federal Reserve Bank of New York (FRBNY) pursuant to forms and instructions available at: http://www.newyorkfed.org/markets/primarydealers.html. FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. 3. Aggregated fails data are aggregated across four distinct securities categories: Treasury Securities, Agency Securities, Mortgage-Backed Securities, and Corporate Securities. While fails are reported separately for these four categories, there is no defined breakdown within each category. For example, fails for Treasury bills are not reported separately from fails for Treasury notes. 4. Fails data reflect cumulative weekly aggregated 'fails to receive' and 'fails to deliver' for the primary dealer community. Aged fails are not reported separately from overall fails. Fails are reported at the amount that was to be paid or received on the day the failed trade was to settle. 5. Fails in Mortgage-Backed securities include 'to be announced' securities where the settlement date is beyond the contractual settlement date. * Data are not published if fewer than three dealer report financing in this category. Figures may not add due to rounding. Data may reflect revisions since prior publication. Government Securities Dealer Statistics Unit, Federal Reserve Bank of New York