For Release 4:15 Table I November 19, 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 November 11, 2009 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 172,209 -20,369 With Others 267,084 -7,851 TOTAL 439,294 -28,220 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 2,569 -1,696 With Others 63,826 1,596 TOTAL 66,395 -100 Mortgage-backed Securities With Inter-dealer Brokers 120,615 41,821 With Others 336,669 136,358 TOTAL 457,284 178,179 Corporate Securities With Inter-dealer Brokers 1,096 -43 With Others 123,707 11,513 TOTAL 124,804 11,470 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 19, 2009 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended November 11, 2009 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 57,599 -14,906 Coupon Securities due in 3 years or less 174,964 18,456 due in more than 3 years but less than or equal to 6 years 71,933 -29,386 due in more than 6 years but less than or equal to 11 years 104,304 -3,759 due in more than 11 years 25,844 2,574 Treasury Inflation Index Securities (TIIS) 4,650 -1,199 Total U.S. Government Securities 439,294 -28,220 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 54,229 732 Coupon Securities due in 3 years or less 8,267 -723 due in more than 3 years but less than or equal to 6 years 2,357 -197 due in more than 6 years but less than or equal to 11 years 1,033 109 due in more than 11 years 509 -21 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 66,395 -100 Mortgage-backed Securities 457,284 178,179 Corporate Securities due in 1 year or less 98,908 8,136 due in more than 1 year 25,895 3,334 Total Corporate Securities 124,804 11,470 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 19, 2009 Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2 As-of close of Trading November 11, 2009 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 16,046 15,459 Coupon Securities due in 3 years or less -29,717 8,136 due in more than 3 years but less than or equal to 6 years -2,794 2,849 due in more than 6 years but less than or equal to 11 years 8,070 1,156 due in more than 11 years 1,316 -1,321 Treasury Inflation Index Securities (TIIS) 133 323 Total U.S. Government Securities -6,946 26,602 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 45,071 7,068 Coupon Securities due in 3 years or less 51,381 -4,848 due in more than 3 years but less than or equal to 6 years 7,301 -1,034 due in more than 6 years but less than or equal to 11 years 1,290 -538 due in more than 11 years 1,108 -151 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 106,151 497 Mortgage-backed Securities 24,118 -3,132 Corporate Securities due in 1 year or less 27,065 -879 due in more than 1 year 93,558 1,478 Total Corporate Securities 120,623 599 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 19, 2009 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of November 11, 2009 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 937,539 818,232 1,755,771 42,322 Federal Agency and Government Sponsored Enterprise Securities 109,551 142,585 252,136 8,268 Mortgage-backed Securities 99,508 296,983 396,491 23,847 Corporate Securities 68,317 28,640 96,957 2,386 Securities Out U.S. Treasury Securities 999,322 540,022 1,539,344 56,029 Federal Agency and Government Sponsored Enterprise Securities 232,208 86,465 318,673 10,970 Mortgage-backed Securities 502,755 186,983 689,738 17,767 Corporate Securities 116,392 41,268 157,660 1,503 Memorandum Reverse Repurchase Agreements 715,366 1,102,880 1,818,246 65,524 Repurchase Agreements 1,674,427 802,186 2,476,613 70,566 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 19, 2009 Fails by Primary U.S. Government Securities Dealers1,2 For week ended November 11, 2009 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 19,924 2,132 14,783 -391 Federal Agency and Government Sponsored Enterprise Securities 5,127 -1,564 8,510 342 Mortgage-backed Securities5 93,867 -20,427 122,976 -23,069 Corporate Securities 11,455 17 15,990 1,325 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