For Release 4:15 Table I February 09, 2012 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 February 01, 2012 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 237,163 7,596 With Others 350,698 13,314 TOTAL 587,861 20,910 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 5,628 1,128 With Others 41,443 -1,348 TOTAL 47,071 -220 Mortgage-backed Securities With Inter-dealer Brokers 115,331 31,172 With Others 233,975 79,372 TOTAL 349,307 110,544 Corporate Securities With Inter-dealer Brokers 894 50 With Others 98,088 -2,246 TOTAL 98,982 -2,196 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 February 09, 2012 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended February 01, 2012 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 67,145 7,264 Coupon Securities due in 3 years or less 142,165 -21,378 due in more than 3 years but less than or equal to 6 years 159,366 17,634 due in more than 6 years but less than or equal to 11 years 164,525 11,909 due in more than 11 years 39,356 6,788 Treasury Inflation Index Securities (TIIS) 15,305 -1,307 Total U.S. Government Securities 587,861 20,910 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 27,710 -1,564 Coupon Securities due in 3 years or less 10,130 -2,657 due in more than 3 years but less than or equal to 6 years 7,727 4,039 due in more than 6 years but less than or equal to 11 years 985 -113 due in more than 11 years 518 76 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 47,071 -220 Mortgage-backed Securities 349,307 110,544 Corporate Securities due in 1 year or less 76,258 -2,488 due in more than 1 year 22,724 292 Total Corporate Securities 98,982 -2,196 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 February 09, 2012 Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2 As-of close of Trading February 01, 2012 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 29,191 -11,362 Coupon Securities due in 3 years or less 35,779 -17,610 due in more than 3 years but less than or equal to 6 years 6,139 -2,077 due in more than 6 years but less than or equal to 11 years -11,576 12,015 due in more than 11 years 6,045 -3,298 Treasury Inflation Index Securities (TIIS) 2,497 -1,452 Total U.S. Government Securities 68,075 -23,784 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 21,615 -233 Coupon Securities due in 3 years or less 30,042 5,918 due in more than 3 years but less than or equal to 6 years 3,606 80 due in more than 6 years but less than or equal to 11 years 4,292 815 due in more than 11 years 3,324 -302 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 62,879 6,278 Mortgage-backed Securities 72,881 -6,247 Corporate Securities due in 1 year or less 23,068 1,591 due in more than 1 year 43,038 -1,973 Total Corporate Securities 66,106 -382 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 February 09, 2012 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of February 01, 2012 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 1,045,920 897,788 1,943,708 32,851 Federal Agency and Government Sponsored Enterprise Securities 85,414 72,401 157,815 9,825 Mortgage-backed Securities 89,211 410,677 499,888 -13,789 Corporate Securities 65,466 37,645 103,111 732 Securities Out U.S. Treasury Securities 1,293,034 487,100 1,780,134 16,283 Federal Agency and Government Sponsored Enterprise Securities 163,982 70,293 234,275 24,744 Mortgage-backed Securities 486,574 332,697 819,271 -41,213 Corporate Securities 85,712 57,030 142,742 2,039 Memorandum Reverse Repurchase Agreements 875,075 1,222,075 2,097,150 17,066 Repurchase Agreements 1,813,955 840,589 2,654,544 -5,317 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 February 09, 2012 Fails by Primary U.S. Government Securities Dealers1,2 For week ended February 01, 2012 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 15,113 -5,636 12,990 -4,221 Federal Agency and Government Sponsored Enterprise Securities 12,725 -2,543 12,526 -3,345 Mortgage-backed Securities5 69,263 -132,552 81,823 -163,735 Corporate Securities 9,067 -207 14,421 2,188 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