For Release 4:15 Table I July 02, 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 June 24, 2009 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 181,305 19,085 With Others 249,162 25,279 TOTAL 430,467 44,364 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 3,651 95 With Others 77,430 -2,566 TOTAL 81,081 -2,472 Mortgage-backed Securities With Inter-dealer Brokers 62,270 3,607 With Others 136,698 -33,554 TOTAL 198,969 -29,946 Corporate Securities With Inter-dealer Brokers 1,110 -51 With Others 111,195 -1,120 TOTAL 112,305 -1,172 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 July 02, 2009 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended June 24, 2009 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 79,628 18,739 Coupon Securities due in 3 years or less 152,708 21,903 due in more than 3 years but less than or equal to 6 years 94,346 14,562 due in more than 6 years but less than or equal to 11 years 82,044 -1,795 due in more than 11 years 17,285 -8,787 Treasury Inflation Index Securities (TIIS) 4,454 -259 Total U.S. Government Securities 430,467 44,364 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 65,646 -2,111 Coupon Securities due in 3 years or less 11,506 790 due in more than 3 years but less than or equal to 6 years 2,801 -715 due in more than 6 years but less than or equal to 11 years 763 -411 due in more than 11 years 366 -24 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 81,081 -2,472 Mortgage-backed Securities 198,969 -29,946 Corporate Securities due in 1 year or less 94,290 -961 due in more than 1 year 18,015 -211 Total Corporate Securities 112,305 -1,172 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 July 02, 2009 Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2 As-of close of Trading June 24, 2009 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 38,839 -11,038 Coupon Securities due in 3 years or less -9,928 13,198 due in more than 3 years but less than or equal to 6 years 1,176 7,639 due in more than 6 years but less than or equal to 11 years -3,788 -5,682 due in more than 11 years 8,769 -102 Treasury Inflation Index Securities (TIIS) 831 -248 Total U.S. Government Securities 35,899 3,767 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 20,805 -10,283 Coupon Securities due in 3 years or less 45,886 -366 due in more than 3 years but less than or equal to 6 years 3,757 -1,404 due in more than 6 years but less than or equal to 11 years 3,663 238 due in more than 11 years 1,222 176 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 75,333 -11,639 Mortgage-backed Securities 31,886 -3,701 Corporate Securities due in 1 year or less 38,909 -7,752 due in more than 1 year 72,074 1,717 Total Corporate Securities 110,983 -6,035 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 July 02, 2009 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of June 24, 2009 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 870,736 879,246 1,749,982 3,044 Federal Agency and Government Sponsored Enterprise Securities 162,962 156,284 319,246 3,136 Mortgage-backed Securities 131,884 288,167 420,051 9,269 Corporate Securities 62,807 21,507 84,314 -1,845 Securities Out U.S. Treasury Securities 1,023,492 614,051 1,637,543 -8,395 Federal Agency and Government Sponsored Enterprise Securities 254,809 103,041 357,850 -1,508 Mortgage-backed Securities 515,542 182,135 697,677 434 Corporate Securities 112,969 41,482 154,451 -9,541 Memorandum Reverse Repurchase Agreements 787,434 1,115,443 1,902,877 30,966 Repurchase Agreements 1,749,834 891,425 2,641,259 -750 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 July 02, 2009 Fails by Primary U.S. Government Securities Dealers1,2 For week ended June 24, 2009 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 64,859 25,039 76,363 36,777 Federal Agency and Government Sponsored Enterprise Securities 5,787 -2,245 7,443 227 Mortgage-backed Securities5 105,494 -138,213 122,909 -175,987 Corporate Securities 9,646 -3,907 13,392 -3,443 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