For Release 4:15 Table I February 02, 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 January 25, 2012 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 229,567 47,887 With Others 337,384 63,145 TOTAL 566,951 111,032 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 4,500 413 With Others 42,791 -1,258 TOTAL 47,291 -845 Mortgage-backed Securities With Inter-dealer Brokers 84,159 -5,175 With Others 154,604 -37,407 TOTAL 238,762 -42,583 Corporate Securities With Inter-dealer Brokers 844 73 With Others 100,334 -9,567 TOTAL 101,177 -9,494 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 02, 2012 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended January 25, 2012 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 59,881 -6,380 Coupon Securities due in 3 years or less 163,543 36,102 due in more than 3 years but less than or equal to 6 years 141,732 46,392 due in more than 6 years but less than or equal to 11 years 152,616 27,140 due in more than 11 years 32,568 -1,045 Treasury Inflation Index Securities (TIIS) 16,611 8,823 Total U.S. Government Securities 566,951 111,032 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 29,275 -1,935 Coupon Securities due in 3 years or less 12,787 3,346 due in more than 3 years but less than or equal to 6 years 3,688 48 due in more than 6 years but less than or equal to 11 years 1,098 -2,158 due in more than 11 years 442 -147 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 47,291 -845 Mortgage-backed Securities 238,762 -42,583 Corporate Securities due in 1 year or less 78,746 -10,276 due in more than 1 year 22,432 782 Total Corporate Securities 101,177 -9,494 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 02, 2012 Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2 As-of close of Trading January 25, 2012 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 40,553 11,436 Coupon Securities due in 3 years or less 53,389 13,069 due in more than 3 years but less than or equal to 6 years 8,216 14,311 due in more than 6 years but less than or equal to 11 years -23,591 -14,874 due in more than 11 years 9,343 -3,669 Treasury Inflation Index Securities (TIIS) 3,949 1,851 Total U.S. Government Securities 91,859 22,124 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 21,848 1,370 Coupon Securities due in 3 years or less 24,124 -4 due in more than 3 years but less than or equal to 6 years 3,526 -1,049 due in more than 6 years but less than or equal to 11 years 3,477 -393 due in more than 11 years 3,626 -761 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 56,601 -837 Mortgage-backed Securities 79,128 6,805 Corporate Securities due in 1 year or less 21,477 11 due in more than 1 year 45,011 -32 Total Corporate Securities 66,488 -21 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 02, 2012 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of January 25, 2012 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 1,001,820 909,037 1,910,857 49,605 Federal Agency and Government Sponsored Enterprise Securities 78,663 69,327 147,990 -1,147 Mortgage-backed Securities 95,500 418,177 513,677 -4,836 Corporate Securities 65,160 37,219 102,379 -688 Securities Out U.S. Treasury Securities 1,253,617 510,234 1,763,851 52,425 Federal Agency and Government Sponsored Enterprise Securities 142,910 66,621 209,531 -897 Mortgage-backed Securities 525,183 335,301 860,484 169 Corporate Securities 82,630 58,073 140,703 2,145 Memorandum Reverse Repurchase Agreements 837,475 1,242,609 2,080,084 54,036 Repurchase Agreements 1,793,821 866,040 2,659,861 68,988 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 02, 2012 Fails by Primary U.S. Government Securities Dealers1,2 For week ended January 25, 2012 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 20,749 -6,451 17,211 -2,163 Federal Agency and Government Sponsored Enterprise Securities 15,268 4,278 15,871 5,348 Mortgage-backed Securities5 201,815 -85,809 245,558 -123,246 Corporate Securities 9,274 -3,066 12,233 -4,477 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