For Release 4:15 Table I January 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 December 24, 2008 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities Outright Transactions Change from Previous Week With Inter-Dealer Brokers 109,472 -44,411 With Others 150,566 -51,958 TOTAL 260,038 -96,369 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) With Inter-dealer Brokers 2,368 -2,101 With Others 70,568 -5,586 TOTAL 72,936 -7,688 Mortgage-backed Securities With Inter-dealer Brokers 41,381 -13,688 With Others 141,115 -38,999 TOTAL 182,496 -52,687 Corporate Securities With Inter-dealer Brokers 560 -409 With Others 130,467 -2,815 TOTAL 131,027 -3,224 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 January 02, 2009 Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities1,2,3 For week ended December 24, 2008 (Daily Average Figures; In Millions of Dollars) Type of Security Outright Transactions Change from Previous Week U.S. Government Securities Treasury Bills 53,737 -20,442 Coupon Securities due in 3 years or less 82,810 -11,921 due in more than 3 years but less than or equal to 6 years 62,304 -18,657 due in more than 6 years but less than or equal to 11 years 41,621 -35,324 due in more than 11 years 16,245 -7,250 Treasury Inflation Index Securities (TIIS) 3,321 -2,774 Total U.S. Government Securities 260,038 -96,369 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 59,805 4,957 Coupon Securities due in 3 years or less 9,007 -4,985 due in more than 3 years but less than or equal to 6 years 2,244 -3,082 due in more than 6 years but less than or equal to 11 years 1,536 -4,166 due in more than 11 years 344 -412 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) 72,936 -7,688 Mortgage-backed Securities 182,496 -52,687 Corporate Securities due in 1 year or less 116,659 805 due in more than 1 year 14,368 -4,029 Total Corporate Securities 131,027 -3,224 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 January 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 December 24, 2008 (In Millions of Dollars) Type of Security Net Outright Position Change from Previous Week U.S. Government Securities Treasury Bills 32,715 -10,447 Coupon Securities due in 3 years or less -1,611 5,303 due in more than 3 years but less than or equal to 6 years -15,116 8,417 due in more than 6 years but less than or equal to 11 years -7,253 840 due in more than 11 years 8,313 332 Treasury Inflation Index Securities (TIIS) 1,162 -1,250 Total U.S. Government Securities 18,210 3,195 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 29,937 -2,297 Coupon Securities due in 3 years or less 41,875 -840 due in more than 3 years but less than or equal to 6 years 5,180 -667 due in more than 6 years but less than or equal to 11 years 8,200 -479 due in more than 11 years 5,573 -840 Total Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed Securities) 90,765 -5,123 Mortgage-backed Securities 61,535 -791 Corporate Securities due in 1 year or less 42,154 -3,593 due in more than 1 year 76,648 -1,913 Total Corporate Securities 118,802 -5,506 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 January 02, 2009 Financing by Primary U.S. Government Securities Dealers1,2,3 Amount Outstanding as of December 24, 2008 (In Millions of Dollars) Type of Financing Overnight & Contin Term Agreements Total Change From Previous Week Securities In U.S. Treasury Securities 949,428 915,379 1,864,807 -99,492 Federal Agency and Government Sponsored Enterprise Securities 138,293 236,640 374,933 -19,923 Mortgage-backed Securities 147,691 342,337 490,028 -33,046 Corporate Securities 59,603 33,196 92,799 27 Securities Out U.S. Treasury Securities 1,117,072 599,760 1,716,832 -40,987 Federal Agency and Government Sponsored Enterprise Securities 280,258 127,177 407,435 -40,852 Mortgage-backed Securities 705,511 250,826 956,337 -40,389 Corporate Securities 143,250 70,104 213,354 -4,535 Memorandum Reverse Repurchase Agreements 699,770 1,215,778 1,915,548 -132,339 Repurchase Agreements 1,921,623 937,007 2,858,630 -128,399 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 January 02, 2009 Fails by Primary U.S. Government Securities Dealers1,2 For week ended December 24, 2008 (In Millions of Dollars) Type of Security3 Fails to ReceiChange from PFails to DeliChange from Previous Week U.S. Treasury Securities 416,568 -46,330 402,207 -25,909 Federal Agency and Government Sponsored Enterprise Securities 22,345 -7,053 28,121 -4,288 Mortgage-backed Securities5 78,440 -66,465 66,257 -57,046 Corporate Securities 25,405 5,235 34,826 7,772 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