Outright Transactions Change from Previous W

For Release 4:15 Table I September 23, 2021

Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities State and Municipal Government Obligations, and Asset-backed Securities by Type of Counterparty1,2

For week ended September 15, 2021 (Daily Average Figures; In Millions of Dollars)

Outright Change from U.S. Government Securities (excl TIPS) Transactions Previous Week

With Inter-Dealer Brokers 143,713 3,921

With Others 340,402 -26,217

TOTAL 484,115 -22,297

U.S.Floating Rate Notes

With Inter-dealer Brokers 134 133

With Others 570 113

TOTAL 704 246

U.S. Treasury Inflation-Protected Securities

With Inter-dealer Brokers 4,694 1,867

With Others 10,936 2,733

TOTAL 15,630 4,600

Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities)

With Inter-dealer Brokers 129 -24

With Others 24,307 -742

TOTAL 24,436 -766

Mortgage-backed Securities

With Inter-dealer Brokers 84,412 18,592

With Others 425,324 53,502

TOTAL 509,736 72,094

Corporate Securities

With Inter-dealer Brokers 779 291

With Others 102,707 9,335

TOTAL 103,486 9,626

State and Municipal Government Obligations

With Inter-dealer Brokers 28 9

With Others 6,701 2,418

TOTAL 6,729 2,427

Asset-backed Securities

With Inter-dealer Brokers 30 26

With Others 6,765 5,301

TOTAL 6,795 5,327

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, corporate securities, state and municipal government obligations, and asset-backed 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.

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 September 23, 2021

Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities, State and Municipal Government Obligations, and Asset-backed Securities1,2,3

For week ended September 15, 2021 (Daily Average Figures; In Millions of Dollars)

Outright Change from Type of Security Transactions Previous Week

U.S. Government Securities (excl TIPS)

Treasury Bills 132,569 -25,101

Coupon Securities due in less than or equal to 2 years 44,133 8,353 due in more than 2 years but less than or equal to 3 years 57,013 -18,913 due in more than 3 years but less than or equal to 6 years 90,201 1,595 due in more than 6 years but less than or equal to 7 years 21,584 -6,217 due in more than 7 years but less than or equal to 11 years 76,736 1,284 due in more than 11 years 61,878 16,702

U.S. Floating Rate Notes

Floating Rate Notes 704 246

U.S. Treasury Inflation-Protected Securities (TIPS) due in less than or equal to 2 years 2,100 557 due in more than 2 years but less than or equal to 6 years 8,396 3,535 due in more than 6 years but less than or equal to 11 years 4,322 641 due in more than 11 years 812 -134

Total U.S. Government Securities 500,449 -17,451

Federal Agency and Government Sponsored Enterprise Securities

Discount Notes 18,852 -2,467 Coupon Securities 5,584 1,701

Total Federal Agency and Government Sponsored Enterprise Securities 24,436 -766 (excluding Mortgage-backed securities)

Mortgage-backed Securities

Federal Agency and GSE MBS Federal Agency and GSE Residential Pass-through MBS Cash transactions 310,336 74,204 Dollar roll transactions 190,394 -4,861 All Other Federal Agency and GSE Residential MBS 4,676 262 Federal Agency and GSE CMBS 990 39

Non-Agency MBS Non-Agency Residential MBS 1,270 1,011 Other CMBS 2,070 1,439

Total Mortgage-backed Securities 509,736 72,094

Corporate Securities

Commercial paper 72,550 -1,391

Investment grade bonds, notes, and debentures due in less than or equal to 13 months 1,093 245 due in more than 13 months but less than or equal to 5 years 5,162 -350 due in more than 5 years but less than or equal to 10 years 5,690 2,716 due in more than 10 years 9,654 5,021

Below investment grade bonds, notes, and debentures due in less than or equal to 13 months 196 88 due in more than 13 months but less than or equal to 5 years 2,021 631 due in more than 5 years but less than or equal to 10 years 4,572 1,466 due in more than 10 years 2,547 1,197

Total Corporate Securities 103,486 9,626

State and Municipal Government Obligations

State and Municipal Government Obligations due in less than or equal to 13 months 1,009 -169 due in more than 13 months but less than or equal to 5 years 932 608 due in more than 5 years but less than or equal to 10 years 821 469 due in more than 10 years 3,030 1,351

Variable rate demand notes 938 169

Total State and Municipal Government Obligations 6,729 2,427

Asset-backed Securities

Credit card-backed securities 595 447 Student loan-backed securities 194 188 Automobile loan-backed securities 3,513 3,231 Other asset-backed securities 2,494 1,462

Total Asset-backed securities 6,795 5,327

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 September 23, 2021

Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities, State and Municipal Government Obligations, and Asset-backed Securities1,2

As-of close of Trading September 15, 2021 (In Millions of Dollars)

Net Outright Change from Type of Security Position Previous Week

U.S. Government Securities (excl TIPS)

Treasury Bills 28,620 -22,866

Coupon Securities due in less than or equal to 2 years 31,253 -6,968 due in more than 2 years but less than or equal to 3 years 3,300 -5,650 due in more than 3 years but less than or equal to 6 years 9,867 -4,911 due in more than 6 years but less than or equal to 7 years 13,885 -3,811 due in more than 7 years but less than or equal to 11 years 5,336 2,235 due in more than 11 years 48,399 3,949

U.S.Floating Rate Notes

Floating Rate Notes 7,402 -1,056

U.S. Treasury Inflation-Protected Securities (TIPS) due in less than or equal to 2 years -659 -495 due in more than 2 years but less than or equal to 6 years 430 196 due in more than 6 years but less than or equal to 11 years 2,473 99 due in more than 11 years 535 209

Total U.S. Government Securities 150,841 -39,069

Federal Agency and Government Sponsored Enterprise Securities

Discount Notes 2,166 -403 Coupon Securities 12,653 2,489

Total Federal Agency and Government Sponsored Enterprise Securities 14,819 2,086 (excluding Mortgage-backed securities)

Mortgage-backed Securities

Federal Agency and GSE MBS Federal Agency and GSE Residential Pass-through MBS 46,004 1,844 All Other Federal Agency and GSE Residential MBS 17,138 -298 Federal Agency and GSE CMBS 4,087 -14

Non-Agency MBS Non-Agency Residential MBS 5,221 280 Other CMBS 5,265 -93

Total Mortgage-backed Securities 77,715 1,719

Corporate Securities

Commercial paper 8,124 2,742

Investment grade bonds, notes, and debentures due in less than or equal to 13 months 1,418 -354 due in more than 13 months but less than or equal to 5 years 4,790 730 due in more than 5 years but less than or equal to 10 years -250 1,118 due in more than 10 years 2,202 317

Below investment grade bonds, notes, and debentures due in less than or equal to 13 months 566 122 due in more than 13 months but less than or equal to 5 years 1,806 225 due in more than 5 years but less than or equal to 10 years -1,258 142 due in more than 10 years 405 -19

Total Corporate Securities 17,803 5,023

State and Municipal Government Obligations

State and Municipal Government Obligations due in less than or equal to 13 months 625 8 due in more than 13 months but less than or equal to 5 years 929 338 due in more than 5 years but less than or equal to 10 years 1,409 322 due in more than 10 years 6,834 894

Variable rate demand notes 1,240 719

Total State and Municipal Government Obligations 11,037 2,281

Asset-backed Securities

Credit card-backed securities 183 40 Student loan-backed securities 1,068 -15 Automobile loan-backed securities 2,860 486 Other asset-backed securities 2,852 241

Total Asset-backed securities 6,963 752

Notes: 1. The net outright position includes all U.S. government, federal agency, government sponsored enterprise, mortgage-backed, corporate securities, state and municipal government obligations, and asset-backed 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 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 September 23, 2021

Financing by Primary U.S. Government Securities Dealers1,2,3

Amount Outstanding as of September 15, 2021 (In Millions of Dollars)

Term Agreements Term Overnight & (less than 30 Agreements (30 Change From Type of Financing Continuing days) days or greater) Total Previous Week

Securities In

Reverse Repurchase Agreements U.S. Treasury Securities (excluding TIPS) 809,358 204,798 410,604 1,424,760 10,406 U.S Treasury Inflation-Protected Securities (TIPS) 79,174 36,413 54,668 170,255 1,754 Federal Agency and GSE Securities (excluding MBS) 960 2,557 2,470 5,987 169 Federal Agency and GSE MBS 27,985 14,572 115,069 157,626 -1,138 Corporate Debt 10,550 481 5,492 16,523 -130 Asset-backed Securities 537 376 3,637 4,550 -67 Equities 0 0 * * * Other 3,648 1,162 9,739 14,549 -489

Other Financing Activity, Securities Borrowed U.S. Treasury Securities (excluding TIPS) 291,044 10,210 69,638 370,892 -7,592 U.S Treasury Inflation-Protected Securities (TIPS) 42,092 944 9,719 52,755 2,133 Federal Agency and GSE Securities (excluding MBS) 3,244 * * 3,287 -27 Federal Agency and GSE MBS 371 0 559 930 * Corporate Debt 63,541 * 0 * * Asset-backed Securities 25 0 0 25 0 Equities 176,220 144 2,923 179,287 9,904 Other 3,298 0 0 3,298 93

Total Securities In (Reverse Repo + Securities Borrowed) U.S. Treasury Securities (excluding TIPS) 1,100,402 215,008 480,242 1,795,652 2,814 U.S Treasury Inflation-Protected Securities (TIPS) 121,266 37,357 64,387 223,010 3,887 Federal Agency and GSE Securities (excluding MBS) 4,204 * * 9,274 142 Federal Agency and GSE MBS 28,356 14,572 115,628 158,556 * Corporate Debt 74,091 * 5,492 * * Asset-backed Securities 562 376 3,637 4,575 -67 Equities 176,220 144 * * * Other 6,946 1,162 9,739 17,847 -396

Securities Out

Repurchase Agreements U.S. Treasury Securities (excluding TIPS) 1,242,818 174,413 243,657 1,660,888 22,705 U.S Treasury Inflation-Protected Securities (TIPS) 154,575 18,303 6,868 179,746 -85 Federal Agency and GSE Securities (excluding MBS) 15,816 831 3,460 20,107 1,746 Federal Agency and GSE MBS 212,881 80,279 50,270 343,430 3,210 Corporate Debt 42,295 2,877 25,963 71,135 2,182 Asset-backed Securities 6,798 58 3,126 9,982 244 Equities 36,724 * 53,591 * * Other 27,931 91 8,583 36,605 4,314

Other Financing Activity, Securities Lent U.S. Treasury Securities (excluding TIPS) 117,749 * 694 * * U.S Treasury Inflation-Protected Securities (TIPS) 22,182 0 * * * Federal Agency and GSE Securities (excluding MBS) * 0 * 37 * Federal Agency and GSE MBS 29,933 0 10,062 39,995 -2,993 Corporate Debt 20,278 0 3,236 23,514 * Asset-backed Securities * 0 * 303 54 Equities 153,352 * 25,312 * * Other 266 0 * * *

Total Securities Out (Repo + Securities Lent) U.S. Treasury Securities (excluding TIPS) 1,360,567 * 244,351 * * U.S Treasury Inflation-Protected Securities (TIPS) 176,757 18,303 * * * Federal Agency and GSE Securities (excluding MBS) * 831 * 20,144 * Federal Agency and GSE MBS 242,814 80,279 60,332 383,425 217 Corporate Debt 62,573 2,877 29,199 94,649 * Asset-backed Securities * 58 * 10,285 298 Equities 190,076 399 78,903 269,378 3,355 Other 28,197 91 * * *

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, corporate securities, asset-backed securities, equities, and other collateral.

2. Financing transactions for Treasury inflation-Protected Securities (TIPS) are reported in actual funds paid or received, except for pledged securities. TIPS 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 September 23, 2021

Fails by Primary U.S. Government Securities Dealers1,2 For week ended September 15, 2021 (In Millions of Dollars)

Aggregate Fails Change from Change from Type of Security Fails to Receive3 Fails to Deliver Previous Week Previous Week

U.S. Treasury Securities (excluding TIPS) 73,050 -1,227 67,827 6,554 U.S. Treasury Inflation-Protected Securities (TIPS) 4,762 -2,773 4,806 -2,107 Federal Agency and GSE Securities (excluding MBS) 1,193 1,035 671 26 Federal Agency and GSE Mortgage-backed Securities4 18,505 15,371 34,175 12,547 Other Mortgage-backed Securities 2,632 1,826 3,345 1,992 Corporate Securities 14,849 393 20,945 2,898

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. 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. 4. 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 For Release 4:15 Table VI September 23, 2021

Primary Dealer Positions, Transactions, Financing, and Fails of Specific Issues of U.S. Government Securities by Primary U.S. Government Securities Dealers 1 For week ended September 15, 2021 (In Millions of Dollars)

Floating Rate Note Securities Treasury Coupon Securities Treasury Inflation-Protected Securities (TIPS) (FRN) Type of Security 2 year 3 year 5 year 7 year 10 year 30 year 5 year 10 year 30 year 2 year

Cumulative Outright Transactions, with Interdealer brokers 47,144 71,265 128,783 30,820 121,071 51,388 7,920 5,873 1,105 91 Change from Previous Week 18,925 12,875 29,685 4,042 32,551 19,642 4,936 2,021 489 *

Cumulative Outright Transactions, with others 59,172 108,054 210,271 48,822 235,268 87,066 15,231 6,770 1,175 662 Change from Previous Week 21,619 2,291 39,344 -11,860 76,207 49,696 6,964 445 -579 -800

Net Settled Position -743 4,198 -1,282 1,547 2,402 2,826 -136 814 -325 1,279 Change from Previous Week 173 8,169 -2,558 -404 -390 -122 -141 -73 56 -370

ON/open, Specific Transactions,Securities In 15,235 22,172 26,015 16,149 25,846 13,221 12,349 4,917 2,534 546 Change from Previous Week 802 4,550 1,847 -1,964 -10,910 1,803 -593 -170 -229 25

Term, Specific Transactions,Securities In 3,579 3,248 6,359 3,882 19,446 729 6,069 1,334 1,177 0 Change from Previous Week -36 870 -396 352 -14,084 -1,366 1,617 36 -42 0

ON/open, General Transactions, Securities In 557 1,048 833 778 464 165 * * * 0 Change from Previous Week 191 947 383 109 -241 134 * * * 0

Term, General Transactions, Securities In 0 0 0 0 * * * * * 0 Change from Previous Week 0 * 0 0 * * * * * 0

ON/open, Specific Transactions, Securities Out 16,247 21,645 22,649 11,721 28,667 12,612 13,300 5,578 1,310 949 Change from Previous Week 2,331 8,656 -2,235 -2,663 -16,356 -965 -700 432 -1,124 31

Term, Specific Transactions, Securities Out 1,621 * 2,335 36 12,660 818 3,719 883 118 0 Change from Previous Week 171 * 1,194 -761 -12,887 -994 1,340 -58 64 0

ON/open, General Transactions, Securities Out 645 6,126 4,991 8,028 4,624 1,815 1,125 473 1,976 401 Change from Previous Week -819 3,811 -227 3,911 2,473 1,185 63 -279 856 -254

Term, General Transactions, Securities Out * * 231 640 809 * * * 0 * Change from Previous Week * * 231 * * * * * 0 *

Fails to Receive 11 147 362 130 952 117 62 134 * 0 Change from Previous Week * -29 -696 -14 501 -135 -35 * * 0

Fails to Deliver 18 320 163 172 345 104 64 116 * 0 Change from Previous Week 11 205 -275 61 -90 -72 -22 * * 0

Notes: 1. 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 VII FA September 23, 2021

Primary Dealer Class A MBS Settlement Fails and Transactions 1,2,3 As-of close of trading September 14, 2021 For the settlement month of September (In Millions of Dollars)

FNMA FHLMC Fails to receive Fails to deliver Fails to receive Fails to deliver 30-year Federal Agency and GSE Pass-through MBS Fails for coupons: <2.5% 1,588 2,936 141 203 2.5% 2,640 4,607 * 381 3.0% 2,650 2,246 106 222 3.5% 975 1,191 * * 4.0% 272 297 43 18 4.5% 77 61 * * 5.0% * 62 * 0 5.5% * * 0 0 6.0% * * 0 0 >6.0% 0 0 0 0 Total 8,282 11,404 364 907

FNMA FHLMC Outright Dollar Roll Outright Dollar Roll 30-year Federal Agency and GSE Pass-through MBS Transaction Volumes for coupons: <2.5% 1,191,647 719,105 11,466 0 2.5% 862,092 697,043 8,095 0 3.0% 246,111 284,067 2,511 0 3.5% 82,335 102,035 202 0 4.0% 106,108 88,704 552 0 4.5% 19,852 16,748 276 0 5.0% 4,043 4,822 11 0 5.5% 786 648 * 0 6.0% 264 * * 0 >6.0% * 0 * 0 Total * * 23,122 0

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. Include TBA MBS fails where the settlement date is beyond the contractual settlement date. Fails reflect as-of date only aggregated 'fails to received' and 'fails to deliver' for the primary dealer community.

2. MBS TBA and Pools Transactions (Outright Buys and Sells, Dollar Rolls, and Swaps) are cumulative for settlement in the reporting month.

* Data are not published if fewer than three dealers report in this category. Figures may not add due to rounding. Data may reflect revisions since prior publication.