For week ended March 14, 2018 (Daily Average Figures; In Millions of Dollars) With Inter-Dealer Brokers 175,063-21,930. With Others 329,193-6,049

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1 Table I Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities, and Asset-backed Securities by Type of Counterparty 1,2 (Daily Average Figures; In Millions of Dollars) U.S. Government Securities (excl TIPS) Transactions With Inter-Dealer Brokers 175,063-21,930 With Others 329,193-6,049 TOTAL 504,256-27,980 U.S.Floating Rate Notes With Inter-dealer Brokers With Others 1, TOTAL 1, U.S. Treasury Inflation-Protected Securities With Inter-dealer Brokers 4, With Others 24,260 9,906 Federal Agency and Government Sponsored Enterprise Securities (excluding Mortgage-backed securities) TOTAL 28,938 10,424 With Inter-dealer Brokers With Others 54,227 5,691 Mortgage-backed Securities TOTAL 54,936 5,678 With Inter-dealer Brokers 104,522 32,854 With Others 317,462 48,169 Corporate Securities TOTAL 421,984 81,024 With Inter-dealer Brokers 1, With Others 124,500-9,594 TOTAL 125,545-9,705 With Inter-dealer Brokers With Others 7,017-1,533 Asset-backed Securities TOTAL 7,050-1,520 With Inter-dealer Brokers With Others 4,284 1,412 TOTAL 4,313 1,376 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. 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. 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: FRBNY expects primary dealers to submit accurate data, but FRBNY does not itself audit the data. Page 1 of 7

2 Table II Primary Dealer Transactions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities,, and Asset-backed Securities 1,2,3 (Daily Average Figures; In Millions of Dollars) Type of Security U.S. Government Securities (excl TIPS) Transactions Treasury Bills 110,348-3,188 Coupon Securities due in less than or equal to 2 years 61,547-12,800 due in more than 2 years but less than or equal to 3 years 74,426 21,016 due in more than 3 years but less than or equal to 6 years 103,361-15,353 due in more than 6 years but less than or equal to 7 years 25,950-4,294 due in more than 7 years but less than or equal to 11 years 84,469-9,184 due in more than 11 years 44,154-4,178 U.S. Floating Rate Notes Floating Rate Notes 1, U.S. Treasury Inflation-Protected Securities (TIPS) due in less than or equal to 2 years 12,425 10,369 due in more than 2 years but less than or equal to 6 years 8, due in more than 6 years but less than or equal to 11 years 6, due in more than 11 years 2, Total U.S. Government Securities 534,653-16,623 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 50,213 6,038 Coupon Securities 4, Total Federal Agency and Government Sponsored Enterprise Securities 54,936 5,678 (excluding Mortgage-backed securities) Mortgage-backed Securities Federal Agency and GSE MBS Federal Agency and GSE Residential Pass-through MBS Cash transactions 314,920 63,250 Dollar roll transactions 102,067 17,770 All Other Federal Agency and GSE Residential MBS 2, Federal Agency and GSE CMBS Non-Agency MBS Non-Agency Residential MBS Other CMBS 1, Total Mortgage-backed Securities 421,984 81,024 Corporate Securities Commercial paper 98,717-4,094 Investment grade bonds, notes, and debentures due in less than or equal to 13 months 1, due in more than 13 months but less than or equal to 5 years 5,258-1,085 due in more than 5 years but less than or equal to 10 years 4,548-1,854 due in more than 10 years 6,066-2,013 Below investment grade bonds, notes, and debentures due in less than or equal to 13 months due in more than 13 months but less than or equal to 5 years 2, due in more than 5 years but less than or equal to 10 years 5,709 1,759 due in more than 10 years 1,365-2,043 Total Corporate Securities 125,545-9,705 due in less than or equal to 13 months due in more than 13 months but less than or equal to 5 years due in more than 5 years but less than or equal to 10 years 1, due in more than 10 years 2, Variable rate demand notes 2, Total 7,050-1,520 Asset-backed Securities Credit card-backed securities 1, Student loan-backed securities Automobile loan-backed securities 1, Other asset-backed securities 1, Total Asset-backed securities 4,313 1,376 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. 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. 2. TIPS 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: 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. Page 2 of 7

3 Table III Primary Dealer Positions in U.S. Government, Federal Agency, Government Sponsored Enterprise, Mortgage-backed, and Corporate Securities,, and Asset-backed Securities 1,2 As-of close of Trading March 14, 2018 Type of Security U.S. Government Securities (excl TIPS) Net Position Treasury Bills 21,930 1,219 Coupon Securities due in less than or equal to 2 years 9,030-1,139 due in more than 2 years but less than or equal to 3 years 762 4,535 due in more than 3 years but less than or equal to 6 years 8,215-2,183 due in more than 6 years but less than or equal to 7 years 5,698 1,490 due in more than 7 years but less than or equal to 11 years 3,027 1,147 due in more than 11 years 26,433 6,230 U.S.Floating Rate Notes Floating Rate Notes 4, U.S. Treasury Inflation-Protected Securities (TIPS) due in less than or equal to 2 years 2, due in more than 2 years but less than or equal to 6 years 5, due in more than 6 years but less than or equal to 11 years due in more than 11 years Total U.S. Government Securities 89,042 10,629 Federal Agency and Government Sponsored Enterprise Securities Discount Notes 6,857 2,164 Coupon Securities 17, Total Federal Agency and Government Sponsored Enterprise Securities 24,097 2,480 (excluding Mortgage-backed securities) Mortgage-backed Securities Federal Agency and GSE MBS Federal Agency and GSE Residential Pass-through MBS 5,366 2,507 All Other Federal Agency and GSE Residential MBS 28,605-1,001 Federal Agency and GSE CMBS 4, Non-Agency MBS Non-Agency Residential MBS 7, Other CMBS 6, Total Mortgage-backed Securities 51,747 1,735 Corporate Securities Commercial paper 9, Investment grade bonds, notes, and debentures due in less than or equal to 13 months 1, due in more than 13 months but less than or equal to 5 years 5,518 1,007 due in more than 5 years but less than or equal to 10 years 4, due in more than 10 years 1, Below investment grade bonds, notes, and debentures due in less than or equal to 13 months due in more than 13 months but less than or equal to 5 years due in more than 5 years but less than or equal to 10 years due in more than 10 years 1, Total Corporate Securities 24, due in less than or equal to 13 months 1, due in more than 13 months but less than or equal to 5 years 1, due in more than 5 years but less than or equal to 10 years 2, due in more than 10 years 14, Variable rate demand notes 3, Total 24, Asset-backed Securities Credit card-backed securities 1, Student loan-backed securities 3, Automobile loan-backed securities 2, Other asset-backed securities 4, Total Asset-backed securities 11, 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. 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: 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. Page 3 of 7

4 Table IV Financing by Primary U.S. Government Securities Dealers 1,2,3 Amount Outstanding as of March 14, 2018 Type of Financing Overnight & Continuing Term Agreements (less than 30 days) Term Agreements (30 days or greater) Total Change From Securities In Reverse Repurchase Agreements U.S. Treasury Securities (excluding TIPS) 656, , ,796 1,366,889 8,756 U.S Treasury Inflation-Protected Securities (TIPS) 65,207 35,185 58, ,271-1,080 Federal Agency and GSE Securities (excluding MBS) 3,855 1,194 5,490 10,539 1,892 Federal Agency and GSE MBS 52,810 29, , ,523 18,718 Corporate Debt 9,404 1,053 4,728 15, Asset-backed Securities 332 2,111 7,778 10, Equities * 0 0 * * Other 2,600 4,153 12,091 18, Other Financing Activity, Securities Borrowed U.S. Treasury Securities (excluding TIPS) 284,203 11,773 78, ,504 6,531 U.S Treasury Inflation-Protected Securities (TIPS) 33, ,792 42,838 3,160 Federal Agency and GSE Securities (excluding MBS) 7, * * * Federal Agency and GSE MBS 401 * * 1,118 0 Corporate Debt 62,557 * * 62,588-1,082 Asset-backed Securities Equities 137,785 * 6,420 * * Other 1,941 * * 2, Total Securities In (Reverse Repo + Securities Borrowed) U.S. Treasury Securities (excluding TIPS) 940, , ,324 1,741,393 15,287 U.S Treasury Inflation-Protected Securities (TIPS) 99,128 35,310 67, ,109 2,080 Federal Agency and GSE Securities (excluding MBS) 11,831 1,441 * * * Federal Agency and GSE MBS 53,211 * * 219,641 18,718 Corporate Debt 71,961 * * 77,773-1,265 Asset-backed Securities 353 2,111 7,778 10, Equities * * 6, ,206 * Other 4,541 * * 21, Securities Out Repurchase Agreements U.S. Treasury Securities (excluding TIPS) 963, , ,240 1,515,969-4,064 U.S Treasury Inflation-Protected Securities (TIPS) 115,495 22,190 10, ,721 3,462 Federal Agency and GSE Securities (excluding MBS) 28,832 1,172 3,495 33, Federal Agency and GSE MBS 277,278 73,473 54, ,292 21,091 Corporate Debt 46,040 4,131 19,815 69, Asset-backed Securities 14,207 1,332 4,796 20, Equities 17,500 * 20,865 * * Other 24, ,290 37,484 1,063 Other Financing Activity, Securities Lent U.S. Treasury Securities (excluding TIPS) 137,217 * * 138,986 21,944 U.S Treasury Inflation-Protected Securities (TIPS) 27, , Federal Agency and GSE Securities (excluding MBS) * Federal Agency and GSE MBS 42,501 * 22,324 * * Corporate Debt 18,868 * * 20, Asset-backed Securities * * * Equities 141,047 * 20,096 * * Other ,294 4,670 * Total Securities Out (Repo + Securities Lent) U.S. Treasury Securities (excluding TIPS) 1,101,092 * * 1,654,955 17,880 U.S Treasury Inflation-Protected Securities (TIPS) 143,235 22,190 10, ,461 4,144 Federal Agency and GSE Securities (excluding MBS) 29,369 1,172 3,495 34,036 * Federal Agency and GSE MBS 319,779 * 76,865 * * Corporate Debt 64,908 * * 90,690 1,402 Asset-backed Securities * 1,332 5,141 * * Equities 158,547 2,263 40, ,771-2,683 Other 24, ,584 42,154 * 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: 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. Page 4 of 7

5 Table V Fails by Primary U.S. Government Securities Dealers 1,2 Aggregate Fails Type of Security Fails to Receive 3 Fails to Deliver U.S. Treasury Securities (excluding TIPS) 163,066 44, ,613 40,182 U.S. Treasury Inflation-Protected Securities (TIPS) 8,161 1,998 7,139 2,425 Federal Agency and GSE Securities (excluding MBS) 1, Federal Agency and GSE Mortgage-backed Securities 4 9,780 5,229 10,338 6,525 Other Mortgage-backed Securities 1, , Corporate Securities 18,782 1,586 27,350 2,845 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). 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: 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. Page 5 of 7

6 Table VI Primary Dealer Positions, Transactions, Financing, and Fails of Specific Issues of U.S. Government Securities by Primary U.S. Government Securities Dealers 1 Treasury Coupon Securities Treasury Inflation-Protected Securities (TIPS) Floating Rate Note Securities (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 Transactions, with Interdealer brokers 83,358 81, ,032 42, ,053 56,610 6,874 6,171 1, ,943-20,704-29,479-12,545-27,499-6, Cumulative Transactions, with others 95,733 92, ,934 54, ,413 71,799 18,054 9,313 3,312 2,980-19,838-8,296-50,383-3,342-2,442 4,342 2,916-1,673-1,910 1,570 Net Settled Position 219-7,376-3,928-1,932-7,595-5, , ,304 1,147-5,815-1, , , ,414 ON/open, Specific Transactions,Securities In 16,375 21,208 28,288 10,522 37,451 17,181 6,362 8, , ,507 2,237-1,732 7,250 2,259 1, Term, Specific Transactions,Securities In 17,330 20,445 10,539 6,101 42,421 7,109 4,582 2,297 1, ,298 2,344 2,551 1,786 4, ON/open, General Transactions, Securities In * * * * * * 854 * * * * * * * * * * * * * Term, General Transactions, Securities In * 0 0 * * * 0 0 * 0 0 * * * 0 0 ON/open, Specific Transactions, Securities Out 20,317 16,223 27,533 11,447 28,950 8,561 6,361 3,903 1,169 2,398 1,558-3,056 5, , Term, Specific Transactions, Securities Out 11,427 17,030 7,325 2,807 43,475 8,198 2,651 3, ,527 1,705 1,191 1,030 7,054 1, * 0 ON/open, General Transactions, Securities Out 4,045 1, , ,604 2, ,336 1, , , Term, General Transactions, Securities Out * * * 578 * * * * * 0 * * * -66 * * * * * * Fails to Receive , ,782 1,289 * * , * * Fails to Deliver , * * , * * -34 * 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: 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. Page 6 of 7

7 Table VII Primary Dealer Class A MBS Settlement Fails and Transactions 1,2,3 As-of close of trading March 13, 2018 For the settlement month of March 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% % * 21 * * 3.0% 1,169 1, % % % 1, % % 10 * * * 6.0% * * * 0 >6.0% Total 3,261 3,449 1,033 1,368 FNMA FHLMC Dollar Roll 30-year Federal Agency and GSE Pass-through MBS Transaction Volumes for coupons: <2.5% * 0 * 0 2.5% 4,016 3, % 243, ,546 37,209 20, % 731, , ,999 43, % 573, ,240 76,003 49, % 149,188 67,882 19,283 14, % 12,490 5,536 1,577 1, % 4,200 2,951 1, % 1, >6.0% * * * 0 Total 1,719,897 * 256, ,016 FNMA Dollar Roll FHLMC 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). 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 ( Buys and Sells, Dollar Rolls, and Swaps) are cumulative for settlement in the reporting month. 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: 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 in this category. 7 of 7 RUN TIME :12:13 PM