Beginning 2021:Q4, level from SEC tabulation of submissions of FOCUS reports, Schedule 1 - Aggregate securities, commodities, and swaps positions, Mortgage-backed securities issued by U.S. government agency and U.S. government-sponsored enterprises (series F18001) and debt securities issued by U.S. government agency and U.S. government-sponsored enterprises (series F18003) plus SEC tabulation of submissions of FOCUS and FOGS reports, Statement of Financial Condition, Assets, Securities and spot commodities owned, at market value, U.S. and Canadian government obligations (series F380) multiplied by the percentage of broker and dealer securities owned that are agency- and GSE backed from FOCUS (F18001 and F18003). From 1980:Q1 to 2021:Q3, level from SEC tabulation of submissions of FOCUS and FOGS reports, Statement of Financial Condition, Assets, Securities and spot commodities owned, at market value, U.S. and Canadian government obligations (series F380) minus securities brokers and dealers treasury long position (series FL663061103). Revaluations are estimated based on the percent change in the Merrill Lynch AAA Agency Master par weighted price index applied to the previous quarter's level. Unadjusted transactions are the change in the level less estimated revaluations, less any other changes in volume. Data for the most recent ten years show no significant seasonality.
Last edited on: 06/10/2025