Beginning 2021:Q4, level from SEC tabulation of submissions of FOCUS reports, Schedule 1 - Aggregate securities, commodities, and swaps positions, long/bought, U.S. treasury securities (series F8200) plus FOCUS treasury share of total US government securities times FOGS total U.S. govt securities. From 2001:Q3 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) multiplied by the inflated FR2004A treasuries share, calculated as the SEC tabulation of submissions of FOCUS reports, Schedule 1 - Aggregate securities, commodities, and swaps positions, long/bought, U.S. treasury securities (series F8200) inflated by the average share of SEC tabulation of submissions of FOCUS reports, Schedule 1 - Aggregate securities, commodities, and swaps positions, long/bought, U.S. treasury securities (series F8200) to FR2004A treasuries from 2021:Q4 to 2024:Q4, divided by FR2004A treasuries and agencies. From 1980:Q1 to 2001:Q2, 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), multiplied by the share of securities brokers and dealers total federal government treasury securities (FL313161105) to the sum of total federal government treasury securities (FL313161105) and U.S. government agency securities (FL893161705). Revaluations are estimated based on the percent change in the Merrill Lynch AAA Treasury Master par weighted price index applied to the previous quarter's level. Unadjusted transactions are the change in the level less estimated capital gains, less any other changes in volume. Seasonally adjusted transactions are obtained using X-13-ARIMA procedure through 2019:Q4; data for more recent periods show no significant seasonality.
Last edited on: 09/10/2025