Weekly Report of Cumulative Dealer Transactions

Government Securities Dealers Reports

FR2004_i

Weekly Report of Cumulative Dealer Transactions

OMB: 7100-0003

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REPORTING GUIDELINES FOR PREPARING THE FR 2004
PRIMARY GOVERNMENT SECURITIES DEALERS REPORTS
FR 2004 REPORTS
FR 2004A Weekly Report of Dealer Positions
FR 2004B Weekly Report of Cumulative Dealer Transactions
FR 2004C Weekly Report of Dealer Financing and Fails
FR 2004SI Weekly Report of Specific Issues
FR 2004SD Daily Report of Specific Issues
FR 2004WI Daily Report of Dealer Activity in Treasury Financing

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Table of Contents
I. GENERAL INSTRUCTIONS

page
5

A. Organization of the Instruction Book
B. Purpose of the FR 2004 Reports

C. Administrative Issues
 Authority
 Confidentiality
 Paperwork Reduction Act
 Requests for Revised Data
 Data Retention
 Officer Declaration and Signature

5
5
5
6
6
6
7

D. Who Must Report
 Reporting Dealers
 Consolidation Rules

7
7
7

E. Submission of Reports
 Where to Report
 Report Dates and Due Dates

8
8
9

II. WHAT TO REPORT
A. Reportable Securities
B. Do Not Report
C. Allotments of New Securities
D. Underwriting of Securities
E. Security Buybacks
F. Prime Brokerage Reporting

9
9
12
12
12
12
12

III. REPORT INSTRUCTIONS
A. FR 2004A – Weekly Report of Dealer Positions
 Accounting Rules
 Reportable Positions
o Gross Long
o Gross Short
 Line-by-Line Instructions
 Maturity Classifications

13
13
13
13

B. FR 2004B – Weekly Report of Cumulative Dealer Transactions
 Accounting Rules
 Reportable Transactions
 Counterparty Categories
o With Inter-dealer Brokers
o With Others
 Line-by-Line Instructions
 Maturity Classifications
 Cancels and Corrections

13
17
17
17
17
18
18
18
18
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

C. FR 2004C – Weekly Report of Dealer Financing and Fails
 Accounting Rules
o Securities Financings
o Settlement Fails
 Types of Financing
o Maturity Terms
o Repurchase Agreements
o Reverse Repurchase Agreements
o Other Financing – Securities Lent
o Other Financing – Securities Borrowed
 Line-by-Line Instructions
 Aggregate Settlement Fails

23
23
23
23
24

D. FR 2004SI – Weekly Report of Specific Issues
 Accounting Rules
 Reportable Securities
 Row Definitions
 Column 1 Security and Rate
 Columns 2-3 Outright Cumulative Transactions
 Column 4 Net Settled Positions
 Columns 5 through 12 Gross Financing
o Columns 5, 6, 9, 10 Specific Transactions
o Columns 7, 8, 11, 12 General
 Columns 13 and 14 Fails
 Column 15 FRBNY Security ID
 Line-by-Line Instructions

29
29
29
29
30
30
30
30
32
32
32
32
33

E. FR 2004SD – Daily Report of Specific Issues
 Accounting Rules
 Reportable Securities
 Column 1 Security and Rate
 Supplemental Information

34
34
34
34
34

F. FR 2004WI – Daily Report of Dealer Activity in Treasury Financing
 Accounting Rules
 No Activity
 Re-Opened Security
 Column 1 Security
 Column 2 Net Outright Positions
 Column 3 Net Forward Financing Commitments
 Columns 4 and 5 Cumulative Outright Transactions
 Line-by-Line Instructions

35
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35
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35
36
36
36

Appendix A - Comparisons Between and Within Reports
 FR 2004A vs. FR 2004B
 FR 2004C (line 3) vs. FR 2004C (memorandum)
 FR 2004A vs. FR 2004SI and FR 2004WI
 FR 2004B vs. FR 2004SI and FR 2004WI
 FR 2004C vs. FR 2004SI

24
28

FR 2004 Primary Government Securities Dealers Reporting Guidelines






FR 2004SI (comparisons of column 3, columns 4 through 11, and columns 12
and 13)
FR 2004SD (comparisons of column 3, columns 4 through 11, and columns 12
and 13)
FR 2004SD vs. FR 2004SI
FR 2004WI (comparison of column 2, column 3, and columns 4 and 5)

Appendix B - Glossary
Appendix C - Reporting Examples
 FR 2004SI
 FR 2004SD

FR 2004 Primary Government Securities Dealers Reporting Guidelines

I. GENERAL INSTRUCTIONS
A. ORGANIZATION OF THE INSTRUCTION BOOK
This instruction book covers the FR 2004 Primary Government Securities Dealers Reports. It is
divided into the following sections:
Section I (General Instructions) – The general instructions describe the overall reporting
requirements.
Section II (What to Report) – This section describes the types of reportable securities.
Section III (Report Specific Instructions) – This section describes the specific reporting
requirements for each FR 2004 report and line. These instructions and definitions supplement
the information in the general instructions.
The forms and instructions are available on the Board’s website at:
http://www.federalreserve.gov/reportforms/
Additional information, including the SI and WI Guide Sheets, is also available on the Federal
Reserve Bank of New York’s (FRBNY) website:
http://www.newyorkfed.org/markets/primarydealers.html
B. PURPOSE OF THE FR 2004 REPORTS
The FR 2004 reports collect weekly and daily position, transaction, financing, and fails data of
the primary government securities dealers (primary dealers) in U.S. government securities and
other selected fixed-income securities. These data provide critical support to the Federal
Reserve in fulfilling important responsibilities, including monitoring technical developments in
U.S. government securities markets, conducting open market operations, and acting as fiscal
agent for the U.S. Department of the Treasury (U.S. Treasury).
C. ADMINISTRATIVE ISSUES
Authority
The FR 2004 reports are authorized by law (12 U.S.C. §§ 248(a)(2), 353-359, and 461(c)).
These reports are required to obtain the benefit of primary dealer status.
Confidentiality
Individual primary dealer data are regarded as confidential under the Freedom of Information Act
(FOIA), 5 U.S.C. § 552, and are treated as such by the Federal Reserve System. Individual
reporting entity data reported on the FR 2004 reports will not be published or otherwise publicly
disclosed. Aggregate data derived from these reports that are published or otherwise publicly
disclosed will not reveal the identity of any individual reporting entity. If it should be determined
subsequently that any information collected on these reports must be released, primary dealers
will be notified.
Data from the FR2004 series may be made available to the Inter-agency Working Group for
Treasury market surveillance, which includes the Department of the Treasury, the Securities
5

FR 2004 Primary Government Securities Dealers Reporting Guidelines

and Exchange Commission, the Commodity Futures Trading Commission, the Board of
Governors of the Federal Reserve System, and the Federal Reserve Bank of New York.
Paperwork Reduction Act
The FR 2004 reports have been reviewed and approved by the Office of Management and Budget
(OMB) in accordance with the Paperwork Reduction Act of 1995 and assigned OMB control
number 7100-003. The estimated average burden associated with this collection of information,
per response, is 2.80 hours for the FR 2004A, 3.50 hours for the FR 2004B, 3.25 hours for the
FR 2004C, 2.1 hours for the FR 2004SI, 2 hours for the FR 2004SD, and 1 hour for the
FR 2004WI. These averages include the time to gather and maintain data in the required form, to
review instructions, and to complete the information collection. The amount of time required to
complete these reports will vary depending on the amount of data to report. Comments
concerning the accuracy of this burden estimate and suggestions for reducing burden should be
directed to:
Secretary, Board of Governors of the Federal Reserve System
20th Street and Constitution Avenue, N.W.
Washington, DC 20551
No person is required to respond to any collection of information from the Federal Reserve
System unless it displays a currently valid OMB control number.
Requests for Revised Data
FRBNY staff review data submitted on the FR 2004 reports. As a result of their review and
analytical procedures, FRBNY staff may ask reporters to explain data conditions or submit
revisions. Since these data are extremely time-sensitive, reporters should respond as quickly
as possible to these requests. Revisions must be submitted via the Reporting Central system.
When cancels and corrections to prior period FR 2004B data occur, they may be corrected by
reducing or increasing the next period’s transactions by the amount of the error. The revisions
cannot be applied to the next period’s transactions if the cancellation or correction from the prior
period results in a negative amount in the next period’s transactions. In that case, revised prior
period data should be submitted.
Data Retention
In accordance with Federal Reserve Banks Operating Circular No. 5, the reporting Institution
must maintain a hard copy duplicate of all required statistical or other bank regulatory data
(such as FR 2004) that it submits electronically, unless, consistent with generally applicable
revisions to the requirements for submitting the particular report, the Institution is no longer
required to retain the hard copy. The hard copy must contain an official signature certifying that
the data contained therein is correct, must be retained by the Institution for at least five years,
and is subject to inspection by the Reserve Bank.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Officer Declaration and Signature
Each FR 2004 report (A, B, C, SI, SD, and WI) must be signed by a senior officer of the primary
dealer that has managerial responsibilities for the internal controls for financial statements or the
trading operations. This includes the CEO, CFO, or equivalent officer with these responsibilities.
The signing officer is expected to notify the FRBNY if the officer becomes aware of any material
inaccuracies in reported data.
Either the signature page of the FRBNY-supplied sample set of report forms, a photocopy of this
signature page, or a copy of the signature page from the primary dealer’s report preparation
software should be used to fulfill the signature and declaration requirement. This page should be
attached to the printout placed in the primary dealer’s official files for a period of time that is
consistent with the retention of the FR 2004 reports. In addition, a copy of the attestations must
be submitted annually for the last as-of date of each year to the FRBNY.
D. WHO MUST REPORT
Reporting Dealers
Respondents to the reports are primary dealers. The FR 2004 reports are required to obtain the
benefit of primary dealer status. The Federal Reserve Bank of New York trades U.S.
government and select other securities with designated primary dealers, which include banks
and securities broker-dealers. A list of primary dealers can be found at
http://www.newyorkfed.org/markets/pridealers_current.html
Consolidation Rules
For purposes of these reports, data should be reported for the entire legal entity that functions as
the primary dealer, including any subsidiaries that it consolidates in its regulatory reports (e.g.,
FOCUS or FOG). Unless specified in these instructions, all activity and balances between
consolidated entities included in the consolidation described above should be eliminated.
Activities and balances with counterparties not included in the consolidation described above are
external and should be reported accordingly.
Positions, transactions, financing, and fails that occur with unconsolidated affiliates and
subsidiaries are reported as third-party transactions. Do not report internal trades, including
trades between desks or departments.
Affiliates are companies under the control of the direct parent of the primary dealer. The
following illustrates the FR 2004 consolidation rules.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Direct
Parent of
Primary
Dealer
Trades between
consolidated
and
unconsolidated
entities are
reportable.

Company A
(Primary Dealer
Affiliate)

Company B
(Not Affiliate of
Primary Dealer)

These entities are not
consolidated with the
primary dealer.

These entities
are
consolidated
with the
primary
dealer.

Primary
Dealer

Company C
(Direct Subsidiary of
Primary Dealer)

Company D
(Unconsolidated
Subsidiary of Primary
Dealer)

Company E
(Consolidated Subsidiary
of Primary Dealer)

E. SUBMISSION OF REPORTS
Where to Report
All respondents must submit their completed report via the Federal Reserve System’s Reporting
Central system. The Federal Reserve Bank of New York (FRBNY) will provide technical
assistance to any respondent requiring guidance in creating files for submission via Reporting
Central. See: http://www.frbservices.org/centralbank/reportingcentral/resource_center.html for
additional information on the Reporting Central system.
If data cannot be transmitted via the Reporting Central system, primary dealers are required to fax
the FR 2004 reports to the FRBNY by 4:00 p.m. (Eastern Time) Thursday (or FR 2004SD or
FR 2004WI deadline date) to: 212-720-5030 or 646-720-5030. Prior to faxing reports, please call
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

FRBNY Statistics Function at 212-720-7993 or 646-720-7993. Data that are faxed to FRBNY
must subsequently be submitted via the Reporting Central system.

Report Dates and Due Dates
Report weekly data as of the close of business each Wednesday. Data should be submitted to
the Federal Reserve Bank of New York (FRBNY) each week no later than 4:00 p.m. (Eastern
Time) Thursday (Friday if Thursday is a holiday).
Data for the FR 2004WI should be submitted no later than 4:00 p.m. (Eastern Time) daily during a
when-issued period for the previous business day. The reporting of the FR 2004WI begins on the
business day following a financing announcement for positions as of the close of business the day
of the announcement. The last report for a when-issued period is due on the settlement date for
information as of close of business the previous business day.
FR 2004SI information may be requested daily for certain on-the-run or other securities on the
FR 2004SD report. Data for the FR 2004SD should be submitted no later than 4:00 p.m. (Eastern
Time) daily for the previous business day until notified by the FRBNY to cease reporting these
data daily.

II. WHAT TO REPORT
Report all data in millions of dollars. Total all data for each cell before rounding. Do not report
decimals or negative values in any cell except for those specific cells on the forms SI, SD, and
WI, (net settled position, net outright position and net forward financing commitments) where
negative values may be reported. See the specific instructions for those forms for further
details.
A. REPORTABLE SECURITIES
Provided below are descriptions of reportable securities by asset class. Portions of security
identification numbers issued by the Committee on Uniform Security Identification Procedures
(CUSIP), known as “roots,” can be helpful in identifying certain reportable securities. Refer to the
specific guidelines for each particular report for additional information.
U.S. Treasury Securities (excluding TIPS)
This includes bills, notes, bonds, and Separate Trading of Registered Interest and Principal
Securities (STRIPS), both the interest-only (IO) and principal-only (PO) components.
U.S. Treasury Inflation-Protected Securities (TIPS)
This includes all U.S. Treasury securities that do not have a fixed principal. In addition, include
STRIPS (both the IO and PO components) where the underlying security is a TIPS.
Federal Agency and Government Sponsored Enterprise Securities (excluding MBS)
This includes securities that are issued by, guaranteed by, or are the direct obligation of a federal
agency or a GSE that are not mortgage-backed securities (MBS).

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Federal Agency and GSE Mortgage-Backed Securities
This includes:
Residential Pass-Through Securities


Residential mortgage pass-through securities backed by an undivided interest in a pool of
loans secured by 1-4 family residential properties, guaranteed by the Government National
Mortgage Association (GNMA) or issued by the Federal National Mortgage Corporation
(FNMA) or the Federal Home Loan Mortgage Corporation (FHLMC).

Other Residential Mortgage-Backed Securities


All classes of collateralized mortgage obligations (CMOs) and real estate mortgage
investment conduits (REMICs), CMO and REMIC residuals, and stripped mortgagebacked securities issued by FNMA or FHLMC or guaranteed by GNMA. Also include
REMICs issued by the U.S. Department of Veterans Affairs (VA).



All classes of CMOs, REMICs, CMO and REMIC residuals, and stripped mortgage-backed
securities issued by non-U.S. government issuers (e.g., other depository institutions,
insurance companies, state and local housing authorities in the U.S.) for which the
collateral consists of GNMA (Ginnie Mae) pass-throughs, FNMA (Fannie Mae) passthroughs, FHLMC (Freddie Mac) participation certificates, or other mortgage-backed
securities (i.e., classes of CMOs or REMICs, CMO or REMIC residuals, and stripped
mortgage-backed securities) issued or guaranteed by FNMA, FHLMC, GNMA, or VA.

Commercial Mortgage-Backed Securities


Commercial mortgage pass-through securities backed by an undivided interest in a pool of
loans secured by properties other than 1-4 family residential properties, issued by GNMA,
FNMA or FHLMC. .

Non Agency Mortgage-Backed Securities
This includes:
Residential Mortgage-Backed Securities


This includes all mortgage pass through securities backed by an undivided interest in a
pool of loans secured by 1-4 family residential properties, issued by others (e.g., other
depository institutions or insurance companies, state and local housing authorities) that
are not issued or guaranteed by the U.S. government. If the consolidated entity has
issued private certificates of participation in a pool of its own residential mortgages in a
transaction that is not a financing, any unsold certificates of participation are to be reported
in this item. Also report all classes of CMOs, REMICs, CMO and REMIC residuals, and
stripped mortgage-backed securities issued by non-U.S. government issuers (e.g., other
depository institutions, insurance companies, state and local housing authorities in the
U.S.) for which the collateral does not consist of GNMA (Ginnie Mae) pass-throughs,
FNMA (Fannie Mae) pass-throughs, FHLMC (Freddie Mac) participation certificates, or
other residential mortgage-backed securities (i.e., classes of CMOs or REMICs, CMO or
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

REMIC residuals, and stripped mortgage-backed securities) issued FNMA, FHLMC,
GNMA, or VA.
Commercial Mortgage-Backed Securities


This includes all CMOs, REMICs, CMO and REMIC residuals, and stripped mortgagebacked securities backed by loans secured by properties other than 1-4 family residential
properties that have been issued or guaranteed by non-U.S. government issuers.

Corporate Securities
This includes U.S. dollar-denominated debt securities issued by corporations
incorporated in the fifty states of the United States and the District of Columbia
including:








bonds, notes, debentures
commercial paper including ABS-backed commercial paper
covered bonds
debt issued under the FDIC’s Temporary Liquidity Guarantee Program (TLGP)
Debt Guarantee Program
Detached U.S. government security coupons and ex-coupon U.S. government securities
reissued as Treasury receipts representing rights to the future payments held by a trustee.
These instruments have been developed by several securities firms and markets under
names such as CATS, TIGRS, COUGAR, and LION.
Privately placed securities (e.g., 144a Securities)

State and Municipal Government Obligations
Includes debt securities issued by states and political subdivisions in the U.S. including the
District of Columbia. This includes their counties, municipalities, school districts, irrigation,
drainage, and sewer districts. Also include securities issued by the government of Puerto Rico
and of the U.S. territories and possessions and their political subdivisions. Include




General obligations
Revenue obligations
Industrial development and similar obligations

Asset-Backed Securities (ABS)
Each ABS should be reported in the item that most closely describes the predominant type of
asset that collateralizes the security and this categorization should be used consistently over time.
These may include securities backed by credit card receivables, automobile loans and leases,
home equity lines, consumer and personal loans, commercial and industrial loans, and other
assets, as well as collateralized loan obligations (CLOs), collateralized debt obligations (CDOs),
and collateralized bond obligations (CBOs). Do not include mortgage-backed securities (MBS).
MBS should be reported in Lines 4a-4e. Do not include asset-backed commercial paper (ABCP).
ABCP should be reported on Line 5a.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

B. DO NOT REPORT


Securities issued by multinational institutions, such as the International Bank for
Reconstruction and Development (IBRD/World Bank).



Securities issued by corporations incorporated in the U.S. territories and Puerto Rico.



Securities issued by corporations incorporated outside of the United States (i.e., foreign
securities).
Shares of funds, including exchange traded funds (ETFs), even if the fund invests in
reportable securities.




Derivative contracts, with the exception of forwards reported on the FR 2004A and the
FR 2004B, and forward financing commitments are reportable (on the FR 2004WI).

C. ALLOTMENTS OF NEW SECURITIES
Report the position taken in a new U.S. Treasury or MBS security allotment. Include allotments
that are awarded on a report date in that day’s positions. However, do not report any transaction
with an issuer used to book a position in a new security (whether for the reporting entity’s own
portfolio or on behalf of a customer).
Purchases from issuers of new debt, including debt purchased as part of an existing facility,
medium term note program or debt purchased through reverse inquiry are excluded. Purchases
from and sales to the FRBNY are not allotments.
D. UNDERWRITING OF SECURITIES
Report the position taken in a new issue when the reporting entity is the underwriter or part of the
underwriting syndicate. The transaction to obtain that position (whether for the reporting entity’s
own portfolio or on behalf of a customer) should not be reported.
E. SECURITY BUYBACKS
Report the change in position when the buyback settles. The settlement of a buyback should be
excluded from the FR 2004B (whether for the reporting entity’s own portfolio or on behalf of a
customer). However, purchases of securities by a reporting entity from a customer to complete
the buyback process should be included.
F. PRIME BROKERAGE REPORTING
Transactions conducted on behalf of a prime brokerage customer with an executing dealer
should be excluded. Financing positions conducted on behalf of a prime brokerage customer
should be excluded on the FR 2004C, FR 2004SI, and FR 2004SD. Trades in which the
customer’s prime broker is acting as principal or agent should be reported as trades with
“others.”

FR 2004 Primary Government Securities Dealers Reporting Guidelines

III. REPORT INSTRUCTIONS
A. FR 2004A – WEEKLY REPORT OF DEALER POSITIONS
Accounting Rules
Report data on the FR 2004A at fair value. The definition of fair value is consistent with U.S.
GAAP, as referenced in FAS 157 (see ASC Topic 820 Fair Value Measurements and
Disclosures).
Positions on the FR 2004A are reported using trade date accounting, except for buybacks, which
should be reported using settlement date accounting.
Long and short positions in the same issue should be reported net by CUSIP. However, long and
short positions in different issues should be reported gross.
Reportable Positions
Report the following on the FR 2004A report in the appropriate column (i.e., positive positions
should be reported as a long position and negative positions should be reported as a short
position):
 Immediate delivery and forward delivery positions that are owned on an outright basis
 Forward contracts
 The position taken in a new U.S. Treasury, or MBS security allotment. Include allotments
that are awarded on a report date in that day’s positions.
 The position taken in a new non-Agency or GSE issued MBS security when the reporting
entity is the underwriter or part of the underwriting syndicate
 When-issued positions
 Dollar rolls involving To Be Announced (TBA) securities, for which the underlying security
does not yet exist (e.g., forward MBS).
Line-by-Line Instructions
For each item, report gross long outright positions in column 1 and gross short outright positions
in column 2. For further description on reportable securities see Section II. A “What to Report –
Reportable Securities”.
Line

Caption and Instructions

U.S. Treasury Securities (excluding TIPS)

Bills. Report in the appropriate columns outright positions in U.S. Treasury Bills.

Coupons due in less than or equal to 2 years. Report in the appropriate
columns outright positions in U.S. Treasury securities (excluding TIPS) with
coupons due in less than or equal to 2 years.
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

Coupons due in more than 2 years but less than or equal to 3 years. Report
in the appropriate columns outright positions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 2 years but less than or equal to 3 years.

Coupons due in more than 3 years but less than or equal to 6 years. Report
in the appropriate columns outright positions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 3 years but less than or equal to 6 years.

Coupons due in more than 6 years but less than or equal to 7 years. Report
in the appropriate columns outright positions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 6 years but less than or equal to 7 years.

Coupons due in more than 7 years but less than or equal to 11 years. Report
in the appropriate columns outright positions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 7 years but less than or equal to 11 years.

Coupons due in more than 11 years. Report in the appropriate columns outright
positions in U.S. Treasury securities (excluding TIPS) with coupons due in more
than 11 years.

U.S. Treasury Inflation-Protected Securities (TIPS)

TIPS due in less than or equal to 2 years. Report in the appropriate columns
outright positions in TIPS due in less than or equal to 2 years.

TIPS due in more than 2 years but less than or equal to 6 years. Report in the
appropriate columns outright positions in TIPS due in more than 2 years but less
than or equal to 6 years.

TIPS due in more than 6 years but less than or equal to 11 years. Report in
the appropriate columns outright positions in TIPS due in more than 6 years but
less than or equal to 11 years.

TIPS due in more than 11 years. Report in the appropriate columns outright
positions in TIPS due in more than 11 years.

Federal Agency and GSE Securities (excluding MBS)

Discount notes. Report in the appropriate columns outright positions in federal
agency and GSE discount notes.

Coupons. Report in the appropriate columns outright positions in federal agency
and GSE coupon securities.

Mortgage-Backed Securities (MBS)

Federal Agency and GSE Residential Pass-Through MBS. Report in the
appropriate columns outright positions in federal agency and GSE residential passthrough MBS securities. Include securities guaranteed by GNMA and issued by
FNMA and FHLMC.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

All Other Federal Agency and GSE Residential MBS. Report in the appropriate
columns outright positions in other federal agency and GSE residential MBS
securities. Include securities guaranteed by GNMA and issued by FNMA and
FHLMC. Include CMOs, REMICs, and stripped MBS, such as IOs and POs

Federal Agency and GSE Commercial MBS (CMBS). Report in the appropriate
columns outright positions in federal agency and GSE commercial MBS securities.
Include securities guaranteed by GNMA and issued by FNMA and FHLMC. Also
include CMBS guaranteed by the Small Business Administration.

Non-Agency Residential MBS. Report in the appropriate columns outright
positions in residential MBS securities that have been issued by non-U.S.
Government issuers (e.g., other depository institutions, insurance companies, state
and local housing authorities in the U.S.) that are not guaranteed by the U.S.
government. Include CMOs, REMICS, and stripped MBS, such as IOs and POs.

Other Commercial MBS. Report in the appropriate columns outright positions in
commercial MBS securities that have been issued or guaranteed by non-U.S.
Government issuers (e.g., other depository institutions, insurance companies, state
and local housing authorities in the U.S.). Include CMOs, REMICS, and stripped
MBS, such as IOs and POs.

Corporate Securities.

Commercial Paper. Report in the appropriate columns outright positions in dollar
denominated commercial paper including unsecured and asset-backed commercial
paper (ABCP) issued by U.S. entities. Exclude commercial paper issued by states
and political subdivisions in the U.S. (report those items in Line 6).

Investment Grade Bonds, Notes, and Debentures due in less than or equal to
13 months. Report in the appropriate columns outright positions in dollar
denominated bonds, notes, debentures and equipment trust certificates that are
rated investment grade (BBB or better) and due in 13 months or less. Report
according to the current ratings, not the ratings issued at inception. If no public
ratings are available, but internal ratings are available, the internal definitions may
be used. If several public ratings are available, the lowest of the ratings should be
used for reporting.

Investment Grade Bonds, Notes, and Debentures due in more than 13
months. Report in the appropriate columns outright positions in dollar
denominated bonds, notes, debentures and equipment trust certificates that are
rated investment grade (BBB or better) and are due in greater than 13 months.
Report according to the current rating, not the rating at inception. If no public
ratings are available, but internal ratings are available, the internal definitions may
be used. If several public ratings are available, the lowest of the ratings should be
used for reporting.

Below Investment Grade Bonds, Notes, and Debentures. Report in the
appropriate columns outright positions in dollar denominated bonds, notes,
debentures and equipment trust certificates that are rated below investment grade
(BB+ or lower) of any maturity. Report according to the current rating, not the
rating at inception. If no public ratings are available, the internal definitions may be
15

FR 2004 Primary Government Securities Dealers Reporting Guidelines

used. If several public ratings are available, the lowest of the ratings should be
used for reporting.
6

State and Municipal Government Obligations.

State and Municipal Government Obligations due in less than or equal to 13
months. Report in the appropriate columns outright positions in state and
municipal government obligations due in less than or equal to 13 months. Include
municipal commercial paper as well as taxable municipal obligations. Do not
include positions reported on Line 6c.

State and Municipal Government Obligations due in more than 13 months.
Report in the appropriate columns outright positions in state and municipal
government obligations due in more than 13 months. Include taxable municipal
obligations. Do not include positions reported on Line 6c.

State and Municipal Government Obligations Variable Rate Demand Notes
(VRDNs). Report in the appropriate columns outright positions in variable rate
state and municipal government obligations of any maturity. VRDNs are floating
rate obligations that have a long term maturity but have a coupon rate that resets
periodically. Also include auction rate securities, inverse floaters, and lower
floaters. Do not report auction rate preferred securities issued by bond funds.

Asset-Backed Securities

Credit Card-Backed Securities. Report in the appropriate columns outright
positions in asset-backed securities collateralized predominantly by credit card
receivables, i.e., extensions of credit to individuals for household, family, and
other personal expenditures arising from credit cards.

Student Loan-Backed Securities. Report in the appropriate columns outright
positions in asset-backed securities collateralized predominantly by student loans.

Automobile Loan-Backed Securities. Report in the appropriate columns outright
positions in asset-backed securities collateralized predominantly by automobile
loans, i.e., loans to individuals for the purpose of purchasing private passenger
vehicles, including minivans, vans, SUVs, pickup trucks, and similar light trucks for
personal use.

Other Asset-Backed Securities. Report in the appropriate columns outright
positions in asset-backed securities collateralized predominantly by loans other
than those listed in 7a-7c including CLOs. Do not include MBS.

Total. Report the sums of items 1 through 7.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Maturity Classifications
Report U.S. Treasury, Corporate, and State and Municipal securities in the appropriate maturity
classification row on the FR 2004A based on remaining maturity. As the remaining maturity
decreases, the security is shifted from one maturity classification to another. If the shift occurs on
a Wednesday, categorize the security in the new maturity classification row on that Wednesday’s
report.
When-issued securities should be categorized based on the time remaining to maturity calculated
from the issue date (e.g., a when-issued, 2-year U.S. Treasury note should be reported in line 1b,
U.S. Treasury Securities: Coupons due in less than or equal to 2 years).
STRIPS and other stripped securities should be categorized based on the time remaining to the
payment date for each IO component, and to the redemption date for the PO component. For
example, report a stripped 30-year U.S. Treasury bond with 60 coupon payments (two interest
payments per year; 60 IO components) as follows:


The sum of the first 4 IO components in line 1b (U.S. Treasury Coupons due in less
than or equal to 2 years);



The sum of the next 2 IO components in line 1c (U.S. Treasury Coupons due in more
than 2 years but less than or equal to 3 years);



The sum of the next 6 IO components in line 1d (U.S. Treasury Coupons due in more
than 3 years but less than or equal to 6 years);



The sum of the next 2 IO components in line 1e (U.S. Treasury Coupons due in more
than 6 years but less than or equal to 7 years),



The sum of the next 8 IO components in line 1f (U.S. Treasury Coupons due in more
than 7 years but less than or equal to 11 years),

The sum of the remaining 38 IO components and the PO component in line 1g (U.S. Treasury
Coupons due in more than 11 years).
B. FR 2004B – WEEKLY REPORT OF DEALER TRANSACTIONS
Accounting Rules
Report outright transactions of fixed principal securities at principal value, excluding accrued
interest. Principal value is the face value purchased or sold times the price. For outright TIPS
securities, principal value is the original issuance par amount (unadjusted for inflation) times
the price times the index ratio.
Transactions on the FR 2004B are reported using trade date accounting.
Report on a cumulative basis for the entire report week. Do not net purchases and sales.
Reportable Transactions


Outright transactions and forward transactions of fixed principal securities.
17

FR 2004 Primary Government Securities Dealers Reporting Guidelines



Treasury Inflation-Protected Securities (TIPS).



Purchases of securities by a reporting entity from a customer to complete the buyback
process. However, exclude buyback offers accepted by the U.S. Treasury, whether for
the dealer’s own behalf or on behalf of their customers.



When-issued securities.



Dollar rolls involving To Be Announced (TBA) securities, for which the underlying
security does not yet exist (e.g., forward MBS).



Transactions executed through electronic trading platforms for the reporting dealer’s
own accounts. However, do not report transactions executed to settle trades for
electronic trading platforms, where the reporter does not take a position.

Counterparty Categories
Column 1 With Inter-Dealer Brokers
A listing of inter-dealer brokers are listed in the Fixed Income Clearing Corporation’s (FICC)
government securities division and mortgage-backed securities division member directories.
The directory can be obtained from:
http://www.dtcc.com/customer/directories/ficc/ficc_gov.php
http://www.dtcc.com/customer/directories/ficc/ficc_mbs.php


Brokers with an asterisk next to their name are inter-dealer brokers. These listings are
included for use as a guide and should not be considered an exhaustive list of all interdealer brokers. Dealers should look through the organizational structure of
counterpartys when dealing with inter-dealer brokers not specified on the FICC
membership directories to identify affiliate firms designated as inter-dealer brokers that
provide clearing services for the counterparty as well as inter-dealer brokers that are
not FICC members. Include trades with these institutions in column 1 on the FR
2004B.



Trades made through inter-dealer brokers where the counterparty is revealed after the
conclusion of the trade (give-up trades) should continue to be reported as transactions
with inter-dealer brokers and not as transactions with others.

Column 2 With Other Counterparties
Include transactions with primary dealers, the FRBNY (including all open market operations),
and all counterparties other than those included in column 1.
Line-by-Line Instructions
For each item, report transactions with inter-dealer brokers in column 1 and transactions with
others in column 2. For further description on reportable securities see Section II. A “What to
Report – Reportable Securities”.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Line

Caption and Instructions

U.S. Treasury Securities (excluding TIPS)

Bills. Report in the appropriate columns transactions in U.S. Treasury Bills.

Coupons due in less than or equal to 2 years. Report in the appropriate
columns transactions in U.S. Treasury securities (excluding TIPS) with coupons
due in less than or equal to 2 years.

Coupons due in more than 2 years but less than or equal to 3 years. Report
in the appropriate columns transactions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 2 years but less than or equal to 3 years.

Coupons due in more than 3 years but less than or equal to 6 years. Report
in the appropriate columns transactions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 6 years but less than or equal to 11 years.

Coupons due in more than 6 years but less than or equal to 7 years. Report
in the appropriate columns transactions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 6 years but less than or equal to 7 years.

Coupons due in more than 7 years but less than or equal to 11 years. Report
in the appropriate columns transactions in U.S. Treasury securities (excluding
TIPS) with coupons due in more than 7 years but less than or equal to 11 years.

Coupons due in more than 11 years. Report in the appropriate columns
transactions in U.S. Treasury securities (excluding TIPS) with coupons due in more
than 11 years.

U.S. Treasury Inflation-Protected Securities (TIPS)

TIPS due in less than or equal to 2 years. Report in the appropriate columns
transactions in TIPS due in less than or equal to 2 years.

TIPS due in more than 2 years but less than or equal to 6 years. Report in the
appropriate columns transactions in TIPS due in more than 2 years but less than or
equal to 6 years.

TIPS due in more than 6 years but less than or equal to 11 years. Report in
the appropriate columns transactions in TIPS due in more than 6 years but less
than or equal to 11 years.

TIPS due in more than 11 years. Report in the appropriate columns transactions
in TIPS due in more than 11 years.

Federal Agency and GSE Securities (excluding MBS)

Discount notes. Report in the appropriate columns transactions in federal agency
and GSE discount notes.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Coupons. Report in the appropriate columns transactions in federal agency and
GSE coupon securities.

Mortgage-Backed Securities

Federal Agency and GSE Residential Pass-Through MBS Cash transactions.
Report in the appropriate columns cash transactions as well as other transactions
not reported separately in Line 4b in MBS pass-through securities.

Federal Agency and GSE Residential Pass-Through MBS Dollar roll
transactions. Report in the appropriate columns dollar roll transactions in
Federal Agency and GSE Pass-through MBS securities. A dollar roll is a
transaction involving the purchase or sale of an MBS pass-through security for
delivery in the current month with a simultaneous agreement to resell or
repurchase substantially similar securities in the future at a specified price.

All Other Federal Agency and GSE Residential MBS. Report in the appropriate
columns transactions in other federal agency and GSE-issued residential MBS
including CMOs, REMICS, and stripped MBS, such as IOs and POs.

Federal Agency and GSE Commercial MBS (CMBS). Report in the appropriate
columns transactions in federal agency and GSE commercial MBS securities.
Include securities guaranteed by GNMA and issued by FNMA and FHLMC. Also
include CMBS guaranteed by the Small Business Administration.

Non-Agency Residential MBS. Report in the appropriate columns transactions in
residential MBS securities that have been issued by non-U.S. Government issuers
(e.g., other depository institutions, insurance companies, state and local housing
authorities in the U.S.) that are not guaranteed by the U.S. government. Include
CMOs, REMICS, and stripped MBS, such as IOs and POs.

Other Commercial MBS. Report in the appropriate columns transactions in
commercial MBS securities that have been issued or guaranteed by non-U.S.
Government issuers (e.g., other depository institutions, insurance companies, state
and local housing authorities in the U.S.). Include CMOs, REMICS, and stripped
MBS, such as IOs and POs.

Corporate Securities

Commercial Paper. Report in the appropriate columns transactions in dollar
denominated commercial paper including unsecured and asset-backed commercial
paper (ABCP) issued by U.S. entities. Do not include commercial paper issued by
states and political subdivisions in the U.S. (report those items in Item 6).

Investment Grade Bonds, Notes, and Debentures due in less than or equal to
13 months. Report in the appropriate columns transactions in dollar denominated
bonds, notes, debentures and equipment trust certificates that are rated investment
grade (BBB or better) and due in 13 months or less. Report according to current
ratings, not the ratings issued at inception. If no public ratings are available, the
internal definitions may be used. If several public ratings are available, the lowest
of the ratings should be used for reporting.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Investment Grade Bonds, Notes, and Debentures due in more than 13
months. Report in the appropriate columns transactions in dollar denominated
bonds, notes, debentures and equipment trust certificates that are rated investment
grade (BBB or better) and are due in greater than 13 months. Report according to
the current ratings, not the ratings issued at inception. If no public ratings are
available, but internal ratings are available, the internal definitions may be used. If
several public ratings are available, the lowest of the ratings should be used for
reporting.

Below Investment Grade Bonds, Notes, and Debentures. Report in the
appropriate columns transactions in dollar denominated bonds, notes, debentures
and equipment trust certificates that are rated below investment grade (BB+ or
lower) of any maturity. Report according to the current ratings, not the ratings
issued at inception. If no public ratings are available, but internal ratings are
available, the internal definitions may be used. If several public ratings are
available, the lowest of the ratings should be used for reporting.

State and Municipal Government Obligations.

State and Municipal Government Obligations due in less than or equal to 13
months. Report in the appropriate columns transactions in state and municipal
government obligations due in less than or equal to 13 months. Include municipal
commercial paper as well as taxable municipal obligations. Do not include
transactions reported on Line 6c.

State and Municipal Government Obligations due in more than 13 months.
Report in the appropriate columns transactions in state and municipal government
obligations due in more than 13 months. Include taxable municipal obligations. Do
not include transactions reported on Line 6c.

State and Municipal Government Obligations Variable Rate Demand Notes
(VRDNs). Report in the appropriate columns transactions in variable rate state
and municipal government obligations of any maturity. VRDNs are floating rate
obligations that have a long term maturity but have a coupon rate that resets
periodically. Also include auction rate securities, inverse floaters, and lower
floaters. Do not report auction rate preferred securities issued by bond funds.

Asset-Backed Securities

Credit Card-Backed Securities. Report in the appropriate columns transactions
in asset-backed securities collateralized predominantly by credit card
receivables, i.e., extensions of credit to individuals for household, family, and
other personal expenditures arising from credit cards.

Student Loan-Backed Securities. Report in the appropriate columns
transactions in asset-backed securities collateralized predominantly by student
loans.

Automobile Loan-Backed Securities. Report in the appropriate columns
transactions in asset-backed securities collateralized predominantly by automobile
loans, i.e., loans to individuals for the purpose of purchasing private passenger

FR 2004 Primary Government Securities Dealers Reporting Guidelines

vehicles, including minivans, vans, SUVs, pickup trucks, and similar light trucks for
personal use.
7d

Other Asset-Backed Securities. Report in the appropriate columns transactions
in asset-backed securities collateralized predominantly by loans other than those
listed in 7a-7c including CLOs. Do not include MBS.

Total (Lines 1 through 7)

Maturity Classifications
Report U.S. Treasury, Corporate, State and Municipal securities in the appropriate maturity
classification row on the FR 2004B based on remaining maturity. As the remaining maturity
decreases, the security is shifted from one maturity classification to another. If the shift occurs on
a Wednesday, categorize the security in the new maturity classification row on that Wednesday’s
report.
When-issued securities should be categorized based on the time remaining to maturity calculated
from the issue date (e.g., a when-issued, 2-year U.S. Treasury note should be reported in line 1b,
U.S. Treasury Securities: Coupons due in less than or equal to 2 years).
STRIPS and other stripped securities should be categorized based on the time remaining to the
payment date for each IO component, and to the redemption date for the PO component. For
example, report a stripped 30-year U.S. Treasury bond with 60 coupon payments (two interest
payments per year; 60 IO components) as follows:


The sum of the first 4 IO components in line 1b (U.S. Treasury Coupons due in less
than or equal to 2 years);



The sum of the next 2 IO components in line 1c (U.S. Treasury Coupons due in more
than 2 years but less than or equal to 3 years);



The sum of the next 6 IO components in line 1d (U.S. Treasury Coupons due in more
than 3 years but less than or equal to 6 years);



The sum of the next 2 IO components in line 1e (U.S. Treasury Coupons due in more
than 6 years but less than or equal to 7 years),



The sum of the next 8 IO components in line 1f (U.S. Treasury Coupons due in more
than 7 years but less than or equal to 11 years),



The sum of the remaining 38 IO components and the PO component in line 1g (U.S.
Treasury Coupons due in more than 11 years).

Cancels and Corrections
When cancels and corrections to prior period FR 2004B data occur, they may be corrected by
reducing or increasing the next period’s transactions by the amount of the correction. The
revisions cannot be applied to the next period’s transactions if the cancellation or correction from
the prior period results in a negative amount in the next period’s transactions. In that case, a
revised report for the prior period should be submitted. Instances where the subsequent
adjustment distorts the next period’s data significantly may require a restatement to be submitted.
22

FR 2004 Primary Government Securities Dealers Reporting Guidelines

C. FR 2004C – WEEKLY REPORT OF DEALER FINANCING AND FAILS
Accounting Rules
Securities Financings - Report repurchase and reverse repurchase agreement financing
(including General Collateral Financing (GCF) settled using FICC) as well as other collateralized
financing that is outstanding as-of the FR 2004C report date using settlement date accounting.
A repurchase agreement is a contract involving the “sale” of financial assets by one party to
another, subject to an agreement by the “seller” to repurchase the assets at a specified date or
in specified circumstances. A reverse repurchase agreement (also known as a resale
agreement) is a contract involving the “purchase” of financial assets by one party from another,
subject to an agreement by the “purchaser” to resell the assets at a specified date or in
specified circumstances. Include all financing arrangements where the underlying collateral are:







U.S. Treasury Securities including TIPS and STRIPS
Federal Agency and GSE Securities (excluding MBS)
Federal Agency and GSE MBS
Corporate Debt including commercial paper
Equities
All Other dollar denominated, debt instruments used as collateral including non-Agency
or GSE-issued MBS, CMOs, REMICS, State and Municipal securities, and AssetBacked securities. Do not include financing arrangements where the underlying
collateral consists of international securities, whole loans, or money market instruments
such as negotiable CDs and bankers acceptances.

Report the actual funds paid or received. If only securities are exchanged, report the fair
(market) value of the securities pledged. Report on a gross basis; do not net borrowings
against loans. (FIN 41 does not apply to this report.)
Settlement Fails - Report settlement fails from cash and financing transactions, including aged
fails, at principal value, excluding accrued interest. Report financing transactions that fail at the
amount that was to be paid or received on the day the failed trade was to be settled.
Report on a cumulative basis (including weekends and holidays) for the reporting period only.
Failed transactions that are outstanding two days or more should be summed each day they are
outstanding during the reporting period. Also include in line 6d (Federal Agency and GSE
mortgage-backed securities fails) TBA MBS when the settlement date is delayed beyond the
contractual settlement date.
Do not add fails that were outstanding in a prior reporting period to the cumulative total
calculated for the current reporting period. For example, report a fail of $1 million that began on
Tuesday in reporting period 1 and is delivered on Friday of reporting period 2 as:



$2 million for reporting period 1; and
$1 million (Thursday only) for reporting period 2.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Types of Financing
Line-by-Line Instructions
For each item, report contractual arrangements or the pledge of securities to be received from or
delivered to counterparties in columns 1-3 according to the remaining contract term as follows:


Column 1 Overnight and Continuing. An overnight financing agreement is an
agreement that settles on one business day and matures on the next business day. A
continuing contract agreement is an agreement that remains in effect for more than one
business day, but has no specific maturity and can be terminated on demand by either the
borrower or the lender.



Column 2 Term Agreements (less than 30 days). A term agreement with an original
fixed maturity of more than one day but less than 30 days that is not a continuing contract.



Column 3 Term Agreements (30 days or greater). A term agreement with an original
fixed maturity of more than 30 days that is not a continuing contract.

Repurchase Agreements

Repurchase Agreements U.S. Treasury Securities (excluding TIPS).
Report repurchase agreements where the collateral provided to the
lender is U.S. Treasury bills and coupons securities, including those with
the FRBNY. Include GCF agreements, bilateral agreements, tri-party
agreements and hold-in-custody (HIC) agreements. Include matched
sale-purchase agreements, or any form of synthetic equivalents.

Repurchase Agreements U.S. Treasury Inflation-Protected Securities
(TIPS). Report repurchase agreements where the collateral provided to
the lender is U.S. TIPS, including those with the FRBNY. Include GCF
agreements, bilateral agreements, tri-party agreements and HIC
agreements. Include matched sale-purchase agreements, or any form of
synthetic equivalents.

Repurchase Agreements Federal Agency and GSE Securities (excluding
MBS). Report repurchase agreements where the collateral provided to the
lender are U.S. Agency and GSE debentures, including those with the FRBNY.
Include GCF agreements, bilateral agreements, tri-party agreements and HIC
agreements. Include matched sale-purchase agreements, or any form of
synthetic equivalents.

Repurchase Agreements Federal Agency and GSE MBS Securities. Report
repurchase agreements where the collateral provided to the lender are U.S.
Agency and GSE MBS securities, including those with the FRBNY. Include GCF
agreements, bilateral agreements, tri-party agreements and HIC agreements.
Include dollar repurchase agreements, matched sale-purchase agreements, or
any form of synthetic equivalents.

Repurchase Agreements Corporate Debt. Report repurchase agreements
where the collateral provided to the lender is dollar denominated corporate debt
as defined for these forms, including those with the FRBNY. Include GCF
24

FR 2004 Primary Government Securities Dealers Reporting Guidelines

agreements, bilateral agreements, tri-party agreements and HIC agreements.
Include matched sale-purchase agreements, or any form of synthetic
equivalents.
1f

Repurchase Agreements Equities. Report repurchase agreements where the
collateral provided to the lender is dollar denominated equities, including those
with the FRBNY. Include GCF repurchase agreements, bilateral repurchase
agreements, tri-party repurchase agreements and HIC agreements. Include
matched sale-purchase agreements, or any form of synthetic equivalents.

Repurchase Agreements Other Collateral. Report repurchase agreements
where the collateral provided to the lender is other dollar denominated collateral
as specified above, including those with the FRBNY. Include GCF repurchase
agreements, bilateral repurchase agreements, tri-party repurchase agreements
and HIC agreements. Include matched sale-purchase agreements, or any form
of synthetic equivalents.

Reverse Repurchase Agreements

Reverse Repurchase Agreements U.S. Treasury Securities
(excluding TIPS). Report reverse repurchase agreements where the
collateral provided to the borrower is U.S. Treasury bills and coupons
securities, including those with the FRBNY. Include GCF agreements,
bilateral agreements, tri-party agreements and HIC agreements. Include
matched sale-purchase agreements, or any form of synthetic equivalents.

Reverse Repurchase Agreements U.S. Treasury Inflation-Protected
Securities (TIPS). Report reverse repurchase agreements where the
collateral provided to the borrower is U.S. TIPS, including those with the
FRBNY. Include GCF agreements, bilateral agreements, tri-party
agreements and HIC agreements. Include matched sale-purchase
agreements, or any form of synthetic equivalents.

Reverse Repurchase Agreements Federal Agency and GSE Securities
(excluding MBS). Report reverse repurchase agreements where the collateral
provided to the borrower is U.S. Agency and GSE debentures, including those
with the FRBNY. Include GCF agreements, bilateral agreements, tri-party
agreements and HIC agreements. Include matched sale-purchase agreements,
or any form of synthetic equivalents.

Reverse Repurchase Agreements Federal Agency and GSE MBS Securities.
Report reverse repurchase agreements where the collateral provided to the
borrower is U.S. Agency and GSE MBS securities, including those with the
FRBNY. Include GCF agreements, bilateral agreements, tri-party agreements
and HIC agreements. Include dollar repurchase agreements, matched salepurchase agreements, or any form of synthetic equivalents.

Reverse Repurchase Agreements Corporate Debt. Report reverse
repurchase agreements where the collateral provided to the borrower is dollar
denominated corporate debt as defined for these forms, including those with the
FRBNY. Include GCF agreements, bilateral agreements, tri-party agreements

FR 2004 Primary Government Securities Dealers Reporting Guidelines

and HIC agreements. Include matched sale-purchase agreements, or any form
of synthetic equivalents.
2f

Reverse Repurchase Agreements Equities. Report reverse repurchase
agreements where the collateral provided to the borrower is dollar denominated
equities, including those with the FRBNY. Include GCF agreements, bilateral
agreements, tri-party agreements and HIC agreements. Include matched salepurchase agreements, or any form of synthetic equivalents.

Reverse Repurchase Agreements Other Collateral. Report reverse
repurchase agreements where the collateral provided to the borrower is other
dollar denominated collateral as specified above, including those with the
FRBNY. Include GCF agreements, bilateral agreements, tri-party agreements
and HIC agreements. Include matched sale-purchase agreements, or any form
of synthetic equivalents.

Other Financing Activity-Securities Lent

Other Financing Activity-Securities Lent U.S. Treasury Securities
(excluding TIPS). Report other securities financing activities where the
collateral provided to the lender is U.S. Treasury bills and coupons securities,
including those with the FRBNY. Include securities lent for cash, securities
pledged by the reporting entity to secure a borrowing of other securities, and
other forms of collateralized financing agreements, including cash received from
a collateralized loan.

Other Financing Activity-Securities Lent U.S. Treasury Inflation Protected
Securities (TIPS). Report other securities financing activities where the
collateral provided to the lender is U.S. TIPS securities, including those with the
FRBNY. Include TIPS lent for cash, TIPS pledged by the reporting entity to
secure a borrowing of other securities, and other forms of collateralized financing
agreements, including cash received from a loan collateralized with TIPS.

Other Financing Activity-Securities Lent U.S. Federal Agency and GSE
Securities (excluding MBS). Report other securities financing activities where
the collateral provided to the lender is U.S. Agency and GSE debentures,
including those with the FRBNY. Include securities lent for cash, securities
pledged by the reporting entity to secure a borrowing of other securities, and
other forms of collateralized financing agreements, including cash received from
a collateralized loan.

Other Financing Activity-Securities Lent U.S. Federal Agency and GSE
MBS. Report other securities financing activities where the collateral provided to
the lender is U.S. Agency and GSE MBS, including those with the FRBNY.
Include securities lent for cash, securities pledged by the reporting entity to
secure a borrowing of other securities, and other forms of collateralized financing
agreements, including cash received from a collateralized loan.

Other Financing Activity-Securities Lent U.S. Corporate Debt. Report other
securities financing activities where the collateral provided to the lender is dollar
denominated corporate debt as defined for these forms, including those with the
FRBNY. Include securities lent for cash, securities pledged by the reporting
26

FR 2004 Primary Government Securities Dealers Reporting Guidelines

entity to secure a borrowing of other securities, and other forms of collateralized
financing agreements, including cash received from a collateralized loan.
3f

Other Financing Activity-Securities Lent U.S. Equities. Report other
securities financing activities where the collateral provided to the lender is dollar
denominated U.S. equities, including those with the FRBNY. Include stocks lent
for cash, stocks pledged by the reporting entity to secure a borrowing of other
securities, and other forms of collateralized financing agreements, including cash
received from a collateralized loan.

Other Financing Activity-Securities Lent Other Collateral. Report other
securities financing activities where the collateral provided to the lender is other
dollar denominated collateral as specified above, including those with the
FRBNY. Include securities lent for cash, securities pledged by the reporting
entity to secure a borrowing of other securities, and other forms of collateralized
financing agreements, including cash received from a collateralized loan.

Other Financing Activity-Securities-Securities Borrowed

Other Financing Activity-Securities Borrowed U.S. Treasury Securities
(excluding TIPS). Report other securities financing activities where the
collateral provided to the borrower is U.S. Treasury bills and coupons securities,
including those with the FRBNY. Include securities borrowed for cash, securities
received as a pledge by the reporting entity to secure a loan of other securities,
and other forms of collateralized financing agreements, including cash lent from a
collateralized loan.

Other Financing Activity-Securities Borrowed U.S. Treasury InflationProtected Securities (TIPS). Report other securities financing activities where
the collateral provided to the borrower is U.S. TIPS securities, including those
with the FRBNY. Include TIPS borrowed for cash, TIPS received as a pledge by
the reporting entity to secure a loan of other securities, and other forms of
collateralized financing agreements, including cash lent from a loan collateralized
with TIPS.

Other Financing Activity-Securities Borrowed U.S. Federal Agency and
GSE Securities (excluding MBS). Report other securities financing activities
where the collateral provided to the borrower is U.S. Agency and GSE
debentures, including those with the FRBNY. Include securities borrowed for
cash, securities received as a pledge by the reporting entity to secure a loan of
other securities, and other forms of collateralized financing agreements, including
cash lent from a collateralized loan.

Other Financing Activity-Securities Borrowed U.S. Federal Agency and
GSE MBS. Report other securities financing activities where the collateral
provided to the borrower is U.S. Agency and GSE MBS, including those with the
FRBNY. Include securities borrowed for cash, securities received as a pledge by
the reporting entity to secure a loan of other securities, and other forms of
collateralized financing agreements, including cash lent from a collateralized
loan.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Other Financing Activity-Securities Borrowed U.S. Corporate Debt. Report
other securities financing activities where the collateral provided to the borrower
is dollar denominated corporate debt as defined for these forms, including those
with the FRBNY. Include securities borrowed for cash, securities received as a
pledge by the reporting entity to secure a loan of other securities, and other
forms of collateralized financing agreements, including cash lent from a
collateralized loan.

Other Financing Activity-Securities Borrowed U.S. Equities. Report other
securities financing activities where the collateral provided to the borrower is
dollar denominated U.S. equities, including those with the FRBNY. Include
stocks borrowed for cash, stocks received as a pledge by the reporting entity to
secure a loan of other securities, and other forms of collateralized financing
agreements, including cash lent from a collateralized loan.

Other Financing Activity-Securities Borrowed Other Collateral. Report other
securities financing activities where the collateral provided to the borrower is
other dollar denominated collateral as specified above, including those with the
FRBNY. Include securities borrowed for cash, securities received as a pledge by
the reporting entity to secure a loan of other securities, and other forms of
collateralized financing agreements, including cash lent from a collateralized
loan.

Total. Report the sum of items 1-4.

Aggregate Settlement Fails
6
Aggregate Fails (Cumulative for the Reporting Period). For each item, report
fails to receive in column 1 and fails to deliver in column 2.
6a

U.S. Treasury Securities (excluding TIPS). Report in the appropriate columns
fails to receive and fails to deliver of U.S. Treasury securities (excluding TIPS).

U.S. Treasury Inflation-Protected Securities (TIPS). Report in the appropriate
columns fails to receive and fails to deliver of U.S. Treasury TIPS.

Federal Agency and GSE Securities (excluding MBS). Report in the
appropriate columns fails to receive and fails to deliver federal agency and GSE
securities (excluding MBS).

Federal Agency and GSE MBS. Report in the appropriate columns fails to
receive and fails to deliver federal agency and GSE MBS.

Other MBS. Report in the appropriate columns fails to receive and fails to deliver
of non-Agency and GSE MBS.

Corporate Securities. Report in the appropriate columns fails to receive and fails
to deliver corporate securities.
Total. Report the sum of Lines 6a-6f.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

D. FR 2004 SI – WEEKLY REPORT OF SPECIFIC ISSUES
Accounting Rules
Report position and transaction data on the FR 2004SI at the original issuance par amount.
Positions on the FR 2004SI are reported using settlement date accounting. Long and short
positions in the same issue should be reported net by CUSIP, therefore, a negative value can be
reported in column 4 (net settled position).
However, transactions reported on the FR 2004SI are reported using trade date accounting.
Report on a cumulative basis. Do not net purchases and sales.
Report financing data, including security vs. security exchanges, at the original issuance par
amount of the collateral. Report financing that is outstanding as-of the report date using trade
date accounting. Report on a gross basis FIN 41 does not apply to this report).
Reportable Securities
Report position, transaction, financing, and fails data for the most recently issued (i.e.,
on-the-run) U.S. Treasury securities, including TIPS, for each maturity classification on
the FR 2004SI. Once a when-issued security has been issued, it replaces the security
with the same maturity classification on the FR 2004SI and the security stops being
reported on the FR 2004 WI. For example, a 2-year U.S. Treasury note that has been
issued is no longer reported on the FR 2004WI and begins to be reported on the FR
2004SI as of close of business the first Wednesday after its issuance. This 2-year U.S.
Treasury note will continue to be reported on the FR 2004SI until a 2-year U.S.
Treasury note is newly issued or re-opened by the U.S. Treasury.
The current list of securities reported on the FR 2004SI is maintained on the FR
2004SI Guide Sheet, which is available on the FRBNY website at:
http://www.newyorkfed.org/markets/primarydealers.html
Row Definitions
Submit the securities on the FR 2004 SI in the same order each week. Fixed principal
securities should be listed first in ascending maturity order followed by the TIPS
securities, also in ascending order. Based on the U.S. Treasury’s current offering
schedule, the reported securities are:










Line # 1 - 2-year U.S. Treasury note
Line # 2 - 3-year U.S. Treasury note
Line # 3 - 5-year U.S. Treasury note
Line # 4 - 7-year U.S. Treasury note
Line # 5 - 10-year U.S. Treasury note
Line # 6 - 30-year U.S. Treasury bond
Line # 7 - 5-year TIPS note
Line # 8 - 10-year TIPS note
Line # 9 –30-year TIPS bond

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Column 1 Security and Rate
Report the most recently issued on-the-run security for each maturity classification of
U.S. Treasury fixed income and TIPS notes and bonds. Identify securities by coupon
and maturity date in yyyymmdd format.
Columns 2 through 3 Outright Cumulative Transactions
Report data using trade date accounting at the original issuance par amount. Report
gross outright purchases and sales on a cumulative basis for each reportable security
for the business days since the previous report (Thursday through Wednesday). Do
not net purchases and sales. Exclude forward transactions.
When a new issue is added to the report, include the cumulative transactions in that
issue since the closing date of the previous FR 2004SI, even though some of these
transactions may have been reported on the FR 2004WI. Except for holiday weeks,
you should report five days of transactions for each issue on the FR 2004SI.
For example, if a new 5-year U.S. Treasury note is issued on Tuesday, report the transactions
in that issue for the full Thursday through Wednesday reporting period, even though the
transactions on Thursday through Monday were already reported on the FR 2004WI.
When a re-opened security is added to the report, include the cumulative transactions in that
security since its issue date plus the cumulative transactions in the originally issued security
since the closing date of the previous FR 2004SI. Therefore, transactions reported on the FR
2004WI for the re-opened security will not be reported on the FR 2004SI.
For example, if a re-opened 10-year U.S. Treasury note is issued on Monday, report the
transactions in that issue on Monday through Wednesday and add to it the transactions in the
originally issued 10-year U.S. Treasury note on Thursday and Friday.
Column 4 Net Settled Positions
Report data using settlement date accounting valued at the original issuance par amount. Long and
short positions in the same issue should be reported net by CUSIP; therefore, a negative value can be
reported in this column. Report a trade arranged for settlement on or before the closing date of the
report as settled, even if a fail occurs. If such a trade fails to clear, report it as a fail and report it as part
of the net settled position. Exclude positions in forward contracts.
Columns 5 through 12 Gross Financing
Report data, including when only securities are exchanged, using trade date accounting at the
original issuance par amount of the collateral. Report on a gross basis; do not net borrowings
against loans even if the counterparty, term, and security are identical (FIN 41 does not apply to
this report).
Types of Financing


Columns 5 through 8 Securities In
Report contractual arrangements or the pledge of securities to be received from
counterparties. Report the following on the FR 2004SI:
30

FR 2004 Primary Government Securities Dealers Reporting Guidelines



Reverse repurchase agreements including those with the FRBNY. Include
tri-party reverse repurchase agreements, GCF, bilateral, and HIC
agreements.
Include dollar reverse repurchase agreements, matched sale-purchase
agreements, or any form of synthetic equivalents.



Securities borrowed, which are contractual agreements in which securities
are borrowed from counterparties, including a Federal Reserve Bank. Report
the funds that have been lent. If only securities are exchanged, report the fair
(market) value of the securities.



Securities received as pledge, which are securities that were received by the
reporting entity as a pledge against a loan of securities. Report the fair
(market) value of the securities.



Collateral received from counterparties as a result of a margin payment, margin call
or other type of similar collateral deposit, or collateral held for another financial
contract (e.g., derivatives).

Columns 9 through 12 Securities Out
Report contractual arrangements or the pledge of securities to be delivered to
counterparties. Report the following on the FR 2004SI.


Repurchase agreements including those with the FRBNY. Include tri-party
repurchase agreements, GCF, bilateral, and HIC agreements.
Include dollar repurchase agreements, matched sale-purchase agreements,
or any form of synthetic equivalents.



Securities lent, which are contractual agreements in which securities are lent
to counterparties, including a Federal Reserve Bank. Report the funds that
have been borrowed. If only securities are exchanged, report the fair
(market) value of the securities.



Securities pledged, which are securities that were pledged by the reporting
entity to secure a borrowing of securities. Report the fair (market) value of
the securities.



Collateralized loans, which are the reporting entity’s cash borrowings that
have been secured by securities. Report the cash received from a loan.



Collateral delivered to counterparties (e.g., a clearing corporation) as a result of a
margin payment, margin call or other type of similar collateral deposit, or collateral
sent for another financial contract (e.g., derivatives).

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Columns 5, 6, 9, and 10 Specific Transactions
Report as “specific transactions,” transactions where collateral is identified before the rate is
agreed to by the counterparties, as in a bid for or offer of a particular CUSIP.
Columns 7, 8, 11 and 12 General Transactions
Report as “general transactions,” transactions where the parties agree to borrow/lend any
member of a class of securities (such as “a Treasury issue” or “a Treasury issue no longer than
10 years to maturity”), where the specific collateral in the transaction to be delivered pursuant to
the agreement is identified after the class and rate are negotiated. Tri-party and GCF repos are
“general transactions” as is a deliver versus payment repo where the collateral is identified after
the rate, term, and class are agree upon. In “general transactions” the lender of collateral has
some latitude in its choice of collateral delivered.
Columns 5, 7, 9, 11 Overnight/Continuing
Report as “overnight and continuing,” financing agreements. An overnight financing agreement
is an agreement that settles on one business day and matures on the next business day. A
continuing contract agreement is an agreement that remains in effect for more than one
business day, but has no specific maturity and can be terminated by either the borrower or the
lender.
Columns 6, 8, 10, 12 Term
Report as “term” financing agreements. A term agreement is an agreement with an original
fixed maturity of more than one business day that is not a continuing contract.
Columns 13 and 14 Fails
Report data at the original issuance par amount of the collateral. Do not report on a
cumulative basis. Report failed transactions and failed financing transactions that
occurred on the as-of date only.
Column 15 FRBNY Security ID
The FRBNY security ID is the number of years of the original term to maturity for fixed
principal securities. To distinguish reporting of TIPS securities, which have the same
original maturity number of years as the fixed principal securities, 50 should be added
to the number of years of the original term to maturity. Re-opened securities retain the
same FRBNY security ID as the new issue. Based on the U.S. Treasury’s current
offering schedule, the reported FRBNY security ID will be:









Line #1 – 2
Line #2 – 3
Line #3 – 5
Line #4 – 7
Line #5 – 10
Line #6 – 30
Line #7 – 55 (derived by adding 50 to 5)
Line #8 – 60 (derived by adding 50 to 10)
32

FR 2004 Primary Government Securities Dealers Reporting Guidelines



Line #9 - 80 (derived by adding 50 to 30)

Line-by-Line Instructions
For each item, report security information in column 1, cumulative outright transactions in columns
2 and 3, net settled positions in column 4, gross financing in columns 5-12, fails data in columns
13 and 14, and the FRBNY security ID in column 15.
Line

Caption and Instructions

2-year U.S. Treasury note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 2-year U.S. Treasury note.

3-year U.S. Treasury note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 3-year U.S. Treasury note.

5-year U.S. Treasury note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 5-year U.S. Treasury note.

7-year U.S. Treasury note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 7-year U.S. Treasury note.

10-year U.S. Treasury note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 10-year U.S. Treasury
note.

30-year U.S. Treasury bond. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for the on-the-run 30-year U.S. Treasury
bond.

5-year TIPS note. Report in the appropriate columns security information,
cumulative outright transactions, net settled position, gross financing, fails data,
and the FRBNY security ID for the on-the-run 5-year TIPS note.

10-year TIPS note. Report in the appropriate columns security information,
cumulative outright transactions, net settled position, gross financing, fails data,
and the FRBNY security ID for the on-the-run 10-year TIPS note.

30-year TIPS bond. Report in the appropriate columns security information,
cumulative outright transactions, net settled position, gross financing, fails data,
and the FRBNY security ID for the on-the-run 30-year TIPS bond.

Total

Report the sums of items 1 through 9.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

E. FR 2004SD – DAILY REPORT OF SPECIFIC ISSUES
Accounting Rules
Report position and transaction data on the FR 2004SD at the original issuance par amount.
Positions on the FR 2004SD are reported using settlement date accounting. Long and short
positions in the same issue should be reported net by CUSIP, therefore, a negative value can be
reported in column 3 (net settled position).
Transactions on the FR 2004SD are reported using trade date accounting. Do not net purchases
and sales.
Report financing data, including security vs. security exchanges, at the original issuance par
amount of the collateral. Report financing that is outstanding as-of the report date using trade
date accounting. Report on a gross basis; do not net borrowings against loans (FIN 41 does not
apply to this report).
Reportable Securities
Report position, transaction, financing, and fails data on a daily basis for requested
securities specified by the FRBNY on the FR 2004SD. These data are reported daily
on demand until notification is received from the FRBNY to cease daily reporting.
Once these data are requested, the FR 2004SD Guide Sheet is available at:
http://www.newyorkfed.org/markets/primarydealers.html
The FR 2004SD data and the FR 2004SI data should be transmitted separately via the
Reporting Central system. The FR 2004SD data should be reported based on the data
definitions and accounting rules that apply to the FR 2004SI.
Column 1 Security and Rate
Provide information for each requested security based on the information in the
announcement of a FR 2004SD report and on the FR 2004SD Guide Sheet. Identify
securities by coupon and maturity date in yyyymmdd format.
Supplemental Information
The FR 2004SD report form also contains fields for the collection of additional
information deemed to be critical and needed in an expedited manner from primary
dealers. The items of information included on the supplement may change as needed.
Once these data are requested, specific details and reporting guidelines can be
obtained from: http://www.newyorkfed.org/markets/primarydealers.html. These data
are reported daily on demand basis until notification is received from the FRBNY to
cease daily reporting.

FR 2004 Primary Government Securities Dealers Reporting Guidelines

F. FR 2004WI – DAILY REPORT OF DEALER ACTIVITY IN TREASURY FINANCING
Accounting Rules
Report position data at the original issuance par amount. Positions are reported using trade date
accounting. Long and short positions should be reported net; therefore, a negative value can be
reported in column 2 (net outright positions) of the FR 2004WI.
For each new and re-opened U.S. Treasury security offered for sale but not yet issued, report the
net outright position, net forward financing commitments and cumulative outright transactions.
Report daily during the when-issued trading period, which is the time between the announcement
and date of issue (settlement date). The first FR 2004WI is due on the business day following a
financing announcement, for positions as of the close of business the day of the announcement.
The last report is due on the settlement date for information as of close of business the previous
business day.
Announcement information can be obtained from:
http://www.treasurydirect.gov/instit/annceresult/press/press.htm
The current list of securities to be reported on the FR 2004WI is maintained on the FR
2004WI Guide Sheet, which can be obtained from:
http://www.newyorkfed.org/markets/primarydealers.html
No Activity
If a reporting entity does not have any when-issued activity, a report must be submitted reflecting
zero data.
Re-Opened Security
Report net outright positions, net forward financing commitments, and cumulative outright
transactions on both the previously issued security and the when-issued security as of close of
business the prior day. If there is an existing position for the previously issued security in
inventory, this position should be included in the net outright position column on day 1.
Column 1 Security
Report the description of each note and bond that the U.S. Treasury has offered for sale but has
not yet issued. Include the coupon (when known) and maturity date in yyyymmdd format. For a
new issue, the coupon is available on the auction date of the security. For a re-opened issue, the
coupon is available at the time of the offering.
Column 2 Net Outright Positions
Report net outright positions in the when-issued security and the outstanding security if the U.S.
Treasury has re-opened an issue. Include positions for when-issued delivery, delivery dates after
issuance, or in the case of the outstanding security, any delivery date. Long and short positions
should be reported net by security; therefore, a negative value can be reported in column 2 (net
outright positions) of the FR 2004WI.
Include reporting entity allotments (securities received through auction as a result of reporting
entities bidding for their own accounts) from the U.S. Treasury as a gross long position on the
auction date only. Exclude customer awards of securities from net outright positions.
35

FR 2004 Primary Government Securities Dealers Reporting Guidelines

Column 3 Net Forward Financing Commitments
A forward commitment is a financing transaction (as defined for the FR 2004C) that is scheduled
to begin on a date after the report date. For example, an agreement to finance at issuance.
Report any forward financing commitments involving a re-opened or new when-issued security
even if no outright position is held. When the U.S. Treasury re-opens an issue, report the net
forward financing commitments for both the security being traded as a when-issue security and for
the security being traded on-the-run. Long and short positions should be reported net by security,
therefore, a negative value can be reported in column 3 (net forward financing commitments) of
the FR 2004WI.
A repurchase agreement or commitment to lend the security should be considered a short
position. A reverse repurchase agreement or commitment to borrow securities should be
considered a long position. Exclude reporting entity allotments and customer awards (securities
received from bids placed on behalf of a customer by a reporting entity).
Column 4 and 5 Cumulative Outright Transactions
Report gross purchases and sales in the appropriate column. Include transactions in the
outstanding security if the U.S. Treasury has re-opened a security. Report only the transactions
executed on the reporting date. Do not report cumulative transactions across reporting dates. Do
not net purchases and sales.
Report transactions for any delivery date. Include immediate, forward and when-issued
transactions. Exclude reporting entity allotments and customer awards (securities received from
bids placed on behalf of a customer by a reporting entity).
Line-by-Line Instructions
For each item, report security information in column 1, net outright positions in column 2, net
forward financing commitments in column 3, and cumulative outright transactions in columns 4
and 5.
Line

Caption and Instructions

1-9

The current list of securities to be reported is maintained on the FR 2004WI guide
sheet. Report in the appropriate columns security information, net outright
position, net forward financing commitments, and cumulative outright transactions
for the new or re-opened U.S. Treasury security that is offered for sale but not yet
issued.

Total

Report the sums of items 1 through 9.

APPENDIX A
COMPARISONS BETWEEN AND WITHIN REPORTS
There are general comparisons among the FR 2004 reports. However, if your data does not
correspond with the comparisons, there may be acceptable explanations for the differences.
FR 2004A vs. FR 2004B
Change in positions (between two weeks) reported on the FR 2004A should be less than the level
of transactions reported on the current week FR 2004B.
FR 2004A vs. FR 2004SI and FR 2004WI
Positions reported on the FR 2004A should be greater than or equal to the sum of net settled
positions reported on the FR 2004SI and FR 2004WI.
FR 2004B vs. FR 2004SI and FR 2004WI
Transactions reported on the FR 2004B should be greater than or equal to the sum of cumulative
outright transactions reported on the FR 2004SI and FR 2004WI.
FR 2004C vs. FR 2004SI
U.S. Treasury financing and fails data reported on the FR 2004C should be greater than or equal
to U.S. Treasury financing and fails data reported on the FR 2004SI.
FR 2004SI (comparisons of column 4, columns 5 through 12, and columns 13 and 14)
The net settled position reported in column 4 should be equal to the net financing and fails data
reported in columns 5 through 14.
The difference between uses of financing (columns 5 through 8) and sources of financing
(columns 9 through 12) should be equal to the difference between the net settled position (column
4) and net fails data (columns 13 and 14).
FR 2004SD (comparisons of column 4, columns 5 through 12, and columns 13 and 14)
The net settled position reported in column 4 should be equal to the net financing and fails data
reported in columns 5 through 14.
The difference between uses of financing (columns 5 through 8) and sources of financing
(columns 9 through 12) should be equal to the difference between the net settled position (column
4) and net fails data (columns 13 and 14).
FR 2004SD vs. FR 2004SI
When the same security is reported on the FR 2004SD and the FR 2004SI, the position,
financing, and fails data submitted as-of Wednesday for the FR 2004SD should match the
position, financing, and fails data submitted for that same Wednesday on the FR 2004SI for that
specific security.

When the same security is reported on the FR 2004SD and the FR 2004SI, the transaction data
submitted as-of Wednesday for the FR 2004SD should be less than or equal to the transaction
data submitted for that same Wednesday on the FR 2004SI for that specific security.
FR 2004WI (comparison of column 2 and columns 4 and 5)
Net outright positions should reconcile between daily report dates. Current net outright
positions should equal the prior day’s net outright position plus the current day’s net outright
transactions.
On the auction date, the current net outright position should equal the prior day’s net outright
position plus the current day’s net outright transactions plus the allotment received from the U.S.
Treasury auction.
FR 2004SI vs. FR 2004WI
When the same security is reported on the FR 2004SI as-of Wednesday and the FR 2004WI for
the full report week (Thursday to Wednesday), the sum of the FR 2004WI transaction data for the
full report week should be greater than or equal to the FR 2004SI transaction data for the as-of
Wednesday.

APPENDIX B
REPORTING DIFFERENCES BETWEEN AND WITHIN THE FR 2004 REPORTS
Allotments
Include new security allotment positions on the FR 2004A, and exclude the transaction to obtain
that position from the FR 2004B.
Underwriting of Securities
Include new corporate issue positions on the FR 2004A when the primary dealer is the
underwriter or part of the underwriting syndicate, and exclude the transaction to obtain that
position from the FR 2004B.
Buybacks
Position reductions due to buyback operations are reflected on the FR 2004A, while the
transaction to reduce that position is excluded from the FR 2004B. Please note that a purchase
of securities by a primary dealer from a customer to complete the buyback process is included on
the FR 2004B.
Dollar Rolls Involving To be Announced (TBA) Securities, for which the Underlying Security Does
Not Yet Exist (e.g., Forward MBS)
Include positions and transactions on the FR 2004A and FR 2004B, respectively, and exclude from
the FR 2004C.
Dollar Rolls Where a Specific MBS is Used as Collateral
Include on the FR 2004C, and exclude from the FR 2004A and FR 2004B.
Position Accounting Rules


Report positions on the FR 2004A using trade date accounting, except for buybacks, which
should be reported using settlement date accounting.



Report positions, except buybacks, on the FR 2004A and FR 2004WI using trade date
accounting while positions are reported on the FR 2004SI and FR 2004SD using
settlement date accounting.



Report positions on the FR 2004A at fair value, while positions are reported on the
FR 2004SI, FR 2004SD, and FR 2004WI at the original issuance par amount.

Valuing Transactions
Report transactions on the FR 2004B at principal value, while transactions are reported on the
FR 2004SI and the FR 2004SD at the original issuance par amount.

Financing Accounting Rules
Report financing data on the FR 2004C using settlement date accounting for the actual funds paid
or received, while financing data on the FR 2004SI and the FR 2004SD and forward financing
commitments on the FR 2004WI are reported using trade date accounting at the original issuance
par amount of the collateral.
Failed Transactions Accounting Rules


Report failed transactions on the FR 2004C at principal value, excluding accrued interest,
while failed transactions are reported on the FR 2004SI and the FR 2004SD at the original
issuance par amount of the security.



Report failed financing transactions on the FR 2004C as the amount that was to be paid or
received on the day the failed trade was to be settled, while failed financing transactions
are reported on the FR 2004SI and the FR 2004SD at the original issuance par amount of
the collateral.



Report fails on a cumulative basis on the FR 2004C, while fails are not reported on a
cumulative basis on the FR 2004SI and the FR 2004SD.

Forwards
Include forward positions and forward transactions on the FR 2004A and the FR 2004B,
respectively, and exclude from the FR 2004SI and FR 2004SD.

APPENDIX C
GLOSSARY
Affiliate – Company under the control of the direct parent of the primary dealer.
Aged fail – A failure to receive or to deliver a security that has been outstanding for five business
days or more.
Allotment – The amount of a security issue that subscribers are assigned based on their bids for
those securities.
Call date – A date before maturity, specified at issuance, when the issuer may retire part of the
security for a specified price.
Coupon passes – Transactions initiated by the FRBNY with primary dealers involving U.S.
Treasury securities that add or withdraw reserves.
Derivative – Financial instrument whose value depends on, or is derived from, the prices, or level
of indexes or underlying assets, such as interest rates, foreign exchange rates, equities, or
commodities. They represent an agreement between two or more counterparties on the price or
level of the asset or index for exchange or settlement at a later specified date.
Dollar roll – A transaction in which an institution sells a security for immediate delivery (usually a
mortgage-backed pass-through security) and agrees to repurchase a substantially identical
security (but not the same) on a future date at a specified price.
Fail – On the settlement date, either the seller does not deliver the security as agreed or the
buyer does not deliver funds (and therefore does not receive the security) as agreed.
Federal agency – An agency or corporation that has been chartered, authorized, or organized as a
result of federal legislation.
Forward contract – A contract in which two parties agree to the purchase and sale of an asset at
some future date. Forward contracts are not standardized and are not traded on organized
exchanges.
Government sponsored enterprise (GSE) – Privately owned, publicly chartered entities created by
Congress to reduce the cost of capital for certain borrowers, including farmers, homeowners, and
students.
Reverse repurchase agreement (resale agreement) – A transaction involving the purchase of
financial assets by one party from another, subject to an agreement by the purchaser to resell the
assets at a specified date or in specified circumstances.
Reverse Inquiry – A transaction where an investor or dealer determines the amount and type of
bonds they wish to buy and approach the issuer to buy debt securities with particular features at
a particular price. If the issuer agrees, the bonds are issued the same day. Reverse inquiries are
very common in the agency debt market.
Settlement date – The contractually agreed upon date on which a security is to be delivered to
the purchaser and payment is to be made to the seller.

Subsidiary – An entity in which the primary dealer, directly or indirectly, owns more than 50
percent of the outstanding voting stock.

File Type	application/pdf
File Modified	2014-12-11
File Created	2013-03-27