Form FR 2004FA FR 2004FA Settlement Cycle Report of Dealer Fails and Transaction

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014

DRAFT - September 24, 2014
Settlement Cycle Report of Dealer Fails and Transaction Volumes
as of close of trading on
[DATE]
Class A
for the settlement month of
[MONTH]
Dollar Amounts in Millions

1. 30-year Federal Agency and GSE Pass-through MBS Fails
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
2. Total (line 1)
3. 30-year Federal Agency and GSE Pass-through MBS Transaction Volumes
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
4. Total (line 3)

FR 2004FA

FNMA

FHLMC

Fails to
receive
1

Fails to deliver
2

Fails to
receive
3

Fails to deliver
4

Outright
1

Dollar Roll
2

Outright
3

Dollar Roll
4

DRAFT - September 24, 2014
Settlement Cycle Report of Dealer Fails and Transaction Volumes
as of close of trading on
[DATE]
Class B
for the settlement month of
[MONTH]
Dollar Amounts in Millions

1. 15-year Federal Agency and GSE Pass-through MBS Fails
a. <2.0%
b. 2.0%
c. 2.5%
d. 3.0%
e. 3.5%
f. 4.0%
g. 4.5%
h. 5.0%
i. 5.5%
j. >5.5%
2. Total (line 1)
3. 15-year Federal Agency and GSE Pass-through MBS Transaction
Volumes
a. <2.0%
b. 2.0%
c. 2.5%
d. 3.0%
e. 3.5%
f. 4.0%
g. 4.5%
h. 5.0%
i. 5.5%
j. >5.5%
4. Total (line 3)

FR 2004FB

FNMA

FHLMC

Fails to receive
1

Fails to
deliver
2

Fails to
receive
3

Fails to
deliver
4

Outright
1

Dollar Roll
2

Outright
3

Dollar Roll
4

DRAFT - September 24, 2014
Settlement Cycle Report of Dealer Fails and
Transaction Volumes
Class C
as of close of trading on
[DATE]
for the settlement month of
[MONTH]
Dollar Amounts in Millions
1. 30-year GNMA Pass-through MBS Fails
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
2. Total (line 1)

3. 30-year GNMA Transaction Volumes
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
4. Total (line 3)

FR 2004FC

GNMA

Fails to receive

Outright
1

1

Fails to deliver
2

Dollar Roll
2

DRAFT - September 24, 2014
Settlement Cycle Report of Dealer Fails and Transaction Volumes
as of close of trading on
[DATE]
for the settlement month of
[MONTH]
Dollar Amounts in Millions
1. 30-year Federal Agency and GSE Pass-through
MBS Fails
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
2. Total (line 1)

3. 30-year Federal Agency and GSE Pass-through
MBS Transaction Volumes
a. <2.5%
b. 2.5%
c. 3.0%
d. 3.5%
e. 4.0%
f. 4.5%
g. 5.0%
h. 5.5%
i. 6.0%
j. >6.0%
4. Total (line 3)

FNMA
Fails to
receive
1

FR 2004FM
Page 1 of 1

FHLMC
Fails to
deliver
2

Fails to
receive
3

GNMA

Fails to deliver Fails to receive
4
5

C

A
Outright
1

Dollar Roll
2

A

Outright
3

Fails to deliver
6

Dollar Roll
4

Outright
5

Dollar Roll
6

C

DRAFT - September 24, 2014
5. 15-year Federal Agency and GSE Pass-through
MBS Fails
a. <2.0%
b. 2.0%
c. 2.5%
d. 3.0%
e. 3.5%
f. 4.0%
g. 4.5%
h. 5.0%
i. 5.5%
j. >5.5%
6. Total (line 5)
7. 15-year Federal Agency and GSE Pass-through
MBS Transaction Volumes
a. <2.0%
b. 2.0%
c. 2.5%
d. 3.0%
e. 3.5%
f. 4.0%
g. 4.5%
h. 5.0%
i. 5.5%
j. >5.5%
8. Total (line 7)

Fails to
receive
1

Fails to
deliver
2

Fails to
receive
3

Fails to deliver
4

B
Outright
1

Dollar Roll
2

Outright
3

Dollar Roll
4

B

[1] Report data at the original issuance par amount using trade date accounting. Report failed transactions and failed financing transactions that occurred on the as-of date only, including any
transaction that failed to be allocated or to be delivered. Do not double-count a transaction that failed to be allocated and to be delivered. Do not report on a cumulative basis.
[2] Report sum of GNSF and G2SF.

[3] Report data at the original issuance par amount using trade date accounting. Include both TBA and specified pool transactions. Exclude financing transactions that use a specific MBS as collateral
because they are treated as repurchase agreements. Report gross purchases and sales on a cumulative basis for each reportable transaction associated with the stated settlement month. Do not net
purchases and sales. For example, if $200 million in December FNMA 5% securities were purchased and $100 million were sold, the cumulative total would be $300 million.

DRAFT - September 24, 2014
[3] Report data at the original issuance par amount using trade date accounting. Include both TBA and specified pool transactions. Exclude financing transactions that use a specific MBS as collateral
because they are treated as repurchase agreements. Report gross purchases and sales on a cumulative basis for each reportable transaction associated with the stated settlement month. Do not net
purchases and sales. For example, if $200 million in December FNMA 5% securities were purchased and $100 million were sold, the cumulative total would be $300 million.