Settlement Cycle Report of Dealer Fails and Transaction Volumes Class B

Government Securities Dealers Reports

FR2004_i_draft

Settlement Cycle Report of Dealer Fails and Transaction Volumes Class B

OMB: 7100-0003

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DRAFT - September 24, 2014

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

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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
132

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
187
197
197
197
198
198
2018
2018
242
252

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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

253
253
253
263
264

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

3229
3229
3229
3229
330
330
330
340
352
352
352
352
363

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

374
374
374
374
384

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

385
385
385
385
385
395
396
396
396

264
3128

G. FR 2004 FA, 2004FB, 2004FC, and 2004FM – Monthly Reports of MBS Settlement
Fails
40
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
3

Comment [A1]: Insert new instructions for FR
2004FA, 2004FB, 2004FC, and 2004FM here.
Formatted: List Paragraph, Numbered + Level:
1 + Numbering Style: A, B, C, … + Start at: 1 +
Alignment: Left + Aligned at: 0.25" + Tab
after: 0.5" + Indent at: 0.5"
Formatted: Font: (Default) Arial, 11 pt
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FR 2004 Primary Government Securities Dealers Reporting Guidelines








FR 2004B vs. FR 2004SI and FR 2004WI
FR 2004C vs. FR 2004SI
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

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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

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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 7100-0003. The estimated average burden associated with this collection of information,
per response, is 32.80 hours for the FR 2004A, 3.750 hours for the FR 2004B, 3.125 hours for the
FR 2004C, 2.12 hours for the FR 2004SI, 2.2 hours for the FR 2004SD, and 1 hour for the
FR 2004WI, 1 hour for the FR 2004FA, 1 hour for the FR 2004FB, 1 hour for the FR 2004FC, and
1.5 hours for the FR 2004FM. 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.

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

Officer Declaration and Signature
Each FR 2004 report (A, B, C, SI, SD, and WI, FA, FB, FC, and FM) 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.

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

Direct
Parent of
Primary
Dealer
Trades
between
consolidated
and
unconsolidate
d 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
consolidate
d 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
8

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

FR 2004WI, FR 2004FA, FR 2004FB, FR 2004FC, or FR 2004FM deadline date) to: 212-7205030 or 646-720-5030. Prior to faxing reports, please call FRBNY Statistics Function at 212-7207993 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.
Settlement fails data from the FR 2004FA, 2004FB, 2004FC, and 2004FM should be submitted no
later than 4:00 p.m. (Eastern Time) on the next business day following the applicable report as of
date.
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. It also
includes Treasury Floating Rate Notes (FRNs).

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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).
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 the Federal National Mortgage Association (FNMA) or the
Federal Home Loan Mortgage Corporation (FHLMC) or guaranteed by the Government
National Mortgage Association (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 the
Government National Mortgage Association (GNMA), Federal National Mortgage
Corporation (FNMA) or the Federal Home Loan Mortgage Corporation (FHLMC). .

Non Agency Mortgage-Backed Securities
This includes:
Residential Mortgage-Backed Securities
10

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FR 2004 Primary Government Securities Dealers Reporting Guidelines



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
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

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

Formatted: Font: Bold, Italic

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
12

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numbering

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.”

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
13

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

 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.

Floating Rate Notes (FRNs). Report in the appropriate columns outright positions
in U.S. Treasury Floating Rate Notes.

1bc

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.

1dc

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.

1ed

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.

1fe

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.

1gf

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.

1hg

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.

Formatted: Indent: Left: 0", Hanging: 1"

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

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
15

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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).
5b

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 but in less than or equal to five years. 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 but in less than or equal to five years. 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.

Investment Grade Bonds, Notes, and Debentures due in more than five years
butyears but in less than or equal to 10 years. 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 more than five years but in less than or equal to 10 years. 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.

Investment Grade Bonds, Notes, and Debentures due in more than 10 years.
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 more than 10 years. 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.

5df

Below 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 below investment grade (BB+ or lower) and due in less than or equal to 13
monthsof any maturity. Report according to the current rating, not the rating 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.

Below Investment Grade Bonds, Notes, and Debentures due in more than 13
months but in less than or equal to five years. Report in the appropriate
columns outright positions in dollar denominated bonds, notes, debentures and
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

equipment trust certificates that are rated below investment grade (BB+ or lower)
and due in more than 13 months but in less than or equal to five years. Report
according to the current rating, not the rating 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.
5h

Below Investment Grade Bonds, Notes, and Debentures due in more than
five years but in less than or equal to 10 years. 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)
and due in more than five years but in less than or equal to 10 years. Report
according to the current rating, not the rating 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.

Below Investment Grade Bonds, Notes, and Debentures due in more than 10
years. 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) and due in more than 10 years. Report according
to the current rating, not the rating 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.

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 6ec.

State and Municipal Government Obligations due in more than 13 months but
in less than or equal to five years. Report in the appropriate columns outright
positions in state and municipal government obligations due in more than 13
months but in less than or equal to five years. Include taxable municipal
obligations. Do not include positions reported on Line 6ec.

State and Municipal Government Obligations due in more than five years but
in less than or equal to 10 years. Report in the appropriate columns outright
positions in state and municipal government obligations due in more than five
years but in less than or equal to 10 years. Include taxable municipal obligations.
Do not include positions reported on Line 6e.

State and Municipal Government Obligations due in more than 10 years.
Report in the appropriate columns outright positions in state and municipal
government obligations due in more than 10 years. Include taxable municipal
obligations. Do not include positions reported on Line 6e.

6ec

State and Municipal Government Obligations Variable Rate Demand Notes
(VRDNs). Report in the appropriate columns outright positions in variable rate
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

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
18

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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 1cb (U.S. Treasury Coupons due in less
than or equal to 2 years);



The sum of the next 2 IO components in line 1dc (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 1ed (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 1fe (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 1g f (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 1hg (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.



Outright transactions and forward transactions in Treasury Floating Rate Notes (FRNs)



Treasury Inflation-Protected Indexed 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.

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FR 2004 Primary Government Securities Dealers Reporting Guidelines



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”.
Line

Caption and Instructions

U.S. Treasury Securities (excluding TIPS)
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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

Floating Rate Notes. Report in the appropriate columns transationstransactions
in U.S. Treasury floating rate notes.

1bc

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.

1dc

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.

1ed

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.

1fe

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.

1gf

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.

1hg

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.

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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.
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

Investment Grade Bonds, Notes, and Debentures due in more than 13
months but in less than or equal to five years. 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 moregreater than 13 months but in less than or equal to five years. 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 five years
but in less than or equal to 10 years. 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 more
than five years but in less than or equal to 10 years. 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 10 years.
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 more than 10 years. 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.

5df

Below 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 below investment grade (BB+ or lower) that are due in less than or equal to
13 monthsof 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.

Below Investment Grade Bonds, Notes, and Debentures due in more than 13
months but less than or equal to five years. 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) that are due in
more than 13 months but in less than or equal to five years. 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 due in more than
five years but in less than or equal to 10 years. 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)
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

that are due in more than five years but in less than or equal to 10 years. 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.
5i

Below Investment Grade Bonds, Notes, and Debentures due in more than 10
years. 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) that are due in more than 10 years. 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 6ec.

State and Municipal Government Obligations due in more than 13 months but
in less than or equal to five years. Report in the appropriate columns
transactions in state and municipal government obligations due in more than 13
months but in less than or equal to five years.. Include taxable municipal
obligations. Do not include transactions reported on Line 6ec.

State and Municipal Government Obligations due in more than five years but
in less than or equal to 10 years. Report in the appropriate columns transactions
in state and municipal government obligations due in more than five years but in
less than or equal to 10 years. Include taxable municipal obligations. Do not
include transactions reported on Line 6e.

State and Municipal Government Obligations due in more than 10 years.
Report in the appropriate columns transactions in state and municipal government
obligations due in more than 10 years. Include taxable municipal obligations. Do
not include transactions reported on Line 6e.

6ec

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
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

receivables, i.e., extensions of credit to individuals for household, family, and
other personal expenditures arising from credit cards.
7b

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

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 1cb (U.S. Treasury Coupons due in less
than or equal to 2 years);



The sum of the next 2 IO components in line 1dc (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 1ed (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 1fe (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 1gf (U.S. Treasury Coupons due in more
than 7 years but less than or equal to 11 years),

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines



The sum of the remaining 38 IO components and the PO component in line 1hg (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.
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, and Floating Rate Notes (FRNs).
Federal Agency and GSE Securities (excluding MBS)
Federal Agency and GSE MBS
Corporate Debt including commercial paper
Asset-backed Securities
Equities
All Other dollar denominated, debt instruments used as collateral including non-Agency
or GSE-issued MBS, CMOs, REMICS, and 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

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

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 business 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 business 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, and Floating Rate
Notes (FRNs) including those with the FRBNY. Include GCF
agreements, bilateral agreements, tri-party agreements and hold-incustody (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
27

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines

agreements. Include matched sale-purchase agreements, or any form of
synthetic equivalents.
1c

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

Repurchase Agreements Asset-backed Securities. Report repurchase
agreements where the collateral provided to the lender is dollar denominated
Asset-backed securities as defined for these forms, 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.

1gf

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.

1hg

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, and Floating Rate Notes (FRNs), including those with the
FRBNY. Include GCF agreements, bilateral agreements, tri-party

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines

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

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

Reverse Repurchase Agreements Asset-backed Securities. Report reverse
repurchase agreements where the collateral provided to the borrower is dollar
denominated asset-backed securities as defined for these forms, 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.
Formatted: Font: Bold

2gf

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.

2hg

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.

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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,
and Floating Rate Notes (FRNs), 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
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 Asset-backed Securities. Report
other securities financing activities where the collateral provided to the lender is
dollar denominated asset-backed securities as defined for these forms, 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.
Formatted: Font: Bold

3gf

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
30

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.
3hg

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,
and Floating Rate Notes (FRNs), 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 Inflation Protected 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.

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.
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

Other Financing Activity-Securities Borrowed Asset-backed Securities.
Report other securities financing activities where the collateral provided to the
borrower is dollar denominated asset-backed securities 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.

4gf

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.

4gh

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 including Floating
Rate Notes (FRNs) (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.

Formatted: Font: Bold

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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 Floating Rate Notes (FRNs) and 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 2year 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 reopened 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 Line # 2 Line # 3 Line # 4 Line # 5 Line # 6 Line # 7 Line # 8 Line # 9 –

2-year U.S. Treasury note
3-year U.S. Treasury note
5-year U.S. Treasury note
7-year U.S. Treasury note
10-year U.S. Treasury note
30-year U.S. Treasury bond
5-year TIPS note
10-year TIPS note
30-year TIPS bond

Formatted: Underline

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines



Line #10 - Treasury Floating Rate Notes (any maturity)

Column 1 Security and Rate
Report the most recently issued on-the-run security for each maturity classification of
U.S. Treasury fixed income, floating rate, 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
34

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FR 2004 Primary Government Securities Dealers Reporting Guidelines



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:


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.

Comment [A2]: See page 12, “Do not Report,
lists Derivatives

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines



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).

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 (“DVP repo”) where the collateral is
identified after the rate, term, and class are agreed 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
36

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines











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)
Line #9 - 80 (derived by adding 50 to 30)
Line #10 - 100

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.
37

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

Treasury Floating Rate Note. Report in the appropriate columns security
information, cumulative outright transactions, net settled position, gross financing,
fails data, and the FRBNY security ID for all on-the-run Treasury FRNs.

Total

Report the sums of items 1 through 109.

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.

Formatted: Font: Bold

DRAFT - September 24, 2014

FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

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
39

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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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) (use spread instead of coupon for FRNs) 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.
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.
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FR 2004 Primary Government Securities Dealers Reporting Guidelines

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.

DRAFT - September 24, 2014
F. FR 2004FA, FR 2004FB, FR 2004FC, FR 2004FM – MONTHLY REPORTS OF
SETTLEMENT FAILS AND TRANSACTION VOLUMES IN AGENCY TBA AND SPECIFIED
POOL MORTGAGE-BACKED SECURITIES
Accounting Rules
Report settlement fails from Agency and GSE TBA and specified pool transactions, at principal
value, excluding accrued interest. Principal value is the face value purchased or sold times the
price. Report failed transactions and failed financing transactions that occurred on the as-of date
only. Also include TBA MBS fails when the settlement date is delayed beyond the contractual
settlement date. Do not report security fails on a cumulative basis. However, report cumulative
TBA and pool transactions for settlement in the reporting month using trade date
accounting. Dealers should report all TBA and pool transactions for that month’s
settlement (not just TBA dollar rolls). Do not net purchases and sales.
The settlement calendar for MBS can be located here:
http://www.sifma.org/Services/Standard-Forms-and-Documentation/SecuritizedProducts/Securitized-Products_MBS-Notification-and-Settlement-Dates/
No Activity
If a reporting entity does not have any MBS TBA activity, a report must be submitted reflecting
zero data.
FR 2004 FA-Class A Settlement Fails
Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business on the Class A settlement date for 30year FNMA (FNCL) and 30-year FHLMC (FGLMC) for coupons listed below. For each item,
report FNMA fails to receive in column 1 and FNMA fails to deliver in column 2. Report FHLMC
fails to receive in column 3 and FHLMC fails to deliver in column 4.
1a.

Report fails to receive and fails to deliver in the appropriate columns for coupons lower
than 2.5%.

Report fails to receive and fails to deliver in the appropriate columns for 2.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 3.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 3.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 4.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 4.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 5.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 5.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 6.0% coupons.

DRAFT - September 24, 2014
1j

Report fails to receive and fails to deliver in the appropriate columns for coupons greater
than 6.0%.

Total. Report the total of rows 1a-1j.

Transaction Volumes
Report cumulative MBS TBA and Pool Transactions (Outright Buys and Sells, Dollar Rolls, and Swaps)
with external counterparties for Class A settlement in the reporting month for 30-year FNMA and
30-year FHLMC for coupons listed below. Do not net buys and sells. For each item, report FNMA
outright transactions in column 1 and FNMA dollar rolls in columns 2. Report FHLMC outright
transactions in column 3 and FHLMC dollar rolls in column 4.
3a

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for coupons

lower than 2.5%.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.5% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 3.0% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 3.5% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 4.0% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 4.5% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.0% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.5% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 6.0% coupons.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns coupons greater

than 6.0%.

Total. Report the totals of rows 3a-3j.

FR 2004 FB-Class B Settlement Fails
Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business on the Class B settlement date for 15year FNMA (FNCI) and 15-year FHLMC (FGCI) for coupons listed below. For each item, report
FNMA fails to receive in column 1 and FNMA fails to deliver in column 2. Report FHLMC fails to
receive in column 3 and FHLMC fails to deliver in column 4.
1a.

Report fails to receive and fails to deliver in the appropriate columns for coupons lower
than 2.0%.

Report fails to receive and fails to deliver in the appropriate columns for 2.0% coupons.

DRAFT - September 24, 2014
1c

Report fails to receive and fails to deliver in the appropriate columns for 2.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 3.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 3.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 4.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 4.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 5.0% coupons.

Report fails to receive and fails to deliver in the appropriate columns for 5.5% coupons.

Report fails to receive and fails to deliver in the appropriate columns for coupons greater
than 5.5%.

Total. Report the total of rows 1a-1j.

Transaction Volumes
Report cumulative MBS TBA and Pool Transactions (Outright Buys and Sells, Dollar Rolls, and Swaps)
with external counterparties for Class B settlement in the reporting month for 15-year FNMA and
15-year FHLMC for coupons listed below. Do not net buys and sells. For each item, report FNMA
outright transactions in column 1 and FNMA dollar rolls in columns 2. Report FHLMC outright
transactions in column 3 and FHLMC dollar rolls in column 4.
3a

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for coupons

lower than 2.0%.

Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.0% coupons.